Neuberger Berman
Alternative and Multi-Asset Class Funds
Institutional Class Shares
Class A Shares
Class C Shares
Class R6 Shares
Absolute Return Multi-Manager Fund
Long Short Multi-Manager Fund
Semi-Annual Report
April 30, 2016
Contents
THE FUNDS | |||||||
President's Letter | 1 | ||||||
PORTFOLIO COMMENTARY | |||||||
Absolute Return Multi-Manager Fund | 2 | ||||||
Long Short Multi-Manager Fund | 4 | ||||||
FUND EXPENSE INFORMATION | 8 | ||||||
SCHEDULE OF INVESTMENTS | |||||||
Absolute Return Multi-Manager Fund | 10 | ||||||
Long Short Multi-Manager Fund | 58 | ||||||
FINANCIAL STATEMENTS | 72 | ||||||
FINANCIAL HIGHLIGHTS (ALL CLASSES)/ PER SHARE DATA | |||||||
Absolute Return Multi-Manager Fund | 99 | ||||||
Long Short Multi-Manager Fund | 101 | ||||||
Directory | 105 | ||||||
Proxy Voting Policies and Procedures | 106 | ||||||
Quarterly Portfolio Schedule | 106 |
The "Neuberger Berman" name and logo are registered service marks of Neuberger Berman Group LLC. "Neuberger Berman Investment Advisers LLC" and the individual Fund names in this piece are either service marks or registered service marks of Neuberger Berman Investment Advisers LLC. ©2016 Neuberger Berman Management LLC, distributor. All rights reserved.
President's Letter
Dear Shareholder,
I am pleased to present this semi-annual shareholder report for Neuberger Berman Absolute Return Multi-Manager Fund and Neuberger Berman Long Short Multi-Manager Fund.
A combination of factors, including global growth fears, uncertainty regarding the timing of the recovery of the energy complex and speculation about global central bank decisions leads us to believe that the elevated market volatility across asset classes we experienced over the past few quarters may persist. We therefore continue to favor strategies such as merger arbitrage, credit long/short and asset-backed securities, where spreads are attractive to us and spread compression is not necessarily wholly predicated on the health or stability of broader markets. We have also maintained our allocation to global macro/managed futures, as we believe those strategies tend to benefit from higher volatility, as well as long/short equity where higher volatility has, in our view, created a more opportunistic environment for shorts.
Thank you for your continued support and trust. We look forward to continue serving your investment needs in the years to come.
Sincerely,
ROBERT CONTI
PRESIDENT AND CEO
NEUBERGER BERMAN MUTUAL FUNDS
1
Absolute Return Multi-Manager Fund Commentary
Neuberger Berman Absolute Return Multi-Manager Fund Institutional Class generated a –4.37% total return for the six months ended April 30, 2016. During the period, the Fund underperformed its primary benchmark, the HFRX Global Hedge Fund Index, which posted a –3.49% return. (Performance for all share classes is provided in the table following this letter.)
Equity market volatility increased across the globe during the six-month reporting period, driven by global growth fears, declining energy prices and uncertainty regarding central bank decisions. All told, U.S. equity markets had mixed performance for the period, while Europe and Asia were down. In the credit markets, the decline in sovereign yields was partially driven by accommodative central bank policies outside the U.S. and the flight to quality that resulted from elevated equity market volatility. Corporate bonds ended the period higher as spread widening earlier in the period was more than offset by strong inflows in March 2016. Meanwhile, the U.S. dollar weakened versus the Japanese yen and strengthened versus the euro. Energy prices continued to fall earlier in the period and began to rebound in February 2016.
The Fund's allocation to long/short equity was the largest detractor from performance during the period, followed by losses from event driven, credit and global macro/managed futures.
Negative performance from the Fund's long/short equity allocation was driven by losses from both longs and shorts in a period of elevated equity market volatility. Generally speaking, headwinds from global growth fears, commodity price uncertainty, health care politics and other macro factors overwhelmed company fundamentals. From a sector perspective, the largest positive contributors were longs in utilities, industrials and consumer discretionary, while the largest detractors were longs in health care, financials and energy.
Event driven strategies were the next largest detractors. The portion of the strategy allocated to merger arbitrage generated positive results for the period, as several deals progressed in the right direction and others came to a close. The allocation to softer catalyst special situations (i.e., events that are possible or even likely to happen, but not definitive) was responsible for the vast majority of losses. We believe this was driven by selling pressure from several large hedge funds that had underperformed for a number of different reasons and were hit with large redemptions. This negatively impacted crowded hedge fund trades, such as softer catalyst special situations where many event driven strategies were focused.
Losses from credit were split between the Fund's asset-backed securities (ABS) and credit long/short subadvisers. In the ABS strategy, several positions were marked down on poor technicals later in the period despite decent fundamentals, and have yet to be fully marked back up. We think those losses are short term in nature. Our credit long/short subadviser was conservatively positioned with low net exposure and limited duration, but was still not fully immune to large outflows from high yield earlier in the period.
Gains from commodities, interest rates and currencies were outpaced by losses from equities. During the reporting period, the portfolio's aggregate use of futures contracts, forward contracts, swap contracts and options detracted from performance.
A combination of factors, including global growth fears, uncertainty regarding the timing of the recovery of the energy complex and speculation about global central bank decisions leads us to believe that elevated market volatility across asset classes over the past few quarters may persist. We, therefore, continue to favor strategies such as merger arbitrage, credit long/short and ABS where we believe spreads are attractive and spread compression is not necessarily predicated on the health or stability of broader markets. We have also maintained our allocation to global macro/managed futures, as we believe those strategies tend to benefit from higher volatility, as well as long/short equity, where we believe higher volatility has created a more opportunistic environment for shorts.
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
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 | 7.1 | % | — | % | |||||||
Collateralized Mortgage Obligations | 1.4 | — | |||||||||
Commercial Mortgage-Backed Securities | 6.8 | — | |||||||||
Common Stocks | 40.4 | (15.3 | ) | ||||||||
Convertible Bonds | 0.1 | — | |||||||||
Corporate Bonds | 5.5 | (1.7 | ) | ||||||||
Exchange Traded Funds | — | (4.7 | ) | ||||||||
Exchange Traded Note | — | (0.3 | ) | ||||||||
Loan Assignments | 8.9 | — | |||||||||
Master Limited Partnerships | 2.6 | (0.3 | ) | ||||||||
Options Purchased | 0.1 | — | |||||||||
Rights | 0.0 | — | |||||||||
U.S. Treasury Obligation | 0.1 | — | |||||||||
Warrants | 0.0 | — | |||||||||
Short-Term Investments | 21.6 | — | |||||||||
Other Assets Less Liabilities | 27.7 | * | — | ||||||||
Total | 122.3 | % | (22.3 | )% |
* Percentage includes appreciation/depreciation from derivatives.
PERFORMANCE HIGHLIGHTS3
Inception | Six Month Period Ended | Average Annual Total Return Ended 04/30/2016 | |||||||||||||||||
Date | 04/30/2016 | 1 Year | Life of Fund | ||||||||||||||||
At NAV | |||||||||||||||||||
Institutional Class | 05/15/2012 | –4.37 | % | –9.39 | % | 1.05 | % | ||||||||||||
Class A | 05/15/2012 | –4.53 | % | –9.74 | % | 0.68 | % | ||||||||||||
Class C | 05/15/2012 | –4.85 | % | –10.32 | % | –0.06 | % | ||||||||||||
Class R64 | 12/31/2013 | –4.29 | % | –9.32 | % | 1.08 | % | ||||||||||||
With Sales Charge | |||||||||||||||||||
Class A | –9.99 | % | –14.92 | % | –0.81 | % | |||||||||||||
Class C | –5.79 | % | –11.21 | % | –0.06 | % | |||||||||||||
Index | |||||||||||||||||||
HFRX Global Hedge Fund Index1,2* | –3.49 | % | –7.18 | % | 0.52 | % | |||||||||||||
HFRX Absolute Return Index1,2 | –1.43 | % | 0.53 | % | 1.89 | % | |||||||||||||
S&P 500® Index1,2 | 0.43 | % | 1.21 | % | 13.97 | % | |||||||||||||
Barclays U.S. Aggregate Bond Index1,2 | 2.82 | % | 2.72 | % | 2.54 | % |
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.
* The Fund's primary benchmark changed during the reporting period; the prior benchmark was the HFRX Absolute Return Index. The benchmark was modified because the HFRX Global Hedge Fund Index is believed to be a fairer representation of the Fund's investment universe.
Returns would have been lower if Neuberger Berman Investment Advisers 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 2015 were 2.73%, 3.09%, 3.84% and 2.68% for Institutional Class, Class A, Class C and Class R6 shares, respectively (before expense reimbursements and/or fee waivers, if any). The total annual operating expense ratio for each of Institutional Class, Class A, Class C and Class R6 includes the class's repayment of expenses previously reimbursed and/or fees previously waived by Management. The expense ratios for the semi-annual period ended April 30, 2016 can be found in the Financial Highlights section of this report.
Returns shown with a sales charge reflect the deduction of the current maximum initial sales charge of 5.75% for Class A shares and the contingent deferred sales charge (CDSC) for Class C shares. The CDSC for Class C shares is 1%, which is reduced to 0% after 1 year. The performance of the Fund's share classes will differ primarily due to different sales charge structures and class expenses. Please see the prospectus for more information about sales charge structures, if any, and class expenses for your share class.
3
Long Short Multi-Manager Fund Commentary
Neuberger Berman Long Short Multi-Manager Fund Institutional Class generated a –4.32% total return for the six months ended April 30, 2016. During this period, the Fund underperformed its benchmarks, the HFRX Equity Hedge Index and the S&P 500® Index, which returned –3.94% and 0.43%, respectively. (Performance for all share classes is provided in the table immediately following this letter.)
The global financial markets remained volatile during the period amid a backdrop of moderating growth, fluctuating commodity prices, decoupling central bank monetary policy and several geopolitical issues. While investor sentiment was initially challenged, it improved as the period progressed. All told, the U.S. equity market generated a modest gain, whereas international developed equities and emerging market equities ended the six month period in negative territory.
The Fund posted a negative return during the period, as both its long and short positions detracted from performance. Much of the Fund's underperformance relative to the broader equity market can be traced back to March 2016, when stocks moved sharply higher and the environment for shorting was extremely poor. We believe the rally in many of the Fund's short positions were more a function of panicked short covering and widespread speculation than fundamentals. Nonetheless, the Fund's subadvisers were forced to cover many of their short positions to prevent further damage. As the market has taken a breather more recently, the Fund's subadvisers have started to add back to some of their short positions that had been previously covered or had shrunk in size at what they believe to be compelling valuations.
At the position level, one of the largest detractors from performance was a long position in a British sports apparel retailer. The company issued a profit warning at the beginning of the year, as unseasonably warm weather dampened sales of its winter clothing line. A long position in a pharmaceutical company was also negative for performance, as it terminated a planned merger with a biopharmaceutical company following the U.S. Treasury Department's ruling on tax inversions. Elsewhere, a long position in a pipeline company detracted from performance. The stock was pressured by investor concerns over the company's ability to attain financing for a major acquisition.
Among the largest individual contributors to performance was a long position in an integrated energy company. The subadviser responsible for the position participated in the follow-on offering that was used to finance the acquisition of a utility company, which the subadviser believes will result in significant synergies. A long position in a global provider of fire protection and security solutions was also positive for performance, as it announced a merger with a provider of building products and auto parts and equipment earlier this year. Finally, a long position in a medical device company was beneficial for returns, as it agreed to be acquired by a health care company looking to expand its heart and neurological devices business.
During the reporting period, the portfolio's aggregate use of futures contracts, forward contracts, swap contracts and options detracted from performance.
Looking ahead, a combination of factors, including global growth fears, uncertainty regarding the timing of the recovery of the energy complex and speculation about central bank decisions across the globe leads us to believe that the elevated volatility that we have seen over the past few quarters may persist. We believe long/short equity strategies can benefit from this trend, as higher volatility tends to create a more opportunistic environment for shorts.
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.
4
Long Short Multi-Manager Fund
TICKER SYMBOLS
Institutional Class | NLMIX | ||||||
Class A | NLMAX | ||||||
Class C | NABCX |
PORTFOLIO BY TYPE OF SECURITY
(as a % of Total Net Assets)
Long | Short | ||||||||||
Common Stocks | 58.4 | % | (27.5 | )% | |||||||
Exchange Traded Funds | — | (7.2 | ) | ||||||||
Exchange Traded Note | — | (0.6 | ) | ||||||||
Master Limited Partnerships | 5.0 | (0.5 | ) | ||||||||
Options Purchased | 0.1 | — | |||||||||
Short-Term Investments | 26.6 | — | |||||||||
Other Assets Less Liabilities | 45.7 | * | — | ||||||||
Total | 135.8 | % | (35.8 | )% |
* Percentage includes appreciation/depreciation from derivatives, if any.
PERFORMANCE HIGHLIGHTS
Inception | Six Month Period Ended | Average Annual Total Return Ended 04/30/2016 | |||||||||||||||||
Date | 04/30/2016 | 1 Year | Life of Fund | ||||||||||||||||
At NAV | |||||||||||||||||||
Institutional Class | 12/19/2013 | –4.32 | % | –9.19 | % | –1.25 | % | ||||||||||||
Class A | 12/19/2013 | –4.55 | % | –9.52 | % | –1.62 | % | ||||||||||||
Class C | 12/19/2013 | –4.82 | % | –10.19 | % | –2.32 | % | ||||||||||||
With Sales Charge | |||||||||||||||||||
Class A | –10.04 | % | –14.69 | % | –4.05 | % | |||||||||||||
Class C | –5.75 | % | –11.07 | % | –2.32 | % | |||||||||||||
Index | |||||||||||||||||||
HFRX Equity Hedge Index1,2 | –3.94 | % | –8.31 | % | –1.09 | % | |||||||||||||
S&P 500® Index1,2 | 0.43 | % | 1.21 | % | 7.93 | % |
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 Investment Advisers 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 2015 were 4.22%, 4.65% and 5.45% for Institutional Class, Class A and Class C shares, respectively (before expense reimbursements and/or fee waivers, if any). The total annual operating expense ratios were 2.93%, 3.30% and 4.07% for Institutional Class, Class A and Class C shares, respectively, after expense reimbursements and/or fee waivers. The expense ratios for the semi-annual period ended April 30, 2016 can be found in the Financial Highlights section of this report.
Returns shown with a sales charge reflect the deduction of the current maximum initial sales charge of 5.75% for Class A shares and the contingent deferred sales charge (CDSC) for Class C shares. The CDSC for Class C shares is 1%, which is reduced to 0% after 1 year. The performance of the Fund's share classes will differ primarily due to different sales charge structures and class expenses. Please see the prospectus for more information about sales charge structures, if any, and class expenses for your share class.
5
Endnotes
1 Please see "Glossary of Indices" on page 7 for a description of indices. Please note that individuals cannot invest directly in any index. The S&P 500® and the Barclays U.S. Aggregate Bond indices do not take into account any fees, expenses or tax consequences of investing in the individual securities that they track. The HFRX Absolute Return, HFRX Equity Hedge and HFRX Global Hedge Fund 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 Investment Advisers 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 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 January 1, 2016, Neuberger Berman Management LLC (NBM) and Neuberger Berman LLC (NB LLC) transferred to Neuberger Berman Fixed Income LLC (NBFI) their rights and obligations pertaining to all services they provided to any Fund under any investment management, investment sub-advisory, and/or administration agreement, as applicable (the "Agreements"). Following this transfer, NBFI was renamed Neuberger Berman Investment Advisers LLC (NBIA). In addition, as of the date of the transfer, the services previously provided by NB Alternative Investment Management LLC (NBAIM) are provided by NBIA.
As of December 31, 2015, NBM served as each Fund's investment manager and administrator and each of NB LLC, NBFI and NBAIM served as certain Funds' adviser or sub-adviser. Following the consolidation, the investment professionals of NBM, NB LLC, NBFI and NBAIM who provided services to the Funds under the Agreements continue to provide the same services, except that they provide those services in their new capacities as investment professionals of NBIA. Further, the consolidation did not result in any change in the investment processes 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.
** It is contemplated that effective July 1, 2016 Neuberger Berman Management LLC will merge with and into Neuberger Berman LLC, which will assume the role of distributor to the Funds.
6
Glossary of Indices
Barclays U.S. Aggregate Bond Index: | The index measures the investment grade, U.S. dollar-denominated, fixed-rate, taxable bond market and includes Treasuries, government-related and corporate securities, mortgage-backed securities (MBS) (agency fixed-rate and hybrid adjustable rate mortgage (ARM) pass-throughs), asset-backed securities (ABS), and commercial mortgage-backed securities (CMBS) (agency and non-agency). | ||
HFRX Absolute Return Index: | The index is designed to be representative of the overall composition of the hedge fund universe. The index comprises all eligible hedge fund strategies including, but not limited to, convertible arbitrage, distressed securities, equity hedge, equity market neutral, event driven, macro, merger arbitrage, and relative value arbitrage. The index employs a constituent weighting methodology that selects constituent funds which characteristically exhibit lower volatilities and lower correlations to standard directional benchmarks of equity market and hedge fund industry performance. Constituent funds are selected from an eligible pool of the more than 7,500 funds worldwide that report to the Hedge Fund Research (HFR) Database. Constituent funds must meet all of the following criteria: report monthly; report performance net of all fees; be U.S. dollar-denominated; be active and accepting new investments; have a minimum 24 months track record; and the fund's manager must have at least $50 million in assets under management. The index is rebalanced quarterly. | ||
HFRX Equity Hedge Index: | The index comprises equity hedge strategies. Equity hedge strategies maintain positions both long and short in primarily equity and equity derivative securities. A wide variety of investment processes can be employed to arrive at an investment decision, including both quantitative and fundamental techniques; strategies can be broadly diversified or narrowly focused on specific sectors and can range broadly in terms of levels of net exposure, leverage employed, holding period, concentrations of market capitalizations and valuation ranges of typical portfolios. Equity hedge managers would typically maintain at least 50%, and may in some cases be substantially entirely invested, in equities, both long and short. Constituent funds are selected from an eligible pool of the more than 7,500 funds worldwide that report to the Hedge Fund Research (HFR) Database. Constituent funds must meet all of the following criteria: report monthly; report performance net of all fees; be U.S. dollar-denominated; be active and accepting new investments; have a minimum 24 months track record; and the fund's manager must have at least $50 million in assets under management. The index is rebalanced quarterly. | ||
HFRX Global Hedge Fund Index: | The index is designed to be representative of the overall composition of the hedge fund universe. It is comprised of 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 strategies are asset weighted based on the distribution of assets in the hedge fund industry. Constituent funds are selected from an eligible pool of the more than 7,500 funds worldwide that report to the Hedge Fund Research (HFR) Database. Constituent funds must meet all of the following criteria: report monthly; report performance net of all fees; be U.S. dollar-denominated; be active and accepting new investments; have a minimum 24 months track record; and the fund's manager must have at least $50 million in assets under management. The index is rebalanced quarterly. | ||
S&P 500® Index: | The index is a float-adjusted market capitalization-weighted index that focuses on the large-cap segment of the U.S. equity market, and includes a significant portion of the total value of the market. |
7
Information About Your Fund's Expenses (Unaudited)
As a Fund shareholder, you incur two types of costs: (1) transaction costs, including sales charges (loads) on purchase payments or redemption proceeds (if applicable); and (2) ongoing costs, including management fees, distribution and/or service (12b-1) fees (if applicable), and other Fund expenses. This example is intended to help you understand your ongoing costs (in U.S. dollars) of investing in a Fund and compare these costs with the ongoing costs of investing in other mutual funds.
This table is designed to provide information regarding costs related to your investments. The following examples are based on an investment of $1,000 made at the beginning of the six month period ended April 30, 2016 and held for the entire period. The table illustrates each Fund's costs in two ways:
Actual Expenses and Performance: | The first section of the table provides information about actual account values and actual expenses in dollars, based on the Fund's actual performance during the period indicated. You may use the information in this line, together with the amount you invested, to estimate the expenses you paid over the period. Simply divide your account value by $1,000 (for example, an $8,600 account value divided by $1,000 = 8.6), then multiply the result by the number in the first section of the table under the heading entitled "Expenses Paid During the Period" to estimate the expenses you paid over the period. | |
Hypothetical Example for Comparison Purposes: | The second section of the table provides information about hypothetical account values and hypothetical expenses based on the Fund's actual expense ratio and an assumed rate of return at 5% per year before expenses. This return is not the Fund's actual return. The hypothetical account values and expenses may not be used to estimate the actual ending account balance or expenses you paid for the period. You may use this information to compare the ongoing costs of investing in a Fund versus other funds. To do so, compare the expenses shown in this 5% hypothetical example with the 5% hypothetical examples that appear in the shareholder reports of other funds. |
Please note that the expenses in the table are meant to highlight your ongoing costs only and do not include any transaction costs, such as sales charges (loads) (if applicable). Therefore, the information under the heading "Hypothetical (5% annual return before expenses)" is useful in comparing ongoing costs only, and will not help you determine the relative total costs of owning different funds. In addition, if these transaction costs were included, your costs would have been higher.
8
Expense Information as of 4/30/16 (Unaudited)
Neuberger Berman Alternative Funds | |||||||||||||||||||||||||||||||||||
ACTUAL | HYPOTHETICAL (5% ANNUAL RETURN BEFORE EXPENSES) | ||||||||||||||||||||||||||||||||||
Beginning Account Value 11/1/15 | Ending Account Value 4/30/16 | Expenses Paid During the Period(1) 11/1/15 - 4/30/16 | Expense Ratio | Beginning Account Value 11/1/15 | Ending Account Value 4/30/16 | Expenses Paid During the Period(2) 11/1/15 - 4/30/16 | Expense Ratio | ||||||||||||||||||||||||||||
Absolute Return Multi-Manager Fund | |||||||||||||||||||||||||||||||||||
Institutional Class | $ | 1,000.00 | $ | 956.30 | $ | 13.38 | (3) | 2.75 | % | $ | 1,000.00 | $ | 1,011.19 | $ | 13.75 | (3) | 2.75 | % | |||||||||||||||||
Class A | $ | 1,000.00 | $ | 954.70 | $ | 15.11 | (3) | 3.11 | % | $ | 1,000.00 | $ | 1,009.40 | $ | 15.54 | (3) | 3.11 | % | |||||||||||||||||
Class C | $ | 1,000.00 | $ | 951.50 | $ | 18.73 | (3) | 3.86 | % | $ | 1,000.00 | $ | 1,005.67 | $ | 19.25 | (3) | 3.86 | % | |||||||||||||||||
Class R6 | $ | 1,000.00 | $ | 957.10 | $ | 13.04 | (3) | 2.68 | % | $ | 1,000.00 | $ | 1,011.54 | $ | 13.40 | (3) | 2.68 | % | |||||||||||||||||
Long Short Multi-Manager Fund | |||||||||||||||||||||||||||||||||||
Institutional Class | $ | 1,000.00 | $ | 956.80 | $ | 14.84 | 3.05 | % | $ | 1,000.00 | $ | 1,009.70 | $ | 15.24 | 3.05 | % | |||||||||||||||||||
Class A | $ | 1,000.00 | $ | 954.50 | $ | 16.47 | 3.39 | % | $ | 1,000.00 | $ | 1,008.01 | $ | 16.92 | 3.39 | % | |||||||||||||||||||
Class C | $ | 1,000.00 | $ | 950.80 | $ | 20.08 | 4.14 | % | $ | 1,000.00 | $ | 1,004.28 | $ | 20.63 | 4.14 | % |
(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 182/366 (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 182/366 (to reflect the one-half year period shown).
(3) Includes expenses of the Fund's subsidiary (See Note A of the Notes to Financial Statements).
9
Consolidated Schedule of Investments Neuberger Berman Absolute Return Multi-Manager Fund (Unaudited) 4/30/16
Investments | Shares | Value (000) | |||||||||
Long Positions (94.6%) | |||||||||||
Common Stocks (40.4%) | |||||||||||
Aerospace & Defense (0.1%) | |||||||||||
HEICO Corp., Class A(a) | 9,600 | $ | 491 | ||||||||
Air Freight & Logistics (0.2%) | |||||||||||
TNT Express NV (Netherlands)*(a) | 201,010 | 1,824 | |||||||||
XPO Logistics Europe SA (France)(a) | 2,000 | 463 | |||||||||
2,287 | |||||||||||
Airlines (0.0%)(b) | |||||||||||
AMR Corp. Escrow*(c) | 14,383 | 12 | |||||||||
Virgin America, Inc.*(a) | 3,450 | 192 | |||||||||
204 | |||||||||||
Banks (1.1%) | |||||||||||
ABN AMRO Group NV, CVA (Netherlands)*(d) | 19,647 | 420 | |||||||||
Bank of America Corp.(a) | 267,650 | 3,897 | |||||||||
C1 Financial, Inc.*(a) | 32,300 | 792 | |||||||||
ING Groep NV, CVA (Netherlands) | 68,997 | 845 | |||||||||
KBC Groep NV (Belgium)*(a) | 22,052 | 1,238 | |||||||||
Societe Generale SA (France)(a) | 16,890 | 662 | |||||||||
SunTrust Banks, Inc.(e) | 73,735 | 3,078 | |||||||||
10,932 | |||||||||||
Beverages (1.0%) | |||||||||||
Anheuser-Busch InBev SA/NV (Belgium) | 4,603 | 570 | |||||||||
Carlsberg A/S, Class B (Denmark) | 5,995 | 584 | |||||||||
Cott Corp. (Canada)(a) | 121,646 | 1,613 | |||||||||
Davide Campari- Milano SpA (Italy) | 29,167 | 281 | |||||||||
Marie Brizard Wine & Spirits SA (France)*(a) | 10,459 | 200 | |||||||||
Molson Coors Brewing Co., Class B(e) | 12,523 | 1,198 |
Investments | Shares | Value (000) | |||||||||
SABMiller plc, ADR (United Kingdom)(e) | 78,885 | $ | 4,839 | ||||||||
9,285 | |||||||||||
Biotechnology (2.7%) | |||||||||||
Actelion Ltd. (Switzerland)* | 1,824 | 295 | |||||||||
Alexion Pharmaceuticals, Inc.* | 13,498 | 1,880 | |||||||||
Alkermes plc (Ireland)*(a) | 39,702 | 1,578 | |||||||||
Baxalta, Inc.(a) | 165,729 | 6,952 | |||||||||
BioMarin Pharmaceutical, Inc.*(e) | 23,151 | 1,960 | |||||||||
Celgene Corp.* | 15,881 | 1,642 | |||||||||
Incyte Corp.*(a) | 22,233 | 1,607 | |||||||||
Ionis Pharmaceuticals, Inc.*(a) | 37,717 | 1,545 | |||||||||
Medivation, Inc.*(a) | 40,632 | 2,348 | |||||||||
Neurocrine Biosciences, Inc.*(a)(e) | 49,575 | 2,260 | |||||||||
Portola Pharmaceuticals, Inc.*(e) | 11,900 | 283 | |||||||||
QLT, Inc. (Canada)*(a) | 383,858 | 580 | |||||||||
United Therapeutics Corp.*(e) | 7,802 | 821 | |||||||||
Vertex Pharmaceuticals, Inc.*(e) | 25,219 | 2,127 | |||||||||
25,878 | |||||||||||
Capital Markets (1.0%) | |||||||||||
American Capital Ltd.*(a) | 42,077 | 665 | |||||||||
Azimut Holding SpA (Italy)(a) | 51,423 | 1,294 | |||||||||
Charles Schwab Corp. (The)(e) | 21,068 | 598 | |||||||||
Flow Traders (Netherlands)(d) | 11,818 | 470 | |||||||||
GP Investments Acquisition Corp.* | 214,204 | 2,099 | |||||||||
GP Investments Acquisition Corp., Class U*(a) | 1 | — | (f) | ||||||||
Intertrust NV (Netherlands)*(d) | 1,320 | 27 |
Investments | Shares | Value (000) | |||||||||
NorthStar Asset Management Group, Inc.(e) | 30,871 | $ | 384 | ||||||||
RCS Capital Corp., Class A*(a) | 183,806 | 2 | |||||||||
WL Ross Holding Corp.*(a) | 429,300 | 4,295 | |||||||||
9,834 | |||||||||||
Chemicals (1.9%) | |||||||||||
Air Products & Chemicals, Inc. | 21,095 | 3,078 | |||||||||
Airgas, Inc.(a) | 25,100 | 3,575 | |||||||||
Axiall Corp.(a) | 11,550 | 272 | |||||||||
EI du Pont de Nemours & Co.(a) | 20,525 | 1,353 | |||||||||
Ferro Corp.*(a) | 130,650 | 1,664 | |||||||||
Syngenta AG (Switzerland)(a) | 1,677 | 671 | |||||||||
Syngenta AG, ADR (Switzerland)(a) | 40,512 | 3,264 | |||||||||
Valspar Corp. (The) | 17,200 | 1,835 | |||||||||
WR Grace & Co.*(a)(e) | 31,700 | 2,431 | |||||||||
18,143 | |||||||||||
Commercial Services & Supplies (1.5%) | |||||||||||
ADT Corp. (The)(a) | 109,400 | 4,593 | |||||||||
Progressive Waste Solutions Ltd. (Canada)(a) | 4,350 | 140 | |||||||||
Spotless Group Holdings Ltd. (Australia) | 629,902 | 617 | |||||||||
Tyco International plc(a) | 220,800 | 8,505 | |||||||||
13,855 | |||||||||||
Communications Equipment (0.4%) | |||||||||||
Alliance Fiber Optic Products, Inc.*(a) | 35,000 | 648 | |||||||||
Harris Corp.(a) | 27,975 | 2,238 | |||||||||
Polycom, Inc.*(a) | 16,700 | 200 | |||||||||
Ruckus Wireless, Inc.*(a) | 32,200 | 442 | |||||||||
3,528 | |||||||||||
Construction Materials (0.1%) | |||||||||||
HeidelbergCement AG (Germany)(a) | 7,668 | 681 |
See Notes to Financial Statements
10
Consolidated Schedule of Investments Neuberger Berman Absolute Return Multi-Manager Fund (Unaudited) (cont'd)
Investments | Shares | Value (000) | |||||||||
LafargeHolcim Ltd. (Switzerland)*(a) | 13,896 | $ | 704 | ||||||||
1,385 | |||||||||||
Containers & Packaging (0.1%) | |||||||||||
Nampak Ltd. (South Africa)(a) | 619,127 | 1,059 | |||||||||
WestRock Co. | 500 | 21 | |||||||||
1,080 | |||||||||||
Diversified Consumer Services (0.0%)(b) | |||||||||||
Apollo Education Group, Inc.*(a) | 29,300 | 229 | |||||||||
Diversified Financial Services (0.9%) | |||||||||||
Acasta Enterprises, Inc., Class A (Canada)* | 135,000 | 1,044 | |||||||||
Alignvest Acquisition Corp., Class A (Canada)* | 90,371 | 696 | |||||||||
Gores Holdings, Inc.*(a) | 81,924 | 798 | |||||||||
Pace Holdings Corp.*(e) | 582,820 | 5,739 | |||||||||
8,277 | |||||||||||
Diversified Telecommunication Services (0.0%)(b) | |||||||||||
Intelsat SA (Luxembourg)*(a) | 24,015 | 95 | |||||||||
Koninklijke KPN NV (Netherlands)(a) | 35,000 | 137 | |||||||||
232 | |||||||||||
Electric Utilities (0.8%) | |||||||||||
American Electric Power Co., Inc. | 1,027 | 65 | |||||||||
Avangrid, Inc.*(a) | 6,183 | 248 | |||||||||
Edison International(a) | 15,994 | 1,131 | |||||||||
Empire District Electric Co. (The)(a) | 16,313 | 549 | |||||||||
Exelon Corp.(a) | 29,677 | 1,041 | |||||||||
Hawaiian Electric Industries, Inc. | 2,486 | 81 | |||||||||
NextEra Energy, Inc.(a) | 24,107 | 2,835 | |||||||||
PG&E Corp.(a) | 21,046 | 1,225 |
Investments | Shares | Value (000) | |||||||||
Pinnacle West Capital Corp.(a) | 7,183 | $ | 522 | ||||||||
PNM Resources, Inc.(a) | 10,923 | 346 | |||||||||
8,043 | |||||||||||
Electrical Equipment (0.2%) | |||||||||||
Eaton Corp. plc(e) | 18,917 | 1,197 | |||||||||
PowerSecure International, Inc.*(a) | 7,100 | 133 | |||||||||
Rockwell Automation, Inc.(e) | 8,369 | 949 | |||||||||
2,279 | |||||||||||
Electronic Equipment, Instruments & Components (0.3%) | |||||||||||
Axis Communications AB (Sweden)(a) | 16,400 | 692 | |||||||||
Checkpoint Systems, Inc.*(a) | 26,500 | 268 | |||||||||
Ingram Micro, Inc., Class A(a) | 27,100 | 947 | |||||||||
Newport Corp.*(a) | 29,000 | 667 | |||||||||
Rofin-Sinar Technologies, Inc.*(a) | 16,450 | 530 | |||||||||
3,104 | |||||||||||
Energy Equipment & Services (0.2%) | |||||||||||
Baker Hughes, Inc. | 14,700 | 711 | |||||||||
Schlumberger Ltd.(e) | 15,781 | 1,268 | |||||||||
1,979 | |||||||||||
Food & Staples Retailing (0.6%) | |||||||||||
Magnit PJSC, GDR (Russia)(a) | 13,073 | 452 | |||||||||
Rite Aid Corp.*(a) | 461,877 | 3,718 | |||||||||
Wal-Mart de Mexico SAB de CV (Mexico)(a) | 160,008 | 396 | |||||||||
X5 Retail Group NV, GDR (Russia)*(a) | 35,043 | 694 | |||||||||
5,260 | |||||||||||
Food Products (1.5%) | |||||||||||
GrainCorp. Ltd., Class A (Australia)(a) | 18,000 | 112 | |||||||||
Mead Johnson Nutrition Co. | 19,851 | 1,730 | |||||||||
Mondelez International, Inc., Class A | 60,670 | 2,606 |
Investments | Shares | Value (000) | |||||||||
Nomad Foods Ltd. (United Kingdom)*(e) | 1,035,009 | $ | 8,425 | ||||||||
Pinnacle Foods, Inc.(e) | 8,998 | 383 | |||||||||
Warrnambool Cheese & Butter Factory Co. Holding Ltd. (Australia)*(a) | 10,000 | 65 | |||||||||
WhiteWave Foods Co. (The)*(a) | 20,911 | 841 | |||||||||
14,162 | |||||||||||
Gas Utilities (0.2%) | |||||||||||
AGL Resources, Inc.(a) | 9,550 | 629 | |||||||||
Atmos Energy Corp.(a) | 10,078 | 731 | |||||||||
Piedmont Natural Gas Co., Inc.(a) | 8,250 | 493 | |||||||||
Spire, Inc. | 2,680 | 172 | |||||||||
2,025 | |||||||||||
Health Care Equipment & Supplies (1.5%) | |||||||||||
Alere, Inc.*(a) | 83,634 | 3,262 | |||||||||
ArthroCare Corp. Escrow*(c)(g) | 46,000 | 16 | |||||||||
Boston Scientific Corp.* | 74,041 | 1,623 | |||||||||
Cooper Cos., Inc. (The)(a) | 12,131 | 1,857 | |||||||||
Edwards Lifesciences Corp.*(a) | 15,319 | 1,627 | |||||||||
HeartWare International, Inc.*(e) | 11,116 | 371 | |||||||||
Integra LifeSciences Holdings Corp.* | 26,203 | 1,856 | |||||||||
Masimo Corp.* | 29,379 | 1,273 | |||||||||
St. Jude Medical, Inc. | 26,600 | 2,027 | |||||||||
13,912 | |||||||||||
Health Care Providers & Services (0.4%) | |||||||||||
Humana, Inc.(a) | 15,856 | 2,808 | |||||||||
Shanghai Pharmaceuticals Holding Co. Ltd., Class H (China) | 104,432 | 221 | |||||||||
Sinopharm Group Co. Ltd., Class H (China) | 58,625 | 251 | |||||||||
VCA, Inc.* | 11,990 | 755 | |||||||||
4,035 |
See Notes to Financial Statements
11
Consolidated Schedule of Investments Neuberger Berman Absolute Return Multi-Manager Fund (Unaudited) (cont'd)
Investments | Shares | Value (000) | |||||||||
Health Care Technology (0.1%) | |||||||||||
HMS Holdings Corp.* | 39,702 | $ | 671 | ||||||||
Hotels, Restaurants & Leisure (0.9%) | |||||||||||
Ainsworth Game Technology Ltd. (Australia) | 184,759 | 326 | |||||||||
Belmond Ltd., Class A (United Kingdom)*(a) | 3,000 | 27 | |||||||||
Bloomin' Brands, Inc. | 107,100 | 2,003 | |||||||||
Morgans Hotel Group Co.*(e) | 87,814 | 131 | |||||||||
Starwood Hotels & Resorts Worldwide, Inc.(a) | 75,520 | 6,184 | |||||||||
8,671 | |||||||||||
Household Durables (0.3%) | |||||||||||
Lennar Corp., Class B(a) | 25,500 | 917 | |||||||||
Mohawk Industries, Inc.*(e) | 9,950 | 1,917 | |||||||||
Newell Brands, Inc. | — | (f) | — | (f) | |||||||
2,834 | |||||||||||
Independent Power & Renewable Electricity Producers (0.6%) | |||||||||||
8Point3 Energy Partners LP(a) | 11,730 | 185 | |||||||||
Calpine Corp.*(a) | 33,201 | 524 | |||||||||
Dynegy, Inc.*(a) | 10,081 | 178 | |||||||||
NextEra Energy Partners LP(a) | 53,756 | 1,553 | |||||||||
NRG Yield, Inc., Class A(a) | 72,106 | 1,091 | |||||||||
Pattern Energy Group, Inc. | 82,002 | 1,722 | |||||||||
TerraForm Power, Inc., Class A*(a) | 36,458 | 389 | |||||||||
5,642 | |||||||||||
Industrial Conglomerates (0.4%) | |||||||||||
Danaher Corp.(a) | 39,270 | 3,799 | |||||||||
Insurance (0.5%) | |||||||||||
AIA Group Ltd. (Hong Kong)(a) | 295,194 | 1,767 | |||||||||
Aspen Insurance Holdings Ltd.(a) | 2,000 | 93 | |||||||||
Fidelity & Guaranty Life | 2,900 | 77 |
Investments | Shares | Value (000) | |||||||||
National Interstate Corp.(a) | 26,800 | $ | 825 | ||||||||
NN Group NV (Netherlands) | 34,014 | 1,178 | |||||||||
Sampo OYJ, Class A (Finland) | 6,062 | 265 | |||||||||
Syncora Holdings Ltd.*(a) | 17,829 | 16 | |||||||||
WMIH Corp.*(e) | 123,646 | 276 | |||||||||
4,497 | |||||||||||
Internet & Catalog Retail (0.2%) | |||||||||||
Amazon.com, Inc.*(a) | 1,126 | 742 | |||||||||
Priceline Group, Inc. (The)*(a) | 660 | 887 | |||||||||
1,629 | |||||||||||
Internet Software & Services (1.6%) | |||||||||||
Alibaba Group Holding Ltd., ADR (China)*(a) | 17,202 | 1,324 | |||||||||
Alphabet, Inc., Class A* | 4,264 | 3,018 | |||||||||
Baidu, Inc., ADR (China)*(a) | 3,173 | 616 | |||||||||
Cvent, Inc.*(a) | 11,800 | 417 | |||||||||
eBay, Inc.*(a) | 17,812 | 435 | |||||||||
Facebook, Inc., Class A*(a) | 14,677 | 1,726 | |||||||||
LinkedIn Corp., Class A*(a) | 1,840 | 231 | |||||||||
Mail.Ru Group Ltd., GDR (Russia)*(a) | 10,412 | 211 | |||||||||
MercadoLibre, Inc. (Argentina)(a) | 3,929 | 491 | |||||||||
Qihoo 360 Technology Co. Ltd., ADR (China)*(a) | 5,400 | 410 | |||||||||
Rocket Fuel, Inc.*(a) | 300 | 1 | |||||||||
Tencent Holdings Ltd. (China)(a) | 38,973 | 793 | |||||||||
Yahoo!, Inc.*(e) | 138,273 | 5,061 | |||||||||
Yandex NV, Class A (Russia)*(a) | 11,397 | 233 | |||||||||
14,967 | |||||||||||
IT Services (0.7%) | |||||||||||
Computer Sciences Corp.(a) | 44,350 | 1,469 | |||||||||
CSRA, Inc.(a) | 123,525 | 3,207 |
Investments | Shares | Value (000) | |||||||||
PayPal Holdings, Inc.*(a) | 17,812 | $ | 698 | ||||||||
Total System Services, Inc. | 23,700 | 1,212 | |||||||||
6,586 | |||||||||||
Life Sciences Tools & Services (0.6%) | |||||||||||
Affymetrix, Inc.*(a) | 60,262 | 844 | |||||||||
Agilent Technologies, Inc.(a) | 63,150 | 2,584 | |||||||||
Gerresheimer AG (Germany)(a) | 20,842 | 1,550 | |||||||||
Pacific Biosciences of California, Inc.*(e) | 60,100 | 580 | |||||||||
5,558 | |||||||||||
Machinery (0.9%) | |||||||||||
Deere & Co.(e) | 10,850 | 913 | |||||||||
EnPro Industries, Inc.(a) | 37,137 | 2,176 | |||||||||
FANUC Corp. (Japan) | 5,600 | 827 | |||||||||
Ingersoll-Rand plc(a) | 30,350 | 1,989 | |||||||||
Mueller Water Products, Inc., Class A | 240,876 | 2,589 | |||||||||
8,494 | |||||||||||
Media (4.9%) | |||||||||||
Altice NV, Class A (Netherlands)*(a) | 46,532 | 706 | |||||||||
Cablevision Systems Corp., Class A(a) | 168,825 | 5,637 | |||||||||
Carmike Cinemas, Inc.*(a)(e) | 11,800 | 354 | |||||||||
CBS Corp., Class B(a) | 73,575 | 4,114 | |||||||||
Crown Media Holdings, Inc., Class A*(a) | 65,800 | 334 | |||||||||
DISH Network Corp., Class A*(a) | 35,394 | 1,745 | |||||||||
DreamWorks Animation SKG, Inc., Class A* | 5,100 | 204 | |||||||||
EW Scripps Co. (The), Class A*(a) | 66,695 | 1,012 | |||||||||
Gray Television, Inc.*(a) | 224,210 | 2,881 | |||||||||
Liberty Braves Group, Class C*(e) | 2,897 | 43 |
See Notes to Financial Statements
12
Consolidated Schedule of Investments Neuberger Berman Absolute Return Multi-Manager Fund (Unaudited) (cont'd)
Investments | Shares | Value (000) | |||||||||
Liberty Global plc, Series C (United Kingdom)* | 1,477 | $ | 54 | ||||||||
Liberty Global plc, Series C (United Kingdom)*(a) | 16,563 | 606 | |||||||||
Liberty Global plc, Class A (United Kingdom)*(a) | 3,994 | 151 | |||||||||
Liberty Global plc LiLAC, Series C (United Kingdom)*(a) | 434 | 18 | |||||||||
Liberty Global plc LiLAC, Series A (United Kingdom)*(a) | 199 | 7 | |||||||||
Liberty Media Group, Class C*(a) | 7,242 | 130 | |||||||||
Liberty SiriusXM Group, Class C*(e) | 28,967 | 927 | |||||||||
Loral Space & Communications, Inc.*(a) | 82,560 | 3,028 | |||||||||
Media General, Inc.*(a) | 223,529 | 3,874 | |||||||||
Mediaset SpA (Italy) | 114,480 | 515 | |||||||||
Nexstar Broadcasting Group, Inc., Class A(a) | 25,055 | 1,286 | |||||||||
Sinclair Broadcast Group, Inc., Class A(a) | 21,251 | 681 | |||||||||
Stroeer SE & Co. KGaA (Germany)(a) | 58,122 | 2,862 | |||||||||
Time Warner Cable, Inc.(a) | 46,567 | 9,877 | |||||||||
Time Warner, Inc.(e) | 37,750 | 2,837 | |||||||||
Tribune Co. Litigation, Class 1C*(c) | 300,000 | 1 | |||||||||
Tribune Media Co., Class A(a) | 63,186 | 2,436 | |||||||||
Tribune Publishing Co. | 3,425 | 39 | |||||||||
Videocon d2h Ltd., ADR (India)*(e) | 17,634 | 137 | |||||||||
46,496 |
Investments | Shares | Value (000) | |||||||||
Metals & Mining (0.3%) | |||||||||||
Constellium NV, Class A (Netherlands)*(a) | 53,124 | $ | 310 | ||||||||
Electrum Special Acquisition Corp., Class U*(a) | 214,007 | 2,076 | |||||||||
2,386 | |||||||||||
Multiline Retail (0.0%)(b) | |||||||||||
Europris ASA (Norway)*(d) | 62,100 | 289 | |||||||||
Multi-Utilities (0.9%) | |||||||||||
Black Hills Corp.(a) | 57,270 | 3,470 | |||||||||
CMS Energy Corp.(a) | 15,408 | 627 | |||||||||
Dominion Resources, Inc.(a) | 8,124 | 581 | |||||||||
DTE Energy Co.(a) | 13,146 | 1,172 | |||||||||
NiSource, Inc.(a) | 5,970 | 135 | |||||||||
SCANA Corp.(a) | 5,047 | 347 | |||||||||
Sempra Energy(a) | 18,615 | 1,924 | |||||||||
8,256 | |||||||||||
Oil, Gas & Consumable Fuels (1.6%) | |||||||||||
Cheniere Energy Partners LP Holdings LLC(a) | 72,373 | 1,410 | |||||||||
Cheniere Energy, Inc.*(e) | 8,781 | 342 | |||||||||
Columbia Pipeline Group, Inc. | 106,212 | 2,721 | |||||||||
Enbridge, Inc. (Canada)(a) | 31,792 | 1,321 | |||||||||
EOG Resources, Inc.(e) | 11,164 | 922 | |||||||||
Golar LNG Ltd.(a) | 11,953 | 198 | |||||||||
Kinder Morgan, Inc.(a) | 41,621 | 739 | |||||||||
Newfield Exploration Co.*(a) | 26,830 | 973 | |||||||||
Phillips 66(a) | 8,860 | 728 | |||||||||
Royal Dutch Shell plc, Class B (Netherlands)(a) | 5,790 | 151 | |||||||||
SemGroup Corp., Class A(a) | 17,034 | 522 |
Investments | Shares | Value (000) | |||||||||
Tallgrass Energy GP LP(a) | 1,592 | $ | 33 | ||||||||
TransCanada Corp. (Canada)* | 11,100 | 447 | |||||||||
TransCanada Corp. (Canada)(a) | 20,813 | 863 | |||||||||
Williams Cos., Inc. (The)(a) | 185,410 | 3,595 | |||||||||
14,965 | |||||||||||
Personal Products (0.1%) | |||||||||||
Edgewell Personal Care Co.(e) | 6,887 | 565 | |||||||||
Pharmaceuticals (2.3%) | |||||||||||
Allergan plc*(a) | 45,854 | 9,930 | |||||||||
Aralez Pharmaceuticals, Inc. (Canada)*(e) | 26,507 | 104 | |||||||||
Meda AB, Class A (Sweden)(a) | 149,776 | 2,762 | |||||||||
Pfizer, Inc.(a) | 105,515 | 3,451 | |||||||||
Shire plc, ADR (Ireland)(a) | 8,598 | 1,612 | |||||||||
Teva Pharmaceutical Industries Ltd., ADR (Israel)(e) | 21,698 | 1,182 | |||||||||
Zoetis, Inc.(e) | 64,411 | 3,029 | |||||||||
22,070 | |||||||||||
Real Estate Investment Trusts (REITs) (0.5%) | |||||||||||
New Senior Investment Group, Inc.(a) | 329,933 | 3,563 | |||||||||
Newcastle Investment Corp.(e) | 56,920 | 247 | |||||||||
NorthStar Realty Finance Corp.(e) | 38,981 | 499 | |||||||||
4,309 | |||||||||||
Real Estate Management & Development (0.1%) | |||||||||||
Conwert Immobilien Invest SE (Austria)(a) | 2,000 | 32 | |||||||||
Daiwa House Industry Co. Ltd. (Japan) | 21,600 | 577 | |||||||||
609 | |||||||||||
Road & Rail (0.3%) | |||||||||||
Hertz Global Holdings, Inc.*(a) | 24,500 | 227 |
See Notes to Financial Statements
13
Consolidated Schedule of Investments Neuberger Berman Absolute Return Multi-Manager Fund (Unaudited) (cont'd)
Investments | Shares | Value (000) | |||||||||
Norfolk Southern Corp.(a) | 33,920 | $ | 3,056 | ||||||||
3,283 | |||||||||||
Semiconductors & Semiconductor Equipment (1.2%) | |||||||||||
Broadcom Ltd. (Singapore)(a) | 18,076 | 2,635 | |||||||||
Cascade Microtech, Inc.*(a) | 10,900 | 228 | |||||||||
Fairchild Semiconductor International, Inc.*(a) | 72,300 | 1,446 | |||||||||
KLA-Tencor Corp.(a) | 33,500 | 2,343 | |||||||||
MKS Instruments, Inc. | 33,200 | 1,190 | |||||||||
NXP Semiconductors NV (Netherlands)*(a) | 37,225 | 3,174 | |||||||||
SunPower Corp.*(a) | 43,725 | 881 | |||||||||
11,897 | |||||||||||
Software (0.3%) | |||||||||||
PTC, Inc.*(e) | 71,300 | 2,600 | |||||||||
Qlik Technologies, Inc.* | 11,686 | 360 | |||||||||
Textura Corp.* | 200 | 5 | |||||||||
TiVo, Inc.* | 3,500 | 35 | |||||||||
Xura, Inc.*(e) | 4,600 | 103 | |||||||||
3,103 | |||||||||||
Specialty Retail (0.8%) | |||||||||||
CST Brands, Inc. | 4,000 | 151 | |||||||||
Hennes & Mauritz AB, Class B (Sweden) | 37,051 | 1,317 | |||||||||
Office Depot, Inc.*(e) | 464,228 | 2,730 | |||||||||
Restoration Hardware Holdings, Inc.*(e) | 36,150 | 1,564 | |||||||||
RONA, Inc. (Canada)(a) | 73,600 | 1,401 | |||||||||
7,163 | |||||||||||
Technology Hardware, Storage & Peripherals (1.4%) | |||||||||||
EMC Corp.(a) | 271,076 | 7,078 | |||||||||
Lexmark International, Inc., Class A | 20,300 | 783 |
Investments | Shares | Value (000) | |||||||||
Samsung Electronics Co. Ltd., GDR (South Korea)(a) | 1,251 | $ | 682 | ||||||||
SanDisk Corp.*(a) | 64,850 | 4,872 | |||||||||
13,415 | |||||||||||
Textiles, Apparel & Luxury Goods (1.1%) | |||||||||||
Asics Corp. (Japan) | 33,150 | 656 | |||||||||
Coach, Inc.(a)(e) | 47,520 | 1,914 | |||||||||
G-III Apparel Group Ltd.*(a) | 29,300 | 1,326 | |||||||||
Michael Kors Holdings Ltd. (United Kingdom)*(a) | 15,510 | 801 | |||||||||
PVH Corp.(a) | 20,765 | 1,985 | |||||||||
Steven Madden Ltd.*(e) | 50,775 | 1,778 | |||||||||
Tumi Holdings, Inc.*(a) | 80,098 | 2,137 | |||||||||
10,597 | |||||||||||
Trading Companies & Distributors (0.2%) | |||||||||||
Brenntag AG (Germany)(a) | 36,868 | 2,162 | |||||||||
Transportation Infrastructure (0.6%) | |||||||||||
Macquarie Infrastructure Corp.(a) | 79,612 | 5,604 | |||||||||
Water Utilities (0.3%) | |||||||||||
American Water Works Co., Inc.(a) | 33,400 | 2,430 | |||||||||
Wireless Telecommunication Services (0.0%)(b) | |||||||||||
T-Mobile US, Inc.*(e) | 7,200 | 283 | |||||||||
Total Common Stocks (Cost $387,768) | 383,669 | ||||||||||
Principal Amount | |||||||||||
Loan Assignments (8.9%)(k) | |||||||||||
Advertising (0.4%) | |||||||||||
Affinion Group, Inc., 1st Lien Term Loan B 6.75%, 4/30/2018 | $ | 3,207,727 | 2,823 |
Investments | Principal Amount | Value (000) | |||||||||
Extreme Reach, Inc., 2nd Lien Term Loan 10.50%, 12/31/2025(c) | $ | 1,593,000 | $ | 1,434 | |||||||
4,257 | |||||||||||
Aerospace & Defense (0.1%) | |||||||||||
The SI Organization, Inc., 1st Lien Term Loan 5.75%, 10/24/2019 | 1,402,704 | 1,399 | |||||||||
Biotechnology (0.1%) | |||||||||||
AgroFresh, Inc., Term Loan 5.75%, 7/2/2021(c) | 1,252,576 | 1,224 | |||||||||
Chemicals (0.1%) | |||||||||||
PQ Corp., Term Loan B 10/14/2022(h) | 558,000 | 561 | |||||||||
Commercial Services & Supplies (0.6%) | |||||||||||
Accuvant, Inc., Term Loan B 6.25%, 12/15/2021 | 2,773,920 | 2,734 | |||||||||
Capstone Logistics Acquisition, Inc., Term Loan B 5.50%, 10/3/2021(c) | 1,249,317 | 1,223 | |||||||||
iQor US, Inc., 2nd Lien Term Loan 9.75%, 2/18/2022(c) | 293,667 | 209 | |||||||||
Merrill Communications LLC, 1st Lien Term Loan 6.25%, 5/29/2022(c) | 456,212 | 413 | |||||||||
Protection One, Inc., 2nd Lien Term Loan 9.75%, 6/19/2022(c) | 1,019,000 | 1,016 | |||||||||
Universal Services of America, Term Loan B 4.75%, 7/27/2022 | 1,280,790 | 1,250 | |||||||||
6,845 |
See Notes to Financial Statements
14
Consolidated Schedule of Investments Neuberger Berman Absolute Return Multi-Manager Fund (Unaudited) (cont'd)
Investments | Principal Amount | Value (000) | |||||||||
Communications Equipment (0.2%) | |||||||||||
Riverbed Technology, Inc., Term Loan B 6.00%, 2/25/2022 | $ | 1,528,526 | $ | 1,537 | |||||||
Diversified Financial Services (0.6%) | |||||||||||
4L Technologies, Inc., Term Loan B 5.50%, 4/3/2020(c) | 1,796,640 | 1,605 | |||||||||
Environmental Resources Management, 1st Lien Term Loan 5.00%, 5/9/2021 | 2,881,000 | 2,576 | |||||||||
IG Investments Holdings LLC, 1st Lien Term Loan 6.00%, 10/31/2021(c) | 487,406 | 483 | |||||||||
4,664 | |||||||||||
Diversified Telecommunication Services (0.7%) | |||||||||||
Cable & Wireless Communications PLC, Term Loan 12/2/2022(h)(i) | 1,092,850 | 1,096 | |||||||||
Fairpoint Communications, Inc., Term Loan B 7.50%, 2/14/2019 | 2,277,670 | 2,263 | |||||||||
Global Telcom Link Corp., 2nd Lien Term Loan 9.00%, 5/21/2020(c) | 2,825,000 | 2,125 | |||||||||
Intelsat Jackson Holdings SA, Term Loan B2 3.75%, 6/30/2019 | 1,346,000 | 1,261 | |||||||||
Sable International/ Cable & Wireless, Term Loan B 12/2/2022(h)(i) | 894,150 | 897 | |||||||||
7,642 | |||||||||||
Electronic Equipment, Instruments & Components (0.1%) | |||||||||||
Lixens France SA, 2nd Lien Term Loan 9.50%, 7/31/2023(c) | 693,000 | 646 |
Investments | Principal Amount | Value (000) | |||||||||
Energy Equipment & Services (0.1%) | |||||||||||
CGG Holding US, Inc., 1st Lien Term Loan 5/15/2019(h) | $ | 1,639,000 | $ | 1,316 | |||||||
Food Products (0.2%) | |||||||||||
Del Monte Corp., 2nd Lien Term Loan 8.25%, 7/26/2021 | 1,917,000 | 1,403 | |||||||||
Health Care Providers & Services (0.3%) | |||||||||||
21st Century Oncology, Inc., Term Loan 6.50%, 4/28/2022 | 2,555,970 | 2,262 | |||||||||
Beacon Health Strategies LLC, Term Loan B 5.00%, 9/30/2021 | 1,367,190 | 1,343 | |||||||||
Genesis HealthCare DE LLC, Term Loan 10.00%, 10/2/2017(c) | — | (f) | — | (f) | |||||||
3,605 | |||||||||||
Health Care Technology (0.2%) | |||||||||||
Netsmart Technologies, Inc., 1st Lien Term Loan 4/5/2023 | 232,000 | 232 | |||||||||
Netsmart Technologies, Inc., 2nd Lien Term Loan 10/5/2023(c) | 651,000 | 640 | |||||||||
Precyse Solutions LLC, 1st Lien Term Loan 6.50%, 10/19/2022 | 603,000 | 600 | |||||||||
1,472 | |||||||||||
Hotels, Restaurants & Leisure (0.5%) | |||||||||||
Amaya Holdings BV, 1st Lien Term Loan 5.00%, 7/29/2021 | 791,718 | 757 |
Investments | Principal Amount | Value (000) | |||||||||
Caesars Entertainment Operating Co., Inc., Term Loan B 3/1/2017(j) | $ | 1,119,810 | $ | 1,049 | |||||||
Caesars Entertainment Resort Properties LLC, 1st Lien Term Loan 7.00%, 10/9/2020 | 1,466,250 | 1,381 | |||||||||
Harrah's Entertainment, Inc., Term Loan B5 1/28/2018(j) | 1,835,830 | 1,702 | |||||||||
4,889 | |||||||||||
Household Products (0.2%) | |||||||||||
Huish Detergent, Inc., 1st Lien Term Loan 5.50%, 3/23/2020 | 2,016,956 | 1,979 | |||||||||
Insurance (0.6%) | |||||||||||
Asurion LLC, 1st Lien Term Loan 5.00%, 12/31/2020 | — | (f) | — | (f) | |||||||
Asurion LLC, 2nd Lien Term Loan 8.50%, 2/19/2021 | 2,707,000 | 2,595 | |||||||||
Confie Seguros Holding II Co., 2nd Lien Term Loan 5/8/2019(c)(h) | 1,275,000 | 1,192 | |||||||||
Cunningham Lindsey US, Inc., 1st Lien Term Loan 5.00%, 12/10/2019(c) | 1,472,664 | 1,049 | |||||||||
Cunningham Lindsey US, Inc., 2nd Lien Initial Term Loan 9.25%, 6/10/2020(c) | 1,000,000 | 520 |
See Notes to Financial Statements
15
Consolidated Schedule of Investments Neuberger Berman Absolute Return Multi-Manager Fund (Unaudited) (cont'd)
Investments | Principal Amount | Value (000) | |||||||||
Hyperion Insurance Group Ltd., Term Loan B 5.50%, 3/26/2022 | $ | 85,822 | $ | 85 | |||||||
5,441 | |||||||||||
Internet Software & Services (0.9%) | |||||||||||
AF Borrower LLC, Initial Term Loan 10.00%, 1/30/2023 | 534,000 | 503 | |||||||||
Ancestry.com, Inc., Term Loan B 5.00%, 8/17/2022 | 1,649,213 | 1,648 | |||||||||
ProQuest LLC, Term Loan B 5.75%, 9/23/2021 | 1,741,914 | 1,682 | |||||||||
Travelport LLC, Term Loan B 5.75%, 8/15/2021 | 4,006,620 | 4,014 | |||||||||
7,847 | |||||||||||
Machinery (0.1%) | |||||||||||
NN, Inc., Term Loan B 5.75%, 10/2/2022(c) | 829,830 | 819 | |||||||||
Media (0.8%) | |||||||||||
Cirque du Soleil, Inc., 2nd Lien Term Loan 9.25%, 6/25/2023(c) | 830,000 | 758 | |||||||||
Endemol, 1st Lien Term Loan 6.75%, 8/6/2021 | 2,679,200 | 2,285 | |||||||||
NEP/NCP Holdco, Inc., Incremental Term Loan 4.25%, 1/22/2020 | 1,673,151 | 1,579 | |||||||||
NEP/NCP Holdco, Inc., Term Loan 10.00%, 7/22/2020(c) | 766,000 | 707 | |||||||||
Springer Science+Business Media GmbH, Term Loan B 4.75%, 8/14/2020 | 2,197,878 | 2,139 | |||||||||
7,468 |
Investments | Principal Amount | Value (000) | |||||||||
Miscellaneous Manufacturing (0.1%) | |||||||||||
Novolex Holdings, Inc., 1st Lien Term Loan 6.00%, 12/4/2021(h) | $ | 854,000 | $ | 853 | |||||||
Multiline Retail (0.2%) | |||||||||||
JC Penney Corp., Inc., Term Loan 6.00%, 5/21/2018 | 2,050,776 | 2,054 | |||||||||
Oil, Gas & Consumable Fuels (0.2%) | |||||||||||
Bowie Resources Holdings LLC, 2nd Lien Term Loan 11.75%, 12/31/2020(c) | 35,100 | 29 | |||||||||
Fieldwood Energy LLC, 2nd Lien Term Loan 8.37%, 9/30/2020 | 5,947,000 | 1,517 | |||||||||
1,546 | |||||||||||
Professional Services (0.3%) | |||||||||||
Duff & Phelps Corp., 2nd Lien Term Loan 9.50%, 8/14/2021(c) | 2,679,000 | 2,545 | |||||||||
Road & Rail (0.2%) | |||||||||||
Quality Distribution, Inc., 1st Lien Term Loan 5.75%, 7/31/2022 | 698,250 | 614 | |||||||||
YRC Worldwide, Inc., 1st Lien Term Loan 8.00%, 2/12/2019 | 1,301,344 | 1,141 | |||||||||
1,755 | |||||||||||
Semiconductors & Semiconductor Equipment (0.1%) | |||||||||||
MKS Instruments, Inc., Term Loan B 4/19/2023(h) | 278,000 | 279 |
Investments | Principal Amount | Value (000) | |||||||||
SunEdison, Inc., 1st Lien DIP Term Loan 11.50%, 4/26/2017(g) | $ | 218,166 | $ | 215 | |||||||
SunEdison, Inc., 2nd Lien Term Loan A2 7/2/2018(j) | 1,852,000 | 512 | |||||||||
1,006 | |||||||||||
Software (0.2%) | |||||||||||
Ascend Learning LLC, 2nd Lien Term Loan 9.50%, 11/28/2020(c) | 2,000,000 | 1,875 | |||||||||
Ascend Learning LLC, Term Loan B 5.50%, 12/31/2020 | — | (f) | — | (f) | |||||||
P2 Energy Solutions, Inc., 2nd Lien Term Loan 9.00%, 4/30/2021(c) | 605,000 | 393 | |||||||||
2,268 | |||||||||||
Technology Hardware, Storage & Peripherals (0.3%) | |||||||||||
Eastman Kodak Co., Term Loan 7.25%, 7/31/2019 | 2,727,116 | 2,591 | |||||||||
Telecommunications (0.2%) | |||||||||||
ConvergeOne Holdings Corp., 1st Lien Term Loan 6.00%, 6/16/2020(c) | 2,412,803 | 2,328 | |||||||||
Textiles, Apparel & Luxury Goods (0.1%) | |||||||||||
FULLBEAUTY Brands, Inc., Term Loan B 5.75%, 10/15/2022 | 658,000 | 635 | |||||||||
Thrifts & Mortgage Finance (0.1%) | |||||||||||
Prime Finance, Inc., Term Loan B 4/21/2022(h) | 586,000 | 588 |
See Notes to Financial Statements
16
Consolidated Schedule of Investments Neuberger Berman Absolute Return Multi-Manager Fund (Unaudited) (cont'd)
Investments | Principal Amount | Value (000) | |||||||||
Trading Companies & Distributors (0.1%) | |||||||||||
SiteOne Landscape Supply, Inc., Term Loan B 4/14/2022(c)(h) | $ | 632,000 | $ | 632 | |||||||
Total Loan Assignments (Cost $90,656) | 83,815 | ||||||||||
Asset-Backed Securities (7.1%) | |||||||||||
Allegro CLO I Ltd. Series 2013-1A, Class C, 4.09%, 1/30/2026(d)(k) | 1,000,000 | 893 | |||||||||
Allegro CLO II Ltd. Series 2014-1A, Class C, 4.78%, 1/21/2027(d)(k) | 1,400,000 | 1,342 | |||||||||
AMMC CLO 16 Ltd. Series 2015-16A, Class E, 6.23%, 4/14/2027(d)(k) | 750,000 | 615 | |||||||||
AMMC CLO XII Ltd. Series 2013-12A, Class D1, 4.38%, 5/10/2025(d)(k) | 750,000 | 696 | |||||||||
Ares XXVIII CLO Ltd. Series 2013-3A, Class D, 4.13%, 10/17/2024(d)(k) | 1,100,000 | 999 | |||||||||
Atlas Senior Loan Fund V Ltd. Series 2014-1A, Class C, 3.63%, 7/16/2026(d)(k) | 900,000 | 872 | |||||||||
Babson CLO Ltd. Series 2013-IA, Class D, 4.13%, 4/20/2025(d)(k) | 1,450,000 | 1,320 | |||||||||
Class E, 6.18%, 7/20/2027(d)(k) Series 2015-2A, | 550,000 | 473 | |||||||||
Bear Stearns Asset Backed Securities Trust Series 2007-2, Class A2, 0.77%, 1/25/2047(k) | 1,040,965 | 1,000 | |||||||||
Canyon Capital CLO Ltd. Series 2012-1A, Class D, 4.93%, 1/15/2024(d)(k) | 500,000 | 491 |
Investments | Principal Amount | Value (000) | |||||||||
Capital Auto Receivables Asset Trust Series 2016-1, Class D, 4.03%, 8/21/2023 | $ | 1,500,000 | $ | 1,503 | |||||||
Carlyle Global Market Strategies CLO Ltd. Series 2014-1A, Class D, 4.08%, 4/17/2025(d)(k) | 700,000 | 647 | |||||||||
Class D, 4.13%, 5/15/2025(d)(k) Series 2014-2A, | 1,400,000 | 1,286 | |||||||||
Catamaran CLO Ltd. Series 2013-1A, Class D, 4.38%, 1/27/2025(d)(k) | 1,000,000 | 937 | |||||||||
Class E, 5.79%, 4/22/2027(d)(k) Series 2015-1A, | 800,000 | 611 | |||||||||
Class D, 4.29%, 4/22/2027(d)(k) Series 2015-1A, | 1,200,000 | 1,052 | |||||||||
Cedar Funding III CLO Ltd. Series 2014-3A, Class E, 5.54%, 5/20/2026(d)(k) | 1,200,000 | 1,048 | |||||||||
Chrysler Capital Auto Receivables Trust Series 2015-BA, Class D, 4.17%, 1/16/2023(d) | 3,600,000 | 3,593 | |||||||||
Class D, 4.22%, 1/17/2023(d) Series 2016-AA, | 1,000,000 | 997 | |||||||||
CIFC Funding Ltd. Series 2013-2A, Class A3L, 3.28%, 4/21/2025(d)(k) | 800,000 | 768 | |||||||||
Countrywide Asset-Backed Certificates Trust Series 2005-7, Class AF4, 4.87%, 10/25/2035(k) | 364,611 | 372 | |||||||||
Cumberland Park CLO Ltd. Series 2015-2A, Class E, 5.63%, 7/20/2026(d)(k) | 550,000 | 457 |
Investments | Principal Amount | Value (000) | |||||||||
DT Auto Owner Trust Series 2015-1A, Class D, 4.26%, 2/15/2022(d) | $ | 1,500,000 | $ | 1,494 | |||||||
Exeter Automobile Receivables Trust Series 2014-3A, Class C, 4.17%, 6/15/2020(d) | 300,000 | 296 | |||||||||
Class D, 6.81%, 8/17/2020(d) Series 2013-2A, | 1,800,000 | 1,824 | |||||||||
Flagship Credit Auto Trust Series 2015-2, Class C, 4.08%, 12/15/2021(d) | 1,400,000 | 1,321 | |||||||||
Gale Force 4 CLO Ltd. Series 2007-4A, Class E, 7.04%, 8/20/2021(d)(k) | 1,300,000 | 1,336 | |||||||||
Golub Capital Partners CLO 22B Ltd. Series 2015-22A, Class C, 4.79%, 2/20/2027(d)(k) | 900,000 | 861 | |||||||||
Golub Capital Partners CLO Ltd. Series 2011-10A, Class DR, 4.48%, 10/20/2021(d)(k) | 750,000 | 710 | |||||||||
Halcyon Loan Advisors Funding Ltd. Series 2012-2A, Class E, 6.02%, 12/20/2024(d)(k) | 300,000 | 203 | |||||||||
Jamestown CLO VII Ltd. Series 2015-7A, Class C, 4.39%, 7/25/2027(d)(k) | 400,000 | 356 | |||||||||
JP Morgan Mortgage Acquisition Trust Series 2007-CH1, Class AF6, 4.93%, 11/25/2036(l) | 440,701 | 442 | |||||||||
Kingsland VI Ltd. Series 2013-6A, Class D, 4.28%, 10/28/2024(d)(k) | 3,000,000 | 2,737 |
See Notes to Financial Statements
17
Consolidated Schedule of Investments Neuberger Berman Absolute Return Multi-Manager Fund (Unaudited) (cont'd)
Investments | Principal Amount | Value (000) | |||||||||
KKR CLO Trust Series 2012-1A, Class C, 5.13%, 12/15/2024(d)(k) | $ | 600,000 | $ | 542 | |||||||
Madison Park Funding XVI Ltd. Series 2015-16A, Class C, 4.33%, 4/20/2026(d)(k) | 450,000 | 412 | |||||||||
Magnetite XV Ltd. Series 2015-15A, Class E, 7.09%, 10/25/2027(d)(k) | 700,000 | 623 | |||||||||
Nelder Grove CLO Ltd. Series 2014-1A, Class D1, 5.19%, 8/28/2026(d)(k) | 1,400,000 | 1,252 | |||||||||
Ocean Trails CLO IV Series 2013-4A, Class D, 4.63%, 8/13/2025(d)(k) | 400,000 | 354 | |||||||||
Ocean Trails CLO V Series 2014-5A, Class E, 5.98%, 10/13/2026(d)(k) | 400,000 | 304 | |||||||||
Class D, 4.59%, 10/13/2026(a)(d)(k) Series 2014-5A, | 2,050,000 | 1,866 | |||||||||
Octagon Investment Partners X Ltd. Series 2006-10A, Class D, 2.03%, 10/18/2020(d)(k) | 500,000 | 480 | |||||||||
Octagon Investment Partners XII Ltd. Series 2012-1A, Class DR, 4.43%, 5/5/2023(d)(k) | 2,300,000 | 2,216 | |||||||||
Octagon Investment Partners XIV Ltd. Series 2012-1A, Class C, 4.63%, 1/15/2024(d)(k) | 400,000 | 384 | |||||||||
Octagon Investment Partners XVII Ltd. Series 2013-1A, Class E, 5.14%, 10/25/2025(d)(k) | 600,000 | 505 | |||||||||
Octagon Investment Partners XX Ltd. Series 2014-1A, Class E, 5.88%, 8/12/2026(d)(k) | 250,000 | 199 |
Investments | Principal Amount | Value (000) | |||||||||
Octagon Investment Partners XXII Ltd. Series 2014-1A, Class E1, 5.89%, 11/25/2025(d)(k) | $ | 600,000 | $ | 510 | |||||||
OZLM Funding IV Ltd. Series 2013-4A, Class C, 3.84%, 7/22/2025(d)(k) | 1,200,000 | 1,081 | |||||||||
OZLM Funding V Ltd. Series 2013-5A, Class D, 5.38%, 1/17/2026(a)(d)(k) | 1,650,000 | 1,414 | |||||||||
OZLM VII Ltd. Series 2014-7A, Class C, 4.23%, 7/17/2026(a)(d)(k) | 3,200,000 | 2,950 | |||||||||
OZLM XI Ltd. Series 2015-11A, Class D, 6.04%, 1/30/2027(d)(k) | 1,200,000 | 979 | |||||||||
OZLM XII Ltd. Series 2015-12A, Class SUB, Zero Coupon, 4/30/2027(d) | 1,000,000 | 746 | |||||||||
Pinnacle Park CLO Ltd. Series 2014-1A, Class C, 3.73%, 4/15/2026(d)(k) | 600,000 | 594 | |||||||||
Sound Point CLO I Ltd. Series 2012-1A, Class E, 6.63%, 10/20/2023(d)(k) | 300,000 | 278 | |||||||||
Class D, 5.21%, 10/20/2023(d)(k) Series 2012-1A, | 3,000,000 | 2,981 | |||||||||
Sound Point CLO IX Ltd. Series 2015-2A, Class E, 6.13%, 7/20/2027(d)(k) | 1,000,000 | 826 | |||||||||
Class D, 4.18%, 7/20/2027(d)(k) Series 2015-2A, | 1,600,000 | 1,460 | |||||||||
Symphony CLO IX LP Series 2012-9A, Class E, 5.63%, 4/16/2022(d)(k) | 1,000,000 | 894 | |||||||||
Symphony CLO XI Ltd. Series 2013-11A, Class D, 4.63%, 1/17/2025(d)(k) | 1,700,000 | 1,645 |
Investments | Principal Amount | Value (000) | |||||||||
Symphony CLO XII Ltd. Series 2013-12A, Class D, 4.13%, 10/15/2025(d)(k) | $ | 750,000 | $ | 697 | |||||||
Symphony CLO XVI Ltd. Series 2015-16A, Class D, 4.28%, 7/15/2028(d)(k) | 1,300,000 | 1,204 | |||||||||
Venture X CLO Ltd. Series 2012-10A, Class D, 4.83%, 7/20/2022(d)(k) | 500,000 | 461 | |||||||||
Venture XIV CLO Ltd. Series 2013-14A, Class D, 4.42%, 8/28/2025(d)(k) | 2,400,000 | 2,192 | |||||||||
Venture XIX CLO Ltd. Series 2014-19A, Class D, 4.63%, 1/15/2027(d)(k) | 2,500,000 | 2,201 | |||||||||
Voya CLO Ltd. Series 2013-2A, Class D, 5.64%, 4/25/2025(d)(k) | 450,000 | 390 | |||||||||
Class SUB, 0.00%, 7/25/2026(d)(k) Series 2014-3A, | 2,000,000 | 835 | |||||||||
Total Asset-Backed Securities (Cost $70,876) | 67,027 | ||||||||||
Commercial Mortgage-Backed Securities (6.8%) | |||||||||||
ACRE Commercial Mortgage Trust Series 2014-FL2, Class D, 3.83%, 8/15/2031(d)(k) | 1,500,000 | 1,462 | |||||||||
BAMLL Commercial Mortgage Securities Trust Series 2016-ASMZ, Class MZA, 9.68%, 12/15/2017(c)(d)(k) | 5,000,000 | 4,993 | |||||||||
Class F, 3.93%, 9/15/2026(a)(d)(k) Series 2013-DSNY, | 4,600,000 | 4,528 | |||||||||
Class E, 3.38%, 6/15/2028(a)(d)(k) Series 2014-ICTS, | 3,450,000 | 3,298 |
See Notes to Financial Statements
18
Consolidated Schedule of Investments Neuberger Berman Absolute Return Multi-Manager Fund (Unaudited) (cont'd)
Investments | Principal Amount | Value (000) | |||||||||
Boca Hotel Portfolio Trust Series 2013-BOCA, Class E, 4.18%, 8/15/2026(a)(d)(k) | $ | 1,500,000 | $ | 1,498 | |||||||
CDGJ Commercial Mortgage Trust Series 2014-BXCH, Class EPB, 5.43%, 12/15/2027(d)(k) | 1,376,302 | 1,329 | |||||||||
Class DPB, 4.28%, 12/15/2027(d)(k) Series 2014-BXCH, | 1,926,823 | 1,889 | |||||||||
Class EPA, 4.68%, 12/15/2027(d)(k) Series 2014-BXCH, | 1,900,000 | 1,890 | |||||||||
Citigroup Commercial Mortgage Trust Series 2015-SHP2, Class E, 4.78%, 7/15/2027(d)(k) | 550,000 | 549 | |||||||||
COMM Mortgage Trust Series 2014-PAT, Class E, 3.59%, 8/13/2027(a)(d)(k) | 4,800,000 | 4,662 | |||||||||
Class G, 6.01%, 12/10/2049(d)(k) Series 2007-C9, | 1,200,000 | 1,169 | |||||||||
CSMC Trust Series 2015-DEAL, Class E, 4.43%, 4/15/2029(d)(k) | 2,600,000 | 2,447 | |||||||||
Class E, 4.28%, 8/15/2030(d)(k) Series 2015-SAND, | 2,300,000 | 2,184 | |||||||||
Hilton USA Trust Series 2013-HLT, Class EFX, 4.60%, 11/5/2030(d)(k) | 2,000,000 | 2,007 | |||||||||
JP Morgan Chase Commercial Mortgage Securities Trust Series 2014-BXH, Class E, 4.18%, 4/15/2027(d)(k) | 1,400,000 | 1,334 | |||||||||
Class E, 4.03%, 6/15/2029(d)(k) Series 2014-INN, | 4,150,000 | 4,017 | |||||||||
Class E, 4.28%, 10/15/2029(d)(k) Series 2014-CBM, | 1,700,000 | 1,631 | |||||||||
Class D, 3.93%, 7/15/2031(d)(k) Series 2014-FL5, | 1,150,000 | 1,102 |
Investments | Principal Amount | Value (000) | |||||||||
2015-CSMO, Class E, 4.38%, 1/15/2032(a)(d)(k) Series | $ | 800,000 | $ | 784 | |||||||
2015-CSMO, Class D, 3.73%, 1/15/2032(a)(d)(k) Series | 7,800,000 | 7,708 | |||||||||
Lone Star Portfolio Trust Series 2015-LSP, Class E, 6.03%, 9/15/2028(d)(k) | 1,210,323 | 1,194 | |||||||||
NorthStar Series 2013-1A, Class B, 5.44%, 8/25/2029(d)(k) | 406,664 | 407 | |||||||||
Palisades Center Trust Series 2016-PLSD, Class D, 4.74%, 4/13/2033(d) | 2,000,000 | 2,008 | |||||||||
PFP III Ltd. Series 2014-1, Class D, 4.53%, 6/14/2031(d)(k) | 3,300,000 | 3,299 | |||||||||
PFP Ltd. Series 2015-2, Class D, 4.43%, 7/14/2034(d)(k) | 1,800,000 | 1,771 | |||||||||
Class E, 5.03%, 7/14/2034(d)(k) Series 2015-2, | 1,900,000 | 1,868 | |||||||||
Resource Capital Corp. Series 2015-CRE3, Class D, 4.43%, 3/15/2032(d)(k) | 2,400,000 | 2,292 | |||||||||
Wells Fargo Commercial Mortgage Trust Series 2014-TISH, Class WTS2, 3.68%, 2/15/2027(d)(k) | 1,700,000 | 1,661 | |||||||||
Total Commercial Mortgage-Backed Securities (Cost $66,397) | 64,981 | ||||||||||
Corporate Bonds (5.5%) | |||||||||||
Banks (1.5%) | |||||||||||
First National of Colorado Statutory Trust 4.39%, 9/15/2037(c) | 5,000,000 | 2,675 | |||||||||
First National of Nebraska Statutory Trust 5.60%, 3/15/2037(c) | 7,500,000 | 4,012 |
Investments | Principal Amount | Value (000) | |||||||||
Sterling Capital Corp. 4.92%, 10/1/2037(c) | $ | 14,000,000 | $ | 7,350 | |||||||
14,037 | |||||||||||
Biotechnology (0.0%)(b) | |||||||||||
AMAG Pharmaceuticals, Inc. 7.88%, 9/1/2023(d) | 574,000 | 515 | |||||||||
Capital Markets (0.6%) | |||||||||||
Emigrant Capital Trust V 2.18%, 7/1/2037(c)(d)(k) | 10,000,000 | 5,400 | |||||||||
Chemicals (0.0%)(b) | |||||||||||
Momentive Performance Materials, Inc. Escrow 8.88%, 10/15/2020(c)(j) | 613,000 | — | (f) | ||||||||
Commercial Services & Supplies (0.1%) | |||||||||||
Constellis Holdings LLC 9.75%, 5/15/2020(a)(d) | 560,000 | 507 | |||||||||
Eco-Bat Finance plc (United Kingdom) 7.75%, 2/15/2017(s) | EUR | 584,000 | 655 | ||||||||
1,162 | |||||||||||
Construction & Engineering (0.0%)(b) | |||||||||||
Michael Baker Holdings LLC 8.88% Cash/9.63%PIK, 4/15/2019(d)(m) | 274,220 | 203 | |||||||||
Containers & Packaging (0.0%)(b) | |||||||||||
Ardagh Packaging Finance plc (Ireland) 7.25%, 5/15/2024(d) | 200,000 | 200 | |||||||||
Diversified Financial Services (0.3%) | |||||||||||
Altice Financing SA (Luxembourg) 7.50%, 5/15/2026(d) | 1,600,000 | 1,602 | |||||||||
Corolla Trust 0.00%, 8/28/2039(c)(d)(k) | 1,673,000 | 1,071 | |||||||||
2,673 |
See Notes to Financial Statements
19
Consolidated Schedule of Investments Neuberger Berman Absolute Return Multi-Manager Fund (Unaudited) (cont'd)
Investments | Principal Amount | Value (000) | |||||||||
Diversified Telecommunication Services (0.2%) | |||||||||||
FairPoint Communications, Inc. 8.75%, 8/15/2019(a)(d) | $ | 1,115,000 | $ | 1,054 | |||||||
Intelsat Luxembourg SA (Luxembourg) 7.75%, 6/1/2021(a) | 1,750,000 | 586 | |||||||||
1,640 | |||||||||||
Gas Utilities (0.3%) | |||||||||||
Niska Gas Storage Canada ULC (Canada) 6.50%, 4/1/2019 | 2,860,000 | 2,424 | |||||||||
Hotels, Restaurants & Leisure (0.1%) | |||||||||||
Caesars Entertainment Resort Properties LLC 8.00%, 10/1/2020 | 615,000 | 604 | |||||||||
Household Products (0.3%) | |||||||||||
Reynolds Group Issuer, Inc. 7.13%, 4/15/2019(a) | 550,000 | 560 | |||||||||
Sun Products Corp. (The) 7.75%, 3/15/2021(d) | 2,397,000 | 2,259 | |||||||||
2,819 | |||||||||||
Insurance (0.4%) | |||||||||||
Ambac Assurance Corp. 5.10%, 6/7/2020(a)(d) | 2,433,885 | 2,671 | |||||||||
Syncora Holdings Ltd. Series A, 6.88%, 9/30/2017(c)(k)(n) | 377,000 | 96 | |||||||||
Wayne Merger Sub LLC 8.25%, 8/1/2023(d)(e) | 1,532,000 | 1,525 | |||||||||
4,292 | |||||||||||
Media (0.4%) | |||||||||||
Cenveo Corp. 6.00%, 8/1/2019(d) | 1,868,000 | 1,448 | |||||||||
DISH DBS Corp. 5.00%, 3/15/2023 | 567,000 | 519 |
Investments | Principal Amount | Value (000) | |||||||||
McGraw-Hill Global Education Holdings LLC 7.88%, 5/15/2024(d) | $ | 110,000 | $ | 113 | |||||||
Neptune Finco Corp. 10.13%, 1/15/2023(a)(d) | 1,000,000 | 1,097 | |||||||||
10/15/2025(a)(d) 6.63%, | 200,000 | 215 | |||||||||
WideOpen West Finance LLC 10.25%, 7/15/2019 | 758,000 | 760 | |||||||||
4,152 | |||||||||||
Metals & Mining (0.3%) | |||||||||||
Wise Metals Group LLC 8.75%, 12/15/2018(d) | 3,136,000 | 2,901 | |||||||||
Oil, Gas & Consumable Fuels (0.4%) | |||||||||||
Global Partners LP 6.25%, 7/15/2022 | 592,000 | 485 | |||||||||
Midstates Petroleum Co., Inc. 10.00%, 6/1/2020(j) | 2,670,000 | 1,215 | |||||||||
Murphy Oil Corp. 3.50%, 12/1/2017(l) | 1,767,000 | 1,742 | |||||||||
Southwestern Energy Co. 3.30%, 1/23/2018(l) | 172,000 | 163 | |||||||||
3,605 | |||||||||||
Pharmaceuticals (0.4%) | |||||||||||
Valeant Pharmaceuticals International, Inc. (Canada) 6.13%, 4/15/2025(d) | 5,207,000 | 4,322 | |||||||||
Trading Companies & Distributors (0.2%) | |||||||||||
United Rentals North America, Inc. 4.63%, 7/15/2023(a) | 1,732,000 | 1,721 | |||||||||
Total Corporate Bonds (Cost $60,210) | 52,670 |
Investments | Shares | Value (000) | |||||||||
Master Limited Partnerships (2.6%) | |||||||||||
Oil, Gas & Consumable Fuels (2.6%) | |||||||||||
Antero Midstream Partners LP(a) | 52,509 | $ | 1,341 | ||||||||
Boardwalk Pipeline Partners LP(a) | 138,835 | 2,259 | |||||||||
Buckeye Partners LP(a) | 13,452 | 969 | |||||||||
Cheniere Energy Partners LP(a) | 41,100 | 1,199 | |||||||||
Columbia Pipeline Partners LP(a) | 12,181 | 177 | |||||||||
Delek Logistics Partners LP(a) | 18,371 | 617 | |||||||||
Dominion Midstream Partners LP(a) | 24,392 | 818 | |||||||||
Energy Transfer Equity LP | 17,177 | 214 | |||||||||
Energy Transfer Partners LP | 31,531 | 1,117 | |||||||||
Enterprise Products Partners LP(a) | 67,004 | 1,788 | |||||||||
EQT GP Holdings LP(a) | 33,578 | 888 | |||||||||
EQT Midstream Partners LP | 14,430 | 1,144 | |||||||||
Magellan Midstream Partners LP(a) | 11,277 | 813 | |||||||||
MPLX LP | (a) | 18,791 | 605 | ||||||||
NuStar GP Holdings LLC(a) | 50,541 | 1,286 | |||||||||
PBF Logistics LP | 45 | 1 | |||||||||
Phillips 66 Partners LP(a) | 12,686 | 726 | |||||||||
Plains All American Pipeline LP(a) | 4,284 | 98 | |||||||||
Rice Midstream Partners LP(a) | 12,095 | 202 | |||||||||
Rose Rock Midstream LP | 3,937 | 68 | |||||||||
Shell Midstream Partners LP(a) | 21,089 | 797 | |||||||||
Spectra Energy Partners LP(a) | 14,611 | 737 | |||||||||
Summit Midstream Partners LP(a) | 52 | 1 | |||||||||
Sunoco Logistics Partners LP(a) | 54,966 | 1,609 |
See Notes to Financial Statements
20
Consolidated Schedule of Investments Neuberger Berman Absolute Return Multi-Manager Fund (Unaudited) (cont'd)
Investments | Shares | Value (000) | |||||||||
Sunoco LP(a) | 52,744 | $ | 1,893 | ||||||||
Tesoro Logistics LP(a) | 19,188 | 887 | |||||||||
Valero Energy Partners LP | 28,476 | 1,358 | |||||||||
Western Gas Equity Partners LP | 1,089 | 44 | |||||||||
Western Gas Partners LP | 1,093 | 53 | |||||||||
Western Refining Logistics LP(a)(e) | 52,003 | 1,370 | |||||||||
Total Master Limited Partnerships (Cost $23,578) | 25,079 | ||||||||||
Principal Amount | |||||||||||
Collateralized Mortgage Obligations (1.4%) | |||||||||||
Alternative Loan $ Trust Series 2005-J2, Class 1A5, 0.94%, 4/25/2035(k) | 2,143,529 | 1,696 | |||||||||
Class A17, 6.00%, 6/25/2035(a) Series 2005-21CB, | 1,489,596 | 1,438 | |||||||||
Bellemeade Re Ltd. Series 2015-1A, Class M2, 4.74%, 7/25/2025(d)(k) | 630,000 | 633 | |||||||||
Chase Mortgage Finance Trust Series 2007-A2, Class 3A2, 2.84%, 7/25/2037(k) | 428,138 | 407 | |||||||||
Citicorp Mortgage Securities Trust Series 2006-3, Class 1A10, 6.25%, 6/25/2036 | 2,468,947 | 2,503 | |||||||||
Freddie Mac Structured Agency Credit Risk Debt Notes Series 2015-HQA1, Class B, 9.24%, 3/25/2028(c)(k) | 3,999,451 | 3,484 | |||||||||
JP Morgan Mortgage Trust Series 2007-A1, Class 4A1, 2.73%, 7/25/2035(k) | 204,590 | 204 |
Investments | Principal Amount | Value (000) | |||||||||
MASTR Alternative Loan Trust Series 2004-10, Class 4A1, 6.00%, 9/25/2019 | $ | 97,010 | $ | 99 | |||||||
WaMu Mortgage Pass-Through Certificates Trust Series 2004-S1, Class 1A11, 5.50%, 3/25/2034 | 144,425 | 150 | |||||||||
Washington Mutual Mortgage Pass-Through Certificates Trust Series 2005-1, Class 1A1, 5.50%, 3/25/2035 | 774,940 | 768 | |||||||||
Wells Fargo Mortgage Backed Securities Trust Series 2007-14, Class 1A1, 6.00%, 10/25/2037(a) | 662,850 | 650 | |||||||||
Total Collateralized Mortgage Obligations (Cost $12,912) | 12,032 | ||||||||||
Convertible Bonds (0.1%) | |||||||||||
Diversified Consumer Services (0.0%)(b) | |||||||||||
Ascent Capital Group, Inc. 4.00%, 7/15/2020 | 162,000 | 103 | |||||||||
Oil, Gas & Consumable Fuels (0.1%) | |||||||||||
Cobalt International Energy, Inc. 3.13%, 5/15/2024(a) | 3,003,000 | 1,284 | |||||||||
Semiconductors & Semiconductor Equipment (0.0%)(b) | |||||||||||
SunEdison, Inc. 5.00%, 7/2/2018(d)(e)(j) | 1,852,000 | 324 | |||||||||
Total Convertible Bonds (Cost $3,494) | 1,711 |
Investments | No. of Contracts | Value (000) | |||||||||
Options Purchased (0.1%) | |||||||||||
Call Option (0.0%)(b) | |||||||||||
Pfizer, Inc. 1/20/2017 @ 32.00 | 551 | $ | 120 | ||||||||
Valeant Pharmaceuticals International, Inc. 1/20/2017 @ 105.00 | 91 | 2 | |||||||||
122 | |||||||||||
Put Option (0.1%) | |||||||||||
American Capital Ltd. 5/20/2016 @ 13.00(g) | 603 | — | (f) | ||||||||
iShares Russell 2000 Fund 6/17/2016 @ 104.00 | 459 | 40 | |||||||||
iShares Russell 2000 Fund 7/15/2016 @ 104.00 | 253 | 42 | |||||||||
iShares Russell 2000 Fund 5/20/2016 @ 105.00 | 459 | 15 | |||||||||
S&P 500 Index 6/30/2016 @ 2,060.00 | 99 | 548 | |||||||||
S&P 500 Index 6/17/2016 @ 1,900.00 | 400 | 424 | |||||||||
SPDR S&P500 Fund Trust OTC 5/20/2016 @ 200.00(o) | 345 | 35 | |||||||||
WR Grace & Co. 5/20/2016 @ 77.50 | 159 | 34 | |||||||||
Zoetis, Inc. 5/20/2016 @ 47.00 | 261 | 30 | |||||||||
1,168 | |||||||||||
Total Options Purchased (Cost $3,498) | 1,290 | ||||||||||
Principal Amount | |||||||||||
U.S. Treasury Obligation (0.1%) | |||||||||||
U.S. Treasury Bond 3.00%, 11/15/2045 (Cost $862)(a) | $ | 819,000 | 876 |
See Notes to Financial Statements
21
Consolidated Schedule of Investments Neuberger Berman Absolute Return Multi-Manager Fund (Unaudited) (cont'd)
Investments | No. of Rights | Value (000) | |||||||||
Rights (0.0%)(b) | |||||||||||
Biotechnology (0.0%)(b) | |||||||||||
Ambit Biosciences Corp. (Daiichi Sankyo Co. Ltd.)*(c)(g) | 70,000 | $ | 42 | ||||||||
Chelsea Therapeutics, Inc. (H Lundbeck A/S)*(c)(g) | 3,500 | — | (f) | ||||||||
Durata Therapeutics, Inc. (Actavis plc)*(c)(g) | 40,000 | — | (f) | ||||||||
Dyax Corp.*(c) | 40,350 | 51 | |||||||||
Prosensa Holding NV (Netherlands)*(c)(g) | 20,000 | 20 | |||||||||
Trius Therapeutics, Inc. (Cubist Pharmaceuticals, Inc.)*(c)(g) | 24,000 | 3 | |||||||||
116 | |||||||||||
Food & Staples Retailing (0.0%)(b) | |||||||||||
Safeway, Inc. (Casa Ley)*(c) | 112,000 | 39 | |||||||||
Safeway, Inc. (Property Development Centers)*(c) | 112,000 | 6 | |||||||||
45 | |||||||||||
Health Care Providers & Services (0.0%)(b) | |||||||||||
Community Health Systems, Inc., expiring 12/31/2049* | 19,082 | — | (f) | ||||||||
Pharmaceuticals (0.0%)(b) | |||||||||||
Omthera Pharmaceuticals, Inc. (AstraZeneca plc)*(c)(g) | 100 | — | (f) | ||||||||
Wireless Telecommunication Services (0.0%)(b) | |||||||||||
Leap Wireless International, Inc. (AT&T, Inc.)*(c) | 60,000 | 189 | |||||||||
Total Rights (Cost $0) | 350 |
Investments | No. of Warrants | Value (000) | |||||||||
Warrants (0.0%)(b) | |||||||||||
Capital Markets (0.0%)(b) | |||||||||||
GP Investments Acquisition Corp., expiring 5/26/2022* | 107,102 | $ | 73 | ||||||||
Diversified Financial Services (0.0%)(b) | |||||||||||
Acasta Enterprises, Inc., expiring 9/8/2020 (Canada)* | 219,049 | 44 | |||||||||
Alignvest Acquisition Corp., expiring 6/15/2023 (Canada)* | 149,494 | 34 | |||||||||
Gores Holdings, Inc., expiring 10/16/2020* | 81,924 | 15 | |||||||||
Pace Holdings Corp., expiring 10/29/2020* | 84,220 | 17 | |||||||||
110 | |||||||||||
Insurance (0.0%)(b) | |||||||||||
TIG Holdings, Inc., expiring 12/31/2016 (United Kingdom)*(c)(g) | 73 | — | (f) | ||||||||
Metals & Mining (0.0%)(b) | |||||||||||
Electrum Special Acquisition Corp., expiring 6/11/2021* | 214,007 | 47 | |||||||||
Total Warrants (Cost $132) | 230 | ||||||||||
Shares | |||||||||||
Short-Term Investments (21.6%) | |||||||||||
Investment Companies (21.6%) | |||||||||||
Morgan Stanley Institutional Liquidity Fund Treasury Portfolio Institutional Class, 0.15%(a)(p) | 154,396,825 | 154,397 |
Investments | Shares | Value (000) | |||||||||
Western Asset Institutional U.S. Treasury Reserves, 0.15%(p)(q) | 50,937,734 | $ | 50,938 | ||||||||
Total Investment Companies (Cost $205,335) | 205,335 | ||||||||||
Total Long Positions (Cost $925,718) | 899,065 | ||||||||||
Short Positions (22.3%)(r) | |||||||||||
Common Stocks (15.3%) | |||||||||||
Aerospace & Defense (0.1%) | |||||||||||
Boeing Co. (The) | (4,664 | ) | (629 | ) | |||||||
HEICO Corp. | (7,297 | ) | (447 | ) | |||||||
(1,076 | ) | ||||||||||
Air Freight & Logistics (0.2%) | |||||||||||
CH Robinson Worldwide, Inc. | (7,873 | ) | (559 | ) | |||||||
Royal Mail plc (United Kingdom) | (256,150 | ) | (1,822 | ) | |||||||
(2,381 | ) | ||||||||||
Airlines (0.3%) | |||||||||||
Deutsche Lufthansa AG (Germany) | (122,288 | ) | (1,899 | ) | |||||||
JetBlue Airways Corp.* | (59,250 | ) | (1,172 | ) | |||||||
(3,071 | ) | ||||||||||
Auto Components (0.1%) | |||||||||||
Goodyear Tire & Rubber Co. (The) | (20,900 | ) | (605 | ) | |||||||
Automobiles (0.3%) | |||||||||||
Ferrari NV (Italy)* | (35,800 | ) | (1,642 | ) | |||||||
Ford Motor Co. | (91,100 | ) | (1,235 | ) | |||||||
(2,877 | ) | ||||||||||
Banks (0.6%) | |||||||||||
Bank of the Ozarks, Inc. | (8,003 | ) | (330 | ) | |||||||
BB&T Corp. | (35,400 | ) | (1,252 | ) | |||||||
Canadian Western Bank (Canada) | (52,050 | ) | (1,148 | ) | |||||||
Cullen/Frost Bankers, Inc. | (5,166 | ) | (331 | ) | |||||||
Huntington Bancshares, Inc. | (63,450 | ) | (638 | ) | |||||||
Komercni banka as (Czech Republic) | (2,017 | ) | (415 | ) |
See Notes to Financial Statements
22
Consolidated Schedule of Investments Neuberger Berman Absolute Return Multi-Manager Fund (Unaudited) (cont'd)
Investments | Shares | Value (000) | |||||||||
National Bank of Canada (Canada) | (30,600 | ) | $ | (1,094 | ) | ||||||
PacWest Bancorp | (15,500 | ) | (620 | ) | |||||||
(5,828 | ) | ||||||||||
Beverages (0.1%) | |||||||||||
Brown-Forman Corp., Class B | (9,710 | ) | (935 | ) | |||||||
Biotechnology (0.1%) | |||||||||||
Amgen, Inc. | (6,124 | ) | (970 | ) | |||||||
Regeneron Pharmaceuticals, Inc.* | (1,108 | ) | (417 | ) | |||||||
(1,387 | ) | ||||||||||
Building Products (0.1%) | |||||||||||
AO Smith Corp. | (8,805 | ) | (680 | ) | |||||||
Chemicals (0.4%) | |||||||||||
Ashland, Inc. | (11,400 | ) | (1,272 | ) | |||||||
Dow Chemical Co. (The) | (26,313 | ) | (1,384 | ) | |||||||
Praxair, Inc. | (11,050 | ) | (1,298 | ) | |||||||
Westlake Chemical Corp. | (853 | ) | (43 | ) | |||||||
(3,997 | ) | ||||||||||
Commercial Services & Supplies (0.2%) | |||||||||||
Quad/Graphics, Inc. | (109,016 | ) | (1,368 | ) | |||||||
Stericycle, Inc.* | (4,579 | ) | (438 | ) | |||||||
Waste Connections, Inc. | (2,095 | ) | (141 | ) | |||||||
(1,947 | ) | ||||||||||
Communications Equipment (0.0%)(b) | |||||||||||
Brocade Communications Systems, Inc. | (18,700 | ) | (180 | ) | |||||||
Mitel Networks Corp. (Canada)* | (7,175 | ) | (50 | ) | |||||||
(230 | ) | ||||||||||
Containers & Packaging (0.1%) | |||||||||||
Ball Corp. | (11,410 | ) | (814 | ) | |||||||
Diversified Financial Services (0.1%) | |||||||||||
Challenger Ltd. (Australia) | (114,862 | ) | (777 | ) | |||||||
Electric Utilities (0.4%) | |||||||||||
Duke Energy Corp. | (6,269 | ) | (494 | ) | |||||||
Eversource Energy | (8,431 | ) | (476 | ) | |||||||
Southern Co. (The) | (54,254 | ) | (2,718 | ) | |||||||
Xcel Energy, Inc. | (4,479 | ) | (179 | ) | |||||||
(3,867 | ) |
Investments | Shares | Value (000) | |||||||||
Food & Staples Retailing (0.4%) | |||||||||||
CVS Health Corp. | (7,931 | ) | $ | (797 | ) | ||||||
ICA Gruppen AB (Sweden) | (12,554 | ) | (412 | ) | |||||||
Kroger Co. (The) | (33,200 | ) | (1,175 | ) | |||||||
Walgreens Boots Alliance, Inc. | (9,947 | ) | (789 | ) | |||||||
Wal-Mart Stores, Inc. | (8,415 | ) | (563 | ) | |||||||
(3,736 | ) | ||||||||||
Food Products (0.1%) | |||||||||||
Hormel Foods Corp. | (30,600 | ) | (1,180 | ) | |||||||
Gas Utilities (0.1%) | |||||||||||
AGL Resources, Inc. | (6,858 | ) | (452 | ) | |||||||
Piedmont Natural Gas Co., Inc. | (10,346 | ) | (619 | ) | |||||||
Questar Corp. | (4,433 | ) | (111 | ) | |||||||
(1,182 | ) | ||||||||||
Health Care Equipment & Supplies (0.7%) | |||||||||||
Abbott Laboratories | (23,163 | ) | (901 | ) | |||||||
Baxter International, Inc. | (15,461 | ) | (684 | ) | |||||||
Coloplast A/S, Class B (Denmark) | (3,925 | ) | (294 | ) | |||||||
DexCom, Inc.* | (8,071 | ) | (520 | ) | |||||||
Getinge AB, Class B (Sweden) | (13,861 | ) | (293 | ) | |||||||
IDEXX Laboratories, Inc.* | (5,837 | ) | (492 | ) | |||||||
LivaNova plc (United Kingdom)* | (22,150 | ) | (1,168 | ) | |||||||
Medtronic plc (Ireland) | (7,027 | ) | (556 | ) | |||||||
ResMed, Inc. | (10,841 | ) | (605 | ) | |||||||
Stryker Corp. | (5,885 | ) | (642 | ) | |||||||
Varian Medical Systems, Inc.* | (3,771 | ) | (306 | ) | |||||||
(6,461 | ) | ||||||||||
Health Care Providers & Services (1.0%) | |||||||||||
Aetna, Inc. | (18,921 | ) | (2,124 | ) | |||||||
AmerisourceBergen Corp. | (16,469 | ) | (1,402 | ) | |||||||
Anthem, Inc. | (5,885 | ) | (828 | ) | |||||||
Cardinal Health, Inc. | (8,356 | ) | (656 | ) | |||||||
Centene Corp.* | (6,299 | ) | (390 | ) | |||||||
HCA Holdings, Inc.* | (9,753 | ) | (786 | ) | |||||||
Henry Schein, Inc.* | (3,852 | ) | (650 | ) |
Investments | Shares | Value (000) | |||||||||
McKesson Corp. | (4,216 | ) | $ | (708 | ) | ||||||
MEDNAX, Inc.* | (9,378 | ) | (669 | ) | |||||||
UnitedHealth Group, Inc. | (6,641 | ) | (874 | ) | |||||||
(9,087 | ) | ||||||||||
Hotels, Restaurants & Leisure (0.6%) | |||||||||||
Darden Restaurants, Inc. | (29,950 | ) | (1,864 | ) | |||||||
Marriott International, Inc., Class A | (52,872 | ) | (3,706 | ) | |||||||
(5,570 | ) | ||||||||||
Household Durables (0.2%) | |||||||||||
Lennar Corp., Class A | (20,400 | ) | (924 | ) | |||||||
Whirlpool Corp. | (5,360 | ) | (934 | ) | |||||||
(1,858 | ) | ||||||||||
Household Products (0.1%) | |||||||||||
Clorox Co. (The) | (9,980 | ) | (1,250 | ) | |||||||
Independent Power & Renewable Electricity Producers (0.0%)(b) | |||||||||||
NRG Yield, Inc., Class C | (21,580 | ) | (349 | ) | |||||||
Insurance (0.6%) | |||||||||||
Assicurazioni Generali SpA (Italy) | (19,314 | ) | (294 | ) | |||||||
Hannover Rueck SE (Germany) | (5,680 | ) | (648 | ) | |||||||
Primerica, Inc. | (74,291 | ) | (3,682 | ) | |||||||
Unum Group | (20,751 | ) | (710 | ) | |||||||
(5,334 | ) | ||||||||||
Internet Software & Services (0.5%) | |||||||||||
Alibaba Group Holding Ltd., ADR (China)* | (51,942 | ) | (3,996 | ) | |||||||
Yahoo Japan Corp. (Japan) | (141,200 | ) | (632 | ) | |||||||
(4,628 | ) | ||||||||||
IT Services (0.3%) | |||||||||||
International Business Machines Corp. | (16,640 | ) | (2,429 | ) | |||||||
iPayment Holdings, Inc.*(c) | (27,027 | ) | (135 | ) | |||||||
(2,564 | ) | ||||||||||
Life Sciences Tools & Services (0.4%) | |||||||||||
Bruker Corp. | (43,600 | ) | (1,234 | ) | |||||||
PerkinElmer, Inc. | (9,380 | ) | (473 | ) | |||||||
Quintiles Transnational Holdings, Inc.* | (9,231 | ) | (638 | ) |
See Notes to Financial Statements
23
Consolidated Schedule of Investments Neuberger Berman Absolute Return Multi-Manager Fund (Unaudited) (cont'd)
Investments | Shares | Value (000) | |||||||||
Thermo Fisher Scientific, Inc. | (5,050 | ) | $ | (728 | ) | ||||||
Waters Corp.* | (4,137 | ) | (538 | ) | |||||||
(3,611 | ) | ||||||||||
Machinery (0.5%) | |||||||||||
Atlas Copco AB, Class A (Sweden) | (14,983 | ) | (388 | ) | |||||||
Cummins, Inc. | (11,200 | ) | (1,311 | ) | |||||||
Deere & Co. | (13,975 | ) | (1,175 | ) | |||||||
Manitowoc Foodservice, Inc.* | (59,900 | ) | (899 | ) | |||||||
Parker-Hannifin Corp. | (10,710 | ) | (1,243 | ) | |||||||
(5,016 | ) | ||||||||||
Media (1.5%) | |||||||||||
Charter Communications, Inc., Class A* | (23,709 | ) | (5,032 | ) | |||||||
John Wiley & Sons, Inc., Class A | (25,060 | ) | (1,243 | ) | |||||||
New Media Investment Group, Inc. | (64,663 | ) | (1,038 | ) | |||||||
Nexstar Broadcasting Group, Inc., Class A | (25,445 | ) | (1,306 | ) | |||||||
SES SA, FDR (Luxembourg) | (16,923 | ) | (462 | ) | |||||||
Sirius XM Holdings, Inc.* | (270,990 | ) | (1,070 | ) | |||||||
Viacom, Inc., Class B | (49,551 | ) | (2,027 | ) | |||||||
Walt Disney Co. (The) | (17,040 | ) | (1,759 | ) | |||||||
(13,937 | ) | ||||||||||
Multiline Retail (0.3%) | |||||||||||
JC Penney Co., Inc.* | (313,842 | ) | (2,912 | ) | |||||||
Multi-Utilities (0.3%) | |||||||||||
Consolidated Edison, Inc. | (25,089 | ) | (1,872 | ) | |||||||
Dominion Resources, Inc. | (13,650 | ) | (975 | ) | |||||||
Public Service Enterprise Group, Inc. | (6,369 | ) | (294 | ) | |||||||
TECO Energy, Inc. | (7,421 | ) | (206 | ) | |||||||
(3,347 | ) | ||||||||||
Oil, Gas & Consumable Fuels (0.1%) | |||||||||||
Cobalt International Energy, Inc.* | (78,071 | ) | (252 | ) | |||||||
ONEOK, Inc. | (5,895 | ) | (213 | ) |
Investments | Shares | Value (000) | |||||||||
Plains GP Holdings LP, Class A | (11,159 | ) | $ | (110 | ) | ||||||
Tallgrass Energy GP LP | (3,155 | ) | (66 | ) | |||||||
TransCanada Corp. (Canada) | (11,100 | ) | (461 | ) | |||||||
(1,102 | ) | ||||||||||
Pharmaceuticals (1.5%) | |||||||||||
Allergan plc* | (3,485 | ) | (755 | ) | |||||||
Johnson & Johnson | (7,290 | ) | (817 | ) | |||||||
Merck & Co., Inc. | (11,601 | ) | (636 | ) | |||||||
Mylan NV* | (25,954 | ) | (1,083 | ) | |||||||
Novartis AG, ADR (Switzerland) | (6,201 | ) | (471 | ) | |||||||
Novo Nordisk A/S, ADR (Denmark) | (10,637 | ) | (593 | ) | |||||||
Pfizer, Inc. | (24,584 | ) | (804 | ) | |||||||
Roche Holding AG (Switzerland) | (8,240 | ) | (2,083 | ) | |||||||
Sanofi, ADR (France) | (28,935 | ) | (1,189 | ) | |||||||
Shire plc, ADR (Ireland) | (14,367 | ) | (2,693 | ) | |||||||
Teva Pharmaceutical Industries Ltd., ADR (Israel) | (15,181 | ) | (827 | ) | |||||||
UCB SA (Belgium) | (21,027 | ) | (1,573 | ) | |||||||
Zoetis, Inc. | (10,089 | ) | (475 | ) | |||||||
(13,999 | ) | ||||||||||
Semiconductors & Semiconductor Equipment (0.5%) | |||||||||||
FormFactor, Inc.* | (7,122 | ) | (55 | ) | |||||||
Lam Research Corp. | (16,750 | ) | (1,280 | ) | |||||||
Qorvo, Inc.* | (27,550 | ) | (1,240 | ) | |||||||
QUALCOMM, Inc. | (36,400 | ) | (1,839 | ) | |||||||
(4,414 | ) | ||||||||||
Software (0.3%) | |||||||||||
FireEye, Inc.* | (35,150 | ) | (610 | ) | |||||||
VMware, Inc., Class A* | (1,444 | ) | (82 | ) | |||||||
Workday, Inc., Class A* | (31,520 | ) | (2,363 | ) | |||||||
(3,055 | ) | ||||||||||
Specialty Retail (1.3%) | |||||||||||
American Eagle Outfitters, Inc. | (80,050 | ) | (1,146 | ) | |||||||
Bed Bath & Beyond, Inc.* | (19,180 | ) | (906 | ) | |||||||
Best Buy Co., Inc. | (36,913 | ) | (1,184 | ) | |||||||
CarMax, Inc.* | (12,350 | ) | (654 | ) | |||||||
Chico's FAS, Inc. | (46,200 | ) | (583 | ) | |||||||
Foot Locker, Inc. | (26,030 | ) | (1,599 | ) |
Investments | Shares | Value (000) | |||||||||
Hennes & Mauritz AB, Class B (Sweden)* | (16,086 | ) | $ | (572 | ) | ||||||
Hibbett Sports, Inc.* | (17,400 | ) | (628 | ) | |||||||
L Brands, Inc. | (18,550 | ) | (1,452 | ) | |||||||
Outerwall, Inc. | (52,901 | ) | (2,185 | ) | |||||||
Signet Jewelers Ltd. | (7,860 | ) | (853 | ) | |||||||
Staples, Inc. | (19,787 | ) | (202 | ) | |||||||
(11,964 | ) | ||||||||||
Technology Hardware, Storage & Peripherals (0.1%) | |||||||||||
Western Digital Corp. | (13,957 | ) | (570 | ) | |||||||
Textiles, Apparel & Luxury Goods (0.3%) | |||||||||||
Coach, Inc. | (14,325 | ) | (577 | ) | |||||||
lululemon athletica, Inc. (Canada)* | (7,155 | ) | (469 | ) | |||||||
Michael Kors Holdings Ltd. (United Kingdom)* | (6,798 | ) | (351 | ) | |||||||
Under Armour, Inc., Class A* | (26,508 | ) | (1,165 | ) | |||||||
(2,562 | ) | ||||||||||
Thrifts & Mortgage Finance (0.5%) | |||||||||||
BofI Holding, Inc.* | (172,866 | ) | (3,521 | ) | |||||||
Home Capital Group, Inc. (Canada) | (42,757 | ) | (1,281 | ) | |||||||
(4,802 | ) | ||||||||||
Wireless Telecommunication Services (0.0%)(b) | |||||||||||
NII Holdings, Inc.* | (79,730 | ) | (421 | ) | |||||||
Total Common Stocks (Proceeds $(143,878)) | (145,383 | ) | |||||||||
Exchange Traded Funds (4.7%) | |||||||||||
Alerian MLP Fund | (403,462 | ) | (4,926 | ) | |||||||
CurrencyShares Euro Trust* | (44,900 | ) | (5,022 | ) | |||||||
Energy Select Sector SPDR Fund | (101,084 | ) | (6,824 | ) | |||||||
Health Care Select Sector SPDR Fund | (22,380 | ) | (1,562 | ) | |||||||
iShares PHLX Semiconductor Fund | (22,060 | ) | (1,928 | ) | |||||||
iShares Russell 2000 Fund | (22,483 | ) | (2,526 | ) |
See Notes to Financial Statements
24
Consolidated Schedule of Investments Neuberger Berman Absolute Return Multi-Manager Fund (Unaudited) (cont'd)
Investments | Shares | Value (000) | |||||||||
iShares U.S. Real Estate Fund | (23,508 | ) | $ | (1,802 | ) | ||||||
SPDR S&P MidCap 400 Fund Trust | (21,642 | ) | (5,754 | ) | |||||||
SPDR S&P500 Fund Trust | (41,987 | ) | (8,662 | ) | |||||||
Utilities Select Sector SPDR Fund | (119,739 | ) | (5,798 | ) | |||||||
Total Exchange Traded Funds (Proceeds $(43,202)) | (44,804 | ) | |||||||||
Principal Amount | |||||||||||
Corporate Bonds (1.7%) | |||||||||||
Chemicals (0.1%) | |||||||||||
Chemours Co. (The) 6.63%, 5/15/2023(d) | $ | (1,037,800 | ) | (919 | ) | ||||||
Hotels, Restaurants & Leisure (0.1%) | |||||||||||
Wynn Las Vegas LLC 5.50%, 3/1/2025(d) | (1,395,000 | ) | (1,345 | ) | |||||||
IT Services (0.2%) | |||||||||||
iPayment, Inc. 9.50%, 12/15/2019(d) | (312,962 | ) | (326 | ) | |||||||
Sungard Availability Services Capital, Inc. 8.75%, 4/1/2022(d) | (3,036,000 | ) | (1,746 | ) | |||||||
(2,072 | ) | ||||||||||
Metals & Mining (0.0%)(b) | |||||||||||
Cliffs Natural Resources, Inc. 7.75%, 3/31/2020(s) | (5,000 | ) | (2 | ) | |||||||
3/31/2020(d) 7.75%, | (230,000 | ) | (110 | ) | |||||||
9/30/2020(d) 8.00%, | (37,000 | ) | (25 | ) | |||||||
(137 | ) | ||||||||||
Multiline Retail (0.2%) | |||||||||||
Macy's Retail Holdings, Inc. 4.50%, 12/15/2034 | (1,844,000 | ) | (1,707 | ) |
Investments | Principal Amount | Value (000) | |||||||||
Pharmaceuticals (0.5%) | |||||||||||
Valeant Pharmaceuticals International, Inc. 7.00%, 10/1/2020(d) | $ | (5,207,000 | ) | $ | (4,843 | ) | |||||
Specialty Retail (0.4%) | |||||||||||
Outerwall, Inc. 6.00%, 3/15/2019 | (575,000 | ) | (519 | ) | |||||||
6/15/2021 5.88%, | (383,000 | ) | (312 | ) | |||||||
Staples, Inc. 4.38%, 1/12/2023(l) | (3,000,000 | ) | (2,980 | ) | |||||||
(3,811 | ) | ||||||||||
Trading Companies & Distributors (0.2%) | |||||||||||
United Rentals North America, Inc. 7.38%, 5/15/2020 | (1,434,000 | ) | (1,492 | ) | |||||||
Total Corporate Bonds (Proceeds $(16,770)) | (16,326 | ) | |||||||||
Exchange Traded Note (0.3%) | |||||||||||
JPMorgan Alerian MLP Index ETN (Proceeds $(3,252)) | (107,017 | ) | (3,215 | ) | |||||||
Master Limited Partnerships (0.3%) | |||||||||||
Gas Utilities (0.1%) | |||||||||||
Ferrellgas Partners LP | (37,546 | ) | (704 | ) | |||||||
Oil, Gas & Consumable Fuels (0.2%) | |||||||||||
Crestwood Equity Partners LP | (3,812 | ) | (70 | ) | |||||||
Enable Midstream Partners LP | (8,344 | ) | (99 | ) | |||||||
Enbridge Energy Partners LP | (3,380 | ) | (73 | ) | |||||||
Golar LNG Partners LP (United Kingdom) | (16,072 | ) | (272 | ) | |||||||
Holly Energy Partners LP | (9,945 | ) | (340 | ) | |||||||
Memorial Production Partners LP | (25,366 | ) | (74 | ) | |||||||
Midcoast Energy Partners LP | (24,315 | ) | (194 | ) | |||||||
ONEOK Partners LP | (15,222 | ) | (540 | ) |
Investments | Principal Amount | Value (000) | |||||||||
TC PipeLines LP | $ | (6,855 | ) | $ | (375 | ) | |||||
(2,037 | ) | ||||||||||
Total Master Limited Partnerships (Proceeds $(2,768)) | (2,741 | ) | |||||||||
Total Short Positions (Proceeds $(209,870)) | (212,469 | ) | |||||||||
Total Investments (72.3%) (Cost $715,848) | 686,596 | ||||||||||
Other Assets Less Liabilities (27.7%)(t) | 264,198 | ||||||||||
Net assets (100.0%) | $ | 950,794 |
See Notes to Financial Statements
25
Consolidated Schedule of Investments Neuberger Berman Absolute Return Multi-Manager Fund (Unaudited) (cont'd)
* Non-income producing security.
(a) All or a portion of this security is segregated in connection with obligations for futures, swaps, options, delayed delivery securities and/or forward foreign currency contracts with a total value of approximately $378,369,000.
(b) Represents less than 0.05% of net assets.
(c) Illiquid security.
(d) 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 or may have other restrictions on resale. At 4/30/2016, these securities amounted to approximately $157,957,000 of long positions and $(9,314,000) of short positions, or 16.6% and (1.0%), respectively, of net assets for the Fund. Securities denoted with "(d)" but without "(c)" have been deemed by the investment manager to be liquid.
(e) All or a portion of this security is pledged with the custodian for securities sold short and options written.
(f) Amount less than one thousand.
(g) Security fair valued as of 4/30/2016 in accordance with procedures approved by the Board of Trustees. Total value of all such securities at 4/30/2016 amounted to approximately $296,000, which represents 0.0% of net assets of the Fund.
(h) All or a portion of this security had not settled as of 4/30/2016 and thus may not have an interest rate in effect. Interest rates do not take effect until settlement.
(i) All or a portion of this security was purchased on a delayed delivery basis.
(j) Defaulted securities.
(k) Variable or floating rate security. The interest rate shown was the current rate as of 4/30/2016 and changes periodically.
(l) 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.
(m) Payment in-kind security.
(n) Perpetual Bond Security. The rate reflected was the rate in effect on 4/30/2016. The maturity date reflects the next call date.
(o) Counterparty is JPMorgan Chase Bank, NA.
(p) Represents 7-day effective yield as of 4/30/2016.
(q) All or a portion represents positions held by Neuberger Berman Cayman ARMM Fund I Ltd. (the "Subsidiary") (See Note A).
(r) At 4/30/2016 Neuberger Berman Absolute Return Multi-Manager Fund had deposited approximately $220,835,000 in one or more accounts to satisfy collateral requirements for borrowing in connection with securities sold short.
(s) Security exempt from registration pursuant to Regulation S under the Securities Act of 1933. Regulation S applies to securities offerings that are made outside of the United States and do not involve direct selling efforts in the United States and as such may have restrictions on resale. At 4/30/2016, the value of these securities amounted to approximately $655,000 of long positions and $(2,000) of short positions, or 0.1% and (0.0%), respectively, of net assets for the Fund.
(t) Includes the impact of the Fund's open positions in derivatives at 4/30/2016.
See Notes to Financial Statements
26
Consolidated Schedule of Investments Neuberger Berman Absolute Return Multi-Manager Fund (Unaudited) (cont'd)
Abbreviations
ADR American Depositary Receipt
CIFC Commercial Industrial Finance Corp.
CLO Collateralized Loan Obligations
CVA Dutch Certification
DIP Debtor-in-Possession
FDR Finnish Depositary Receipt
GDR Global Depositary Receipt
OTC Over-the-Counter
OYJ Public Traded Company
SPDR Standard & Poor's Depositary Receipts
Derivative Instruments
Futures contracts ("futures")
At April 30, 2016, open positions in futures for the Fund were as follows:
Expiration | Open Contracts | Position | Unrealized Appreciation (Depreciation) | ||||||||||||
5/20/2016 | 3 Amsterdam Index(a) | Long | $ | (7,835 | ) | ||||||||||
5/16/2016 | 7 Lead(a) | Long | (7,083 | ) | |||||||||||
5/30/2016 | 10 MSCI Taiwan Stock Index(a) | Long | (8,750 | ) | |||||||||||
5/16/2016 | 10 Nickel(a) | Long | 39,636 | ||||||||||||
5/16/2016 | 26 Premium High Grade Aluminum(a) | Long | 79,592 | ||||||||||||
5/16/2016 | 9 Zinc(a) | Long | 30,348 | ||||||||||||
6/13/2016 | 13 10-Year Japanese Government Bond(a) | Long | (16,712 | ) | |||||||||||
6/15/2016 | 16 Australia 10-Year Bond(a) | Long | 6,707 | ||||||||||||
6/15/2016 | 2 Australia 3-Year Bond(a) | Long | 243 | ||||||||||||
6/13/2016 | 54 Australian Dollar(a) | Long | (62,980 | ) | |||||||||||
6/21/2016 | 38 Canadian 10-Year Bond(a) | Long | (63,121 | ) | |||||||||||
6/14/2016 | 45 Canadian Dollar(a) | Long | 28,547 | ||||||||||||
6/17/2016 | 58 E-Mini DJIA CBOT(a) | Long | 63 | ||||||||||||
6/13/2016 | 43 Euro Fx Future with American Style Options(a) | Long | 49,067 | ||||||||||||
6/13/2016 | 27 Euro/Pound Sterling Cross Rate(a) | Long | (8,995 | ) | |||||||||||
6/13/2016 | 16 Euro/Swiss Franc Cross Rate(a) | Long | 11,569 | ||||||||||||
6/8/2016 | 105 Euro—Bobl(a) | Long | (40,256 | ) | |||||||||||
6/8/2016 | 60 Euro-BTP Italian Government Bond(a) | Long | 1,239 | ||||||||||||
6/8/2016 | 39 Euro-BTP Italian Government Bond(a) | Long | (47,926 | ) | |||||||||||
6/8/2016 | 44 Euro—Bund(a) | Long | (48,044 | ) | |||||||||||
6/8/2016 | 14 Euro-Buxl 30-Year Bond(a) | Long | (46,908 | ) | |||||||||||
6/8/2016 | 45 Euro—OAT(a) | Long | (32,918 | ) | |||||||||||
6/8/2016 | 281 Euro—SCHATZ(a) | Long | (38,981 | ) | |||||||||||
6/17/2016 | 9 FTSE 100 Index(a) | Long | (14,022 | ) | |||||||||||
6/15/2016 | 18 FTSE/JSE Top 40 Index(a) | Long | (7,775 | ) | |||||||||||
6/28/2016 | 26 Gold 100 Oz.(a) | Long | 109,501 |
See Notes to Financial Statements
27
Consolidated Schedule of Investments Neuberger Berman Absolute Return Multi-Manager Fund (Unaudited) (cont'd)
Expiration | Open Contracts | Position | Unrealized Appreciation (Depreciation) | ||||||||||||
6/13/2016 | 39 Japanese Yen(a) | Long | $ | 122,035 | |||||||||||
6/13/2016 | 10 Lead(a) | Long | (6,873 | ) | |||||||||||
6/14/2016 | 14 Lean Hog(a) | Long | (4,067 | ) | |||||||||||
6/28/2016 | 32 Long Gilt(a) | Long | (59,631 | ) | |||||||||||
6/17/2016 | 14 NASDAQ 100 E-Mini(a) | Long | (53,235 | ) | |||||||||||
6/13/2016 | 31 New Zealand Dollar(a) | Long | 15,428 | ||||||||||||
6/13/2016 | 19 Nickel(a) | Long | 55,663 | ||||||||||||
7/18/2016 | 2 Nickel(a) | Long | 1,392 | ||||||||||||
7/27/2016 | 11 Platinum(a) | Long | 28,464 | ||||||||||||
6/13/2016 | 30 Premium High Grade Aluminum(a) | Long | 100,430 | ||||||||||||
6/17/2016 | 42 S&P 500 Index(a) | Long | (18,108 | ) | |||||||||||
6/17/2016 | 12 S&P MID 400 E-Mini(a) | Long | (13,080 | ) | |||||||||||
6/16/2016 | 6 S&P/Toronto Stock Exchange 60 Index(a) | Long | 4,031 | ||||||||||||
6/30/2016 | 77 Sugar 11(a) | Long | 115,437 | ||||||||||||
6/21/2016 | 51 U.S. Treasury 10-Year Note(a) | Long | 12,394 | ||||||||||||
6/30/2016 | 127 U.S. Treasury 2-Year Note(a) | Long | (8,627 | ) | |||||||||||
6/30/2016 | 86 U.S. Treasury 5-Year Note(a) | Long | 14,275 | ||||||||||||
6/21/2016 | 21 U.S. Treasury Long Bond(a) | Long | (10,419 | ) | |||||||||||
6/13/2016 | 3 Zinc(a) | Long | 7,322 | ||||||||||||
7/14/2016 | 28 Canola (WCE) (a) | Long | 6,801 | ||||||||||||
7/18/2016 | 7 Lead(a) | Long | 13,136 | ||||||||||||
7/18/2016 | 26 Premium High Grade Aluminum(a) | Long | 20,117 | ||||||||||||
7/27/2016 | 22 Silver(a) | Long | 63,425 | ||||||||||||
7/14/2016 | 44 Soybean(a) | Long | 50,154 | ||||||||||||
7/14/2016 | 30 Soybean Meal(a) | Long | 23,980 | ||||||||||||
7/14/2016 | 124 Soybean Oil(a) | Long | (111,262 | ) | |||||||||||
7/18/2016 | 10 Zinc(a) | Long | 5,532 | ||||||||||||
12/19/2016 | 71 Euro CHF 3-Month LIFFE(a) | Long | (32,444 | ) | |||||||||||
3/13/2017 | 235 3-Month Euro Euribor(a) | Long | (24,869 | ) | |||||||||||
3/15/2017 | 270 90-Day Sterling(a) | Long | (44,694 | ) | |||||||||||
3/13/2017 | 135 Canadian 3-Month Bank Acceptance(a) | Long | (95,804 | ) | |||||||||||
6/19/2016 | 195 90-Day EURODollar(a) | Long | (20,871 | ) | |||||||||||
5/31/2016 | 4 Brent Crude Oil(a) | Short | (9,569 | ) | |||||||||||
5/20/2016 | 14 CAC40 Index(a) | Short | 4,831 | ||||||||||||
5/30/2016 | 7 Hang Seng Index(a) | Short | 18,928 | ||||||||||||
5/30/2016 | 20 H-SHARES Index(a) | Short | 11,330 | ||||||||||||
5/16/2016 | 7 Lead(a) | Short | 8,479 | ||||||||||||
5/12/2016 | 14 Low Sulphur Gas Oil(a) | Short | (129,528 | ) | |||||||||||
5/30/2016 | 28 MSCI Singapore Index(a) | Short | 12,665 | ||||||||||||
5/26/2016 | 42 Natural Gas(a) | Short | 5,432 | ||||||||||||
5/31/2016 | 8 New York Harbor ULSD(a) | Short | (16,318 | ) |
See Notes to Financial Statements
28
Consolidated Schedule of Investments Neuberger Berman Absolute Return Multi-Manager Fund (Unaudited) (cont'd)
Expiration | Open Contracts | Position | Unrealized Appreciation (Depreciation) | ||||||||||||
5/16/2016 | 10 Nickel(a) | Short | $ | (77,850 | ) | ||||||||||
5/20/2016 | 60 OMXS30 Index(a) | Short | 8,680 | ||||||||||||
5/16/2016 | 26 Premium High Grade Aluminum(a) | Short | (102,777 | ) | |||||||||||
5/31/2016 | 10 RBOB Gasoline(a) | Short | (20,100 | ) | |||||||||||
5/26/2016 | 91 SGX Nifty 50 Index(a) | Short | 18,374 | ||||||||||||
5/20/2016 | 12 WTI Crude Oil(a) | Short | (41,044 | ) | |||||||||||
5/16/2016 | 9 Zinc(a) | Short | (52,339 | ) | |||||||||||
6/13/2016 | 50 British Pound(a) | Short | (116,496 | ) | |||||||||||
6/17/2016 | 3 DAX Index(a) | Short | (8,473 | ) | |||||||||||
6/17/2016 | 1 E-Mini Russell 2000(a) | Short | (1,692 | ) | |||||||||||
6/13/2016 | 18 Euro/Japanese Yen(a) | Short | 62,712 | ||||||||||||
6/17/2016 | 13 FTSE/MIB Index(a) | Short | (20,530 | ) | |||||||||||
6/13/2016 | 10 Lead(a) | Short | (23,467 | ) | |||||||||||
6/30/2016 | 65 Live Cattle(a) | Short | 157,450 | ||||||||||||
6/13/2016 | 52 Mexican Peso(a) | Short | (33,998 | ) | |||||||||||
6/13/2016 | 19 Nickel(a) | Short | (92,765 | ) | |||||||||||
6/9/2016 | 14 Nikkei 225(a) | Short | 18,370 | ||||||||||||
6/28/2016 | 8 Nymex Palladium(a) | Short | (76,802 | ) | |||||||||||
6/13/2016 | 30 Premium High Grade Aluminum(a) | Short | (111,676 | ) | |||||||||||
6/17/2016 | 31 S&P 500 Index | Short | (77,742 | ) | |||||||||||
6/16/2016 | 1 SPI 200 Index(a) | Short | (5,325 | ) | |||||||||||
6/13/2016 | 1 Swiss Franc(a) | Short | (1,090 | ) | |||||||||||
6/17/2016 | 45 The EURO STOXX 50 Index(a) | Short | (11,439 | ) | |||||||||||
6/17/2016 | 248 The EURO STOXX 50 Index | Short | (7,715 | ) | |||||||||||
6/9/2016 | 10 TOPIX Index(a) | Short | (6,790 | ) | |||||||||||
6/13/2016 | 91 U.S. Dollar Index(a) | Short | 135,370 | ||||||||||||
6/13/2016 | 3 Zinc(a) | Short | (9,309 | ) | |||||||||||
7/14/2016 | 6 Cocoa(a) | Short | (17,301 | ) | |||||||||||
7/19/2016 | 11 Coffee 'C'(a) | Short | 14,399 | ||||||||||||
7/27/2016 | 14 Copper(a) | Short | (15,082 | ) | |||||||||||
7/14/2016 | 34 Corn(a) | Short | (12,013 | ) | |||||||||||
7/7/2016 | 10 Cotton No. 2(a) | Short | (9,275 | ) | |||||||||||
7/18/2016 | 3 Lead(a) | Short | (5,784 | ) | |||||||||||
7/18/2016 | 15 Nickel(a) | Short | (42,434 | ) | |||||||||||
7/18/2016 | 25 Premium High Grade Aluminum(a) | Short | (83,355 | ) | |||||||||||
7/14/2016 | 36 Wheat(a) | Short | (36,920 | ) | |||||||||||
7/18/2016 | 1 Zinc(a) | Short | (1,072 | ) | |||||||||||
8/25/2016 | 30 Feeder Cattle(a) | Short | 64,211 | ||||||||||||
12/8/2016 | 112 ASX 90 Day Bank Accepted Bills(a) | Short | (24,696 | ) | |||||||||||
Total | $ | (701,297 | ) |
(a) The investment is held by the Subsidiary (see Note A in Notes to Financial Statements.)
See Notes to Financial Statements
29
Consolidated Schedule of Investments Neuberger Berman Absolute Return Multi-Manager Fund (Unaudited) (cont'd)
At April 30, 2016, the notional value of futures for the Fund was $435,722,736 for long positions and $(145,568,670) for short positions.
For the six months ended April 30, 2016, the average notional value of futures for the Fund was $327,200,290 for long positions and $(76,580,924) for short positions. The Fund had deposited $6,568,880 in segregated accounts to cover margin requirements on open futures.
Forward foreign currency contracts ("forward contracts")
At April 30, 2016, open forward contracts for the Fund were as follows:
Buy | Counterparty | Contracts to Receive | In Exchange For | Settlement Date | Net Unrealized Appreciation (Depreciation) | ||||||||||||||||||
Australian Dollar | JPMorgan Chase Bank, NA | 1,843,837 | $ | 1,305,639 | 5/18/2016 | $ | 95,436 | ||||||||||||||||
Brazilian Real | Bank of America, NA(a) | 488,978 | 138,354 | 5/3/2016 | 3,822 | ||||||||||||||||||
Brazilian Real | Bank of America, NA(a) | 12,224 | 3,363 | 5/3/2016 | 191 | ||||||||||||||||||
Brazilian Real | Bank of America, NA(a) | 218,955 | 61,660 | 5/3/2016 | 2,004 | ||||||||||||||||||
Brazilian Real | JPMorgan Chase Bank, NA | 2,561,699 | 704,538 | 5/3/2016 | 40,304 | ||||||||||||||||||
Brazilian Real | Bank of America, NA(a) | 498,670 | 138,664 | 5/3/2016 | 6,330 | ||||||||||||||||||
Brazilian Real | Bank of America, NA(a) | 7,915 | 2,161 | 5/3/2016 | 140 | ||||||||||||||||||
Brazilian Real | Bank of America, NA(a) | 493,787 | 140,135 | 5/3/2016 | 3,439 | ||||||||||||||||||
Brazilian Real | Bank of America, NA(a) | 231,917 | 65,214 | 5/3/2016 | 2,219 | ||||||||||||||||||
Brazilian Real | Bank of America, NA(a) | 2,149 | 608 | 5/3/2016 | 17 | ||||||||||||||||||
Brazilian Real | Bank of America, NA(a) | 12,990 | 3,507 | 5/3/2016 | 270 | ||||||||||||||||||
Brazilian Real | Bank of America, NA(a) | 303,938 | 83,578 | 5/3/2016 | 4,795 | ||||||||||||||||||
Brazilian Real | Bank of America, NA(a) | 62,355 | 17,368 | 5/3/2016 | 762 | ||||||||||||||||||
Brazilian Real | Bank of America, NA(a) | 10,927 | 3,075 | 5/3/2016 | 102 | ||||||||||||||||||
Brazilian Real | JPMorgan Chase Bank, NA | 1,876,469 | 519,294 | 5/3/2016 | 26,310 | ||||||||||||||||||
Brazilian Real | Bank of America, NA(a) | 500,436 | 139,617 | 5/3/2016 | 5,890 | ||||||||||||||||||
Brazilian Real | JPMorgan Chase Bank, NA | 2,262,382 | 617,041 | 5/3/2016 | 40,772 | ||||||||||||||||||
Brazilian Real | Bank of America, NA(a) | 6,036 | 1,691 | 5/3/2016 | 64 | ||||||||||||||||||
Brazilian Real | Bank of America, NA(a) | 499,144 | 141,041 | 5/3/2016 | 4,091 | ||||||||||||||||||
Brazilian Real | JPMorgan Chase Bank, NA | 2,319,126 | 641,354 | 5/3/2016 | 32,958 | ||||||||||||||||||
Brazilian Real | Bank of America, NA(a) | 100,938 | 28,369 | 5/3/2016 | 980 | ||||||||||||||||||
Brazilian Real | Bank of America, NA(a) | 6,398 | 1,723 | 5/3/2016 | 137 | ||||||||||||||||||
Brazilian Real | Bank of America, NA(a) | 66,332 | 18,360 | 5/3/2016 | 927 | ||||||||||||||||||
Brazilian Real | Bank of America, NA(a) | 253,298 | 71,972 | 5/3/2016 | 1,677 | ||||||||||||||||||
Brazilian Real | Bank of America, NA(a) | 31,381 | 8,529 | 5/3/2016 | 595 | ||||||||||||||||||
Brazilian Real | Bank of America, NA(a) | 483,610 | 136,602 | 6/2/2016 | 2,590 | ||||||||||||||||||
Brazilian Real | Bank of America, NA(a) | 450,198 | 129,546 | 6/2/2016 | 30 | ||||||||||||||||||
Brazilian Real | Bank of America, NA(a) | 2,341,768 | 660,807 | 6/2/2016 | 13,199 | ||||||||||||||||||
Canadian Dollar | JPMorgan Chase Bank, NA | 1,219,754 | 876,819 | 5/18/2016 | 95,328 | ||||||||||||||||||
Chilean Peso | Bank of America, NA(a) | 118,526,590 | 177,757 | 6/15/2016 | 935 | ||||||||||||||||||
Chilean Peso | Bank of America, NA(a) | 502,230 | 733 | 6/15/2016 | 24 | ||||||||||||||||||
Chilean Peso | Bank of America, NA(a) | 127,678,030 | 190,442 | 6/15/2016 | 2,047 | ||||||||||||||||||
Chilean Peso | Bank of America, NA(a) | 125,326,820 | 187,674 | 6/15/2016 | 1,270 | ||||||||||||||||||
Chilean Peso | Bank of America, NA(a) | 20,082,422 | 29,881 | 6/15/2016 | 395 | ||||||||||||||||||
Chilean Peso | Bank of America, NA(a) | 1,710,045 | 2,521 | 6/15/2016 | 57 | ||||||||||||||||||
Chilean Peso | Bank of America, NA(a) | 124,246,356 | 185,953 | 6/15/2016 | 1,362 |
See Notes to Financial Statements
30
Consolidated Schedule of Investments Neuberger Berman Absolute Return Multi-Manager Fund (Unaudited) (cont'd)
Buy | Counterparty | Contracts to Receive | In Exchange For | Settlement Date | Net Unrealized Appreciation (Depreciation) | ||||||||||||||||||
Chilean Peso | Bank of America, NA(a) | 1,960,008 | $ | 2,838 | 6/15/2016 | $ | 117 | ||||||||||||||||
Chilean Peso | Bank of America, NA(a) | 713,078 | 1,043 | 6/15/2016 | 32 | ||||||||||||||||||
Chilean Peso | Bank of America, NA(a) | 44,534,222 | 65,159 | 6/15/2016 | 1,981 | ||||||||||||||||||
Chilean Peso | Bank of America, NA(a) | 530,376 | 774 | 6/15/2016 | 26 | ||||||||||||||||||
Chilean Peso | Bank of America, NA(a) | 124,721,560 | 188,441 | 6/15/2016 | (410 | ) | |||||||||||||||||
Chilean Peso | Bank of America, NA(a) | 8,150,081 | 11,999 | 6/15/2016 | 288 | ||||||||||||||||||
Chilean Peso | Bank of America, NA(a) | 130,752,782 | 195,340 | 6/15/2016 | 1,784 | ||||||||||||||||||
Chilean Peso | Bank of America, NA(a) | 126,253,249 | 188,418 | 6/15/2016 | 1,923 | ||||||||||||||||||
Chilean Peso | Bank of America, NA(a) | 308,736 | 450 | 6/15/2016 | 15 | ||||||||||||||||||
Chilean Peso | Bank of America, NA(a) | 3,204,178 | 4,747 | 6/15/2016 | 84 | ||||||||||||||||||
Chilean Peso | Bank of America, NA(a) | 40,719,159 | 61,580 | 6/15/2016 | (191 | ) | |||||||||||||||||
Chilean Peso | Bank of America, NA(a) | 8,634,423 | 12,696 | 6/15/2016 | 321 | ||||||||||||||||||
Chilean Peso | Bank of America, NA(a) | 883,860 | 1,298 | 6/15/2016 | 35 | ||||||||||||||||||
Chilean Peso | Bank of America, NA(a) | 128,373,600 | 191,126 | 6/15/2016 | 2,411 | ||||||||||||||||||
Chilean Peso | Bank of America, NA(a) | 124,426,938 | 189,024 | 6/15/2016 | (1,437 | ) | |||||||||||||||||
Chilean Peso | Bank of America, NA(a) | 19,750,232 | 29,193 | 6/15/2016 | 583 | ||||||||||||||||||
Chilean Peso | Bank of America, NA(a) | 107,520,084 | 160,576 | 6/15/2016 | 1,522 | ||||||||||||||||||
Chilean Peso | Bank of America, NA(a) | 35,869,672 | 52,121 | 6/15/2016 | 1,956 | ||||||||||||||||||
Chilean Peso | Bank of America, NA(a) | 2,217,141 | 3,283 | 6/15/2016 | 60 | ||||||||||||||||||
Chilean Peso | Bank of America, NA(a) | 129,288 | 188 | 6/15/2016 | 7 | ||||||||||||||||||
Chilean Peso | Bank of America, NA(a) | 126,522,653 | 190,730 | 6/15/2016 | 17 | ||||||||||||||||||
Chilean Peso | Bank of America, NA(a) | 5,724,377 | 8,261 | 6/15/2016 | 369 | ||||||||||||||||||
Chilean Peso | Bank of America, NA(a) | 34,051,819 | 49,944 | 6/15/2016 | 1,393 | ||||||||||||||||||
Chilean Peso | Bank of America, NA(a) | 13,996,336 | 20,632 | 6/15/2016 | 469 | ||||||||||||||||||
Chilean Peso | Bank of America, NA(a) | 96,876,798 | 143,651 | 6/15/2016 | 2,401 | ||||||||||||||||||
Czech Koruna | JPMorgan Chase Bank, NA | 85,473 | 3,440 | 5/18/2016 | 180 | ||||||||||||||||||
Czech Koruna | JPMorgan Chase Bank, NA | 7,354,750 | 303,585 | 5/18/2016 | 7,902 | ||||||||||||||||||
Czech Koruna | JPMorgan Chase Bank, NA | 4,211,687 | 172,158 | 5/18/2016 | 6,214 | ||||||||||||||||||
Czech Koruna | Bank of America, NA(a) | 12,452 | 515 | 6/15/2016 | 13 | ||||||||||||||||||
Czech Koruna | Bank of America, NA(a) | 174,029 | 7,370 | 6/15/2016 | 6 | ||||||||||||||||||
Czech Koruna | Bank of America, NA(a) | 801,730 | 33,030 | 6/15/2016 | 949 | ||||||||||||||||||
Czech Koruna | Bank of America, NA(a) | 97,327 | 4,004 | 6/15/2016 | 121 | ||||||||||||||||||
Czech Koruna | Bank of America, NA(a) | 466,877 | 19,659 | 6/15/2016 | 128 | ||||||||||||||||||
Czech Koruna | Bank of America, NA(a) | 644,000 | 27,141 | 6/15/2016 | 153 | ||||||||||||||||||
Czech Koruna | Bank of America, NA(a) | 48,726 | 2,054 | 6/15/2016 | 11 | ||||||||||||||||||
Czech Koruna | Bank of America, NA(a) | 192,190 | 8,040 | 6/15/2016 | 105 | ||||||||||||||||||
Czech Koruna | Bank of America, NA(a) | 15,239 | 644 | 6/15/2016 | 2 | ||||||||||||||||||
Czech Koruna | Bank of America, NA(a) | 3,890 | 162 | 6/15/2016 | 3 | ||||||||||||||||||
Czech Koruna | Bank of America, NA(a) | 5,206,074 | 218,461 | 6/15/2016 | 2,185 | ||||||||||||||||||
Czech Koruna | Bank of America, NA(a) | 1,237,728 | 52,015 | 6/15/2016 | 443 | ||||||||||||||||||
Czech Koruna | Bank of America, NA(a) | 16,036 | 671 | 6/15/2016 | 9 | ||||||||||||||||||
Czech Koruna | Bank of America, NA(a) | 119,814 | 5,018 | 6/15/2016 | 60 | ||||||||||||||||||
Czech Koruna | Bank of America, NA(a) | 5,222,211 | 218,801 | 6/15/2016 | 2,529 | ||||||||||||||||||
Czech Koruna | Bank of America, NA(a) | 187,766 | 7,891 | 6/15/2016 | 67 | ||||||||||||||||||
Czech Koruna | Bank of America, NA(a) | 5,150,627 | 216,351 | 6/15/2016 | 1,945 | ||||||||||||||||||
Czech Koruna | Bank of America, NA(a) | 149,562 | 6,269 | 6/15/2016 | 70 | ||||||||||||||||||
Czech Koruna | Bank of America, NA(a) | 128,708 | 5,400 | 6/15/2016 | 55 |
See Notes to Financial Statements
31
Consolidated Schedule of Investments Neuberger Berman Absolute Return Multi-Manager Fund (Unaudited) (cont'd)
Buy | Counterparty | Contracts to Receive | In Exchange For | Settlement Date | Net Unrealized Appreciation (Depreciation) | ||||||||||||||||||
Czech Koruna | Bank of America, NA(a) | 91,870 | $ | 3,874 | 6/15/2016 | $ | 20 | ||||||||||||||||
Czech Koruna | Bank of America, NA(a) | 52,677 | 2,172 | 6/15/2016 | 61 | ||||||||||||||||||
Czech Koruna | Bank of America, NA(a) | 5,204,651 | 219,405 | 6/15/2016 | 1,180 | ||||||||||||||||||
Czech Koruna | Bank of America, NA(a) | 9,112 | 380 | 6/15/2016 | 6 | ||||||||||||||||||
Danish Krone | JPMorgan Chase Bank, NA | 791,256 | 119,796 | 5/18/2016 | 1,995 | ||||||||||||||||||
Danish Krone | JPMorgan Chase Bank, NA | 1,822,474 | 270,227 | 5/18/2016 | 10,290 | ||||||||||||||||||
Euro | JPMorgan Chase Bank, NA | 878,267 | 1,000,185 | 5/18/2016 | 5,915 | ||||||||||||||||||
Euro | JPMorgan Chase Bank, NA | 1,151,780 | 1,301,164 | 5/18/2016 | 18,259 | ||||||||||||||||||
Euro | JPMorgan Chase Bank, NA | 2,112,657 | 2,363,725 | 5/18/2016 | 56,432 | ||||||||||||||||||
Euro | JPMorgan Chase Bank, NA | 1,872,845 | 2,124,250 | 5/18/2016 | 21,190 | ||||||||||||||||||
Euro | JPMorgan Chase Bank, NA | 698,681 | 787,516 | 5/18/2016 | 12,859 | ||||||||||||||||||
Euro | JPMorgan Chase Bank, NA | 773,747 | 878,740 | 5/18/2016 | 7,627 | ||||||||||||||||||
Euro | JPMorgan Chase Bank, NA | 815,712 | 922,636 | 5/18/2016 | 11,804 | ||||||||||||||||||
Euro | JPMorgan Chase Bank, NA | 1,458,987 | 1,649,151 | 5/18/2016 | 22,194 | ||||||||||||||||||
Euro | JPMorgan Chase Bank, NA | 1,644,908 | 1,855,909 | 5/18/2016 | 28,418 | ||||||||||||||||||
Euro | JPMorgan Chase Bank, NA | 1,102,008 | 1,224,844 | 5/18/2016 | 37,563 | ||||||||||||||||||
Euro | JPMorgan Chase Bank, NA | 139,898 | 160,112 | 5/18/2016 | 148 | ||||||||||||||||||
Euro | JPMorgan Chase Bank, NA | 688,652 | 788,137 | 5/18/2016 | 749 | ||||||||||||||||||
Euro | JPMorgan Chase Bank, NA | 764,321 | 844,369 | 5/18/2016 | 31,200 | ||||||||||||||||||
Euro | JPMorgan Chase Bank, NA | 1,811,531 | 2,073,281 | 5/18/2016 | 1,921 | ||||||||||||||||||
Hungarian Forint | Bank of America, NA(a) | 39,516,966 | 143,519 | 6/15/2016 | 1,450 | ||||||||||||||||||
Hungarian Forint | Bank of America, NA(a) | 7,025,290 | 25,522 | 6/15/2016 | 250 | ||||||||||||||||||
Hungarian Forint | Bank of America, NA(a) | 58,616,837 | 215,708 | 6/15/2016 | (671 | ) | |||||||||||||||||
Hungarian Forint | Bank of America, NA(a) | 58,994,492 | 214,105 | 6/15/2016 | 2,318 | ||||||||||||||||||
Hungarian Forint | Bank of America, NA(a) | 533,399 | 1,938 | 6/15/2016 | 19 | ||||||||||||||||||
Hungarian Forint | Bank of America, NA(a) | 59,770,324 | 218,047 | 6/15/2016 | 1,222 | ||||||||||||||||||
Hungarian Forint | Bank of America, NA(a) | 7,581,421 | 27,567 | 6/15/2016 | 246 | ||||||||||||||||||
Hungarian Forint | Bank of America, NA(a) | 758,396 | 2,753 | 6/15/2016 | 29 | ||||||||||||||||||
Hungarian Forint | Bank of America, NA(a) | 58,149,971 | 210,294 | 6/15/2016 | 3,031 | ||||||||||||||||||
Hungarian Forint | Bank of America, NA(a) | 59,312,003 | 213,909 | 6/15/2016 | 3,679 | ||||||||||||||||||
Hungarian Forint | Bank of America, NA(a) | 4,559,341 | 16,441 | 6/15/2016 | 285 | ||||||||||||||||||
Hungarian Forint | Bank of America, NA(a) | 2,280,653 | 8,307 | 6/15/2016 | 60 | ||||||||||||||||||
Hungarian Forint | Bank of America, NA(a) | 323,232 | 1,179 | 6/15/2016 | 7 | ||||||||||||||||||
Hungarian Forint | Bank of America, NA(a) | 37,050,537 | 135,073 | 6/15/2016 | 848 | ||||||||||||||||||
Hungarian Forint | Bank of America, NA(a) | 503,065 | 1,823 | 6/15/2016 | 23 | ||||||||||||||||||
Hungarian Forint | Bank of America, NA(a) | 57,673,832 | 210,723 | 6/15/2016 | 855 | ||||||||||||||||||
Hungarian Forint | Bank of America, NA(a) | 1,603,187 | 5,715 | 6/15/2016 | 166 | ||||||||||||||||||
Hungarian Forint | Bank of America, NA(a) | 58,476,012 | 213,324 | 6/15/2016 | 1,197 | ||||||||||||||||||
Hungarian Forint | Bank of America, NA(a) | 58,526,015 | 213,037 | 6/15/2016 | 1,667 | ||||||||||||||||||
Hungarian Forint | Bank of America, NA(a) | 420,625 | 1,495 | 6/15/2016 | 48 | ||||||||||||||||||
Hungarian Forint | Bank of America, NA(a) | 2,236,797 | 8,113 | 6/15/2016 | 93 | ||||||||||||||||||
Hungarian Forint | Bank of America, NA(a) | 1,709,369 | 6,161 | 6/15/2016 | 110 | ||||||||||||||||||
Hungarian Forint | Bank of America, NA(a) | 2,403,886 | 8,748 | 6/15/2016 | 71 | ||||||||||||||||||
Hungarian Forint | Bank of America, NA(a) | 16,536,266 | 59,868 | 6/15/2016 | 796 | ||||||||||||||||||
Hungarian Forint | Bank of America, NA(a) | 60,259,296 | 218,019 | 6/15/2016 | 3,044 |
See Notes to Financial Statements
32
Consolidated Schedule of Investments Neuberger Berman Absolute Return Multi-Manager Fund (Unaudited) (cont'd)
Buy | Counterparty | Contracts to Receive | In Exchange For | Settlement Date | Net Unrealized Appreciation (Depreciation) | ||||||||||||||||||
Hungarian Forint | Bank of America, NA(a) | 5,629,489 | $ | 20,426 | 6/15/2016 | $ | 226 | ||||||||||||||||
Hungarian Forint | Bank of America, NA(a) | 281,877 | 1,025 | 6/15/2016 | 9 | ||||||||||||||||||
Hungarian Forint | Bank of America, NA(a) | 10,042,855 | 35,920 | 6/15/2016 | 922 | ||||||||||||||||||
Indian Rupee | Bank of America, NA(a) | 17,593,784 | 259,503 | 6/15/2016 | 3,237 | ||||||||||||||||||
Indian Rupee | Bank of America, NA(a) | 14,584,399 | 217,525 | 6/15/2016 | 274 | ||||||||||||||||||
Indian Rupee | Bank of America, NA(a) | 10,155,550 | 151,176 | 6/15/2016 | 484 | ||||||||||||||||||
Indian Rupee | Bank of America, NA(a) | 12,699,634 | 189,867 | 6/15/2016 | (214 | ) | |||||||||||||||||
Indian Rupee | Bank of America, NA(a) | 17,444,535 | 258,495 | 6/15/2016 | 2,017 | ||||||||||||||||||
Indian Rupee | Bank of America, NA(a) | 15,070,426 | 224,821 | 6/15/2016 | 236 | ||||||||||||||||||
Indian Rupee | Bank of America, NA(a) | 188,466 | 2,788 | 6/15/2016 | 27 | ||||||||||||||||||
Indian Rupee | Bank of America, NA(a) | 12,287,693 | 183,497 | 6/15/2016 | 4 | ||||||||||||||||||
Indian Rupee | Bank of America, NA(a) | 14,017,775 | 210,171 | 6/15/2016 | (834 | ) | |||||||||||||||||
Indian Rupee | Bank of America, NA(a) | 14,950,088 | 222,455 | 6/15/2016 | 805 | ||||||||||||||||||
Indian Rupee | Bank of America, NA(a) | 17,407,027 | 258,368 | 6/15/2016 | 1,583 | ||||||||||||||||||
Indian Rupee | Bank of America, NA(a) | 221,260 | 3,233 | 6/15/2016 | 71 | ||||||||||||||||||
Indian Rupee | Bank of America, NA(a) | 14,682,082 | 218,884 | 6/15/2016 | 374 | ||||||||||||||||||
Indian Rupee | Bank of America, NA(a) | 16,461,565 | 245,662 | 6/15/2016 | 170 | ||||||||||||||||||
Indian Rupee | Bank of America, NA(a) | 10,039,835 | 148,637 | 6/15/2016 | 1,295 | ||||||||||||||||||
Indian Rupee | Bank of America, NA(a) | 15,122,687 | 226,313 | 6/15/2016 | (475 | ) | |||||||||||||||||
Indian Rupee | Bank of America, NA(a) | 9,843,182 | 146,968 | 6/15/2016 | 27 | ||||||||||||||||||
Indian Rupee | Bank of America, NA(a) | 1,864,838 | 27,379 | 6/15/2016 | 470 | ||||||||||||||||||
Indian Rupee | Bank of America, NA(a) | 17,355,649 | 256,691 | 6/15/2016 | 2,493 | ||||||||||||||||||
Indian Rupee | Bank of America, NA(a) | 9,238,087 | 138,088 | 6/15/2016 | (129 | ) | |||||||||||||||||
Indian Rupee | Bank of America, NA(a) | 14,090,160 | 209,675 | 6/15/2016 | 743 | ||||||||||||||||||
Indian Rupee | Bank of America, NA(a) | 15,068,348 | 224,790 | 6/15/2016 | 236 | ||||||||||||||||||
Indian Rupee | Bank of America, NA(a) | 12,055,349 | 179,534 | 6/15/2016 | 497 | ||||||||||||||||||
Indian Rupee | Bank of America, NA(a) | 13,881,498 | 207,202 | 6/15/2016 | 100 | ||||||||||||||||||
Indian Rupee | Bank of America, NA(a) | 17,559,662 | 260,649 | 6/15/2016 | 1,582 | ||||||||||||||||||
Indian Rupee | Bank of America, NA(a) | 236,329 | 3,472 | 6/15/2016 | 57 | ||||||||||||||||||
Indian Rupee | Bank of America, NA(a) | 17,119,889 | 255,216 | 6/15/2016 | 447 | ||||||||||||||||||
Indian Rupee | Bank of America, NA(a) | 14,174,742 | 211,617 | 6/15/2016 | 64 | ||||||||||||||||||
Israeli New Shekel | Bank of America, NA(a) | 1,981 | 516 | 6/15/2016 | 15 | ||||||||||||||||||
Israeli New Shekel | Bank of America, NA(a) | 1,255,100 | 333,914 | 6/15/2016 | 2,254 | ||||||||||||||||||
Israeli New Shekel | Bank of America, NA(a) | 1,091,151 | 288,927 | 6/15/2016 | 3,329 | ||||||||||||||||||
Israeli New Shekel | Bank of America, NA(a) | 892,603 | 237,477 | 6/15/2016 | 1,599 | ||||||||||||||||||
Israeli New Shekel | Bank of America, NA(a) | 1,097,477 | 290,334 | 6/15/2016 | 3,616 | ||||||||||||||||||
Israeli New Shekel | Bank of America, NA(a) | 1,038,018 | 272,356 | 6/15/2016 | 5,669 | ||||||||||||||||||
Israeli New Shekel | Bank of America, NA(a) | 1,068,016 | 283,652 | 6/15/2016 | 2,407 | ||||||||||||||||||
Israeli New Shekel | Bank of America, NA(a) | 869,527 | 230,422 | 6/15/2016 | 2,474 | ||||||||||||||||||
Israeli New Shekel | Bank of America, NA(a) | 1,002,889 | 266,209 | 6/15/2016 | 2,407 | ||||||||||||||||||
Israeli New Shekel | Bank of America, NA(a) | 1,615 | 423 | 6/15/2016 | 9 | ||||||||||||||||||
Israeli New Shekel | Bank of America, NA(a) | 1,097,283 | 291,877 | 6/15/2016 | 2,021 | ||||||||||||||||||
Israeli New Shekel | Bank of America, NA(a) | 1,071,957 | 283,634 | 6/15/2016 | 3,481 | ||||||||||||||||||
Israeli New Shekel | Bank of America, NA(a) | 1,052,369 | 279,128 | 6/15/2016 | 2,740 | ||||||||||||||||||
Israeli New Shekel | Bank of America, NA(a) | 1,057,659 | 281,539 | 6/15/2016 | 1,746 |
See Notes to Financial Statements
33
Consolidated Schedule of Investments Neuberger Berman Absolute Return Multi-Manager Fund (Unaudited) (cont'd)
Buy | Counterparty | Contracts to Receive | In Exchange For | Settlement Date | Net Unrealized Appreciation (Depreciation) | ||||||||||||||||||
Israeli New Shekel | Bank of America, NA(a) | 674 | $ | 176 | 6/15/2016 | $ | 5 | ||||||||||||||||
Israeli New Shekel | Bank of America, NA(a) | 496,603 | 131,544 | 6/15/2016 | 1,467 | ||||||||||||||||||
Israeli New Shekel | Bank of America, NA(a) | 3,118 | 812 | 6/15/2016 | 23 | ||||||||||||||||||
Israeli New Shekel | Bank of America, NA(a) | 1,024,833 | 272,281 | 6/15/2016 | 2,212 | ||||||||||||||||||
Israeli New Shekel | Bank of America, NA(a) | 1,053,512 | 280,556 | 6/15/2016 | 1,619 | ||||||||||||||||||
Israeli New Shekel | Bank of America, NA(a) | 5,700 | 1,506 | 6/15/2016 | 21 | ||||||||||||||||||
Israeli New Shekel | Bank of America, NA(a) | 983,964 | 263,014 | 6/15/2016 | 532 | ||||||||||||||||||
Israeli New Shekel | Bank of America, NA(a) | 1,016,163 | 267,848 | 6/15/2016 | 4,323 | ||||||||||||||||||
Israeli New Shekel | Bank of America, NA(a) | 1,231,028 | 327,331 | 6/15/2016 | 2,390 | ||||||||||||||||||
Israeli New Shekel | Bank of America, NA(a) | 1,044,671 | 278,172 | 6/15/2016 | 1,634 | ||||||||||||||||||
Israeli New Shekel | Bank of America, NA(a) | 73,239 | 18,933 | 6/15/2016 | 683 | ||||||||||||||||||
Israeli New Shekel | Bank of America, NA(a) | 11,950 | 3,072 | 6/15/2016 | 129 | ||||||||||||||||||
Israeli New Shekel | Bank of America, NA(a) | 1,085,955 | 288,879 | 6/15/2016 | 1,985 | ||||||||||||||||||
Israeli New Shekel | Bank of America, NA(a) | 100,149 | 26,515 | 6/15/2016 | 309 | ||||||||||||||||||
Japanese Yen | JPMorgan Chase Bank, NA | 261,253,050 | 2,416,940 | 5/18/2016 | 39,266 | ||||||||||||||||||
Japanese Yen | JPMorgan Chase Bank, NA | 50,830,908 | 454,587 | 5/18/2016 | 23,307 | ||||||||||||||||||
Korean Won | Bank of America, NA(a) | 133,669 | 116 | 6/15/2016 | 1 | ||||||||||||||||||
Korean Won | Bank of America, NA(a) | 1,460,605 | 1,251 | 6/15/2016 | 22 | ||||||||||||||||||
Korean Won | Bank of America, NA(a) | 293,521,472 | 258,591 | 6/15/2016 | (2,733 | ) | |||||||||||||||||
Korean Won | Bank of America, NA(a) | 6,563,415 | 5,690 | 6/15/2016 | 31 | ||||||||||||||||||
Korean Won | Bank of America, NA(a) | 4,027,490 | 3,505 | 6/15/2016 | 6 | ||||||||||||||||||
Korean Won | Bank of America, NA(a) | 292,917,581 | 256,300 | 6/15/2016 | (968 | ) | |||||||||||||||||
Korean Won | Bank of America, NA(a) | 161,806,065 | 141,229 | 6/15/2016 | (185 | ) | |||||||||||||||||
Korean Won | Bank of America, NA(a) | 8,191,589 | 7,188 | 6/15/2016 | (48 | ) | |||||||||||||||||
Korean Won | Bank of America, NA(a) | 51,744,760 | 43,271 | 6/15/2016 | 1,834 | ||||||||||||||||||
Korean Won | Bank of America, NA(a) | 93,587 | 80 | 6/15/2016 | 2 | ||||||||||||||||||
Korean Won | Bank of America, NA(a) | 993,899 | 849 | 6/15/2016 | 17 | ||||||||||||||||||
Korean Won | Bank of America, NA(a) | 293,780,586 | 258,280 | 6/15/2016 | (2,196 | ) | |||||||||||||||||
Korean Won | Bank of America, NA(a) | 8,302,782 | 7,093 | 6/15/2016 | 144 | ||||||||||||||||||
Korean Won | Bank of America, NA(a) | 2,589,239 | 2,244 | 6/15/2016 | 13 | ||||||||||||||||||
Korean Won | Bank of America, NA(a) | 293,113,151 | 255,225 | 6/15/2016 | 277 | ||||||||||||||||||
Korean Won | Bank of America, NA(a) | 20,938,488 | 18,088 | 6/15/2016 | 164 | ||||||||||||||||||
Korean Won | Bank of America, NA(a) | 1,643,323 | 1,417 | 6/15/2016 | 15 | ||||||||||||||||||
Korean Won | Bank of America, NA(a) | 169,131,446 | 147,646 | 6/15/2016 | (217 | ) | |||||||||||||||||
Korean Won | Bank of America, NA(a) | 10,754,340 | 9,289 | 6/15/2016 | 85 | ||||||||||||||||||
Korean Won | Bank of America, NA(a) | 80,290,316 | 69,507 | 6/15/2016 | 481 | ||||||||||||||||||
Korean Won | Bank of America, NA(a) | 4,768,366 | 4,133 | 6/15/2016 | 24 | ||||||||||||||||||
Korean Won | Bank of America, NA(a) | 115,489,249 | 100,696 | 6/15/2016 | (26 | ) | |||||||||||||||||
Korean Won | Bank of America, NA(a) | 32,893,293 | 28,630 | 6/15/2016 | 43 | ||||||||||||||||||
Korean Won | Bank of America, NA(a) | 264,267,373 | 229,624 | 6/15/2016 | 734 | ||||||||||||||||||
Korean Won | Bank of America, NA(a) | 297,830,219 | 258,895 | 6/15/2016 | 719 | ||||||||||||||||||
Malaysian Ringgit | Bank of America, NA(a) | 36,058 | 8,788 | 6/15/2016 | 407 | ||||||||||||||||||
Malaysian Ringgit | Bank of America, NA(a) | 15,329 | 3,902 | 6/15/2016 | 7 | ||||||||||||||||||
Malaysian Ringgit | Bank of America, NA(a) | 962,274 | 247,213 | 6/15/2016 | (1,818 | ) | |||||||||||||||||
Malaysian Ringgit | Bank of America, NA(a) | 2,703 | 690 | 6/15/2016 | (1 | ) |
See Notes to Financial Statements
34
Consolidated Schedule of Investments Neuberger Berman Absolute Return Multi-Manager Fund (Unaudited) (cont'd)
Buy | Counterparty | Contracts to Receive | In Exchange For | Settlement Date | Net Unrealized Appreciation (Depreciation) | ||||||||||||||||||
Malaysian Ringgit | Bank of America, NA(a) | 825,774 | $ | 211,763 | 6/15/2016 | $ | (1,178 | ) | |||||||||||||||
Malaysian Ringgit | Bank of America, NA(a) | 811,429 | 207,584 | 6/15/2016 | (657 | ) | |||||||||||||||||
Malaysian Ringgit | Bank of America, NA(a) | 757,311 | 193,833 | 6/15/2016 | (707 | ) | |||||||||||||||||
Malaysian Ringgit | Bank of America, NA(a) | 320,314 | 80,264 | 6/15/2016 | 1,421 | ||||||||||||||||||
Malaysian Ringgit | Bank of America, NA(a) | 178,114 | 43,505 | 6/15/2016 | 1,917 | ||||||||||||||||||
Malaysian Ringgit | Bank of America, NA(a) | 804,032 | 207,631 | 6/15/2016 | (2,590 | ) | |||||||||||||||||
Malaysian Ringgit | Bank of America, NA(a) | 748,070 | 192,207 | 6/15/2016 | (1,438 | ) | |||||||||||||||||
Malaysian Ringgit | Bank of America, NA(a) | 743,537 | 192,706 | 6/15/2016 | (3,092 | ) | |||||||||||||||||
Malaysian Ringgit | Bank of America, NA(a) | 799,664 | 204,304 | 6/15/2016 | (377 | ) | |||||||||||||||||
Malaysian Ringgit | Bank of America, NA(a) | 802,186 | 203,993 | 6/15/2016 | 577 | ||||||||||||||||||
Malaysian Ringgit | Bank of America, NA(a) | 29,689 | 7,279 | 6/15/2016 | 292 | ||||||||||||||||||
Malaysian Ringgit | Bank of America, NA(a) | 327,638 | 81,578 | 6/15/2016 | 1,975 | ||||||||||||||||||
Malaysian Ringgit | Bank of America, NA(a) | 31,027 | 7,664 | 6/15/2016 | 249 | ||||||||||||||||||
Malaysian Ringgit | Bank of America, NA(a) | 16,502 | 4,051 | 6/15/2016 | 157 | ||||||||||||||||||
Malaysian Ringgit | Bank of America, NA(a) | 604,234 | 155,558 | 6/15/2016 | (1,469 | ) | |||||||||||||||||
Malaysian Ringgit | Bank of America, NA(a) | 806,414 | 206,462 | 6/15/2016 | (814 | ) | |||||||||||||||||
Malaysian Ringgit | Bank of America, NA(a) | 543,805 | 138,276 | 6/15/2016 | 403 | ||||||||||||||||||
Malaysian Ringgit | Bank of America, NA(a) | 551,602 | 142,003 | 6/15/2016 | (1,336 | ) | |||||||||||||||||
Malaysian Ringgit | Bank of America, NA(a) | 16,464 | 3,974 | 6/15/2016 | 225 | ||||||||||||||||||
Malaysian Ringgit | Bank of America, NA(a) | 660,120 | 165,557 | 6/15/2016 | 2,784 | ||||||||||||||||||
Malaysian Ringgit | Bank of America, NA(a) | 736,007 | 190,163 | 6/15/2016 | (2,470 | ) | |||||||||||||||||
Malaysian Ringgit | Bank of America, NA(a) | 24,306 | 6,090 | 6/15/2016 | 108 | ||||||||||||||||||
Malaysian Ringgit | Bank of America, NA(a) | 605,182 | 156,184 | 6/15/2016 | (1,853 | ) | |||||||||||||||||
Norwegian Krone | JPMorgan Chase Bank, NA | 3,060,750 | 376,765 | 5/18/2016 | 3,342 | ||||||||||||||||||
Norwegian Krone | JPMorgan Chase Bank, NA | 225,435 | 26,417 | 5/18/2016 | 1,579 | ||||||||||||||||||
Norwegian Krone | JPMorgan Chase Bank, NA | 1,312,293 | 153,565 | 5/18/2016 | 9,405 | ||||||||||||||||||
Norwegian Krone | JPMorgan Chase Bank, NA | 1,071,368 | 124,225 | 5/18/2016 | 8,825 | ||||||||||||||||||
Norwegian Krone | Bank of America, NA(a) | 53,727 | 6,513 | 6/15/2016 | 158 | ||||||||||||||||||
Norwegian Krone | Bank of America, NA(a) | 1,546,187 | 189,982 | 6/15/2016 | 2,008 | ||||||||||||||||||
Norwegian Krone | Bank of America, NA(a) | 207,110 | 24,765 | 6/15/2016 | 952 | ||||||||||||||||||
Norwegian Krone | Bank of America, NA(a) | 39,511 | 4,771 | 6/15/2016 | 135 | ||||||||||||||||||
Norwegian Krone | Bank of America, NA(a) | 50,053 | 5,829 | 6/15/2016 | 386 | ||||||||||||||||||
Norwegian Krone | Bank of America, NA(a) | 996,814 | 121,039 | 6/15/2016 | 2,735 | ||||||||||||||||||
Norwegian Krone | Bank of America, NA(a) | 291,402 | 35,009 | 6/15/2016 | 1,174 | ||||||||||||||||||
Norwegian Krone | Bank of America, NA(a) | 60,762 | 7,305 | 6/15/2016 | 240 | ||||||||||||||||||
Norwegian Krone | Bank of America, NA(a) | 4,019 | 480 | 6/15/2016 | 19 | ||||||||||||||||||
Norwegian Krone | Bank of America, NA(a) | 494,503 | 60,071 | 6/15/2016 | 1,331 | ||||||||||||||||||
Norwegian Krone | Bank of America, NA(a) | 94,941 | 11,484 | 6/15/2016 | 305 | ||||||||||||||||||
Norwegian Krone | Bank of America, NA(a) | 2,233 | 271 | 6/15/2016 | 6 | ||||||||||||||||||
Norwegian Krone | Bank of America, NA(a) | 35,790 | 4,319 | 6/15/2016 | 125 | ||||||||||||||||||
Norwegian Krone | Bank of America, NA(a) | 1,558,351 | 189,661 | 6/15/2016 | 3,839 | ||||||||||||||||||
Norwegian Krone | Bank of America, NA(a) | 1,557,059 | 190,043 | 6/15/2016 | 3,297 | ||||||||||||||||||
Norwegian Krone | Bank of America, NA(a) | 1,544,318 | 188,696 | 6/15/2016 | 3,062 | ||||||||||||||||||
Norwegian Krone | Bank of America, NA(a) | 80,629 | 9,594 | 6/15/2016 | 418 | ||||||||||||||||||
Norwegian Krone | Bank of America, NA(a) | 11,625 | 1,399 | 6/15/2016 | 44 |
See Notes to Financial Statements
35
Consolidated Schedule of Investments Neuberger Berman Absolute Return Multi-Manager Fund (Unaudited) (cont'd)
Buy | Counterparty | Contracts to Receive | In Exchange For | Settlement Date | Net Unrealized Appreciation (Depreciation) | ||||||||||||||||||
Norwegian Krone | Bank of America, NA(a) | 393,441 | $ | 46,230 | 6/15/2016 | $ | 2,623 | ||||||||||||||||
Norwegian Krone | Bank of America, NA(a) | 1,545,256 | 190,069 | 6/15/2016 | 1,805 | ||||||||||||||||||
Norwegian Krone | Bank of America, NA(a) | 645,798 | 79,492 | 6/15/2016 | 697 | ||||||||||||||||||
Norwegian Krone | Bank of America, NA(a) | 116,906 | 13,987 | 6/15/2016 | 529 | ||||||||||||||||||
Norwegian Krone | Bank of America, NA(a) | 1,542,293 | 190,199 | 6/15/2016 | 1,307 | ||||||||||||||||||
Norwegian Krone | Bank of America, NA(a) | 28,238 | 3,336 | 6/15/2016 | 170 | ||||||||||||||||||
Norwegian Krone | Bank of America, NA(a) | 6,857 | 827 | 6/15/2016 | 24 | ||||||||||||||||||
Norwegian Krone | Bank of America, NA(a) | 461,684 | 56,519 | 6/15/2016 | 808 | ||||||||||||||||||
Philippine Peso | Bank of America, NA(a) | 245,969 | 5,299 | 6/15/2016 | (88 | ) | |||||||||||||||||
Philippine Peso | Bank of America, NA(a) | 13,902,139 | 301,663 | 6/15/2016 | (7,120 | ) | |||||||||||||||||
Philippine Peso | Bank of America, NA(a) | 11,240,212 | 243,611 | 6/15/2016 | (5,466 | ) | |||||||||||||||||
Philippine Peso | Bank of America, NA(a) | 147,389 | 3,163 | 6/15/2016 | (40 | ) | |||||||||||||||||
Philippine Peso | Bank of America, NA(a) | 1,986,200 | 42,867 | 6/15/2016 | (786 | ) | |||||||||||||||||
Philippine Peso | Bank of America, NA(a) | 827,596 | 17,865 | 6/15/2016 | (331 | ) | |||||||||||||||||
Philippine Peso | Bank of America, NA(a) | 11,302,453 | 244,716 | 6/15/2016 | (5,253 | ) | |||||||||||||||||
Philippine Peso | Bank of America, NA(a) | 5,001,253 | 106,764 | 6/15/2016 | (803 | ) | |||||||||||||||||
Philippine Peso | Bank of America, NA(a) | 11,330,834 | 245,097 | 6/15/2016 | (5,032 | ) | |||||||||||||||||
Philippine Peso | Bank of America, NA(a) | 305,157 | 6,559 | 6/15/2016 | (94 | ) | |||||||||||||||||
Philippine Peso | Bank of America, NA(a) | 14,088,237 | 304,960 | 6/15/2016 | (6,475 | ) | |||||||||||||||||
Philippine Peso | Bank of America, NA(a) | 598,087 | 12,738 | 6/15/2016 | (66 | ) | |||||||||||||||||
Philippine Peso | Bank of America, NA(a) | 18,444 | 394 | 6/15/2016 | (3 | ) | |||||||||||||||||
Philippine Peso | Bank of America, NA(a) | 10,014,327 | 214,932 | 6/15/2016 | (2,760 | ) | |||||||||||||||||
Philippine Peso | Bank of America, NA(a) | 251,631 | 5,456 | 6/15/2016 | (125 | ) | |||||||||||||||||
Philippine Peso | Bank of America, NA(a) | 3,435,974 | 74,383 | 6/15/2016 | (1,586 | ) | |||||||||||||||||
Philippine Peso | Bank of America, NA(a) | 2,707,126 | 58,714 | 6/15/2016 | (1,359 | ) | |||||||||||||||||
Philippine Peso | Bank of America, NA(a) | 305,290 | 6,602 | 6/15/2016 | (134 | ) | |||||||||||||||||
Philippine Peso | Bank of America, NA(a) | 81,953 | 1,773 | 6/15/2016 | (37 | ) | |||||||||||||||||
Philippine Peso | Bank of America, NA(a) | 105,912 | 2,288 | 6/15/2016 | (44 | ) | |||||||||||||||||
Philippine Peso | Bank of America, NA(a) | 18,515 | 398 | 6/15/2016 | (6 | ) | |||||||||||||||||
Philippine Peso | Bank of America, NA(a) | 11,792,535 | 255,637 | 6/15/2016 | (5,790 | ) | |||||||||||||||||
Philippine Peso | Bank of America, NA(a) | 246,378 | 5,269 | 6/15/2016 | (49 | ) | |||||||||||||||||
Philippine Peso | Bank of America, NA(a) | 11,280,784 | 243,178 | 6/15/2016 | (4,174 | ) | |||||||||||||||||
Philippine Peso | Bank of America, NA(a) | 11,798,065 | 256,140 | 6/15/2016 | (6,176 | ) | |||||||||||||||||
Polish Zloty | Bank of America, NA(a) | 134,062 | 35,213 | 6/15/2016 | (122 | ) | |||||||||||||||||
Polish Zloty | Bank of America, NA(a) | 1,028,464 | 277,179 | 6/15/2016 | (7,974 | ) | |||||||||||||||||
Polish Zloty | Bank of America, NA(a) | 36,774 | 9,832 | 6/15/2016 | (206 | ) | |||||||||||||||||
Polish Zloty | Bank of America, NA(a) | 9,585 | 2,536 | 6/15/2016 | (27 | ) | |||||||||||||||||
Polish Zloty | Bank of America, NA(a) | 4,682 | 1,232 | 6/15/2016 | (6 | ) | |||||||||||||||||
Polish Zloty | Bank of America, NA(a) | 3,848 | 1,002 | 6/15/2016 | 5 | ||||||||||||||||||
Polish Zloty | Bank of America, NA(a) | 1,320 | 342 | 6/15/2016 | 4 | ||||||||||||||||||
Polish Zloty | Bank of America, NA(a) | 946,517 | 254,206 | 6/15/2016 | (6,451 | ) | |||||||||||||||||
Polish Zloty | Bank of America, NA(a) | 8,888 | 2,306 | 6/15/2016 | 20 | ||||||||||||||||||
Polish Zloty | Bank of America, NA(a) | 477,692 | 125,798 | 6/15/2016 | (760 | ) | |||||||||||||||||
Polish Zloty | Bank of America, NA(a) | 35,846 | 9,439 | 6/15/2016 | (56 | ) | |||||||||||||||||
Polish Zloty | Bank of America, NA(a) | 16,681 | 4,441 | 6/15/2016 | (75 | ) |
See Notes to Financial Statements
36
Consolidated Schedule of Investments Neuberger Berman Absolute Return Multi-Manager Fund (Unaudited) (cont'd)
Buy | Counterparty | Contracts to Receive | In Exchange For | Settlement Date | Net Unrealized Appreciation (Depreciation) | ||||||||||||||||||
Polish Zloty | Bank of America, NA(a) | 3,475 | $ | 910 | 6/15/2016 | $ | 0 | (b) | |||||||||||||||
Polish Zloty | Bank of America, NA(a) | 180,929 | 46,625 | 6/15/2016 | 734 | ||||||||||||||||||
Polish Zloty | Bank of America, NA(a) | 7,862 | 2,016 | 6/15/2016 | 42 | ||||||||||||||||||
Polish Zloty | Bank of America, NA(a) | 4,994 | 1,292 | 6/15/2016 | 15 | ||||||||||||||||||
Polish Zloty | Bank of America, NA(a) | 1,611 | 423 | 6/15/2016 | (1 | ) | |||||||||||||||||
Polish Zloty | Bank of America, NA(a) | 26,585 | 6,852 | 6/15/2016 | 107 | ||||||||||||||||||
Polish Zloty | Bank of America, NA(a) | 28,580 | 7,561 | 6/15/2016 | (80 | ) | |||||||||||||||||
Polish Zloty | Bank of America, NA(a) | 1,673 | 445 | 6/15/2016 | (7 | ) | |||||||||||||||||
Polish Zloty | Bank of America, NA(a) | 1,054,142 | 281,316 | 6/15/2016 | (5,390 | ) | |||||||||||||||||
Pound Sterling | JPMorgan Chase Bank, NA | 751,098 | 1,068,061 | 5/9/2016 | 29,422 | ||||||||||||||||||
Pound Sterling | JPMorgan Chase Bank, NA | 143,361 | 208,986 | 5/18/2016 | 494 | ||||||||||||||||||
Pound Sterling | JPMorgan Chase Bank, NA | 851,772 | 1,237,081 | 5/18/2016 | 7,532 | ||||||||||||||||||
Pound Sterling | JPMorgan Chase Bank, NA | 120,364 | 170,256 | 5/18/2016 | 5,620 | ||||||||||||||||||
Pound Sterling | JPMorgan Chase Bank, NA | 31,793 | 46,332 | 6/30/2016 | 131 | ||||||||||||||||||
Pound Sterling | JPMorgan Chase Bank, NA | 14,822 | 21,294 | 6/30/2016 | 367 | ||||||||||||||||||
Singapore Dollar | JPMorgan Chase Bank, NA | 723,877 | 528,429 | 5/18/2016 | 9,608 | ||||||||||||||||||
Singapore Dollar | JPMorgan Chase Bank, NA | 313,803 | 224,378 | 5/18/2016 | 8,863 | ||||||||||||||||||
Singapore Dollar | JPMorgan Chase Bank, NA | 693,200 | 512,004 | 5/18/2016 | 3,231 | ||||||||||||||||||
Singapore Dollar | Bank of America, NA(a) | 358,309 | 264,361 | 6/15/2016 | 1,787 | ||||||||||||||||||
Singapore Dollar | Bank of America, NA(a) | 362,805 | 265,472 | 6/15/2016 | 4,016 | ||||||||||||||||||
Singapore Dollar | Bank of America, NA(a) | 20,995 | 15,376 | 6/15/2016 | 219 | ||||||||||||||||||
Singapore Dollar | Bank of America, NA(a) | 363,984 | 270,916 | 6/15/2016 | (552 | ) | |||||||||||||||||
Singapore Dollar | Bank of America, NA(a) | 333,825 | 245,535 | 6/15/2016 | 2,427 | ||||||||||||||||||
Singapore Dollar | Bank of America, NA(a) | 438,073 | 322,556 | 6/15/2016 | 2,840 | ||||||||||||||||||
Singapore Dollar | Bank of America, NA(a) | 405 | 301 | 6/15/2016 | 0 | (b) | |||||||||||||||||
Singapore Dollar | Bank of America, NA(a) | 2,617 | 1,900 | 6/15/2016 | 44 | ||||||||||||||||||
Singapore Dollar | Bank of America, NA(a) | 344,165 | 256,012 | 6/15/2016 | (369 | ) | |||||||||||||||||
Singapore Dollar | Bank of America, NA(a) | 99,181 | 72,049 | 6/15/2016 | 1,622 | ||||||||||||||||||
Singapore Dollar | Bank of America, NA(a) | 366,139 | 271,308 | 6/15/2016 | 656 | ||||||||||||||||||
Singapore Dollar | Bank of America, NA(a) | 156,183 | 116,046 | 6/15/2016 | (35 | ) | |||||||||||||||||
Singapore Dollar | Bank of America, NA(a) | 440,505 | 325,071 | 6/15/2016 | 2,131 | ||||||||||||||||||
Singapore Dollar | Bank of America, NA(a) | 374,892 | 278,498 | 6/15/2016 | (32 | ) | |||||||||||||||||
Singapore Dollar | Bank of America, NA(a) | 1,867 | 1,354 | 6/15/2016 | 33 | ||||||||||||||||||
Singapore Dollar | Bank of America, NA(a) | 369,675 | 272,245 | 6/15/2016 | 2,346 | ||||||||||||||||||
Singapore Dollar | Bank of America, NA(a) | 350,229 | 260,261 | 6/15/2016 | (114 | ) | |||||||||||||||||
Singapore Dollar | Bank of America, NA(a) | 437,232 | 323,493 | 6/15/2016 | 1,278 | ||||||||||||||||||
Singapore Dollar | Bank of America, NA(a) | 12,035 | 8,709 | 6/15/2016 | 230 | ||||||||||||||||||
Singapore Dollar | Bank of America, NA(a) | 360,483 | 267,824 | 6/15/2016 | (61 | ) | |||||||||||||||||
Singapore Dollar | Bank of America, NA(a) | 364,323 | 269,520 | 6/15/2016 | 1,096 | ||||||||||||||||||
Singapore Dollar | Bank of America, NA(a) | 226,041 | 165,547 | 6/15/2016 | 2,354 | ||||||||||||||||||
Singapore Dollar | Bank of America, NA(a) | 440,636 | 323,542 | 6/15/2016 | 3,758 | ||||||||||||||||||
Singapore Dollar | Bank of America, NA(a) | 422,433 | 312,513 | 6/15/2016 | 1,266 | ||||||||||||||||||
Singapore Dollar | Bank of America, NA(a) | 373,773 | 275,867 | 6/15/2016 | 1,768 | ||||||||||||||||||
Singapore Dollar | Bank of America, NA(a) | 374,159 | 277,809 | 6/15/2016 | 113 | ||||||||||||||||||
South African Rand | JPMorgan Chase Bank, NA | 1,739,185 | 108,040 | 5/18/2016 | 13,743 |
See Notes to Financial Statements
37
Consolidated Schedule of Investments Neuberger Berman Absolute Return Multi-Manager Fund (Unaudited) (cont'd)
Buy | Counterparty | Contracts to Receive | In Exchange For | Settlement Date | Net Unrealized Appreciation (Depreciation) | ||||||||||||||||||
South African Rand | Bank of America, NA(a) | 65,648 | $ | 4,517 | 6/15/2016 | $ | 53 | ||||||||||||||||
South African Rand | Bank of America, NA(a) | 21,494 | 1,491 | 6/15/2016 | 5 | ||||||||||||||||||
South African Rand | Bank of America, NA(a) | 18,409 | 1,177 | 6/15/2016 | 104 | ||||||||||||||||||
South African Rand | Bank of America, NA(a) | 507,494 | 32,874 | 6/15/2016 | 2,452 | ||||||||||||||||||
South African Rand | Bank of America, NA(a) | 266,229 | 17,537 | 6/15/2016 | 995 | ||||||||||||||||||
South African Rand | Bank of America, NA(a) | 468,026 | 31,308 | 6/15/2016 | 1,271 | ||||||||||||||||||
South African Rand | Bank of America, NA(a) | 102,629 | 6,649 | 6/15/2016 | 495 | ||||||||||||||||||
South African Rand | Bank of America, NA(a) | 108,126 | 7,119 | 6/15/2016 | 408 | ||||||||||||||||||
South African Rand | Bank of America, NA(a) | 5,563 | 388 | 6/15/2016 | (1 | ) | |||||||||||||||||
South African Rand | Bank of America, NA(a) | 91,585 | 6,119 | 6/15/2016 | 256 | ||||||||||||||||||
South African Rand | Bank of America, NA(a) | 68,102 | 4,134 | 6/15/2016 | 606 | ||||||||||||||||||
South African Rand | Bank of America, NA(a) | 89,795 | 6,105 | 6/15/2016 | 146 | ||||||||||||||||||
South African Rand | Bank of America, NA(a) | 11,125 | 690 | 6/15/2016 | 84 | ||||||||||||||||||
South African Rand | Bank of America, NA(a) | 6,519 | 444 | 6/15/2016 | 10 | ||||||||||||||||||
South African Rand | Bank of America, NA(a) | 40,865 | 2,791 | 6/15/2016 | 54 | ||||||||||||||||||
South African Rand | Bank of America, NA(a) | 29,091 | 1,906 | 6/15/2016 | 119 | ||||||||||||||||||
South African Rand | Bank of America, NA(a) | 210,464 | 13,470 | 6/15/2016 | 1,180 | ||||||||||||||||||
South African Rand | Bank of America, NA(a) | 35,480 | 2,387 | 6/15/2016 | 83 | ||||||||||||||||||
South African Rand | Bank of America, NA(a) | 48,150 | 3,137 | 6/15/2016 | 215 | ||||||||||||||||||
South African Rand | Bank of America, NA(a) | 16,899 | 1,147 | 6/15/2016 | 29 | ||||||||||||||||||
South African Rand | Bank of America, NA(a) | 47,989 | 3,053 | 6/15/2016 | 287 | ||||||||||||||||||
Swedish Krona | JPMorgan Chase Bank, NA | 10,949,842 | 1,349,417 | 5/9/2016 | 14,401 | ||||||||||||||||||
Swedish Krona | JPMorgan Chase Bank, NA | 2,979,807 | 351,276 | 5/18/2016 | 19,984 | ||||||||||||||||||
Swedish Krona | JPMorgan Chase Bank, NA | 23,487,882 | 2,798,959 | 5/18/2016 | 127,443 | ||||||||||||||||||
Swedish Krona | JPMorgan Chase Bank, NA | 1,237,183 | 146,226 | 5/18/2016 | 7,917 | ||||||||||||||||||
Swedish Krona | JPMorgan Chase Bank, NA | 7,634,275 | 941,056 | 5/18/2016 | 10,114 | ||||||||||||||||||
Swedish Krona | JPMorgan Chase Bank, NA | 4,189,828 | 515,963 | 5/18/2016 | 6,056 | ||||||||||||||||||
Swedish Krona | Bank of America, NA(a) | 171,434 | 21,021 | 6/15/2016 | 361 | ||||||||||||||||||
Swedish Krona | Bank of America, NA(a) | 1,423,155 | 175,185 | 6/15/2016 | 2,318 | ||||||||||||||||||
Swedish Krona | Bank of America, NA(a) | 1,811,382 | 223,125 | 6/15/2016 | 2,799 | ||||||||||||||||||
Swedish Krona | Bank of America, NA(a) | 1,678,644 | 207,424 | 6/15/2016 | 1,945 | ||||||||||||||||||
Swedish Krona | Bank of America, NA(a) | 1,952,693 | 241,858 | 6/15/2016 | 1,691 | ||||||||||||||||||
Swedish Krona | Bank of America, NA(a) | 1,795,903 | 222,048 | 6/15/2016 | 1,946 | ||||||||||||||||||
Swedish Krona | Bank of America, NA(a) | 2,052,886 | 253,978 | 6/15/2016 | 2,068 | ||||||||||||||||||
Swedish Krona | Bank of America, NA(a) | 1,340,529 | 165,022 | 6/15/2016 | 2,175 | ||||||||||||||||||
Swedish Krona | Bank of America, NA(a) | 1,478,358 | 181,843 | 6/15/2016 | 2,545 | ||||||||||||||||||
Swedish Krona | Bank of America, NA(a) | 1,926,486 | 232,782 | 6/15/2016 | 7,499 | ||||||||||||||||||
Swedish Krona | Bank of America, NA(a) | 2,149,462 | 260,706 | 6/15/2016 | 7,385 | ||||||||||||||||||
Swedish Krona | Bank of America, NA(a) | 298,916 | 36,863 | 6/15/2016 | 419 | ||||||||||||||||||
Swedish Krona | Bank of America, NA(a) | 1,813,916 | 225,253 | 6/15/2016 | 987 | ||||||||||||||||||
Swedish Krona | Bank of America, NA(a) | 1,733,024 | 213,755 | 6/15/2016 | 2,396 | ||||||||||||||||||
Swedish Krona | Bank of America, NA(a) | 421,459 | 50,445 | 6/15/2016 | 2,121 | ||||||||||||||||||
Swedish Krona | Bank of America, NA(a) | 1,888,803 | 232,681 | 6/15/2016 | 2,900 | ||||||||||||||||||
Swedish Krona | Bank of America, NA(a) | 1,762,169 | 218,938 | 6/15/2016 | 848 | ||||||||||||||||||
Swedish Krona | Bank of America, NA(a) | 2,146,909 | 262,240 | 6/15/2016 | 5,533 |
See Notes to Financial Statements
38
Consolidated Schedule of Investments Neuberger Berman Absolute Return Multi-Manager Fund (Unaudited) (cont'd)
Buy | Counterparty | Contracts to Receive | In Exchange For | Settlement Date | Net Unrealized Appreciation (Depreciation) | ||||||||||||||||||
Swedish Krona | Bank of America, NA(a) | 1,506,624 | $ | 185,618 | 6/15/2016 | $ | 2,295 | ||||||||||||||||
Swedish Krona | Bank of America, NA(a) | 1,762,519 | 217,393 | 6/15/2016 | 2,437 | ||||||||||||||||||
Swedish Krona | Bank of America, NA(a) | 2,137,410 | 260,724 | 6/15/2016 | 5,864 | ||||||||||||||||||
Swedish Krona | Bank of America, NA(a) | 1,906,679 | 235,471 | 6/15/2016 | 2,339 | ||||||||||||||||||
Swedish Krona | Bank of America, NA(a) | 2,164,604 | 264,581 | 6/15/2016 | 5,399 | ||||||||||||||||||
Swedish Krona | Bank of America, NA(a) | 1,855,833 | 229,688 | 6/15/2016 | 1,781 | ||||||||||||||||||
Swedish Krona | Bank of America, NA(a) | 14,976 | 1,800 | 6/15/2016 | 68 | ||||||||||||||||||
Swedish Krona | Bank of America, NA(a) | 1,835,273 | 227,125 | 6/15/2016 | 1,779 | ||||||||||||||||||
Swedish Krona | Bank of America, NA(a) | 83,858 | 10,253 | 6/15/2016 | 206 | ||||||||||||||||||
Swedish Krona | Bank of America, NA(a) | 1,578,541 | 196,548 | 6/15/2016 | 335 | ||||||||||||||||||
Swedish Krona | Bank of America, NA(a) | 56,875 | 6,843 | 6/15/2016 | 251 | ||||||||||||||||||
Swedish Krona | Bank of America, NA(a) | 1,720,550 | 213,435 | 6/15/2016 | 1,160 | ||||||||||||||||||
Swedish Krona | JPMorgan Chase Bank, NA | 322,483 | 38,765 | 6/30/2016 | 1,481 | ||||||||||||||||||
Swedish Krona | JPMorgan Chase Bank, NA | 243,490 | 29,005 | 6/30/2016 | 1,382 | ||||||||||||||||||
Swiss Franc | JPMorgan Chase Bank, NA | 345,429 | 349,016 | 5/18/2016 | 11,298 | ||||||||||||||||||
Swiss Franc | JPMorgan Chase Bank, NA | 503,867 | 520,310 | 5/18/2016 | 5,269 | ||||||||||||||||||
Swiss Franc | JPMorgan Chase Bank, NA | 382,448 | 394,361 | 5/18/2016 | 4,567 | ||||||||||||||||||
Swiss Franc | JPMorgan Chase Bank, NA | 854,028 | 884,128 | 5/18/2016 | 6,701 | ||||||||||||||||||
Swiss Franc | JPMorgan Chase Bank, NA | 478,274 | 498,472 | 5/18/2016 | 411 | ||||||||||||||||||
Taiwan Dollar | Bank of America, NA(a) | 85,503 | 2,655 | 6/15/2016 | (8 | ) | |||||||||||||||||
Taiwan Dollar | Bank of America, NA(a) | 189,431 | 5,871 | 6/15/2016 | (8 | ) | |||||||||||||||||
Taiwan Dollar | Bank of America, NA(a) | 16,056 | 498 | 6/15/2016 | (1 | ) | |||||||||||||||||
Taiwan Dollar | Bank of America, NA(a) | 182,847 | 5,661 | 6/15/2016 | (1 | ) | |||||||||||||||||
Taiwan Dollar | Bank of America, NA(a) | 2,575,170 | 78,761 | 6/15/2016 | 947 | ||||||||||||||||||
Taiwan Dollar | Bank of America, NA(a) | 2,041 | 63 | 6/15/2016 | 0 | (b) | |||||||||||||||||
Taiwan Dollar | Bank of America, NA(a) | 217,444 | 6,717 | 6/15/2016 | 13 | ||||||||||||||||||
Taiwan Dollar | Bank of America, NA(a) | 29,073 | 899 | 6/15/2016 | 1 | ||||||||||||||||||
Taiwan Dollar | Bank of America, NA(a) | 335,388 | 10,336 | 6/15/2016 | 45 | ||||||||||||||||||
Taiwan Dollar | Bank of America, NA(a) | 8,082 | 251 | 6/15/2016 | (1 | ) | |||||||||||||||||
Taiwan Dollar | Bank of America, NA(a) | 581,727 | 18,006 | 6/15/2016 | 0 | (b) | |||||||||||||||||
Taiwan Dollar | Bank of America, NA(a) | 64,454 | 1,971 | 6/15/2016 | 24 | ||||||||||||||||||
Taiwan Dollar | Bank of America, NA(a) | 4,039,599 | 124,579 | 6/15/2016 | 457 | ||||||||||||||||||
Taiwan Dollar | Bank of America, NA(a) | 349,512 | 10,825 | 6/15/2016 | (7 | ) | |||||||||||||||||
Taiwan Dollar | Bank of America, NA(a) | 584,614 | 18,121 | 6/15/2016 | (26 | ) | |||||||||||||||||
Taiwan Dollar | Bank of America, NA(a) | 179,073 | 5,556 | 6/15/2016 | (13 | ) | |||||||||||||||||
Taiwan Dollar | Bank of America, NA(a) | 16,637 | 516 | 6/15/2016 | (1 | ) | |||||||||||||||||
Taiwan Dollar | Bank of America, NA(a) | 47,055 | 1,446 | 6/15/2016 | 10 | ||||||||||||||||||
Taiwan Dollar | Bank of America, NA(a) | 276,443 | 8,600 | 6/15/2016 | (43 | ) | |||||||||||||||||
Taiwan Dollar | Bank of America, NA(a) | 41,294 | 1,270 | 6/15/2016 | 8 | ||||||||||||||||||
Taiwan Dollar | Bank of America, NA(a) | 324,613 | 9,909 | 6/15/2016 | 139 | ||||||||||||||||||
Taiwan Dollar | Bank of America, NA(a) | 32,510 | 1,007 | 6/15/2016 | (1 | ) | |||||||||||||||||
Turkish Lira | Bank of America, NA(a) | 8,687 | 2,897 | 6/15/2016 | 170 | ||||||||||||||||||
Turkish Lira | Bank of America, NA(a) | 442,676 | 155,214 | 6/15/2016 | 1,081 | ||||||||||||||||||
Turkish Lira | Bank of America, NA(a) | 1,488 | 506 | 6/15/2016 | 19 | ||||||||||||||||||
Turkish Lira | Bank of America, NA(a) | 471,222 | 165,042 | 6/15/2016 | 1,332 | ||||||||||||||||||
Turkish Lira | Bank of America, NA(a) | 463,845 | 159,978 | 6/15/2016 | 3,791 |
See Notes to Financial Statements
39
Consolidated Schedule of Investments Neuberger Berman Absolute Return Multi-Manager Fund (Unaudited) (cont'd)
Buy | Counterparty | Contracts to Receive | In Exchange For | Settlement Date | Net Unrealized Appreciation (Depreciation) | ||||||||||||||||||
Turkish Lira | Bank of America, NA(a) | 451,755 | $ | 154,627 | 6/15/2016 | $ | 4,874 | ||||||||||||||||
Turkish Lira | Bank of America, NA(a) | 474,717 | 166,522 | 6/15/2016 | 1,086 | ||||||||||||||||||
Turkish Lira | Bank of America, NA(a) | 491,936 | 169,501 | 6/15/2016 | 4,186 | ||||||||||||||||||
Turkish Lira | Bank of America, NA(a) | 574,100 | 199,463 | 6/15/2016 | 3,234 | ||||||||||||||||||
Turkish Lira | Bank of America, NA(a) | 471,137 | 164,588 | 6/15/2016 | 1,755 | ||||||||||||||||||
Turkish Lira | Bank of America, NA(a) | 2,064 | 696 | 6/15/2016 | 33 | ||||||||||||||||||
Turkish Lira | Bank of America, NA(a) | 531,338 | 184,703 | 6/15/2016 | 2,896 | ||||||||||||||||||
Turkish Lira | Bank of America, NA(a) | 482,743 | 168,328 | 6/15/2016 | 2,113 | ||||||||||||||||||
Turkish Lira | Bank of America, NA(a) | 463,456 | 161,548 | 6/15/2016 | 2,084 | ||||||||||||||||||
Turkish Lira | Bank of America, NA(a) | 1,508 | 515 | 6/15/2016 | 18 | ||||||||||||||||||
Turkish Lira | Bank of America, NA(a) | 5,736 | 1,944 | 6/15/2016 | 81 | ||||||||||||||||||
Turkish Lira | Bank of America, NA(a) | 158 | 55 | 6/15/2016 | 1 | ||||||||||||||||||
Turkish Lira | Bank of America, NA(a) | 467,753 | 164,982 | 6/15/2016 | 167 | ||||||||||||||||||
Turkish Lira | Bank of America, NA(a) | 482,194 | 166,680 | 6/15/2016 | 3,567 | ||||||||||||||||||
Turkish Lira | Bank of America, NA(a) | 903 | 308 | 6/15/2016 | 11 | ||||||||||||||||||
Turkish Lira | Bank of America, NA(a) | 494,904 | 171,733 | 6/15/2016 | 3,002 | ||||||||||||||||||
Turkish Lira | Bank of America, NA(a) | 488,007 | 169,780 | 6/15/2016 | 2,520 | ||||||||||||||||||
Turkish Lira | Bank of America, NA(a) | 22,440 | 7,667 | 6/15/2016 | 256 | ||||||||||||||||||
Turkish Lira | Bank of America, NA(a) | 6,367 | 2,199 | 6/15/2016 | 49 | ||||||||||||||||||
Total | $ | 1,263,220 | |||||||||||||||||||||
Sell | Counterparty | Contracts to Deliver | In Exchange For | Settlement Date | Net Unrealized Appreciation (Depreciation) | ||||||||||||||||||
Australian Dollar | JPMorgan Chase Bank, NA | 353,044 | $ | 249,372 | 5/18/2016 | $ | (18,895 | ) | |||||||||||||||
Australian Dollar | JPMorgan Chase Bank, NA | 1,804,807 | 1,300,549 | 5/18/2016 | (70,868 | ) | |||||||||||||||||
Australian Dollar | JPMorgan Chase Bank, NA | 222,480 | 170,114 | 6/30/2016 | 1,375 | ||||||||||||||||||
Brazilian Real | Bank of America, NA(a) | 1,467,000 | 402,194 | 5/3/2016 | (24,353 | ) | |||||||||||||||||
Brazilian Real | Bank of America, NA(a) | 2,341,768 | 666,828 | 5/3/2016 | (14,067 | ) | |||||||||||||||||
Brazilian Real | JPMorgan Chase Bank, NA | 9,019,676 | 2,228,731 | 5/3/2016 | (393,840 | ) | |||||||||||||||||
Canadian Dollar | JPMorgan Chase Bank, NA | 1,053,319 | 766,186 | 5/18/2016 | (73,312 | ) | |||||||||||||||||
Canadian Dollar | JPMorgan Chase Bank, NA | 166,435 | 119,212 | 5/18/2016 | (13,437 | ) | |||||||||||||||||
Canadian Dollar | JPMorgan Chase Bank, NA | 1,750,208 | 1,349,559 | 6/30/2016 | (45,373 | ) | |||||||||||||||||
Chilean Peso | Bank of America, NA(a) | 1,218,565 | 1,759 | 6/15/2016 | (78 | ) | |||||||||||||||||
Chilean Peso | Bank of America, NA(a) | 1,566,709 | 2,305 | 6/15/2016 | (57 | ) | |||||||||||||||||
Chilean Peso | Bank of America, NA(a) | 621,455,029 | 901,430 | 6/15/2016 | (35,482 | ) | |||||||||||||||||
Chilean Peso | Bank of America, NA(a) | 2,753,055 | 4,008 | 6/15/2016 | (143 | ) | |||||||||||||||||
Czech Koruna | Bank of America, NA(a) | 24,922 | 1,041 | 6/15/2016 | (15 | ) | |||||||||||||||||
Czech Koruna | Bank of America, NA(a) | 3,355 | 138 | 6/15/2016 | (4 | ) | |||||||||||||||||
Czech Koruna | Bank of America, NA(a) | 29,336 | 1,216 | 6/15/2016 | (27 | ) | |||||||||||||||||
Czech Koruna | Bank of America, NA(a) | 47,236 | 1,992 | 6/15/2016 | (10 | ) | |||||||||||||||||
Czech Koruna | Bank of America, NA(a) | 7,314 | 309 | 6/15/2016 | (1 | ) | |||||||||||||||||
Czech Koruna | Bank of America, NA(a) | 7,927 | 332 | 6/15/2016 | (4 | ) | |||||||||||||||||
Czech Koruna | Bank of America, NA(a) | 16,332 | 690 | 6/15/2016 | (2 | ) | |||||||||||||||||
Czech Koruna | Bank of America, NA(a) | 16,364 | 684 | 6/15/2016 | (10 | ) | |||||||||||||||||
Czech Koruna | Bank of America, NA(a) | 16,945 | 707 | 6/15/2016 | (11 | ) |
See Notes to Financial Statements
40
Consolidated Schedule of Investments Neuberger Berman Absolute Return Multi-Manager Fund (Unaudited) (cont'd)
Sell | Counterparty | Contracts to Deliver | In Exchange For | Settlement Date | Net Unrealized Appreciation (Depreciation) | ||||||||||||||||||
Czech Koruna | Bank of America, NA(a) | 12,127,312 | $ | 501,243 | 6/15/2016 | $ | (12,741 | ) | |||||||||||||||
Czech Koruna | Bank of America, NA(a) | 16,717 | 697 | 6/15/2016 | (11 | ) | |||||||||||||||||
Danish Krone | JPMorgan Chase Bank, NA | 4,143,653 | 621,629 | 5/18/2016 | (16,167 | ) | |||||||||||||||||
Danish Krone | JPMorgan Chase Bank, NA | 3,912,754 | 595,363 | 5/18/2016 | (6,893 | ) | |||||||||||||||||
Danish Krone | JPMorgan Chase Bank, NA | 2,192,472 | 319,990 | 5/18/2016 | (17,478 | ) | |||||||||||||||||
Danish Krone | JPMorgan Chase Bank, NA | 1,628,463 | 246,538 | 5/18/2016 | (4,117 | ) | |||||||||||||||||
Euro | Bank of America, NA(a) | 155,341 | 177,067 | 5/6/2016 | (821 | ) | |||||||||||||||||
Euro | Bank of America, NA(a) | 232,612 | 264,485 | 5/6/2016 | (1,890 | ) | |||||||||||||||||
Euro | Bank of America, NA(a) | 130,321 | 148,322 | 5/6/2016 | (915 | ) | |||||||||||||||||
Euro | Bank of America, NA(a) | 84,582 | 95,528 | 5/6/2016 | (1,331 | ) | |||||||||||||||||
Euro | Bank of America, NA(a) | 104,510 | 119,241 | 5/6/2016 | (438 | ) | |||||||||||||||||
Euro | JPMorgan Chase Bank, NA | 6,684,463 | 7,536,732 | 5/9/2016 | (118,601 | ) | |||||||||||||||||
Euro | JPMorgan Chase Bank, NA | 2,609,290 | 2,839,469 | 5/18/2016 | (149,607 | ) | |||||||||||||||||
Euro | JPMorgan Chase Bank, NA | 1,046,973 | 1,151,002 | 5/18/2016 | (48,359 | ) | |||||||||||||||||
Euro | JPMorgan Chase Bank, NA | 798,854 | 912,718 | 5/18/2016 | (2,410 | ) | |||||||||||||||||
Euro | JPMorgan Chase Bank, NA | 2,592,406 | 2,901,737 | 5/18/2016 | (67,998 | ) | |||||||||||||||||
Euro | JPMorgan Chase Bank, NA | 560,302 | 624,760 | 5/18/2016 | (17,095 | ) | |||||||||||||||||
Euro | JPMorgan Chase Bank, NA | 1,206,655 | 1,341,338 | 5/18/2016 | (40,947 | ) | |||||||||||||||||
Euro | JPMorgan Chase Bank, NA | 1,234,289 | 1,391,033 | 5/18/2016 | (22,909 | ) | |||||||||||||||||
Euro | JPMorgan Chase Bank, NA | 2,202,582 | 2,512,950 | 5/18/2016 | (10,221 | ) | |||||||||||||||||
Euro | JPMorgan Chase Bank, NA | 8,572,085 | 9,685,153 | 5/18/2016 | (134,612 | ) | |||||||||||||||||
Euro | JPMorgan Chase Bank, NA | 2,149,399 | 2,452,890 | 6/30/2016 | (12,899 | ) | |||||||||||||||||
Hong Kong Dollar | JPMorgan Chase Bank, NA | 21,426,275 | 2,762,898 | 5/9/2016 | 506 | ||||||||||||||||||
Hungarian Forint | Bank of America, NA(a) | 150,935,021 | 533,735 | 6/15/2016 | (19,974 | ) | |||||||||||||||||
Hungarian Forint | Bank of America, NA(a) | 110,002 | 402 | 6/15/2016 | (2 | ) | |||||||||||||||||
Hungarian Forint | Bank of America, NA(a) | 377,628 | 1,345 | 6/15/2016 | (40 | ) | |||||||||||||||||
Hungarian Forint | Bank of America, NA(a) | 455,954 | 1,611 | 6/15/2016 | (62 | ) | |||||||||||||||||
Hungarian Forint | Bank of America, NA(a) | 27,408 | 100 | 6/15/2016 | (1 | ) | |||||||||||||||||
Hungarian Forint | Bank of America, NA(a) | 773,526 | 2,735 | 6/15/2016 | (103 | ) | |||||||||||||||||
Hungarian Forint | Bank of America, NA(a) | 258,365 | 921 | 6/15/2016 | (27 | ) | |||||||||||||||||
Indian Rupee | Bank of America, NA(a) | 22,963 | 336 | 6/15/2016 | (7 | ) | |||||||||||||||||
Indian Rupee | Bank of America, NA(a) | 31,328,095 | 459,700 | 6/15/2016 | (8,145 | ) | |||||||||||||||||
Israeli New Shekel | Bank of America, NA(a) | 2,418 | 631 | 6/15/2016 | (17 | ) | |||||||||||||||||
Israeli New Shekel | Bank of America, NA(a) | 676 | 174 | 6/15/2016 | (7 | ) | |||||||||||||||||
Israeli New Shekel | Bank of America, NA(a) | 477 | 124 | 6/15/2016 | (4 | ) | |||||||||||||||||
Israeli New Shekel | Bank of America, NA(a) | 3,492 | 908 | 6/15/2016 | (27 | ) | |||||||||||||||||
Israeli New Shekel | Bank of America, NA(a) | 1,157,800 | 299,015 | 6/15/2016 | (11,092 | ) | |||||||||||||||||
Japanese Yen | Bank of America, NA(a) | 9,972,852 | 89,622 | 5/6/2016 | (4,113 | ) | |||||||||||||||||
Japanese Yen | Bank of America, NA(a) | 12,933,517 | 118,636 | 5/6/2016 | (2,927 | ) | |||||||||||||||||
Japanese Yen | Bank of America, NA(a) | 11,729,059 | 106,360 | 5/6/2016 | (3,882 | ) | |||||||||||||||||
Japanese Yen | JPMorgan Chase Bank, NA | 261,253,050 | 2,390,851 | 5/18/2016 | (65,355 | ) | |||||||||||||||||
Japanese Yen | JPMorgan Chase Bank, NA | 50,830,908 | 448,075 | 5/18/2016 | (29,819 | ) | |||||||||||||||||
Korean Won | Bank of America, NA(a) | 2,827,471 | 2,445 | 6/15/2016 | (20 | ) | |||||||||||||||||
Korean Won | Bank of America, NA(a) | 1,709,802 | 1,436 | 6/15/2016 | (54 | ) | |||||||||||||||||
Korean Won | Bank of America, NA(a) | 1,075,693 | 924 | 6/15/2016 | (14 | ) | |||||||||||||||||
Korean Won | Bank of America, NA(a) | 11,429,276 | 9,595 | 6/15/2016 | (368 | ) |
See Notes to Financial Statements
41
Consolidated Schedule of Investments Neuberger Berman Absolute Return Multi-Manager Fund (Unaudited) (cont'd)
Sell | Counterparty | Contracts to Deliver | In Exchange For | Settlement Date | Net Unrealized Appreciation (Depreciation) | ||||||||||||||||||
Korean Won | Bank of America, NA(a) | 904,700 | $ | 776 | 6/15/2016 | $ | (13 | ) | |||||||||||||||
Korean Won | Bank of America, NA(a) | 36,032,814 | 30,125 | 6/15/2016 | (1,284 | ) | |||||||||||||||||
Korean Won | Bank of America, NA(a) | 738,492 | 635 | 6/15/2016 | (9 | ) | |||||||||||||||||
Korean Won | Bank of America, NA(a) | 824,046,983 | 692,034 | 6/15/2016 | (26,275 | ) | |||||||||||||||||
Korean Won | Bank of America, NA(a) | 619,284 | 544 | 6/15/2016 | 4 | ||||||||||||||||||
Korean Won | Bank of America, NA(a) | 8,357,804 | 7,328 | 6/15/2016 | 43 | ||||||||||||||||||
Malaysian Ringgit | Bank of America, NA(a) | 2,847 | 703 | 6/15/2016 | (23 | ) | |||||||||||||||||
Malaysian Ringgit | Bank of America, NA(a) | 16,062 | 4,082 | 6/15/2016 | (14 | ) | |||||||||||||||||
Malaysian Ringgit | Bank of America, NA(a) | 1,041 | 268 | 6/15/2016 | 2 | ||||||||||||||||||
Malaysian Ringgit | Bank of America, NA(a) | 2,607 | 668 | 6/15/2016 | 3 | ||||||||||||||||||
Malaysian Ringgit | Bank of America, NA(a) | 273 | 66 | 6/15/2016 | (4 | ) | |||||||||||||||||
Malaysian Ringgit | Bank of America, NA(a) | 3,057,453 | 747,906 | 6/15/2016 | (31,792 | ) | |||||||||||||||||
Malaysian Ringgit | Bank of America, NA(a) | 1,325 | 340 | 6/15/2016 | 2 | ||||||||||||||||||
Malaysian Ringgit | Bank of America, NA(a) | 6,637 | 1,690 | 6/15/2016 | (2 | ) | |||||||||||||||||
Mexican Peso | JPMorgan Chase Bank, NA | 8,573,695 | 489,171 | 5/9/2016 | (8,882 | ) | |||||||||||||||||
Norwegian Krone | JPMorgan Chase Bank, NA | 2,458,193 | 286,155 | 5/18/2016 | (19,122 | ) | |||||||||||||||||
Norwegian Krone | JPMorgan Chase Bank, NA | 150,903 | 17,568 | 5/18/2016 | (1,172 | ) | |||||||||||||||||
Norwegian Krone | JPMorgan Chase Bank, NA | 5,439,760 | 636,141 | 5/18/2016 | (39,409 | ) | |||||||||||||||||
Norwegian Krone | Bank of America, NA(a) | 22,673 | 2,803 | 6/15/2016 | (12 | ) | |||||||||||||||||
Norwegian Krone | Bank of America, NA(a) | 2,794 | 330 | 6/15/2016 | (17 | ) | |||||||||||||||||
Norwegian Krone | Bank of America, NA(a) | 7,698 | 900 | 6/15/2016 | (56 | ) | |||||||||||||||||
Norwegian Krone | Bank of America, NA(a) | 15,377 | 1,813 | 6/15/2016 | (96 | ) | |||||||||||||||||
Norwegian Krone | Bank of America, NA(a) | 6,105,561 | 724,174 | 6/15/2016 | (33,952 | ) | |||||||||||||||||
Norwegian Krone | Bank of America, NA(a) | 11,965 | 1,464 | 6/15/2016 | (22 | ) | |||||||||||||||||
Norwegian Krone | Bank of America, NA(a) | 11,789 | 1,400 | 6/15/2016 | (64 | ) | |||||||||||||||||
Norwegian Krone | Bank of America, NA(a) | 17,144 | 2,081 | 6/15/2016 | (48 | ) | |||||||||||||||||
Philippine Peso | Bank of America, NA(a) | 160,778 | 3,423 | 6/15/2016 | 17 | ||||||||||||||||||
Philippine Peso | Bank of America, NA(a) | 11,804 | 251 | 6/15/2016 | 1 | ||||||||||||||||||
Philippine Peso | Bank of America, NA(a) | 110,814 | 2,349 | 6/15/2016 | 1 | ||||||||||||||||||
Philippine Peso | Bank of America, NA(a) | 106,980 | 2,306 | 6/15/2016 | 39 | ||||||||||||||||||
Philippine Peso | Bank of America, NA(a) | 49,081 | 1,053 | 6/15/2016 | 13 | ||||||||||||||||||
Philippine Peso | Bank of America, NA(a) | 95,668 | 2,026 | 6/15/2016 | (1 | ) | |||||||||||||||||
Philippine Peso | Bank of America, NA(a) | 47,845 | 1,034 | 6/15/2016 | 20 | ||||||||||||||||||
Philippine Peso | Bank of America, NA(a) | 179,088 | 3,815 | 6/15/2016 | 21 | ||||||||||||||||||
Philippine Peso | Bank of America, NA(a) | 84,046,561 | 1,792,420 | 6/15/2016 | 11,738 | ||||||||||||||||||
Polish Zloty | Bank of America, NA(a) | 4,504 | 1,191 | 6/15/2016 | 12 | ||||||||||||||||||
Polish Zloty | Bank of America, NA(a) | 1,490 | 395 | 6/15/2016 | 5 | ||||||||||||||||||
Polish Zloty | Bank of America, NA(a) | 4,047 | 1,076 | 6/15/2016 | 17 | ||||||||||||||||||
Polish Zloty | Bank of America, NA(a) | 5,866 | 1,545 | 6/15/2016 | 10 | ||||||||||||||||||
Polish Zloty | Bank of America, NA(a) | 23,943 | 6,364 | 6/15/2016 | 97 | ||||||||||||||||||
Polish Zloty | Bank of America, NA(a) | 8,319 | 2,133 | 6/15/2016 | (45 | ) | |||||||||||||||||
Polish Zloty | Bank of America, NA(a) | 21,720 | 5,699 | 6/15/2016 | 14 | ||||||||||||||||||
Polish Zloty | Bank of America, NA(a) | 2,677 | 703 | 6/15/2016 | 2 | ||||||||||||||||||
Polish Zloty | Bank of America, NA(a) | 2,854,767 | 741,161 | 6/15/2016 | (6,087 | ) | |||||||||||||||||
Polish Zloty | Bank of America, NA(a) | 15,810 | 4,165 | 6/15/2016 | 27 | ||||||||||||||||||
Pound Sterling | Bank of America, NA(a) | 75,122 | 106,247 | 5/6/2016 | (3,518 | ) |
See Notes to Financial Statements
42
Consolidated Schedule of Investments Neuberger Berman Absolute Return Multi-Manager Fund (Unaudited) (cont'd)
Sell | Counterparty | Contracts to Deliver | In Exchange For | Settlement Date | Net Unrealized Appreciation (Depreciation) | ||||||||||||||||||
Pound Sterling | JPMorgan Chase Bank, NA | 154,632 | $ | 224,662 | 5/18/2016 | $ | (1,287 | ) | |||||||||||||||
Pound Sterling | JPMorgan Chase Bank, NA | 193,211 | 278,692 | 5/18/2016 | (3,629 | ) | |||||||||||||||||
Pound Sterling | JPMorgan Chase Bank, NA | 85,231 | 122,413 | 5/18/2016 | (2,127 | ) | |||||||||||||||||
Pound Sterling | JPMorgan Chase Bank, NA | 92,753 | 131,321 | 5/18/2016 | (4,210 | ) | |||||||||||||||||
Pound Sterling | JPMorgan Chase Bank, NA | 71,405 | 100,143 | 5/18/2016 | (4,194 | ) | |||||||||||||||||
Pound Sterling | JPMorgan Chase Bank, NA | 3,193,960 | 4,606,460 | 6/30/2016 | (61,238 | ) | |||||||||||||||||
Pound Sterling | JPMorgan Chase Bank, NA | 276,980 | 394,236 | 6/30/2016 | (10,546 | ) | |||||||||||||||||
Singapore Dollar | JPMorgan Chase Bank, NA | 1,659,612 | 1,189,937 | 5/18/2016 | (43,604 | ) | |||||||||||||||||
Singapore Dollar | JPMorgan Chase Bank, NA | 71,268 | 50,730 | 5/18/2016 | (2,241 | ) | |||||||||||||||||
Singapore Dollar | Bank of America, NA(a) | 7,120 | 5,271 | 6/15/2016 | (18 | ) | |||||||||||||||||
Singapore Dollar | Bank of America, NA(a) | 520 | 384 | 6/15/2016 | (2 | ) | |||||||||||||||||
Singapore Dollar | Bank of America, NA(a) | 48,930 | 36,197 | 6/15/2016 | (148 | ) | |||||||||||||||||
Singapore Dollar | Bank of America, NA(a) | 37,158 | 27,337 | 6/15/2016 | (264 | ) | |||||||||||||||||
Singapore Dollar | Bank of America, NA(a) | 1,621,834 | 1,177,038 | 6/15/2016 | (27,644 | ) | |||||||||||||||||
Singapore Dollar | Bank of America, NA(a) | 1,431 | 1,060 | 6/15/2016 | (3 | ) | |||||||||||||||||
Singapore Dollar | Bank of America, NA(a) | 604 | 440 | 6/15/2016 | (9 | ) | |||||||||||||||||
Singapore Dollar | Bank of America, NA(a) | 18,636 | 13,746 | 6/15/2016 | (97 | ) | |||||||||||||||||
South African Rand | JPMorgan Chase Bank, NA | 848,297 | 53,405 | 5/18/2016 | (5,995 | ) | |||||||||||||||||
South African Rand | JPMorgan Chase Bank, NA | 3,201,439 | 206,056 | 5/18/2016 | (18,118 | ) | |||||||||||||||||
South African Rand | JPMorgan Chase Bank, NA | 10,439,961 | 647,681 | 5/18/2016 | (83,355 | ) | |||||||||||||||||
South African Rand | Bank of America, NA(a) | 37,262 | 2,369 | 6/15/2016 | (225 | ) | |||||||||||||||||
South African Rand | Bank of America, NA(a) | 42,561 | 2,944 | 6/15/2016 | (19 | ) | |||||||||||||||||
South African Rand | Bank of America, NA(a) | 218 | 14 | 6/15/2016 | (1 | ) | |||||||||||||||||
South African Rand | Bank of America, NA(a) | 5,885 | 402 | 6/15/2016 | (8 | ) | |||||||||||||||||
South African Rand | Bank of America, NA(a) | 4,351 | 293 | 6/15/2016 | (10 | ) | |||||||||||||||||
South African Rand | Bank of America, NA(a) | 6,846 | 472 | 6/15/2016 | (5 | ) | |||||||||||||||||
South African Rand | Bank of America, NA(a) | 33,486 | 2,240 | 6/15/2016 | (91 | ) | |||||||||||||||||
South African Rand | Bank of America, NA(a) | 15,916 | 1,113 | 6/15/2016 | 5 | ||||||||||||||||||
South African Rand | Bank of America, NA(a) | 11,703 | 755 | 6/15/2016 | (60 | ) | |||||||||||||||||
South African Rand | Bank of America, NA(a) | 9,399 | 605 | 6/15/2016 | (49 | ) | |||||||||||||||||
South African Rand | Bank of America, NA(a) | 3,435 | 230 | 6/15/2016 | (9 | ) | |||||||||||||||||
South African Rand | Bank of America, NA(a) | 8,558,913 | 551,535 | 6/15/2016 | (44,238 | ) | |||||||||||||||||
Swedish Krona | JPMorgan Chase Bank, NA | 21,087,770 | 2,589,999 | 5/9/2016 | (36,511 | ) | |||||||||||||||||
Swedish Krona | JPMorgan Chase Bank, NA | 3,405,079 | 423,670 | 5/18/2016 | (576 | ) | |||||||||||||||||
Swedish Krona | JPMorgan Chase Bank, NA | 2,827,353 | 344,507 | 5/18/2016 | (7,759 | ) | |||||||||||||||||
Swedish Krona | JPMorgan Chase Bank, NA | 230,969 | 26,923 | 5/18/2016 | (1,854 | ) | |||||||||||||||||
Swedish Krona | JPMorgan Chase Bank, NA | 4,072,646 | 481,220 | 5/18/2016 | (26,199 | ) | |||||||||||||||||
Swedish Krona | JPMorgan Chase Bank, NA | 11,111,281 | 1,329,877 | 5/18/2016 | (54,500 | ) | |||||||||||||||||
Swedish Krona | JPMorgan Chase Bank, NA | 4,300,720 | 530,504 | 5/18/2016 | (5,331 | ) | |||||||||||||||||
Swedish Krona | Bank of America, NA(a) | 2,799 | 339 | 6/15/2016 | (10 | ) | |||||||||||||||||
Swedish Krona | Bank of America, NA(a) | 69,517 | 8,527 | 6/15/2016 | (143 | ) | |||||||||||||||||
Swedish Krona | Bank of America, NA(a) | 10,302 | 1,243 | 6/15/2016 | (42 | ) | |||||||||||||||||
Swedish Krona | Bank of America, NA(a) | 6,907,305 | 830,872 | 6/15/2016 | (30,641 | ) | |||||||||||||||||
Swedish Krona | Bank of America, NA(a) | 42,152 | 5,181 | 6/15/2016 | (76 | ) | |||||||||||||||||
Swedish Krona | JPMorgan Chase Bank, NA | 290,400 | 34,291 | 6/30/2016 | (1,951 | ) | |||||||||||||||||
Swedish Krona | JPMorgan Chase Bank, NA | 567,600 | 69,307 | 6/30/2016 | (1,529 | ) |
See Notes to Financial Statements
43
Consolidated Schedule of Investments Neuberger Berman Absolute Return Multi-Manager Fund (Unaudited) (cont'd)
Sell | Counterparty | Contracts to Deliver | In Exchange For | Settlement Date | Net Unrealized Appreciation (Depreciation) | ||||||||||||||||||
Swedish Krona | JPMorgan Chase Bank, NA | 580,800 | $ | 69,099 | 6/30/2016 | $ | (3,384 | ) | |||||||||||||||
Swedish Krona | JPMorgan Chase Bank, NA | 39,600 | 4,892 | 6/30/2016 | (50 | ) | |||||||||||||||||
Swedish Krona | JPMorgan Chase Bank, NA | 633,600 | 75,152 | 6/30/2016 | (3,921 | ) | |||||||||||||||||
Swedish Krona | JPMorgan Chase Bank, NA | 607,200 | 73,131 | 6/30/2016 | (2,647 | ) | |||||||||||||||||
Swedish Krona | JPMorgan Chase Bank, NA | 565,973 | 67,020 | 6/30/2016 | (3,613 | ) | |||||||||||||||||
Swedish Krona | JPMorgan Chase Bank, NA | 7,431,600 | 880,019 | 6/30/2016 | (47,440 | ) | |||||||||||||||||
Swedish Krona | JPMorgan Chase Bank, NA | 237,600 | 28,814 | 6/30/2016 | (838 | ) | |||||||||||||||||
Swedish Krona | JPMorgan Chase Bank, NA | 1,491,600 | 176,679 | 6/30/2016 | (9,472 | ) | |||||||||||||||||
Swedish Krona | JPMorgan Chase Bank, NA | 224,400 | 27,351 | 6/30/2016 | (654 | ) | |||||||||||||||||
Swedish Krona | JPMorgan Chase Bank, NA | 244,200 | 29,452 | 6/30/2016 | (1,024 | ) | |||||||||||||||||
Swedish Krona | JPMorgan Chase Bank, NA | 607,200 | 74,501 | 6/30/2016 | (1,277 | ) | |||||||||||||||||
Swedish Krona | JPMorgan Chase Bank, NA | 277,200 | 32,832 | 6/30/2016 | (1,762 | ) | |||||||||||||||||
Swedish Krona | JPMorgan Chase Bank, NA | 607,200 | 71,548 | 6/30/2016 | (4,230 | ) | |||||||||||||||||
Swedish Krona | JPMorgan Chase Bank, NA | 178,200 | 22,094 | 6/30/2016 | (145 | ) | |||||||||||||||||
Swedish Krona | JPMorgan Chase Bank, NA | 5,535,000 | 685,130 | 6/30/2016 | (5,634 | ) | |||||||||||||||||
Swedish Krona | JPMorgan Chase Bank, NA | 290,400 | 35,022 | 6/30/2016 | (1,220 | ) | |||||||||||||||||
Swedish Krona | JPMorgan Chase Bank, NA | 1,399,200 | 172,341 | 6/30/2016 | (2,278 | ) | |||||||||||||||||
Swedish Krona | JPMorgan Chase Bank, NA | 699,600 | 82,932 | 6/30/2016 | (4,378 | ) | |||||||||||||||||
Swedish Krona | JPMorgan Chase Bank, NA | 303,600 | 35,650 | 6/30/2016 | (2,239 | ) | |||||||||||||||||
Swedish Krona | JPMorgan Chase Bank, NA | 330,000 | 39,064 | 6/30/2016 | (2,120 | ) | |||||||||||||||||
Swedish Krona | JPMorgan Chase Bank, NA | 198,000 | 24,488 | 6/30/2016 | (222 | ) | |||||||||||||||||
Swedish Krona | JPMorgan Chase Bank, NA | 277,200 | 33,065 | 6/30/2016 | (1,529 | ) | |||||||||||||||||
Swedish Krona | JPMorgan Chase Bank, NA | 462,000 | 54,131 | 6/30/2016 | (3,526 | ) | |||||||||||||||||
Swiss Franc | JPMorgan Chase Bank, NA | 1,367,345 | 1,415,911 | 5/9/2016 | (9,803 | ) | |||||||||||||||||
Swiss Franc | JPMorgan Chase Bank, NA | 1,257,567 | 1,298,222 | 5/18/2016 | (13,535 | ) | |||||||||||||||||
Swiss Franc | JPMorgan Chase Bank, NA | 200,048 | 201,749 | 5/18/2016 | (6,919 | ) | |||||||||||||||||
Swiss Franc | JPMorgan Chase Bank, NA | 1,318,852 | 1,324,906 | 5/18/2016 | (50,776 | ) | |||||||||||||||||
Swiss Franc | JPMorgan Chase Bank, NA | 71,124 | 71,579 | 5/18/2016 | (2,610 | ) | |||||||||||||||||
Swiss Franc | JPMorgan Chase Bank, NA | 26,600 | 27,375 | 6/30/2016 | (427 | ) | |||||||||||||||||
Taiwan Dollar | Bank of America, NA(a) | 31,605 | 978 | 6/15/2016 | 0 | (b) | |||||||||||||||||
Taiwan Dollar | Bank of America, NA(a) | 21,743 | 671 | 6/15/2016 | (2 | ) | |||||||||||||||||
Taiwan Dollar | Bank of America, NA(a) | 28,551 | 879 | 6/15/2016 | (5 | ) | |||||||||||||||||
Taiwan Dollar | Bank of America, NA(a) | 78,803 | 2,415 | 6/15/2016 | (24 | ) | |||||||||||||||||
Taiwan Dollar | Bank of America, NA(a) | 9,699 | 299 | 6/15/2016 | (1 | ) | |||||||||||||||||
Taiwan Dollar | Bank of America, NA(a) | 20,434 | 631 | 6/15/2016 | (1 | ) | |||||||||||||||||
Taiwan Dollar | Bank of America, NA(a) | 37,083 | 1,145 | 6/15/2016 | (3 | ) | |||||||||||||||||
Taiwan Dollar | Bank of America, NA(a) | 40,400,165 | 1,236,216 | 6/15/2016 | (14,269 | ) | |||||||||||||||||
Taiwan Dollar | Bank of America, NA(a) | 121,488 | 3,771 | 6/15/2016 | 11 | ||||||||||||||||||
Taiwan Dollar | Bank of America, NA(a) | 22,228 | 687 | 6/15/2016 | (1 | ) | |||||||||||||||||
Turkish Lira | Bank of America, NA(a) | 3,063 | 1,055 | 6/15/2016 | (26 | ) | |||||||||||||||||
Turkish Lira | Bank of America, NA(a) | 1,297,717 | 438,567 | 6/15/2016 | (19,616 | ) | |||||||||||||||||
Turkish Lira | Bank of America, NA(a) | 751 | 258 | 6/15/2016 | (7 | ) | |||||||||||||||||
Turkish Lira | Bank of America, NA(a) | 11,909 | 4,126 | 6/15/2016 | (79 | ) | |||||||||||||||||
Turkish Lira | Bank of America, NA(a) | 17,512 | 6,091 | 6/15/2016 | (92 | ) | |||||||||||||||||
Turkish Lira | Bank of America, NA(a) | 5,741 | 1,976 | 6/15/2016 | (51 | ) |
See Notes to Financial Statements
44
Consolidated Schedule of Investments Neuberger Berman Absolute Return Multi-Manager Fund (Unaudited) (cont'd)
Sell | Counterparty | Contracts to Deliver | In Exchange For | Settlement Date | Net Unrealized Appreciation (Depreciation) | ||||||||||||||||||
Turkish Lira | Bank of America, NA(a) | 1,145 | $ | 390 | 6/15/2016 | $ | (14 | ) | |||||||||||||||
Turkish Lira | Bank of America, NA(a) | 291 | 101 | 6/15/2016 | (2 | ) | |||||||||||||||||
Turkish Lira | Bank of America, NA(a) | 1,178 | 406 | 6/15/2016 | (10 | ) | |||||||||||||||||
Turkish Lira | Bank of America, NA(a) | 2,497 | 850 | 6/15/2016 | (32 | ) | |||||||||||||||||
Total | $ | (2,384,917 | ) |
(a) The investment is held by the Subsidiary (see Note A in Notes to Financial Statements.)
(b) A zero balance reflects actual amounts rounding to less than $1.
For the six months ended April 30, 2016, the average notional value of forward contracts for the Fund was $70,777,833.
Total return swap contracts ("total return swaps")
At April 30, 2016, the Fund had outstanding total return swaps as follows:
Long Total Return Swaps
Swap Counterparty | Reference Entity | Termination Date | Currency | Notional Value(b) | Unrealized Appreciation (Depreciation) | ||||||||||||||||||
Bank of America, NA | KOSPI 200 Index Futures(a) | 6/9/2016 | KRW | 1,742,071,550 | $ | (21,603 | ) |
KRW Korean Won
(a) The investment is held by the Subsidiary (see Note A in Notes to Financial Statements.)
(b) Notional value represents the value (including any fees or commissions) of the long positions when they were established.
Short Total Return Swaps
Swap Counterparty | Reference Entity | Termination Date | Currency | Notional Value(b) | Unrealized Appreciation (Depreciation) | ||||||||||||||||||
Bank of America NA | IBEX 35 Index Futures(a) | 5/20/2016 | EUR | (1,026,461 | ) | $ | (60,693 | ) |
EUR Euro
(a) The investment is held by the Subsidiary (see Note A in Notes to Financial Statements.)
(b) Notional value represents the value (including any fees or commissions) of the short positions when they were established.
For the six months ended April 30, 2016, the average notional value of total return swaps for the Fund was $2,492,774 for long positions and $(2,234,214) for short positions.
See Notes to Financial Statements
45
Consolidated Schedule of Investments Neuberger Berman Absolute Return Multi-Manager Fund (Unaudited) (cont'd)
Credit default swap contracts ("credit default swaps")
At April 30, 2016, the Fund had outstanding OTC credit default swaps as follows:
OTC Credit Default Swaps—Buy Protection
Swap Counterparty | Reference Entity | Notional Amount | Contract Annual Fixed Rate* | Termination Date | Unamortized Upfront Payments (Received) Paid | Unrealized Appreciation (Depreciation) | Accrued Net Interest Receivable/ (Payable) | Total Fair Value | |||||||||||||||||||||||||||||||
JPMorgan Chase Bank, NA | Assured Guaranty Municipal Corp., 0.00%, 12/31/99 | $ | 2,000,000 | 5.00 | % | 6/20/2021 | $ | (189,303 | ) | $ | 8,460 | $ | (11,111 | ) | $ | (191,954 | ) | ||||||||||||||||||||||
JPMorgan Chase Bank, NA | Avon Products, Inc., 6.50%, 03/01/19 | 2,000,000 | 5.00 | 9/20/2020 | 113,420 | 139,802 | (11,111 | ) | 242,111 | ||||||||||||||||||||||||||||||
JPMorgan Chase Bank, NA | Avon Products, Inc., 6.50%, 03/01/19 | 1,000,000 | 5.00 | 12/20/2020 | 164,008 | (26,895 | ) | (5,556 | ) | 131,557 | |||||||||||||||||||||||||||||
JPMorgan Chase Bank, NA | Best Buy Co., Inc., 5.50%, 03/15/21 | 3,000,000 | 5.00 | 9/20/2020 | (321,615 | ) | (93,798 | ) | (16,667 | ) | (432,080 | ) | |||||||||||||||||||||||||||
JPMorgan Chase Bank, NA | Gap, Inc. (The), 5.95%, 04/12/21 | 3,000,000 | 1.00 | 12/20/2020 | 281,046 | (66,949 | ) | (3,333 | ) | 210,764 | |||||||||||||||||||||||||||||
JPMorgan Chase Bank, NA | JC Penney Corp., Inc., 6.38%, 10/15/36 | 3,000,000 | 5.00 | 9/20/2020 | 126,022 | (33,053 | ) | (16,667 | ) | 76,302 | |||||||||||||||||||||||||||||
JPMorgan Chase Bank, NA | Nordstrom, Inc., 6.95%, 03/15/28 | 2,000,000 | 1.00 | 12/20/2020 | 49,635 | (23,285 | ) | (2,222 | ) | 24,128 | |||||||||||||||||||||||||||||
JPMorgan Chase Bank, NA | Staples, Inc., 2.75%, 01/12/18 | 3,000,000 | 1.00 | 9/20/2020 | 78,003 | 41,480 | (3,333 | ) | 116,150 | ||||||||||||||||||||||||||||||
JPMorgan Chase Bank, NA | United States Steel Corp., 6.65%, 06/01/37 | 2,000,000 | 5.00 | 9/20/2020 | 39,472 | 116,646 | (11,111 | ) | 145,007 | ||||||||||||||||||||||||||||||
Total | $ | 340,688 | $ | 62,408 | $ | (81,111 | ) | $ | 321,985 |
* 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.
OTC Credit Default Swaps—Sell Protection
Swap Counterparty | Reference Entity | Notional Amount | Contract Annual Fixed Rate* | Termination Date | Unamortized Upfront Payments (Received) Paid | Unrealized Appreciation (Depreciation) | Accrued Net Interest Receivable/ (Payable) | Total Fair Value | |||||||||||||||||||||||||||
JPMorgan Chase Bank, NA | United States Steel Corp., 6.65%, 6/1/37 | $ | 2,000,000 | 5.00 | % | 6/20/2019 | $ | (181,980 | ) | $ | 169,463 | $ | 11,111 | $ | (1,406 | ) | |||||||||||||||||||
$ | (181,980 | ) | $ | 169,463 | $ | 11,111 | $ | (1,406 | ) |
* 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 OTC credit default swaps.
See Notes to Financial Statements
46
Consolidated Schedule of Investments Neuberger Berman Absolute Return Multi-Manager Fund (Unaudited) (cont'd)
At April 30, 2016, the Fund had outstanding centrally cleared credit default index swaps as follows:
Centrally Cleared Credit Default Swaps—Buy Protection
Clearing house | Reference Entity | Notional Amount | Contract Annual Fixed Rate* | Termination Date | Unamortized Upfront Payments (Received) Paid | Unrealized Appreciation (Depreciation) | Accrued Net Interest Receivable/ (Payable) | Total Fair Value | |||||||||||||||||||||||||||||||
ICE Clear Credit | CDX North America Investment Grade | $10,000,000 | 1.00% | 12/20/2020 | $(60,306) | $ | (18,970 | ) | $(11,111) | $(90,387) | |||||||||||||||||||||||||||||
ICE Clear Credit | iTraxx Europe Crossover Index | EUR(b)11,000,000 | 5.00 | 12/20/2020 | (957,156) | 93,555 | (69,975) | (933,576) | |||||||||||||||||||||||||||||||
Total | $ | (1,017,462 | ) | $ | 74,585 | $ | (81,086 | ) | $ | (1,023,963 | ) |
(b) EUR Euro
* 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.
For the six months ended April 30, 2016, the average notional value of credit default swaps for the Fund was $42,952,507 for buy protection and $285,714 for sell protection. The Fund had deposited $1,851,661 in segregated accounts to cover margin requirements on open centrally cleared swaps.
Equity swap contracts ("equity swaps")
At April 30, 2016, the outstanding equity swaps* for the Fund were as follows:
Counterparty | Description | Expiration Date(s) | Value | ||||||
JPMorgan Chase Bank, NA | 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. | 5/6/16- 8/17/16 | $ | (273,103 | ) |
* The following table represents the individual long and short positions and related values of the equity swaps with JPMorgan Chase Bank, NA as of April 30, 2016.
Reference Entity | Shares | Notional Value(a)(b) | Net Unrealized Appreciation (Depreciation) | ||||||||||||
Long Positions | |||||||||||||||
Brazil | |||||||||||||||
Porto Sudeste Royalties FIP | 3,867,765 | $ | 2,335,635 | $ | (367,593 | ) | |||||||||
Canada | |||||||||||||||
Athabasca Oil Corp. | 424,931 | 500,379 | (46,560 | ) | |||||||||||
France | |||||||||||||||
Elior | 57,824 | 1,221,417 | 21,701 | ||||||||||||
Natixis SA | 115,975 | 626,946 | 12,739 | ||||||||||||
Schneider Electric SE | 9,250 | 590,455 | 11,578 | ||||||||||||
Societe Television Francaise(1) | 135,609 | 1,676,602 | (46,948 | ) | |||||||||||
(930 | ) |
See Notes to Financial Statements
47
Consolidated Schedule of Investments Neuberger Berman Absolute Return Multi-Manager Fund (Unaudited) (cont'd)
Reference Entity | Shares | Notional Value(a)(b) | Net Unrealized Appreciation (Depreciation) | ||||||||||||
Ireland | |||||||||||||||
Bank of Ireland | 1,617,307 | $ | 634,022 | $ | (143,269 | ) | |||||||||
CRH plc | 42,326 | 1,212,842 | 16,725 | ||||||||||||
Shire plc | 33,763 | 2,147,444 | (45,374 | ) | |||||||||||
(171,918 | ) | ||||||||||||||
Spain | |||||||||||||||
Atresmedia Corp. de Medios de Comunicacion SA | 48,115 | 618,839 | 7,580 | ||||||||||||
Telepizza Group Sa | 84,900 | 751,591 | (153,720 | ) | |||||||||||
(146,140 | ) | ||||||||||||||
United Kingdom | |||||||||||||||
Premier Oil plc | 244,404 | 325,017 | (61,648 | ) | |||||||||||
Rexam plc | 269,535 | 2,457,535 | 3,909 | ||||||||||||
SABMiller plc | 79,302 | 4,666,953 | 182,295 | ||||||||||||
Spire Healthcare Group plc | 81,392 | 377,304 | 12,297 | ||||||||||||
136,853 | |||||||||||||||
United States | |||||||||||||||
Safeway, Inc. | 429,292 | 0 | (c) | 150,252 | (d)(e) | ||||||||||
Safeway, Inc. | 429,292 | 0 | (c) | 21,465 | (d)(e) | ||||||||||
Signet Jewelers Ltd. | 5,682 | 748,064 | (131,226 | ) | |||||||||||
40,491 | |||||||||||||||
Total Long Positions of Equity Swaps | (555,797 | ) | |||||||||||||
Short Positions | |||||||||||||||
France | |||||||||||||||
Airbus Group SE | (10,284 | ) | (698,530 | ) | 55,460 | ||||||||||
Danone SA | (8,240 | ) | (579,548 | ) | 2,395 | ||||||||||
Sanofi | (6,761 | ) | (583,947 | ) | 25,694 | ||||||||||
83,549 | |||||||||||||||
United Kingdom | |||||||||||||||
Barratt Developments plc | (66,888 | ) | (583,019 | ) | 62,589 | ||||||||||
easyJet plc | (27,131 | ) | (584,965 | ) | 1,032 | ||||||||||
ITV plc | (223,016 | ) | (787,467 | ) | 53,631 | ||||||||||
Taylor Wimpey plc | (219,188 | ) | (573,284 | ) | (16,967 | ) | |||||||||
100,285 | |||||||||||||||
Total Short Positions of Equity Swaps | 183,834 | ||||||||||||||
Total Long and Short Positions of Equity Swaps | (371,963 | ) | |||||||||||||
Financing Costs and Other Receivables/(Payables) | 98,860 | ||||||||||||||
Equity Swaps, at value—JPMorgan Chase Bank, NA | $ | (273,103 | ) |
See Notes to Financial Statements
48
Consolidated Schedule of Investments Neuberger Berman Absolute Return Multi-Manager Fund (Unaudited) (cont'd)
Counterparty | Description | Expiration Date(s) | Value | ||||||||||||
Morgan Stanley Capital Services LLC | 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. | 6/12/16- 9/3/17 | $ | (1,664,678 | ) |
* The following table represents the individual long and short positions and related values of the equity swaps with Morgan Stanley Capital Services LLC as of April 30, 2016.
Reference Entity | Shares | Notional Value(a)(b) | Net Unrealized Appreciation (Depreciation) | ||||||||||||
Long Positions | |||||||||||||||
Brazil | |||||||||||||||
Cia Brasileira de Distribuicao | 13,281 | $ | 161,284 | $ | 33,283 | ||||||||||
Hypermarcas SA | 48,171 | 302,899 | 122,051 | ||||||||||||
155,334 | |||||||||||||||
France | |||||||||||||||
Amundi SA | 8,383 | 436,876 | (51,094 | ) | |||||||||||
BNP Paribas SA | 20,491 | 1,217,634 | (132,695 | ) | |||||||||||
Iliad SA | 7,543 | 1,842,494 | (194,101 | ) | |||||||||||
JCDecaux SA | 6,534 | 268,671 | 19,937 | ||||||||||||
Publicis Groupe SA | 18,157 | 1,243,667 | 100,034 | ||||||||||||
Remy Cointreau SA | 25,299 | 1,919,192 | 180,454 | ||||||||||||
Societe Generale SA | 7,928 | 339,619 | (28,698 | ) | |||||||||||
(106,163 | ) | ||||||||||||||
India | |||||||||||||||
Dr Reddy's Laboratories Ltd. | 10,552 | 495,324 | (14,153 | ) | |||||||||||
Ireland | |||||||||||||||
iShares Euro High Yield Corporate Bond UCITS Fund | 10,036 | 1,200,574 | (2,677 | ) | |||||||||||
Ryanair Holdings plc | 147,713 | 2,426,663 | (196,568 | ) | |||||||||||
(199,245 | ) | ||||||||||||||
Jordan | |||||||||||||||
Hikma Pharmaceuticals plc | 20,810 | 652,026 | 18,134 | ||||||||||||
Luxembourg | |||||||||||||||
Eurofins Scientific SE | 2,725 | 1,045,220 | (34,099 | ) | |||||||||||
South Africa | |||||||||||||||
Aspen Pharmacare Holdings Ltd. | 20,688 | 419,920 | 67,631 | ||||||||||||
South Korea | |||||||||||||||
NAVER Corp. | 781 | 422,755 | 41,293 | ||||||||||||
Sweden | |||||||||||||||
Meda AB | 125,224 | 2,353,267 | (43,848 | ) | |||||||||||
Turkey | |||||||||||||||
Migros Ticaret A/S | 61,310 | 387,139 | 41,242 |
See Notes to Financial Statements
49
Consolidated Schedule of Investments Neuberger Berman Absolute Return Multi-Manager Fund (Unaudited) (cont'd)
Reference Entity | Shares | Notional Value(a)(b) | Net Unrealized Appreciation (Depreciation) | ||||||||||||
United Kingdom | |||||||||||||||
Admiral Group plc | 100,320 | $ | 2,480,613 | $ | 241,425 | ||||||||||
ASOS plc | 13,666 | 676,191 | 42,860 | ||||||||||||
Barclays plc | 327,438 | 1,006,509 | (185,991 | ) | |||||||||||
Burberry Group plc | 9,604 | 171,824 | (4,973 | ) | |||||||||||
Croda International plc | 30,248 | 1,279,195 | 51,573 | ||||||||||||
ITV plc | 702,770 | 2,692,762 | (380,291 | ) | |||||||||||
Pets At Home Group Plc | 40,614 | 170,187 | (26,339 | ) | |||||||||||
Rexam plc | 381,259 | 3,302,878 | 178,850 | ||||||||||||
RSA Insurance Group plc | 166,127 | 1,072,518 | 41,885 | ||||||||||||
Smith & Nephew plc | 118,645 | 1,934,775 | 69,245 | ||||||||||||
Smiths Group plc | 21,810 | 318,690 | 34,404 | ||||||||||||
Sports Direct International plc | 647,395 | 4,738,164 | (1,094,399 | ) | |||||||||||
(1,031,751 | ) | ||||||||||||||
United States | |||||||||||||||
Alphabet, Inc. | 2,801 | 2,174,441 | (191,670 | ) | |||||||||||
Apple, Inc. | 12,646 | 1,416,559 | (231,123 | ) | |||||||||||
Coach, Inc. | 25,499 | 840,179 | 186,666 | ||||||||||||
Expedia, Inc. | 8,244 | 996,609 | (42,201 | ) | |||||||||||
Mead Johnson Nutrition Co. | 13,926 | 1,109,604 | 104,047 | ||||||||||||
(174,281 | ) | ||||||||||||||
Total Long Positions of Equity Swaps | (1,279,906 | ) | |||||||||||||
Short Positions | |||||||||||||||
France | |||||||||||||||
Air France-KLM | (73,068 | ) | (556,730 | ) | (98,546 | ) | |||||||||
Electricite de France SA | (22,074 | ) | (323,028 | ) | 5,943 | ||||||||||
Kering | (3,352 | ) | (610,917 | ) | 36,529 | ||||||||||
Lagardere SCA | (30,432 | ) | (922,688 | ) | 115,302 | ||||||||||
Orange SA | (61,433 | ) | (1,100,961 | ) | 82,382 | ||||||||||
141,610 | |||||||||||||||
Germany | |||||||||||||||
Deutsche Lufthansa AG | (39,312 | ) | (616,275 | ) | 5,883 | ||||||||||
Deutsche Telekom AG | (61,765 | ) | (1,155,455 | ) | 74,438 | ||||||||||
80,321 | |||||||||||||||
Italy | |||||||||||||||
Eni SpA | (54,302 | ) | (892,525 | ) | 9,590 | ||||||||||
Netherlands | |||||||||||||||
Koninklijke Ahold NV | (62,553 | ) | (1,408,998 | ) | 48,098 |
See Notes to Financial Statements
50
Consolidated Schedule of Investments Neuberger Berman Absolute Return Multi-Manager Fund (Unaudited) (cont'd)
Reference Entity | Shares | Notional Value(a)(b) | Net Unrealized Appreciation (Depreciation) | ||||||||||||
Spain | |||||||||||||||
Industria de Diseno Textil SA | (44,655 | ) | $ | (1,595,013 | ) | $ | 161,522 | ||||||||
Switzerland | |||||||||||||||
Givaudan SA | (568 | ) | (1,089,223 | ) | (29,843 | ) | |||||||||
Roche Holding AG | (1,523 | ) | (423,255 | ) | 38,258 | ||||||||||
8,415 | |||||||||||||||
United Kingdom | |||||||||||||||
Bunzl plc | (37,527 | ) | (1,046,268 | ) | (71,768 | ) | |||||||||
GlaxoSmithKline plc | (32,502 | ) | (646,845 | ) | (46,039 | ) | |||||||||
Marks & Spencer Group plc | (523,450 | ) | (3,447,174 | ) | 208,081 | ||||||||||
WPP plc | (51,481 | ) | (1,165,068 | ) | (35,466 | ) | |||||||||
54,808 | |||||||||||||||
United States | |||||||||||||||
Ball Corp. | (8,613 | ) | (591,199 | ) | (23,597 | ) | |||||||||
Energy Transfer Equity LP | (198,273 | ) | (1,585,785 | ) | (878,749 | ) | |||||||||
Merck & Co., Inc. | (6,572 | ) | (351,832 | ) | (8,576 | ) | |||||||||
Pfizer, Inc. | (11,269 | ) | (363,916 | ) | (4,693 | ) | |||||||||
(915,615 | ) | ||||||||||||||
Total Short Positions of Equity Swaps | (411,251 | ) | |||||||||||||
Total Long and Short Positions of Equity Swaps | (1,691,157 | ) | |||||||||||||
Financing Costs and Other Receivables/(Payables) | 26,479 | ||||||||||||||
Equity Swaps, at value—Morgan Stanley Capital Services LLC | (1,664,678 | ) | |||||||||||||
Total Equity Swaps, at value | $ | (1,937,781 | ) |
(a) Notional value represents the value (including any fees or commissions) of the long and short positions when they were established.
(b) For the six months ended April 30, 2016, the average notional value of equity swaps was $76,653,514 for long positions and $(24,601,847) for short positions, respectively for the Fund.
(c) A zero balance reflects actual amounts rounding to less than $1.
(d) These securities have been deemed by the investment manager to be illiquid.
(e) Security fair valued as of 4/30/2016 in accordance with procedures approved by the Board of Trustees.
At April 30, 2016, the Fund had deposited cash collateral of $14,640,000, $3,241,189 and $8,670,000 in a segregated account for Morgan Stanley Capital Services LLC, Bank of America, NA and JPMorgan Chase Bank, NA, respectively.
See Notes to Financial Statements
51
Consolidated Schedule of Investments Neuberger Berman Absolute Return Multi-Manager Fund (Unaudited) (cont'd)
Written option contracts ("options written")
At April 30, 2016, the Fund had outstanding options written as follows:
Name of Issuer | Contracts | Exercise Price | Expiration Date | Market Value of Options | |||||||||||||||
Carmike Cinemas, Inc., Call | 22 | $ | 30 | 9/16/2016 | $ | (2,134 | ) | ||||||||||||
iShares Russell 2000 ETF, Put | 459 | 91 | 5/20/2016 | (1,377 | ) | ||||||||||||||
iShares Russell 2000 ETF, Put | 459 | 90 | 6/17/2016 | (6,885 | ) | ||||||||||||||
iShares Russell 2000 ETF, Put | 253 | 93 | 7/15/2016 | (13,156 | ) | ||||||||||||||
Pacific Biosciences of California, Inc., Call | 601 | 10 | 5/20/2016 | (42,070 | ) | ||||||||||||||
Pfizer, Inc., Call | 551 | 37 | 1/20/2017 | (25,346 | ) | ||||||||||||||
Pfizer, Inc., Put | 551 | 25 | 1/20/2017 | (23,142 | ) | ||||||||||||||
Valeant Pharmaceuticals International, Inc., Put | 91 | 70 | 1/20/2017 | (342,160 | ) | ||||||||||||||
WR Grace & Co., Call | 159 | 82.5 | 5/20/2016 | (9,540 | ) | ||||||||||||||
Zoetis, Inc., Call | 261 | 49 | 5/20/2016 | (16,965 | ) | ||||||||||||||
Total | $ | (482,775 | ) |
Options written for the Fund for the six months ended April 30, 2016 were as follows:
Number of Contracts | Premium Received | ||||||||||
Outstanding 10/31/15 | 13,969 | $ | 4,939,440 | ||||||||
Options written | 18,338 | 1,193,417 | |||||||||
Options closed | (16,203 | ) | (5,224,011 | ) | |||||||
Options exercised | (1 | ) | (69 | ) | |||||||
Options expired | (12,696 | ) | (649,593 | ) | |||||||
Outstanding 4/30/16 | 3,407 | $ | 259,184 |
For the six months ended April 30, 2016, the Fund had an average market value of $4,657,139 in purchased option contracts, and $(915,821) in options written, respectively.
The following is a summary, categorized by Level, of inputs used to value the Fund's investments as of April 30, 2016:
Asset Valuation Inputs | |||||||||||||||||||
(000's omitted) | Level 1 | Level 2 | Level 3(a) | Total | |||||||||||||||
Investments: | |||||||||||||||||||
Common Stocks | |||||||||||||||||||
Airlines | $ | 192 | $ | — | $ | 12 | $ | 204 | |||||||||||
Commercial Services & Supplies | 13,238 | 617 | — | 13,855 | |||||||||||||||
Food Products | 13,985 | 177 | — | 14,162 | |||||||||||||||
Health Care Equipment & Supplies | 13,896 | — | 16 | 13,912 | |||||||||||||||
Health Care Providers & Services | 3,563 | 472 | — | 4,035 | |||||||||||||||
Hotels, Restaurants & Leisure | 8,345 | 326 | — | 8,671 | |||||||||||||||
Insurance | 2,730 | 1,767 | — | 4,497 | |||||||||||||||
Internet Software & Services | 14,174 | 793 | — | 14,967 | |||||||||||||||
Life Sciences Tools & Services | 4,714 | — | 844 | 5,558 | |||||||||||||||
Machinery | 7,667 | 827 | — | 8,494 |
See Notes to Financial Statements
52
Consolidated Schedule of Investments Neuberger Berman Absolute Return Multi-Manager Fund (Unaudited) (cont'd)
Asset Valuation Inputs | |||||||||||||||||||
(000's omitted) | Level 1 | Level 2 | Level 3(a) | Total | |||||||||||||||
Media | $ | 46,495 | $ | — | $ | 1 | $ | 46,496 | |||||||||||
Real Estate Management & Development | 32 | 577 | — | 609 | |||||||||||||||
Textiles, Apparel & Luxury Goods | 9,941 | 656 | — | 10,597 | |||||||||||||||
Other Common Stocks(b) | 237,612 | — | — | 237,612 | |||||||||||||||
Total Common Stocks | 376,584 | 6,212 | 873 | 383,669 | |||||||||||||||
Loan Assignments | |||||||||||||||||||
Advertising | — | 2,823 | 1,434 | 4,257 | |||||||||||||||
Electronic Equipment, Instruments & Components | — | — | 646 | 646 | |||||||||||||||
Health Care Providers & Services | — | 3,605 | 0 | (c) | 3,605 | ||||||||||||||
Health Care Technology | — | 600 | 872 | 1,472 | |||||||||||||||
Oil, Gas & Consumable Fuels | — | 1,517 | 29 | 1,546 | |||||||||||||||
Professional Services | — | — | 2,545 | 2,545 | |||||||||||||||
Semiconductors & Semiconductor Equipment | — | 791 | 215 | 1,006 | |||||||||||||||
Trading Companies & Distributors | — | — | 632 | 632 | |||||||||||||||
Other Loan Assignments(b) | — | 68,106 | — | 68,106 | |||||||||||||||
Total Loan Assignments | — | 77,442 | 6,373 | 83,815 | |||||||||||||||
Asset-Backed Securities | — | 67,027 | — | 67,027 | |||||||||||||||
Commercial Mortgage-Backed Securities | — | 64,981 | — | 64,981 | |||||||||||||||
Corporate Bonds | |||||||||||||||||||
Banks | — | — | 14,037 | 14,037 | |||||||||||||||
Capital Markets | — | — | 5,400 | 5,400 | |||||||||||||||
Other Corporate Bonds(b) | — | 33,233 | — | 33,233 | |||||||||||||||
Total Corporate Bonds | — | 33,233 | 19,437 | 52,670 | |||||||||||||||
Master Limited Partnerships(b) | 25,079 | — | — | 25,079 | |||||||||||||||
Collateralized Mortgage Obligations | — | 12,032 | — | 12,032 | |||||||||||||||
Convertible Bonds(b) | — | 1,711 | — | 1,711 | |||||||||||||||
Options Purchased | 1,290 | — | — | (c) | 1,290 | ||||||||||||||
U.S. Treasury Obligation | — | 876 | — | 876 | |||||||||||||||
Rights | |||||||||||||||||||
Biotechnology | — | — | 116 | 116 | |||||||||||||||
Food & Staples Retailing | — | — | 45 | 45 | |||||||||||||||
Wireless Telecommunication Services | — | — | 189 | 189 | |||||||||||||||
Other Rights(b) | 0 | (c) | — | — | 0 | (c) | |||||||||||||
Total Rights | 0 | (c) | — | 350 | 350 | ||||||||||||||
Warrants | 230 | — | — | (c) | 230 | ||||||||||||||
Short-Term Investments | — | 205,335 | — | 205,335 | |||||||||||||||
Total Long Positions | $ | 403,183 | $ | 468,849 | $ | 27,033 | $ | 899,065 |
(b) The Schedule of Investments provides information on the industry categorization for the portfolio.
See Notes to Financial Statements
53
Consolidated Schedule of Investments Neuberger Berman Absolute Return Multi-Manager Fund (Unaudited) (cont'd)
(c) A zero balance reflects actual amounts rounding to less than $1,000.
(a) The following is a reconciliation between the beginning and ending balances of investments in which unobservable inputs (Level 3) were used in determining value:
(000's omitted) | Beginning balance as of 11/1/15 | Accrued discounts/ (premiums) | Realized gain/loss and change in unrealized appreciation/ (depreciation) | Purchases | Sales | Transfers into Level 3 | Transfers out of Level 3 | Balance as of 4/30/16 | Net change in unrealized appreciation/ (depreciation) from investments still held as of 4/30/16 | ||||||||||||||||||||||||||||||
Investments in Securities: | |||||||||||||||||||||||||||||||||||||||
Common Stocks(b) | |||||||||||||||||||||||||||||||||||||||
Airlines | $ | — | $ | — | $ | (43 | ) | $ | — | $ | — | $ | 55 | $ | — | $ | 12 | $ | (43 | ) | |||||||||||||||||||
Health Care Equipment & Supplies | 16 | — | — | — | — | — | — | 16 | — | ||||||||||||||||||||||||||||||
Life Sciences Tools & Services | — | — | (94 | ) | 6,280 | (6,923 | ) | 1,581 | — | 844 | (22 | ) | |||||||||||||||||||||||||||
Media | 1 | — | — | — | — | — | — | 1 | — | ||||||||||||||||||||||||||||||
Rights(b) | |||||||||||||||||||||||||||||||||||||||
Biotechnology | 3 | — | 85 | — | (40 | ) | 68 | — | 116 | 44 | |||||||||||||||||||||||||||||
Food & Staples Retailing | 45 | — | — | — | — | — | — | 45 | — | ||||||||||||||||||||||||||||||
Life Sciences Tools & Services | 15 | — | 0 | (d) | — | (15 | ) | — | — | — | — | ||||||||||||||||||||||||||||
Pharmaceuticals | — | — | — | — | — | — | — | — | — | ||||||||||||||||||||||||||||||
Wireless Telecommunication Services | 222 | — | (33 | ) | — | — | — | — | 189 | (33 | ) | ||||||||||||||||||||||||||||
Warrants(b) | |||||||||||||||||||||||||||||||||||||||
Insurance | — | — | — | — | — | — | — | — | — | ||||||||||||||||||||||||||||||
Loan Assignments(c) | |||||||||||||||||||||||||||||||||||||||
Advertising | — | 0 | (d) | (139 | ) | — | — | 1,573 | — | 1,434 | (139 | ) | |||||||||||||||||||||||||||
Commercial Services & Supplies | 448 | — | — | — | — | — | (448 | ) | — | — | |||||||||||||||||||||||||||||
Diversified Financial Services | 2,867 | — | — | — | — | — | (2,867 | ) | — | — | |||||||||||||||||||||||||||||
Electronic Equipment, Instruments & Components | 289 | 1 | (50 | ) | — | (277 | ) | 683 | — | 646 | (37 | ) | |||||||||||||||||||||||||||
Food Products | 1,843 | 4 | 12 | 5 | (1,864 | ) | — | — | — | — |
See Notes to Financial Statements
54
Consolidated Schedule of Investments Neuberger Berman Absolute Return Multi-Manager Fund (Unaudited) (cont'd)
(000's omitted) | Beginning balance as of 11/1/15 | Accrued discounts/ (premiums) | Realized gain/loss and change in unrealized appreciation/ (depreciation) | Purchases | Sales | Transfers into Level 3 | Transfers out of Level 3 | Balance as of 4/30/16 | Net change in unrealized appreciation/ (depreciation) from investments still held as of 4/30/16 | ||||||||||||||||||||||||||||||
Health Care Providers & Services | $ | — | $ | 1 | $ | (5 | ) | $ | — | $ | (168 | ) | $ | 172 | $ | — | $ | — | $ | (4 | ) | ||||||||||||||||||
Health Care Technology | — | — | 8 | 864 | — | — | — | 872 | 8 | ||||||||||||||||||||||||||||||
Household Products | 376 | 0 | (d) | (12 | ) | — | (364 | ) | — | — | — | — | |||||||||||||||||||||||||||
Independent Power & Renewable Electricity Producers | 687 | 0 | (d) | (14 | ) | — | (673 | ) | — | — | — | — | |||||||||||||||||||||||||||
Insurance | 771 | 0 | (d) | (6 | ) | — | (416 | ) | — | (349 | ) | — | — | ||||||||||||||||||||||||||
Oil, Gas & Consumable Fuels | — | 0 | (d) | (5 | ) | — | — | 34 | — | 29 | (5 | ) | |||||||||||||||||||||||||||
Professional Services | 2,652 | 4 | (111 | ) | — | — | — | — | 2,545 | (111 | ) | ||||||||||||||||||||||||||||
Semiconductors & Semiconductor Equipment | — | 0 | (d) | 0 | (d) | 215 | 0 | (d) | — | — | 215 | 0 | (d) | ||||||||||||||||||||||||||
Trading Companies & Distributors | — | — | 6 | 626 | — | — | — | 632 | 6 | ||||||||||||||||||||||||||||||
Corporate Bonds(c) | |||||||||||||||||||||||||||||||||||||||
Banks | 18,557 | 117 | (4,637 | ) | — | — | — | — | 14,037 | (4,637 | ) | ||||||||||||||||||||||||||||
Capital Markets | 6,200 | 51 | (851 | ) | — | — | — | — | 5,400 | (851 | ) | ||||||||||||||||||||||||||||
Chemicals | 1 | — | — | — | — | — | (1 | ) | — | — | |||||||||||||||||||||||||||||
Options Purchased | — | — | (73 | ) | 80 | (7 | ) | — | — | — | (52 | ) | |||||||||||||||||||||||||||
Total | $ | 34,993 | $ | 178 | $ | (5,962 | ) | $ | 8,070 | $ | (10,747 | ) | $ | 4,166 | $ | (3,665 | ) | $ | 27,033 | $ | (5,876 | ) |
(b) As of the period ended April 30, 2016, 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.
(c) 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.
(d) A zero balance reflects actual amounts rounding to less than $1,000.
As of the six months ended April 30, 2016, certain securities were transferred from one level (as of October 31, 2015) to another. Based on beginning of period market values as of November 1, 2015, approximately $3,665,000 was transferred from Level 3 to Level 2. In addition, approximately $2,462,000 was transferred from Level 2 to Level 3.
See Notes to Financial Statements
55
Consolidated Schedule of Investments Neuberger Berman Absolute Return Multi-Manager Fund (Unaudited) (cont'd)
In addition, approximately $1,704,000 was transferred from Level 1 to Level 3. Bank loans and corporate bonds 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).
The following is a summary, categorized by Level, of inputs used to value the Fund's derivatives as of April 30, 2016:
Asset Valuation Inputs | |||||||||||||||||||
(000's omitted) | Level 1 | Level 2 | Level 3(a) | Total | |||||||||||||||
Forward contracts (unrealized appreciation) | $ | — | $ | 1,384 | $ | — | $ | 1,384 | |||||||||||
Futures (unrealized appreciation) | 1,558 | — | — | 1,558 | |||||||||||||||
Swap contracts | — | 3,902 | 172 | 4,074 | |||||||||||||||
Total | $ | 1,558 | $ | 5,286 | $ | 172 | $ | 7,016 |
(a) The following is a reconciliation between the beginning and ending balances of investments in which unobservable inputs (Level 3) were used in determining value:
(000's omitted) | Beginning balance as of 11/1/15 | Accrued discounts/ (premiums) | Realized gain/loss and change in unrealized appreciation/ (depreciation) | Purchases | Sales | Transfers into Level 3 | Transfers out of Level 3 | Balance as of 4/30/16 | Net change in unrealized appreciation/ (depreciation) from investments still held as of 4/30/16 | ||||||||||||||||||||||||||||||
Investments in Securities: | |||||||||||||||||||||||||||||||||||||||
Equity Swaps(b) | |||||||||||||||||||||||||||||||||||||||
United States | $ | 172 | $ | — | $ | — | $ | — | $ | — | $ | — | $ | — | $ | 172 | $ | — | |||||||||||||||||||||
Total | $ | 172 | $ | — | $ | — | $ | — | $ | — | $ | — | $ | — | $ | 172 | $ | — |
(b) 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 Fund's short investments as of April 30, 2016:
Liability Valuation Inputs | |||||||||||||||||||
(000's omitted) | Level 1 | Level 2 | Level 3(a) | Total | |||||||||||||||
Investments: | |||||||||||||||||||
Common Stocks Sold Short | |||||||||||||||||||
Diversified Financial Services | $ | — | $ | (777 | ) | $ | — | $ | (777 | ) | |||||||||
Internet Software & Services | (3,996 | ) | (632 | ) | — | (4,628 | ) | ||||||||||||
IT Services | (2,429 | ) | — | (135 | ) | (2,564 | ) | ||||||||||||
Other Common Stocks Sold Short(b) | (137,414 | ) | — | — | (137,414 | ) | |||||||||||||
Total Common Stocks Sold Short | (143,839 | ) | (1,409 | ) | (135 | ) | (145,383 | ) | |||||||||||
Exchange Traded Funds Sold Short | (44,804 | ) | — | — | (44,804 | ) | |||||||||||||
Corporate Bonds Sold Short(b) | — | (16,326 | ) | — | (16,326 | ) | |||||||||||||
Exchange Traded Note Sold Short | (3,215 | ) | — | — | (3,215 | ) | |||||||||||||
Master Limited Partnerships Sold Short(b) | (2,741 | ) | — | — | (2,741 | ) | |||||||||||||
Total Short Positions | $ | (194,599 | ) | $ | (17,735 | ) | $ | (135 | ) | $ | (212,469 | ) |
See Notes to Financial Statements
56
Consolidated Schedule of Investments Neuberger Berman Absolute Return Multi-Manager Fund (Unaudited) (cont'd)
(b) The Schedule of Investments provides information on the industry categorization for the portfolio.
(a) The following is a reconciliation between the beginning and ending balances of investments in which unobservable inputs (Level 3) were used in determining value:
(000's omitted) | Beginning balance as of 11/1/15 | Accrued discounts/ (premiums) | Realized gain/loss and change in unrealized appreciation/ (depreciation) | Purchases | Sales | Transfers into Level 3 | Transfers out of Level 3 | Balance as of 4/30/16 | Net change in unrealized appreciation/ (depreciation) from investments still held as of 4/30/16 | ||||||||||||||||||||||||||||||
Investments in Securities: | |||||||||||||||||||||||||||||||||||||||
Common Stocks Sold Short(b) | |||||||||||||||||||||||||||||||||||||||
IT Services | $ | (122 | ) | $ | — | $ | (13 | ) | $ | — | $ | — | $ | — | $ | — | $ | (135 | ) | $ | (13 | ) | |||||||||||||||||
Total | $ | (122 | ) | $ | — | $ | (13 | ) | $ | — | $ | — | $ | — | $ | — | $ | (135 | ) | $ | (13 | ) |
(b) 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 Fund's derivatives as of April 30, 2016:
Liability Valuation Inputs | |||||||||||||||||||
(000's omitted) | Level 1 | Level 2 | Level 3 | Total | |||||||||||||||
Forward contracts (unrealized depreciation) | $ | — | $ | (2,506 | ) | $ | — | $ | (2,506 | ) | |||||||||
Futures (unrealized depreciation) | (2,259 | ) | — | — | (2,259 | ) | |||||||||||||
Swap contracts | — | (6,797 | ) | — | (6,797 | ) | |||||||||||||
Options Written | (483 | ) | — | — | (483 | ) | |||||||||||||
Total | $ | (2,742 | ) | $ | (9,303 | ) | $ | — | $ | (12,045 | ) |
See Notes to Financial Statements
57
Schedule of Investments Neuberger Berman Long Short
Multi-Manager Fund (Unaudited) 4/30/2016
Investments | Shares | Value (000) | |||||||||
Long Positions (90.1%) | |||||||||||
Common Stocks (58.4%) | |||||||||||
Banks (2.6%) | |||||||||||
ABN AMRO Group NV, CVA (Netherlands)*(a) | 2,013 | $ | 43 | ||||||||
Bank of America Corp.(b) | 20,600 | 300 | |||||||||
ING Groep NV, CVA (Netherlands) | 7,135 | 88 | |||||||||
KBC Groep NV (Belgium) | 2,262 | 127 | |||||||||
Societe Generale SA (France)(b) | 392 | 15 | |||||||||
SunTrust Banks, Inc.(c) | 5,685 | 237 | |||||||||
810 | |||||||||||
Beverages (0.9%) | |||||||||||
Anheuser-Busch InBev SA/NV (Belgium) | 476 | 59 | |||||||||
Carlsberg A/S, Class B (Denmark) | 620 | 60 | |||||||||
Davide Campari- Milano SpA (Italy) | 2,983 | 29 | |||||||||
Molson Coors Brewing Co., Class B(b) | 1,293 | 124 | |||||||||
272 | |||||||||||
Biotechnology (6.6%) | |||||||||||
Actelion Ltd. (Switzerland)* | 189 | 31 | |||||||||
Alexion Pharmaceuticals, Inc.*(b) | 1,531 | 213 | |||||||||
Alkermes plc (Ireland)*(b) | 4,502 | 179 | |||||||||
BioMarin Pharmaceutical, Inc.*(b) | 2,601 | 220 | |||||||||
Celgene Corp.*(b) | 1,801 | 186 | |||||||||
Incyte Corp.*(b) | 2,521 | 182 | |||||||||
Ionis Pharmaceuticals, Inc.*(b) | 4,277 | 175 | |||||||||
Medivation, Inc.* | 4,052 | 234 | |||||||||
Neurocrine Biosciences, Inc.*(c) | 5,557 | 254 | |||||||||
Portola Pharmaceuticals, Inc.* | 1,225 | 29 | |||||||||
United Therapeutics Corp.*(b) | 842 | 89 | |||||||||
Vertex Pharmaceuticals, Inc.*(c) | 2,849 | 240 | |||||||||
2,032 |
Investments | Shares | Value (000) | |||||||||
Capital Markets (1.9%) | |||||||||||
Azimut Holding SpA (Italy) | 5,319 | $ | 134 | ||||||||
Charles Schwab Corp. (The) | 2,187 | 62 | |||||||||
Flow Traders (Netherlands)(a) | 1,211 | 48 | |||||||||
Intertrust NV (Netherlands)*(a) | 130 | 3 | |||||||||
WL Ross Holding Corp.*(b) | 32,975 | 330 | |||||||||
577 | |||||||||||
Chemicals (2.0%) | |||||||||||
Air Products & Chemicals, Inc.(b) | 1,635 | 239 | |||||||||
Ferro Corp.*(b) | 10,050 | 128 | |||||||||
Syngenta AG (Switzerland) | 177 | 71 | |||||||||
WR Grace & Co.*(c) | 2,455 | 188 | |||||||||
626 | |||||||||||
Commercial Services & Supplies (2.3%) | |||||||||||
Spotless Group Holdings Ltd. (Australia)(b) | 64,554 | 63 | |||||||||
Tyco International plc(b) | 16,480 | 635 | |||||||||
698 | |||||||||||
Communications Equipment (0.6%) | |||||||||||
Harris Corp.(c) | 2,150 | 172 | |||||||||
Construction Materials (0.5%) | |||||||||||
HeidelbergCement AG (Germany)(b) | 808 | 72 | |||||||||
LafargeHolcim Ltd. (Switzerland)*(b) | 1,464 | 74 | |||||||||
146 | |||||||||||
Containers & Packaging (0.4%) | |||||||||||
Nampak Ltd. (South Africa)(b) | 63,408 | 108 | |||||||||
Diversified Financial Services (1.2%) | |||||||||||
Pace Holdings Corp.*(c) | 38,300 | 379 | |||||||||
Electric Utilities (1.6%) | |||||||||||
American Electric Power Co., Inc. | 63 | 4 | |||||||||
Avangrid, Inc. | 380 | 15 | |||||||||
Edison International(b) | 984 | 70 | |||||||||
Empire District Electric Co. (The) | 1,003 | 34 | |||||||||
Exelon Corp.(b) | 1,825 | 64 | |||||||||
NextEra Energy, Inc.(b) | 1,483 | 175 | |||||||||
PG&E Corp.(b) | 1,294 | 75 | |||||||||
Pinnacle West Capital Corp. | 443 | 32 | |||||||||
PNM Resources, Inc. | 673 | 21 | |||||||||
490 |
Investments | Shares | Value (000) | |||||||||
Electrical Equipment (0.7%) | |||||||||||
Eaton Corp. plc(b) | 1,951 | $ | 123 | ||||||||
Rockwell Automation, Inc.(b) | 851 | 97 | |||||||||
220 | |||||||||||
Energy Equipment & Services (0.4%) | |||||||||||
Schlumberger Ltd.(b) | 1,628 | 131 | |||||||||
Food & Staples Retailing (0.5%) | |||||||||||
Magnit PJSC, GDR (Russia) | 1,377 | 47 | |||||||||
Wal-Mart de Mexico SAB de CV (Mexico)(b) | 16,859 | 42 | |||||||||
X5 Retail Group NV, GDR (Russia)*(b) | 3,692 | 73 | |||||||||
162 | |||||||||||
Food Products (1.3%) | |||||||||||
Mead Johnson Nutrition Co.(b) | 2,251 | 196 | |||||||||
Mondelez International, Inc., Class A | 4,611 | 198 | |||||||||
394 | |||||||||||
Gas Utilities (0.2%) | |||||||||||
Atmos Energy Corp.(b) | 620 | 45 | |||||||||
Spire, Inc. | 165 | 10 | |||||||||
55 | |||||||||||
Health Care Equipment & Supplies (3.0%) | |||||||||||
Boston Scientific Corp.*(b) | 8,396 | 184 | |||||||||
Cooper Cos., Inc. (The)(b) | 1,375 | 211 | |||||||||
Edwards Lifesciences Corp.*(b) | 1,737 | 185 | |||||||||
Integra LifeSciences Holdings Corp.*(b) | 2,971 | 210 | |||||||||
Masimo Corp.* | 3,331 | 144 | |||||||||
934 | |||||||||||
Health Care Providers & Services (0.4%) | |||||||||||
Shanghai Pharmaceuticals Holding Co. Ltd., Class H (China) | 11,003 | 23 | |||||||||
Sinopharm Group Co. Ltd., Class H (China) | 6,177 | 26 | |||||||||
VCA, Inc.* | 1,360 | 86 | |||||||||
135 | |||||||||||
Health Care Technology (0.3%) | |||||||||||
HMS Holdings Corp.* | 4,502 | 76 |
See Notes to Financial Statements
58
Schedule of Investments Neuberger Berman Long Short
Multi-Manager Fund (Unaudited) (cont'd)
Investments | Shares | Value (000) | |||||||||
Hotels, Restaurants & Leisure (0.6%) | |||||||||||
Ainsworth Game Technology Ltd. (Australia)(b) | 18,935 | $ | 33 | ||||||||
Bloomin' Brands, Inc.(b) | 8,225 | 154 | |||||||||
187 | |||||||||||
Household Durables (0.5%) | |||||||||||
Mohawk Industries, Inc.*(c) | 765 | 147 | |||||||||
Independent Power & Renewable Electricity Producers (1.0%) | |||||||||||
8Point3 Energy Partners LP | 721 | 11 | |||||||||
Calpine Corp.* | 2,042 | 32 | |||||||||
Dynegy, Inc.* | 620 | 11 | |||||||||
NextEra Energy Partners LP(b) | 3,306 | 96 | |||||||||
NRG Yield, Inc., Class A(b) | 4,434 | 67 | |||||||||
Pattern Energy Group, Inc.(b) | 5,042 | 106 | |||||||||
323 | |||||||||||
Industrial Conglomerates (1.0%) | |||||||||||
Danaher Corp.(b) | 3,030 | 293 | |||||||||
Insurance (1.1%) | |||||||||||
AIA Group Ltd. (Hong Kong) | 31,102 | 186 | |||||||||
NN Group NV (Netherlands)(b) | 3,797 | 132 | |||||||||
Sampo OYJ, Class A (Finland) | 621 | 27 | |||||||||
345 | |||||||||||
Internet & Catalog Retail (0.6%) | |||||||||||
Amazon.com, Inc.*(b) | 119 | 78 | |||||||||
Priceline Group, Inc. (The)*(b) | 70 | 94 | |||||||||
172 | |||||||||||
Internet Software & Services (2.8%) | |||||||||||
Alibaba Group Holding Ltd., ADR (China)* | 1,815 | 140 | |||||||||
Alphabet, Inc., Class A*(b) | 326 | 231 | |||||||||
Baidu, Inc., ADR (China)*(b) | 334 | 65 | |||||||||
eBay, Inc.* | 1,877 | 46 | |||||||||
Facebook, Inc., Class A*(b) | 1,546 | 182 | |||||||||
LinkedIn Corp., Class A*(b) | 194 | 24 | |||||||||
Mail.Ru Group Ltd., GDR (Russia)* | 1,097 | 22 |
Investments | Shares | Value (000) | |||||||||
MercadoLibre, Inc. (Argentina)(b) | 414 | $ | 52 | ||||||||
Tencent Holdings Ltd. (China) | 4,106 | 83 | |||||||||
Yandex NV, Class A (Russia)*(b) | 1,201 | 24 | |||||||||
869 | |||||||||||
IT Services (1.7%) | |||||||||||
Computer Sciences Corp.(b) | 3,405 | 113 | |||||||||
CSRA, Inc.(b) | 9,490 | 246 | |||||||||
PayPal Holdings, Inc.*(b) | 1,877 | 74 | |||||||||
Total System Services, Inc. | 1,800 | 92 | |||||||||
525 | |||||||||||
Life Sciences Tools & Services (1.2%) | |||||||||||
Agilent Technologies, Inc.(b) | 4,850 | 199 | |||||||||
Gerresheimer AG (Germany)(b) | 2,196 | 163 | |||||||||
362 | |||||||||||
Machinery (1.7%) | |||||||||||
Deere & Co.(b) | 1,100 | 92 | |||||||||
FANUC Corp. (Japan) | 600 | 89 | |||||||||
Ingersoll-Rand plc(b) | 2,300 | 151 | |||||||||
Mueller Water Products, Inc., Class A(c) | 18,500 | 199 | |||||||||
531 | |||||||||||
Media (3.0%) | |||||||||||
CBS Corp., Class B(b) | 5,650 | 316 | |||||||||
Liberty Global plc, Series C (United Kingdom)*(b) | 1,901 | 69 | |||||||||
Mediaset SpA (Italy) | 11,766 | 53 | |||||||||
Stroeer SE & Co. KGaA (Germany)(b) | 6,127 | 302 | |||||||||
Time Warner, Inc.(c) | 2,500 | 188 | |||||||||
928 | |||||||||||
Multiline Retail (0.1%) | |||||||||||
Europris ASA (Norway)*(a) | 6,370 | 30 | |||||||||
Multi-Utilities (1.8%) | |||||||||||
Black Hills Corp.(b) | 4,400 | 267 | |||||||||
CMS Energy Corp.(b) | 947 | 39 | |||||||||
Dominion Resources, Inc. | 500 | 36 | |||||||||
DTE Energy Co.(b) | 808 | 72 | |||||||||
NiSource, Inc.(b) | 367 | 8 | |||||||||
SCANA Corp.(b) | 310 | 21 | |||||||||
Sempra Energy | 1,145 | 118 | |||||||||
561 |
Investments | Shares | Value (000) | |||||||||
Oil, Gas & Consumable Fuels (1.8%) | |||||||||||
Cheniere Energy Partners LP Holdings LLC(b) | 4,451 | $ | 87 | ||||||||
Columbia Pipeline Group, Inc. | 536 | 14 | |||||||||
Enbridge, Inc. (Canada)(b) | 1,955 | 81 | |||||||||
EOG Resources, Inc. | 1,154 | 95 | |||||||||
Golar LNG Ltd. (Bermuda) | 735 | 12 | |||||||||
Kinder Morgan, Inc.(b) | 2,557 | 45 | |||||||||
Newfield Exploration Co.*(c) | 2,060 | 75 | |||||||||
Phillips 66(b) | 545 | 45 | |||||||||
SemGroup Corp., Class A | 1,047 | 32 | |||||||||
TransCanada Corp. (Canada)(b) | 1,280 | 53 | |||||||||
Williams Cos., Inc. (The) | 596 | 12 | |||||||||
551 | |||||||||||
Personal Products (0.2%) | |||||||||||
Edgewell Personal Care Co.(b) | 709 | 58 | |||||||||
Pharmaceuticals (3.7%) | |||||||||||
Allergan plc*(b) | 1,505 | 326 | |||||||||
Pfizer, Inc.(b) | 8,100 | 265 | |||||||||
Shire plc, ADR (Ireland)(b) | 975 | 183 | |||||||||
Teva Pharmaceutical Industries Ltd., ADR (Israel) | 2,255 | 123 | |||||||||
Zoetis, Inc.(c) | 5,310 | 249 | |||||||||
1,146 | |||||||||||
Real Estate Management & Development (0.2%) | |||||||||||
Daiwa House Industry Co. Ltd. (Japan) | 2,200 | 59 | |||||||||
Road & Rail (0.8%) | |||||||||||
Norfolk Southern Corp.(c) | 2,605 | 235 | |||||||||
Semiconductors & Semiconductor Equipment (1.9%) | |||||||||||
Broadcom Ltd. (Singapore)(b) | 1,389 | 203 | |||||||||
MKS Instruments, Inc. | 2,600 | 93 | |||||||||
NXP Semiconductors NV (Netherlands)*(c) | 2,850 | 243 | |||||||||
SunPower Corp.*(b) | 2,689 | 54 | |||||||||
593 | |||||||||||
Software (0.6%) | |||||||||||
PTC, Inc.*(c) | 5,475 | 200 |
See Notes to Financial Statements
59
Schedule of Investments Neuberger Berman Long Short
Multi-Manager Fund (Unaudited) (cont'd)
Investments | Shares | Value (000) | |||||||||
Specialty Retail (0.8%) | |||||||||||
Hennes & Mauritz AB, Class B (Sweden)* | 3,903 | $ | 139 | ||||||||
Restoration Hardware Holdings, Inc.*(c) | 2,775 | 120 | |||||||||
Signet Jewelers Ltd. | 12 | 1 | |||||||||
260 | |||||||||||
Technology Hardware, Storage & Peripherals (0.2%) | |||||||||||
Samsung Electronics Co. Ltd., GDR (South Korea)(b) | 132 | 72 | |||||||||
Textiles, Apparel & Luxury Goods (2.2%) | |||||||||||
Asics Corp. (Japan) | 3,400 | 67 | |||||||||
Coach, Inc.(c) | 3,650 | 147 | |||||||||
G-III Apparel Group Ltd.*(b) | 2,250 | 102 | |||||||||
Michael Kors Holdings Ltd. (United Kingdom)*(b) | 1,634 | 84 | |||||||||
PVH Corp.(c) | 1,595 | 153 | |||||||||
Steven Madden Ltd.*(c) | 3,900 | 137 | |||||||||
690 | |||||||||||
Trading Companies & Distributors (0.7%) | |||||||||||
Brenntag AG (Germany)(b) | 3,884 | 228 | |||||||||
Transportation Infrastructure (0.3%) | |||||||||||
Macquarie Infrastructure Corp.(b) | 1,435 | 101 | |||||||||
Water Utilities (0.5%) | |||||||||||
American Water Works Co., Inc.(b) | 2,054 | 149 | |||||||||
Total Common Stocks (Cost $17,275) | 18,032 | ||||||||||
Master Limited Partnerships (5.0%) | |||||||||||
Oil, Gas & Consumable Fuels (5.0%) | |||||||||||
Antero Midstream Partners LP(b) | 3,229 | 82 | |||||||||
Boardwalk Pipeline Partners LP(b) | 8,538 | 139 | |||||||||
Buckeye Partners LP(b) | 827 | 60 | |||||||||
Cheniere Energy Partners LP(b) | 2,528 | 74 | |||||||||
Columbia Pipeline Partners LP | 749 | 11 | |||||||||
Delek Logistics Partners LP | 1,130 | 38 | |||||||||
Dominion Midstream Partners LP(b) | 1,499 | 50 | |||||||||
Energy Transfer Equity LP | 1,057 | 13 | |||||||||
Energy Transfer Partners LP(b) | 1,939 | 69 |
Investments | Shares | Value (000) | |||||||||
Enterprise Products Partners LP(b) | 4,120 | $ | 110 | ||||||||
EQT GP Holdings LP(b) | 2,066 | 55 | |||||||||
EQT Midstream Partners LP | 887 | 70 | |||||||||
Magellan Midstream Partners LP | 694 | 50 | |||||||||
MPLX LP | 1,156 | 37 | |||||||||
NuStar GP Holdings LLC(b) | 3,108 | 79 | |||||||||
PBF Logistics LP | 3 | — | (d) | ||||||||
Phillips 66 Partners LP | 780 | 45 | |||||||||
Plains All American Pipeline LP | 263 | 6 | |||||||||
Rice Midstream Partners LP | 745 | 12 | |||||||||
Rose Rock Midstream LP | 256 | 4 | |||||||||
Shell Midstream Partners LP | 1,297 | 49 | |||||||||
Spectra Energy Partners LP | 898 | 45 | |||||||||
Summit Midstream Partners LP | 3 | — | (d) | ||||||||
Sunoco Logistics Partners LP(b) | 3,381 | 99 | |||||||||
Sunoco LP(b) | 3,244 | 116 | |||||||||
Tesoro Logistics LP(b) | 1,179 | 55 | |||||||||
Valero Energy Partners LP(b) | 1,751 | 84 | |||||||||
Western Gas Equity Partners LP | 67 | 3 | |||||||||
Western Gas Partners LP | 67 | 3 | |||||||||
Western Refining Logistics LP(b) | 3,197 | 84 | |||||||||
Total Master Limited Partnerships (Cost $1,398) | 1,542 | ||||||||||
No. of Contracts | |||||||||||
Options Purchased (0.1%) | |||||||||||
Put Option (0.1%) | |||||||||||
S&P 500 Index 6/30/2016 @ 2,060.00 | 8 | 44 | |||||||||
SPDR S&P500 Fund Trust OTC 5/20/2016 @ 200.00(e) | 35 | 4 | |||||||||
WR Grace & Co. 5/20/2016 @ 77.50 | 12 | 3 | |||||||||
Zoetis, Inc. 5/20/2016 @ 47.00 | 20 | 2 | |||||||||
Total Options Purchased (Cost $42) | 53 |
Investments | Shares | Value (000) | |||||||||
Short-Term Investment (26.6%) | |||||||||||
Investment Company (26.6%) | |||||||||||
Morgan Stanley Institutional Liquidity Fund Treasury Portfolio Institutional Class, 0.15% (Cost $8,207)(b)(f) | 8,207,019 | $ | 8,207 | ||||||||
Total Long Positions (Cost $26,922) | 27,834 | ||||||||||
Short Positions (35.8%)(g) | |||||||||||
Common Stocks (27.5%) | |||||||||||
Aerospace & Defense (0.2%) | |||||||||||
Boeing Co. (The) | (469 | ) | (63 | ) | |||||||
Air Freight & Logistics (0.6%) | |||||||||||
CH Robinson Worldwide, Inc. | (806 | ) | (57 | ) | |||||||
Royal Mail plc (United Kingdom) | (19,675 | ) | (140 | ) | |||||||
(197 | ) | ||||||||||
Airlines (0.8%) | |||||||||||
Deutsche Lufthansa AG (Germany) | (10,034 | ) | (156 | ) | |||||||
JetBlue Airways Corp.* | (4,550 | ) | (90 | ) | |||||||
(246 | ) | ||||||||||
Auto Components (0.2%) | |||||||||||
Goodyear Tire & Rubber Co. (The) | (1,600 | ) | (46 | ) | |||||||
Automobiles (0.7%) | |||||||||||
Ferrari NV (Italy)* | (2,750 | ) | (126 | ) | |||||||
Ford Motor Co. | (7,000 | ) | (95 | ) | |||||||
(221 | ) | ||||||||||
Banks (1.5%) | |||||||||||
Bank of the Ozarks, Inc. | (700 | ) | (29 | ) | |||||||
BB&T Corp. | (2,700 | ) | (95 | ) | |||||||
Canadian Western Bank (Canada) | (4,000 | ) | (88 | ) | |||||||
Cullen/Frost Bankers, Inc. | (529 | ) | (34 | ) | |||||||
Huntington Bancshares, Inc. | (4,850 | ) | (49 | ) | |||||||
Komercni banka as (Czech Republic) | (207 | ) | (43 | ) | |||||||
National Bank of Canada (Canada) | (2,350 | ) | (84 | ) | |||||||
PacWest Bancorp | (1,200 | ) | (48 | ) | |||||||
(470 | ) | ||||||||||
Beverages (0.2%) | |||||||||||
Brown-Forman Corp., Class B | (750 | ) | (72 | ) |
See Notes to Financial Statements
60
Schedule of Investments Neuberger Berman Long Short
Multi-Manager Fund (Unaudited) (cont'd)
Investments | Shares | Value (000) | |||||||||
Biotechnology (0.5%) | |||||||||||
Amgen, Inc. | (658 | ) | $ | (104 | ) | ||||||
Regeneron Pharmaceuticals, Inc.* | (113 | ) | (43 | ) | |||||||
(147 | ) | ||||||||||
Building Products (0.2%) | |||||||||||
AO Smith Corp. | (902 | ) | (70 | ) | |||||||
Chemicals (0.6%) | |||||||||||
Ashland, Inc. | (875 | ) | (98 | ) | |||||||
Praxair, Inc. | (850 | ) | (100 | ) | |||||||
(198 | ) | ||||||||||
Commercial Services & Supplies (0.2%) | |||||||||||
Stericycle, Inc.* | (519 | ) | (50 | ) | |||||||
Containers & Packaging (0.2%) | |||||||||||
Ball Corp. | (880 | ) | (63 | ) | |||||||
Diversified Financial Services (0.3%) | |||||||||||
Challenger Ltd. (Australia) | (11,762 | ) | (80 | ) | |||||||
Electric Utilities (0.9%) | |||||||||||
Duke Energy Corp. | (386 | ) | (30 | ) | |||||||
Eversource Energy | (522 | ) | (30 | ) | |||||||
Southern Co. (The) | (3,913 | ) | (196 | ) | |||||||
Xcel Energy, Inc. | (275 | ) | (11 | ) | |||||||
(267 | ) | ||||||||||
Food & Staples Retailing (1.2%) | |||||||||||
CVS Health Corp. | (899 | ) | (91 | ) | |||||||
ICA Gruppen AB (Sweden) | (1,286 | ) | (42 | ) | |||||||
Kroger Co. (The) | (2,550 | ) | (90 | ) | |||||||
Walgreens Boots Alliance, Inc. | (1,127 | ) | (89 | ) | |||||||
Wal-Mart Stores, Inc. | (862 | ) | (58 | ) | |||||||
(370 | ) | ||||||||||
Food Products (0.3%) | |||||||||||
Hormel Foods Corp. | (2,350 | ) | (91 | ) | |||||||
Gas Utilities (0.2%) | |||||||||||
AGL Resources, Inc. | (422 | ) | (28 | ) | |||||||
Piedmont Natural Gas Co., Inc. | (636 | ) | (38 | ) | |||||||
Questar Corp. | (273 | ) | (7 | ) | |||||||
(73 | ) | ||||||||||
Health Care Equipment & Supplies (1.8%) | |||||||||||
Baxter International, Inc. | (1,584 | ) | (70 | ) | |||||||
Coloplast A/S, Class B (Denmark) | (402 | ) | (30 | ) | |||||||
DexCom, Inc.* | (915 | ) | (59 | ) | |||||||
Getinge AB, Class B (Sweden) | (1,433 | ) | (30 | ) | |||||||
IDEXX Laboratories, Inc.* | (598 | ) | (50 | ) |
Investments | Shares | Value (000) | |||||||||
LivaNova plc (United Kingdom)* | (1,700 | ) | $ | (90 | ) | ||||||
Medtronic plc (Ireland) | (796 | ) | (63 | ) | |||||||
ResMed, Inc. | (1,229 | ) | (69 | ) | |||||||
Stryker Corp. | (667 | ) | (73 | ) | |||||||
Varian Medical Systems, Inc.* | (386 | ) | (31 | ) | |||||||
(565 | ) | ||||||||||
Health Care Providers & Services (2.8%) | |||||||||||
Aetna, Inc. | (794 | ) | (89 | ) | |||||||
AmerisourceBergen Corp. | (1,607 | ) | (137 | ) | |||||||
Anthem, Inc. | (667 | ) | (94 | ) | |||||||
Cardinal Health, Inc. | (948 | ) | (74 | ) | |||||||
Centene Corp.* | (714 | ) | (44 | ) | |||||||
HCA Holdings, Inc.* | (1,106 | ) | (89 | ) | |||||||
Henry Schein, Inc.* | (436 | ) | (74 | ) | |||||||
McKesson Corp. | (478 | ) | (80 | ) | |||||||
MEDNAX, Inc.* | (1,063 | ) | (76 | ) | |||||||
UnitedHealth Group, Inc. | (753 | ) | (99 | ) | |||||||
(856 | ) | ||||||||||
Hotels, Restaurants & Leisure (0.5%) | |||||||||||
Darden Restaurants, Inc. | (2,300 | ) | (143 | ) | |||||||
Household Durables (0.2%) | |||||||||||
Whirlpool Corp. | (415 | ) | (72 | ) | |||||||
Household Products (0.3%) | |||||||||||
Clorox Co. (The) | (770 | ) | (96 | ) | |||||||
Independent Power & Renewable Electricity Producers (0.1%) | |||||||||||
NRG Yield, Inc., Class C | (1,327 | ) | (21 | ) | |||||||
Insurance (0.5%) | |||||||||||
Assicurazioni Generali SpA (Italy) | (1,978 | ) | (30 | ) | |||||||
Hannover Rueck SE (Germany) | (582 | ) | (66 | ) | |||||||
Unum Group | (2,127 | ) | (73 | ) | |||||||
(169 | ) | ||||||||||
IT Services (0.6%) | |||||||||||
International Business Machines Corp. | (1,280 | ) | (187 | ) | |||||||
Life Sciences Tools & Services (1.2%) | |||||||||||
Bruker Corp. | (3,350 | ) | (95 | ) | |||||||
PerkinElmer, Inc. | (1,064 | ) | (53 | ) | |||||||
Quintiles Transnational Holdings, Inc.* | (1,047 | ) | (72 | ) | |||||||
Thermo Fisher Scientific, Inc. | (573 | ) | (83 | ) | |||||||
Waters Corp.* | (469 | ) | (61 | ) | |||||||
(364 | ) |
Investments | Shares | Value (000) | |||||||||
Machinery (1.3%) | |||||||||||
Atlas Copco AB, | (1,550 | ) | $ | (40 | ) | ||||||
Class A (Sweden) | |||||||||||
Cummins, Inc. | (860 | ) | (101 | ) | |||||||
Deere & Co. | (1,075 | ) | (90 | ) | |||||||
Manitowoc Foodservice, Inc.* | (4,600 | ) | (69 | ) | |||||||
Parker-Hannifin Corp. | (820 | ) | (95 | ) | |||||||
(395 | ) | ||||||||||
Media (0.7%) | |||||||||||
John Wiley & Sons, Inc., Class A | (1,925 | ) | (96 | ) | |||||||
Walt Disney Co. (The) | (1,310 | ) | (135 | ) | |||||||
(231 | ) | ||||||||||
Multi-Utilities (0.7%) | |||||||||||
Consolidated Edison, Inc. | (1,531 | ) | (114 | ) | |||||||
Dominion Resources, Inc. | (1,050 | ) | (75 | ) | |||||||
Public Service Enterprise Group, Inc. | (392 | ) | (18 | ) | |||||||
TECO Energy, Inc. | (456 | ) | (13 | ) | |||||||
(220 | ) | ||||||||||
Oil, Gas & Consumable Fuels (0.1%) | |||||||||||
ONEOK, Inc. | (363 | ) | (13 | ) | |||||||
Plains GP Holdings LP, Class A | (686 | ) | (7 | ) | |||||||
Tallgrass Energy GP LP | (92 | ) | (2 | ) | |||||||
(22 | ) | ||||||||||
Pharmaceuticals (3.5%) | |||||||||||
Allergan plc* | (395 | ) | (86 | ) | |||||||
Johnson & Johnson | (827 | ) | (93 | ) | |||||||
Merck & Co., Inc. | (1,315 | ) | (72 | ) | |||||||
Mylan NV* | (2,263 | ) | (94 | ) | |||||||
Novartis AG, ADR (Switzerland) | (703 | ) | (53 | ) | |||||||
Novo Nordisk A/S, ADR (Denmark) | (1,206 | ) | (67 | ) | |||||||
Pfizer, Inc. | (2,421 | ) | (79 | ) | |||||||
Roche Holding AG (Switzerland) | (635 | ) | (161 | ) | |||||||
Sanofi, ADR (France) | (2,734 | ) | (112 | ) | |||||||
Teva Pharmaceutical Industries Ltd., ADR (Israel) | (1,721 | ) | (94 | ) | |||||||
UCB SA (Belgium) | (1,615 | ) | (121 | ) | |||||||
Zoetis, Inc. | (1,144 | ) | (54 | ) | |||||||
(1,086 | ) | ||||||||||
Semiconductors & Semiconductor Equipment (0.8%) | |||||||||||
Qorvo, Inc.* | (2,100 | ) | (95 | ) | |||||||
QUALCOMM, Inc. | (2,800 | ) | (141 | ) | |||||||
(236 | ) |
See Notes to Financial Statements
61
Schedule of Investments Neuberger Berman Long Short
Multi-Manager Fund (Unaudited) (cont'd)
Investments | Shares | Value (000) | |||||||||
Software (0.7%) | |||||||||||
FireEye, Inc.* | (2,700 | ) | $ | (47 | ) | ||||||
Workday, Inc., Class A* | (2,420 | ) | (181 | ) | |||||||
(228 | ) | ||||||||||
Specialty Retail (2.0%) | |||||||||||
American Eagle Outfitters, Inc. | (6,175 | ) | (88 | ) | |||||||
Bed Bath & Beyond, Inc.* | (1,475 | ) | (70 | ) | |||||||
CarMax, Inc.* | (950 | ) | (50 | ) | |||||||
Chico's FAS, Inc. | (3,550 | ) | (45 | ) | |||||||
Foot Locker, Inc. | (2,010 | ) | (123 | ) | |||||||
Hennes & Mauritz AB, Class B (Sweden) | (1,663 | ) | (59 | ) | |||||||
L Brands, Inc. | (1,425 | ) | (112 | ) | |||||||
Signet Jewelers Ltd. | (605 | ) | (66 | ) | |||||||
(613 | ) | ||||||||||
Textiles, Apparel & Luxury Goods (0.6%) | |||||||||||
lululemon athletica, Inc. (Canada)* | (733 | ) | (48 | ) | |||||||
Michael Kors Holdings Ltd. (United Kingdom)* | (703 | ) | (36 | ) | |||||||
Under Armour, Inc., Class A* | (2,249 | ) | (99 | ) | |||||||
(183 | ) | ||||||||||
Thrifts & Mortgage Finance (0.3%) | |||||||||||
Home Capital Group, Inc. (Canada) | (3,298 | ) | (99 | ) | |||||||
Total Common Stocks (Proceeds $(8,331)) | (8,510 | ) | |||||||||
Exchange Traded Funds (7.2%) | |||||||||||
Alerian MLP Fund | (24,795 | ) | (303 | ) | |||||||
CurrencyShares Euro Trust* | (3,450 | ) | (386 | ) | |||||||
Energy Select Sector SPDR Fund | (5,707 | ) | (385 | ) | |||||||
iShares PHLX Semiconductor ETF SOXX | (1,700 | ) | (149 | ) | |||||||
SPDR S&P500 Fund Trust | (2,923 | ) | (603 | ) | |||||||
Utilities Select Sector SPDR Fund | (7,392 | ) | (358 | ) | |||||||
Total Exchange Traded Funds (Proceeds $(2,011)) | (2,184 | ) | |||||||||
Exchange Traded Note (0.6%) | |||||||||||
JPMorgan Alerian MLP Index ETN (Proceeds $(175)) | (6,590 | ) | (198 | ) |
Investments | Shares | Value (000) | |||||||||
Master Limited Partnerships (0.5%) | |||||||||||
Gas Utilities (0.1%) | |||||||||||
Ferrellgas Partners LP | (2,309 | ) | $ | (43 | ) | ||||||
Oil, Gas & Consumable Fuels (0.4%) | |||||||||||
Crestwood Equity Partners LP | (234 | ) | (4 | ) | |||||||
Enable Midstream Partners LP | (513 | ) | (6 | ) | |||||||
Enbridge Energy Partners LP | (208 | ) | (4 | ) | |||||||
Golar LNG Partners LP (United Kingdom) | (988 | ) | (17 | ) | |||||||
Holly Energy Partners LP | (612 | ) | (21 | ) | |||||||
Memorial Production Partners LP | (1,357 | ) | (4 | ) | |||||||
Midcoast Energy Partners LP | (1,860 | ) | (15 | ) | |||||||
ONEOK Partners LP | (936 | ) | (33 | ) | |||||||
TC PipeLines LP | (422 | ) | (23 | ) | |||||||
(127 | ) | ||||||||||
Total Master Limited Partnerships (Proceeds $(164)) | (170 | ) | |||||||||
Total Short Positions (Proceeds $(10,681)) | (11,062 | ) | |||||||||
Total Investments 54.3% (Cost $16,241) | 16,772 | ||||||||||
Other Assets Less Liabilities (45.7%)(h) | 14,125 | ||||||||||
Net assets (100.0%) | $ | 30,897 |
See Notes to Financial Statements
62
Schedule of Investments Neuberger Berman Long Short
Multi-Manager Fund (Unaudited) (cont'd)
* Non-income producing security.
(a) 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 or may have other restrictions on resale. At 4/30/2016, these securities amounted to approximately $124,000 of long positions or 0.40% of net assets for the Fund. These securities have been deemed by the investment manager to be liquid.
(b) All or a portion of this security is segregated in connection with obligations for futures, swaps, options, and/or forward foreign currency contracts with a total value of approximately $17,309,000.
(c) All or a portion of this security is pledged with the custodian for securities sold short and options written.
(d) Amount less than one thousand.
(e) Counterparty is JPMorgan Chase Bank, NA.
(f) Represents 7-day effective yield as of 4/30/2016.
(g) At 4/30/2016, the Fund had deposited approximately $11,236,000 in one or more accounts to satisfy collateral requirements for borrowing in connection with securities sold short.
(h) Includes the impact of the Fund's open positions in derivatives at 4/30/2016.
Abbreviations
ADR American Depositary Receipt
CVA Dutch Certification
GDR Global Depositary Receipt
OTC Over-the-Counter
OYJ Public Traded Company
SPDR Standard & Poor's Depositary Receipts
Derivative Instruments
Futures contracts ("futures")
At April 30, 2016, open positions in futures for the Fund were as follows:
Expiration | Open Contracts | Position | Unrealized Appreciation (Depreciation) | ||||||||||||
6/17/2016 | 4 S&P 500 Index | Short | $ | (10,027 | ) | ||||||||||
6/17/2016 | 30 The EURO STOXX 50 Index | Short | 766 | ||||||||||||
Total | $ | (9,261 | ) |
At April 30, 2016, the notional value of futures for the Fund was $(1,434,464) for short positions.
For the six months ended April 30, 2016, the average notional value of futures for the Fund was $(927,775) for short positions. The Fund had deposited $124,217 in segregated accounts to cover margin requirements on open futures.
See Notes to Financial Statements
63
Schedule of Investments Neuberger Berman Long Short
Multi-Manager Fund (Unaudited) (cont'd)
Forward foreign currency contracts ("forward contracts")
At April 30, 2016, open forward contracts for the Fund were as follows:
Buy | Counterparty | Contracts to Receive | In Exchange For | Settlement Date | Net Unrealized Appreciation (Depreciation) | ||||||||||||||||||
Australian Dollar | JPMorgan Chase Bank, NA | 45,232 | $ | 32,580 | 5/18/2016 | $ | 1,790 | ||||||||||||||||
Australian Dollar | JPMorgan Chase Bank, NA | 81,747 | 57,886 | 5/18/2016 | 4,231 | ||||||||||||||||||
Brazilian Real | JPMorgan Chase Bank, NA | 214,625 | 59,028 | 5/3/2016 | 3,377 | ||||||||||||||||||
Brazilian Real | JPMorgan Chase Bank, NA | 230,178 | 63,656 | 5/3/2016 | 3,271 | ||||||||||||||||||
Brazilian Real | JPMorgan Chase Bank, NA | 106,676 | 29,522 | 5/3/2016 | 1,495 | ||||||||||||||||||
Brazilian Real | JPMorgan Chase Bank, NA | 216,944 | 59,169 | 5/3/2016 | 3,910 | ||||||||||||||||||
Canadian Dollar | JPMorgan Chase Bank, NA | 53,648 | 38,565 | 5/18/2016 | 4,193 | ||||||||||||||||||
Canadian Dollar | JPMorgan Chase Bank, NA | 43,269 | 31,634 | 5/18/2016 | 2,851 | ||||||||||||||||||
Czech Koruna | JPMorgan Chase Bank, NA | 565,278 | 23,106 | 5/18/2016 | 834 | ||||||||||||||||||
Czech Koruna | JPMorgan Chase Bank, NA | 427,050 | 17,628 | 5/18/2016 | 458 | ||||||||||||||||||
Czech Koruna | JPMorgan Chase Bank, NA | 6,820 | 275 | 5/18/2016 | 14 | ||||||||||||||||||
Danish Krone | JPMorgan Chase Bank, NA | 147,790 | 22,386 | 5/18/2016 | 362 | ||||||||||||||||||
Euro | JPMorgan Chase Bank, NA | 70,657 | 79,821 | 5/18/2016 | 1,120 | ||||||||||||||||||
Euro | JPMorgan Chase Bank, NA | 105,385 | 117,132 | 5/18/2016 | 3,592 | ||||||||||||||||||
Euro | JPMorgan Chase Bank, NA | 159,442 | 180,845 | 5/18/2016 | 1,804 | ||||||||||||||||||
Euro | JPMorgan Chase Bank, NA | 72,289 | 81,765 | 5/18/2016 | 1,046 | ||||||||||||||||||
Euro | JPMorgan Chase Bank, NA | 61,834 | 70,767 | 5/18/2016 | 67 | ||||||||||||||||||
Euro | JPMorgan Chase Bank, NA | 84,680 | 94,743 | 5/18/2016 | 2,262 | ||||||||||||||||||
Euro | JPMorgan Chase Bank, NA | 196,539 | 221,750 | 5/18/2016 | 3,395 | ||||||||||||||||||
Euro | JPMorgan Chase Bank, NA | 140,047 | 158,301 | 5/18/2016 | 2,130 | ||||||||||||||||||
Euro | JPMorgan Chase Bank, NA | 65,821 | 72,714 | 5/18/2016 | 2,687 | ||||||||||||||||||
Euro | JPMorgan Chase Bank, NA | 187,272 | 214,331 | 5/18/2016 | 199 | ||||||||||||||||||
Japanese Yen | JPMorgan Chase Bank, NA | 79,498 | 701 | 5/18/2016 | 46 | ||||||||||||||||||
Japanese Yen | JPMorgan Chase Bank, NA | 23,698,100 | 219,239 | 5/18/2016 | 3,562 | ||||||||||||||||||
Norwegian Krone | JPMorgan Chase Bank, NA | 54,579 | 6,328 | 5/18/2016 | 450 | ||||||||||||||||||
Norwegian Krone | JPMorgan Chase Bank, NA | 15,009 | 1,759 | 5/18/2016 | 105 | ||||||||||||||||||
Norwegian Krone | JPMorgan Chase Bank, NA | 244,590 | 29,589 | 5/18/2016 | 786 | ||||||||||||||||||
Pound Sterling | JPMorgan Chase Bank, NA | 85,344 | 121,359 | 5/9/2016 | 3,343 | ||||||||||||||||||
Pound Sterling | JPMorgan Chase Bank, NA | 7,494 | 10,600 | 5/18/2016 | 350 | ||||||||||||||||||
Pound Sterling | JPMorgan Chase Bank, NA | 40,635 | 59,017 | 5/18/2016 | 359 | ||||||||||||||||||
Singapore Dollar | JPMorgan Chase Bank, NA | 61,608 | 44,974 | 5/18/2016 | 817 | ||||||||||||||||||
Singapore Dollar | JPMorgan Chase Bank, NA | 60,419 | 44,626 | 5/18/2016 | 282 | ||||||||||||||||||
Swedish Krona | JPMorgan Chase Bank, NA | 1,153,483 | 142,151 | 5/9/2016 | 1,517 | ||||||||||||||||||
Swedish Krona | JPMorgan Chase Bank, NA | 74,385 | 8,810 | 5/18/2016 | 458 | ||||||||||||||||||
Swedish Krona | JPMorgan Chase Bank, NA | 1,033,459 | 123,153 | 5/18/2016 | 5,608 | ||||||||||||||||||
Swedish Krona | JPMorgan Chase Bank, NA | 434,734 | 51,382 | 5/18/2016 | 2,782 | ||||||||||||||||||
Swedish Krona | JPMorgan Chase Bank, NA | 432,050 | 53,206 | 5/18/2016 | 624 | ||||||||||||||||||
Swedish Krona | JPMorgan Chase Bank, NA | 791,593 | 97,577 | 5/18/2016 | 1,049 | ||||||||||||||||||
Swedish Krona | JPMorgan Chase Bank, NA | 255,096 | 30,072 | 5/18/2016 | 1,711 | ||||||||||||||||||
Swiss Franc | JPMorgan Chase Bank, NA | 71,253 | 72,094 | 5/18/2016 | 2,229 | ||||||||||||||||||
Swiss Franc | JPMorgan Chase Bank, NA | 22,398 | 23,129 | 5/18/2016 | 234 | ||||||||||||||||||
Swiss Franc | JPMorgan Chase Bank, NA | 29,715 | 30,024 | 5/18/2016 | 971 | ||||||||||||||||||
Swiss Franc | JPMorgan Chase Bank, NA | 45,045 | 46,947 | 5/18/2016 | 39 | ||||||||||||||||||
Swiss Franc | JPMorgan Chase Bank, NA | 16,929 | 17,456 | 5/18/2016 | 202 | ||||||||||||||||||
Total | $ | 72,612 |
See Notes to Financial Statements
64
Schedule of Investments Neuberger Berman Long Short
Multi-Manager Fund (Unaudited) (cont'd)
Sell | Counterparty | Contracts to Deliver | In Exchange For | Settlement Date | Net Unrealized Appreciation (Depreciation) | ||||||||||||||||||
Australian Dollar | JPMorgan Chase Bank, NA | 153,883 | $ | 110,888 | 5/18/2016 | $ | (6,042 | ) | |||||||||||||||
Brazilian Real | JPMorgan Chase Bank, NA | 282,884 | 69,667 | 5/3/2016 | (12,584 | ) | |||||||||||||||||
Brazilian Real | JPMorgan Chase Bank, NA | 485,539 | 119,975 | 5/3/2016 | (21,201 | ) | |||||||||||||||||
Canadian Dollar | JPMorgan Chase Bank, NA | 96,917 | 70,498 | 5/18/2016 | (6,745 | ) | |||||||||||||||||
Danish Krone | JPMorgan Chase Bank, NA | 219,877 | 33,288 | 5/18/2016 | (556 | ) | |||||||||||||||||
Danish Krone | JPMorgan Chase Bank, NA | 170,688 | 25,972 | 5/18/2016 | (300 | ) | |||||||||||||||||
Danish Krone | JPMorgan Chase Bank, NA | 186,516 | 27,222 | 5/18/2016 | (1,487 | ) | |||||||||||||||||
Danish Krone | JPMorgan Chase Bank, NA | 236,267 | 35,445 | 5/18/2016 | (921 | ) | |||||||||||||||||
Danish Krone | JPMorgan Chase Bank, NA | 127,039 | 18,837 | 5/18/2016 | (717 | ) | |||||||||||||||||
Euro | JPMorgan Chase Bank, NA | 651,060 | 734,070 | 5/9/2016 | (11,552 | ) | |||||||||||||||||
Euro | JPMorgan Chase Bank, NA | 195,561 | 212,812 | 5/18/2016 | (11,213 | ) | |||||||||||||||||
Euro | JPMorgan Chase Bank, NA | 379,296 | 428,547 | 5/18/2016 | (5,956 | ) | |||||||||||||||||
Euro | JPMorgan Chase Bank, NA | 89,820 | 98,745 | 5/18/2016 | (4,148 | ) | |||||||||||||||||
Euro | JPMorgan Chase Bank, NA | 110,530 | 124,566 | 5/18/2016 | (2,051 | ) | |||||||||||||||||
Euro | JPMorgan Chase Bank, NA | 71,273 | 81,432 | 5/18/2016 | (215 | ) | |||||||||||||||||
Euro | JPMorgan Chase Bank, NA | 30,463 | 33,967 | 5/18/2016 | (929 | ) | |||||||||||||||||
Euro | JPMorgan Chase Bank, NA | 44,082 | 50,064 | 5/18/2016 | (434 | ) | |||||||||||||||||
Euro | JPMorgan Chase Bank, NA | 400,256 | 442,664 | 5/18/2016 | (15,850 | ) | |||||||||||||||||
Euro | JPMorgan Chase Bank, NA | 140,537 | 157,306 | 5/18/2016 | (3,686 | ) | |||||||||||||||||
Euro | JPMorgan Chase Bank, NA | 137,284 | 156,629 | 5/18/2016 | (637 | ) | |||||||||||||||||
Euro | JPMorgan Chase Bank, NA | 73,024 | 81,175 | 5/18/2016 | (2,478 | ) | |||||||||||||||||
Euro | JPMorgan Chase Bank, NA | 12,140 | 13,339 | 5/18/2016 | (568 | ) | |||||||||||||||||
Hong Kong Dollar | JPMorgan Chase Bank, NA | 2,135,195 | 275,331 | 5/9/2016 | 50 | ||||||||||||||||||
Japanese Yen | JPMorgan Chase Bank, NA | 79,498 | 711 | 5/18/2016 | (36 | ) | |||||||||||||||||
Japanese Yen | JPMorgan Chase Bank, NA | 23,698,100 | 216,873 | 5/18/2016 | (5,928 | ) | |||||||||||||||||
Mexican Peso | JPMorgan Chase Bank, NA | 733,383 | 41,843 | 5/9/2016 | (760 | ) | |||||||||||||||||
Norwegian Krone | JPMorgan Chase Bank, NA | 465,600 | 54,448 | 5/18/2016 | (3,374 | ) | |||||||||||||||||
Norwegian Krone | JPMorgan Chase Bank, NA | 69,588 | 8,101 | 5/18/2016 | (541 | ) | |||||||||||||||||
Pound Sterling | JPMorgan Chase Bank, NA | 7,879 | 11,155 | 5/18/2016 | (358 | ) | |||||||||||||||||
Pound Sterling | JPMorgan Chase Bank, NA | 4,531 | 6,508 | 5/18/2016 | (113 | ) | |||||||||||||||||
Pound Sterling | JPMorgan Chase Bank, NA | 6,116 | 8,577 | 5/18/2016 | (360 | ) | |||||||||||||||||
Pound Sterling | JPMorgan Chase Bank, NA | 4,660 | 6,722 | 5/18/2016 | (87 | ) | |||||||||||||||||
Singapore Dollar | JPMorgan Chase Bank, NA | 1,490 | 1,061 | 5/18/2016 | (46 | ) | |||||||||||||||||
Singapore Dollar | JPMorgan Chase Bank, NA | 70,277 | 50,388 | 5/18/2016 | (1,846 | ) | |||||||||||||||||
Singapore Dollar | JPMorgan Chase Bank, NA | 50,260 | 35,780 | 5/18/2016 | (1,576 | ) | |||||||||||||||||
South African Rand | JPMorgan Chase Bank, NA | 458,988 | 28,475 | 5/18/2016 | (3,665 | ) | |||||||||||||||||
South African Rand | JPMorgan Chase Bank, NA | 260,615 | 16,856 | 5/18/2016 | (1,393 | ) | |||||||||||||||||
South African Rand | JPMorgan Chase Bank, NA | 369,829 | 25,822 | 5/18/2016 | (74 | ) | |||||||||||||||||
South African Rand | JPMorgan Chase Bank, NA | 97,820 | 6,158 | 5/18/2016 | (692 | ) | |||||||||||||||||
South African Rand | JPMorgan Chase Bank, NA | 274,208 | 17,649 | 5/18/2016 | (1,552 | ) | |||||||||||||||||
Swedish Krona | JPMorgan Chase Bank, NA | 2,334,713 | 286,749 | 5/9/2016 | (4,042 | ) | |||||||||||||||||
Swedish Krona | JPMorgan Chase Bank, NA | 255,366 | 31,500 | 5/18/2016 | (317 | ) | |||||||||||||||||
Swedish Krona | JPMorgan Chase Bank, NA | 349,910 | 41,345 | 5/18/2016 | (2,251 | ) | |||||||||||||||||
Swedish Krona | JPMorgan Chase Bank, NA | 270,400 | 32,948 | 5/18/2016 | (742 | ) |
See Notes to Financial Statements
65
Schedule of Investments Neuberger Berman Long Short
Multi-Manager Fund (Unaudited) (cont'd)
Sell | Counterparty | Contracts to Deliver | In Exchange For | Settlement Date | Net Unrealized Appreciation (Depreciation) | ||||||||||||||||||
Swedish Krona | JPMorgan Chase Bank, NA | 375,338 | $ | 44,923 | 5/18/2016 | $ | (1,841 | ) | |||||||||||||||
Swedish Krona | JPMorgan Chase Bank, NA | 19,782 | 2,306 | 5/18/2016 | (159 | ) | |||||||||||||||||
Swedish Krona | JPMorgan Chase Bank, NA | 349,443 | 43,479 | 5/18/2016 | (59 | ) | |||||||||||||||||
Swiss Franc | JPMorgan Chase Bank, NA | 128,190 | 132,743 | 5/9/2016 | (919 | ) | |||||||||||||||||
Swiss Franc | JPMorgan Chase Bank, NA | 113,083 | 113,602 | 5/18/2016 | (4,354 | ) | |||||||||||||||||
Swiss Franc | JPMorgan Chase Bank, NA | 16,201 | 16,339 | 5/18/2016 | (560 | ) | |||||||||||||||||
Swiss Franc | JPMorgan Chase Bank, NA | 26,862 | 27,034 | 5/18/2016 | (985 | ) | |||||||||||||||||
Swiss Franc | JPMorgan Chase Bank, NA | 58,578 | 60,472 | 5/18/2016 | (630 | ) | |||||||||||||||||
Total | $ | (149,480 | ) |
For the six months ended April 30, 2016, the average notional value of forward contracts for the Fund was $3,197,513.
Equity swap contracts ("equity swaps")
At April 30, 2016, the outstanding equity swaps* for the Fund were as follows:
Long Short Multi-Manager
Counterparty | Description | Expiration Date(s) | Value | ||||||||||||
JPMorgan Chase Bank, NA | 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. | 6/27/2016- 8/17/2016 | $ | 13,987 |
* The following table represents the individual long and short positions and related values of the equity swaps with JPMorgan Chase Bank, NA as of April 30, 2016.
Reference Entity | Shares | Notional Value(a)(b) | Net Unrealized Appreciation (Depreciation) | ||||||||||||
Long Positions | |||||||||||||||
France | |||||||||||||||
Elior | 5,881 | $ | 121,929 | $ | 4,503 | ||||||||||
Natixis SA | 11,896 | 64,308 | 1,307 | ||||||||||||
Schneider Electric SE | 957 | 61,088 | 1,198 | ||||||||||||
Societe Television Francaise 1 | 14,042 | 168,730 | 17 | ||||||||||||
7,025 | |||||||||||||||
Ireland | |||||||||||||||
Bank of Ireland | 165,745 | 58,532 | (8,238 | ) | |||||||||||
CRH plc | 4,336 | 122,084 | 3,876 | ||||||||||||
Shire plc | 3,460 | 211,065 | 4,353 | ||||||||||||
(9 | ) |
See Notes to Financial Statements
66
Schedule of Investments Neuberger Berman Long Short
Multi-Manager Fund (Unaudited) (cont'd)
Reference Entity | Shares | Notional Value(a)(b) | Net Unrealized Appreciation (Depreciation) | ||||||||||
Spain | |||||||||||||
Atresmedia Corp. de Medios de Comunicacion SA | 4,975 | $ | 63,987 | $ | 784 | ||||||||
Telepizza Group Sa | 8,800 | 77,903 | (15,933 | ) | |||||||||
(15,149 | ) | ||||||||||||
United Kingdom | |||||||||||||
Premier Oil plc | 25,047 | 35,027 | (8,037 | ) | |||||||||
Spire Healthcare Group plc | 8,341 | 39,549 | 378 | ||||||||||
(7,659 | ) | ||||||||||||
United States | |||||||||||||
Signet Jewelers Ltd. | 487 | 59,547 | (6,679 | ) | |||||||||
Total Long Positions of Equity Swaps | (22,471 | ) | |||||||||||
Short Positions | |||||||||||||
France | |||||||||||||
Airbus Group SE | (1,053 | ) | (71,445 | ) | 5,600 | ||||||||
Danone SA | (852 | ) | (59,924 | ) | 248 | ||||||||
Sanofi | (699 | ) | (60,373 | ) | 2,656 | ||||||||
8,504 | |||||||||||||
United Kingdom | |||||||||||||
Barratt Developments plc | (6,855 | ) | (58,968 | ) | 5,631 | ||||||||
easyJet plc | (2,782 | ) | (59,935 | ) | 59 | ||||||||
ITV plc | (23,059 | ) | (81,968 | ) | 6,092 | ||||||||
Taylor Wimpey plc | (22,463 | ) | (60,016 | ) | (474 | ) | |||||||
11,308 | |||||||||||||
Total Short Positions of Equity Swaps | 19,812 | ||||||||||||
Total Long and Short Positions of Equity Swaps | (2,659 | ) | |||||||||||
Financing Costs and Other Receivables/(Payables) | 16,646 | ||||||||||||
Equity Swaps, at value—JPMorgan Chase Bank, NA | $ | 13,987 | |||||||||||
Counterparty | Description | Expiration Date(s) | Value | ||||||||||
Morgan Stanley Capital Services LLC | 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. | 6/12/2016- 12/12/2016 | $ | (95,576 | ) |
* The following table represents the individual long and short positions and related values of the equity swaps with Morgan Stanley Capital Services LLC as of April 30, 2016.
Reference Entity | Shares | Notional Value(a)(b) | Net Unrealized Appreciation (Depreciation) | ||||||||||||
Long Positions | |||||||||||||||
Brazil | |||||||||||||||
Cia Brasileira de Distribuicao | 1,399 | $ | 14,571 | $ | 5,924 | ||||||||||
Hypermarcas SA | 5,075 | 27,665 | 17,105 | ||||||||||||
23,029 |
See Notes to Financial Statements
67
Schedule of Investments Neuberger Berman Long Short
Multi-Manager Fund (Unaudited) (cont'd)
Reference Entity | Shares | Notional Value(a)(b) | Net Unrealized Appreciation (Depreciation) | ||||||||||||
France | |||||||||||||||
Amundi SA | 1,183 | $ | 54,162 | $ | 279 | ||||||||||
BNP Paribas SA | 2,159 | 127,326 | (13,013 | ) | |||||||||||
Iliad SA | 795 | 198,974 | (25,241 | ) | |||||||||||
JCDecaux SA | 688 | 28,445 | 1,944 | ||||||||||||
Publicis Groupe SA | 1,913 | 130,689 | 10,882 | ||||||||||||
Remy Cointreau SA | 2,669 | 198,591 | 22,918 | ||||||||||||
Societe Generale SA | 2,223 | 104,505 | (17,323 | ) | |||||||||||
(19,554 | ) | ||||||||||||||
India | |||||||||||||||
Dr Reddy's Laboratories Ltd. | 1,112 | 50,819 | (112 | ) | |||||||||||
Ireland | |||||||||||||||
iShares Euro High Yield Corporate Bond UCITS Fund | 1,057 | 124,605 | 1,559 | ||||||||||||
Ryanair Holdings Plc | 15,563 | 263,862 | (28,900 | ) | |||||||||||
(27,341 | ) | ||||||||||||||
Jordan | |||||||||||||||
Hikma Pharmaceuticals plc | 2,193 | 70,480 | 143 | ||||||||||||
Luxembourg | |||||||||||||||
Eurofins Scientific SE | 287 | 107,027 | (535 | ) | |||||||||||
South Africa | |||||||||||||||
Aspen Pharmacare Holdings Ltd. | 2,180 | 42,837 | 8,539 | ||||||||||||
South Korea | |||||||||||||||
NAVER Corp. | 82 | 42,397 | 6,325 | ||||||||||||
Turkey | |||||||||||||||
Migros Ticaret A/S | 6,460 | 37,449 | 7,688 | ||||||||||||
United Kingdom | |||||||||||||||
Admiral Group plc | 10,580 | 257,253 | 29,820 | ||||||||||||
ASOS plc | 1,331 | 65,115 | 4,917 | ||||||||||||
Barclays plc | 34,499 | 106,552 | (20,102 | ) | |||||||||||
Burberry Group plc | 1,012 | 17,568 | 14 | ||||||||||||
Croda International plc | 3,419 | 149,135 | 1,285 | ||||||||||||
ITV plc | 74,045 | 290,404 | (46,758 | ) | |||||||||||
Pets at Home Group plc | 5,747 | 23,227 | (2,872 | ) | |||||||||||
Rexam plc | 40,217 | 352,983 | 14,286 | ||||||||||||
RSA Insurance Group plc | 17,503 | 108,337 | 9,075 | ||||||||||||
Smith & Nephew plc | 12,501 | 207,045 | 4,108 | ||||||||||||
Smiths Group plc | 2,298 | 31,879 | 5,325 | ||||||||||||
Sports Direct International plc | 83,371 | 590,341 | (121,100 | ) | |||||||||||
(122,002 | ) |
See Notes to Financial Statements
68
Schedule of Investments Neuberger Berman Long Short
Multi-Manager Fund (Unaudited) (cont'd)
Reference Entity | Shares | Notional Value(a)(b) | Net Unrealized Appreciation (Depreciation) | ||||||||||||
United States | |||||||||||||||
Alphabet, Inc. | 295 | $ | 223,506 | $ | (14,682 | ) | |||||||||
Apple, Inc. | 1,332 | 138,819 | (13,957 | ) | |||||||||||
Coach, Inc. | 2,687 | 88,259 | 19,946 | ||||||||||||
Expedia, Inc. | 869 | 105,080 | (4,475 | ) | |||||||||||
Mead Johnson Nutrition Co. | 1,467 | 113,617 | 14,232 | ||||||||||||
1,064 | |||||||||||||||
Total Long Positions of Equity Swaps | (122,756 | ) | |||||||||||||
Short Positions | |||||||||||||||
France | |||||||||||||||
Air France-KLM | (7,699 | ) | (62,249 | ) | (6,796 | ) | |||||||||
Electricite de France SA | (2,326 | ) | (34,055 | ) | 643 | ||||||||||
Kering | (353 | ) | (62,558 | ) | 2,069 | ||||||||||
Lagardere SCA | (3,206 | ) | (97,638 | ) | 12,580 | ||||||||||
Orange SA | (6,473 | ) | (113,661 | ) | 6,337 | ||||||||||
14,833 | |||||||||||||||
Germany | |||||||||||||||
Deutsche Lufthansa AG | (4,142 | ) | (68,118 | ) | 3,805 | ||||||||||
Deutsche Telekom AG | (6,508 | ) | (120,466 | ) | 6,563 | ||||||||||
10,368 | |||||||||||||||
Italy | |||||||||||||||
Eni SpA | (5,721 | ) | (88,812 | ) | (4,210 | ) | |||||||||
Netherlands | |||||||||||||||
Koninklijke Ahold NV | (6,591 | ) | (148,233 | ) | 4,839 | ||||||||||
Spain | |||||||||||||||
Industria de Diseno Textil SA | (4,705 | ) | (163,225 | ) | 12,188 | ||||||||||
Switzerland | |||||||||||||||
Givaudan SA | (60 | ) | (112,301 | ) | (5,911 | ) | |||||||||
Roche Holding AG | (178 | ) | (49,905 | ) | 4,909 | ||||||||||
(1,002 | ) | ||||||||||||||
United Kingdom | |||||||||||||||
Bunzl plc | (3,954 | ) | (107,361 | ) | (10,440 | ) | |||||||||
GlaxoSmithKline plc | (3,424 | ) | (67,965 | ) | (5,028 | ) | |||||||||
Marks & Spencer Group plc | (55,217 | ) | (351,600 | ) | 9,919 | ||||||||||
WPP plc | (5,424 | ) | (121,414 | ) | (5,074 | ) | |||||||||
(10,623 | ) | ||||||||||||||
United States | |||||||||||||||
Ball Corp. | (908 | ) | (63,650 | ) | (1,163 | ) | |||||||||
Merck & Co., Inc. | (692 | ) | (35,838 | ) | (2,111 | ) | |||||||||
Pfizer, Inc. | (1,187 | ) | (37,737 | ) | (1,090 | ) | |||||||||
(4,364 | ) | ||||||||||||||
Total Short Positions of Equity Swaps | 22,029 | ||||||||||||||
Total Long and Short Positions of Equity Swaps | (100,727 | ) | |||||||||||||
Financing Costs and Other Receivables/(Payables) | 5,151 | ||||||||||||||
Equity Swaps, at value—Morgan Stanley Capital Services LLC | $ | (95,576 | ) | ||||||||||||
Total Equity Swaps, at value | $ | (81,589 | ) |
See Notes to Financial Statements
69
Schedule of Investments Neuberger Berman Long Short
Multi-Manager Fund (Unaudited) (cont'd)
(a) Notional value represents the value (including any fees or commissions) of the long and short positions when they were established.
(b) For the six months ended April 30, 2016, the average notional value of equity swaps was $3,944,295 for long positions and $(1,662,600) for short positions, respectively for the Fund.
At April 30, 2016, the Fund had deposited cash collateral of $1,520,000 in a segregated account for Morgan Stanley Capital Services LLC.
Total return swap contracts ("total return swaps")
For the six months ended April 30, 2016, the average notional value of total return swaps for the Fund was $105,514.
At April 30, 2016, there were no total return swaps outstanding for the Fund.
Written option contracts ("options written")
At April 30, 2016, the Fund had outstanding options written as follows:
Name of Issuer | Contracts | Exercise Price | Expiration Date | Market Value of Options | |||||||||||||||
WR Grace & Co., Call | 12 | 82.5 | 5/20/2016 | $ | (720 | ) | |||||||||||||
Zoetis, Inc., Call | 20 | 49 | 5/20/2016 | (1,300 | ) | ||||||||||||||
Total | $ | (2,020 | ) |
Options written for the Fund for the six months ended April 30, 2016 were as follows:
Number of Contracts | Premium Received | ||||||||||
Outstanding 10/31/15 | 255 | $ | 9,074 | ||||||||
Options written | 142 | 9,579 | |||||||||
Options closed | (101 | ) | (6,941 | ) | |||||||
Options exercised | — | — | |||||||||
Options expired | (264 | ) | (9,185 | ) | |||||||
Outstanding 4/30/16 | 32 | $ | 2,527 |
For the six months ended April 30, 2016, the Fund had an average market value of $44,626 in purchased option contracts, and $(2,530) in options written, respectively.
The following is a summary, categorized by Level, of inputs used to value the Fund's investments as of April 30, 2016:
Asset Valuation Inputs | |||||||||||||||||||
(000's omitted) | Level 1 | Level 2 | Level 3 | Total | |||||||||||||||
Investments: | |||||||||||||||||||
Common Stocks | |||||||||||||||||||
Commercial Services & Supplies | $ | 635 | $ | 63 | $ | — | $ | 698 | |||||||||||
Health Care Providers & Services | 86 | 49 | — | 135 | |||||||||||||||
Hotels, Restaurants & Leisure | 154 | 33 | — | 187 | |||||||||||||||
Insurance | 159 | 186 | — | 345 | |||||||||||||||
Internet Software & Services | 786 | 83 | — | 869 | |||||||||||||||
Machinery | 442 | 89 | — | 531 | |||||||||||||||
Real Estate Management & Development | — | 59 | — | 59 |
See Notes to Financial Statements
70
Schedule of Investments Neuberger Berman Long Short
Multi-Manager Fund (Unaudited) (cont'd)
(000's omitted) | Level 1 | Level 2 | Level 3 | Total | |||||||||||||||
Textiles, Apparel & Luxury Goods | $ | 623 | $ | 67 | $ | — | $ | 690 | |||||||||||
Other Common Stocks(a) | 14,518 | — | — | 14,518 | |||||||||||||||
Total Common Stocks | 17,403 | 629 | — | 18,032 | |||||||||||||||
Master Limited Partnerships(a) | 1,542 | — | — | 1,542 | |||||||||||||||
Options Purchased | 53 | — | — | 53 | |||||||||||||||
Short-Term Investment | — | 8,207 | — | 8,207 | |||||||||||||||
Total Long Positions | $ | 18,998 | $ | 8,836 | $ | — | $ | 27,834 |
(a) The Schedule of Investments provides information on the industry categorization for the portfolio.
As of the six months ended April 30, 2016, there were no transfers between Levels 1, 2 or 3.
The following is a summary, categorized by Level, of inputs used to value the Fund's derivatives as of April 30, 2016:
Asset Valuation Inputs | |||||||||||||||||||
(000's omitted) | Level 1 | Level 2 | Level 3 | Total | |||||||||||||||
Forward contracts (unrealized appreciation) | $ | — | $ | 73 | $ | — | $ | 73 | |||||||||||
Futures (unrealized appreciation) | 1 | — | — | 1 | |||||||||||||||
Swap contracts | — | 308 | — | 308 | |||||||||||||||
Total | $ | 1 | $ | 381 | $ | — | $ | 382 |
The following is a summary, categorized by Level, of inputs used to value the Fund's short investments as of April 30, 2016:
Liability Valuation Inputs | |||||||||||||||||||
(000's omitted) | Level 1 | Level 2 | Level 3 | Total | |||||||||||||||
Investments: | |||||||||||||||||||
Common Stocks Sold Short | |||||||||||||||||||
Diversified Financial Services | $ | — | $ | (80 | ) | $ | — | $ | (80 | ) | |||||||||
Other Common Stocks Sold Short(a) | (8,430 | ) | — | — | (8,430 | ) | |||||||||||||
Total Common Stocks Sold Short | (8,430 | ) | (80 | ) | — | (8,510 | ) | ||||||||||||
Exchange Traded Funds Sold Short | (2,184 | ) | — | — | (2,184 | ) | |||||||||||||
Exchange Traded Note Sold Short | (198 | ) | — | — | (198 | ) | |||||||||||||
Master Limited Partnerships Sold Short(a) | (170 | ) | — | — | (170 | ) | |||||||||||||
Total Short Positions | $ | (10,982 | ) | $ | (80 | ) | $ | — | $ | (11,062 | ) |
(a) The Schedule of Investments provides information on the industry categorization for the portfolio.
The following is a summary, categorized by Level, of inputs used to value the Fund's derivatives as of April 30, 2016:
Liability Valuation Inputs | |||||||||||||||||||
(000's omitted) | Level 1 | Level 2 | Level 3 | Total | |||||||||||||||
Forward contracts (unrealized depreciation) | $ | — | $ | (150 | ) | $ | — | $ | (150 | ) | |||||||||
Futures (unrealized depreciation) | (10 | ) | — | — | (10 | ) | |||||||||||||
Swap contracts | — | (390 | ) | — | (390 | ) | |||||||||||||
Options written | (2 | ) | — | — | (2 | ) | |||||||||||||
Total | $ | (12 | ) | $ | (540 | ) | $ | — | $ | (552 | ) |
See Notes to Financial Statements
71
Statements of Assets and Liabilities (Unaudited)
Neuberger Berman Alternative Funds
(000's omitted, except per share amounts)
ABSOLUTE RETURN MULTI-MANAGER FUND† | LONG SHORT MULTI-MANAGER FUND | ||||||||||
April 30, 2016 | April 30, 2016 | ||||||||||
Assets | |||||||||||
Investments in securities, at value* (Note A)—see Schedule of Investments: | |||||||||||
Unaffiliated issuers | $ | 899,065 | $ | 27,834 | |||||||
Foreign currency* | 17,365 | 810 | |||||||||
Cash collateral segregated for short sales (Note A) | 220,835 | 11,236 | |||||||||
Cash collateral segregated for futures contracts (Note A) | 6,569 | 124 | |||||||||
Cash collateral segregated for swap contracts (Note A) | 27,337 | 1,520 | |||||||||
Dividends and interest receivable | 2,863 | 48 | |||||||||
Receivable for securities sold | 56,745 | 3,690 | |||||||||
Receivable for Fund shares sold | 1,172 | — | |||||||||
Receivable from administrator—net (Note B) | — | 35 | |||||||||
OTC swap contracts, at value (Note A) | 4,074 | 308 | |||||||||
Receivable for variation margin on futures contracts (Note A) | 224 | 34 | |||||||||
Receivable for variation margin on centrally cleared swap contracts (Note A) | 42 | — | |||||||||
Receivable for forward foreign currency contracts (Note A) | 1,384 | 73 | |||||||||
Prepaid expenses and other assets | 87 | 25 | |||||||||
Total Assets | 1,237,762 | 45,737 | |||||||||
Liabilities | |||||||||||
Investments sold short, at value** (Note A) | 212,469 | 11,062 | |||||||||
Option contracts written, at value*** (Note A) | 483 | 2 | |||||||||
Due to custodian | 5,172 | 414 | |||||||||
Dividends and interest payable for short sales | 602 | 21 | |||||||||
OTC swap contracts, at value (Note A) | 5,773 | 390 | |||||||||
Payable to administrator—net (Note B) | 199 | — | |||||||||
Payable to investment manager (Note B) | 1,334 | 42 | |||||||||
Payable for securities purchased | 53,023 | 2,607 | |||||||||
Payable for Fund shares redeemed | 5,121 | 6 | |||||||||
Payable for forward foreign currency contracts (Note A) | 2,506 | 150 | |||||||||
Accrued expenses and other payables | 286 | 146 | |||||||||
Total Liabilities | 286,968 | 14,840 | |||||||||
Net Assets | $ | 950,794 | $ | 30,897 | |||||||
Net Assets consist of: | |||||||||||
Paid-in capital | $ | 1,116,265 | $ | 34,625 | |||||||
Undistributed net investment income (loss) | 5,682 | (78 | ) | ||||||||
Accumulated net realized gains (losses) on investments | (139,370 | ) | (4,034 | ) | |||||||
Net unrealized appreciation (depreciation) in value of investments | (31,783 | ) | 384 | ||||||||
Net Assets | $ | 950,794 | $ | 30,897 | |||||||
Net Assets | |||||||||||
Institutional Class | $ | 755,042 | $ | 29,042 | |||||||
Class A | 119,015 | 720 | |||||||||
Class C | 61,027 | 1,135 | |||||||||
Class R6 | 15,710 | — |
See Notes to Financial Statements
72
Statements of Assets and Liabilities (Unaudited) (cont'd)
Neuberger Berman Alternative Funds (cont'd)
(000's omitted, except per share amounts)
ABSOLUTE RETURN MULTI-MANAGER FUND† | LONG SHORT MULTI-MANAGER FUND | ||||||||||
April 30, 2016 | April 30, 2016 | ||||||||||
Shares Outstanding ($.001 par value; unlimited shares authorized) | |||||||||||
Institutional Class | 76,321 | 3,110 | |||||||||
Class A | 12,101 | 78 | |||||||||
Class C | 6,383 | 124 | |||||||||
Class R6 | 1,588 | — | |||||||||
Net Asset Value, offering and redemption price per share | |||||||||||
Institutional Class | $ | 9.89 | $ | 9.34 | |||||||
Class R6 | $ | 9.89 | — | ||||||||
Net Asset Value and redemption price per share | |||||||||||
Class A | $ | 9.83 | $ | 9.28 | |||||||
Offering Price per share | |||||||||||
Class A‡ | $ | 10.43 | $ | 9.85 | |||||||
Net Asset Value and offering price per share | |||||||||||
Class C^ | $ | 9.56 | $ | 9.12 | |||||||
*Cost of Investments: | |||||||||||
Unaffiliated issuers | $ | 925,718 | $ | 26,922 | |||||||
Total cost of foreign currency | $ | 16,493 | $ | 793 | |||||||
**Proceeds from investments sold short | $ | 209,870 | $ | 10,681 | |||||||
***Premium received from option contracts written | $ | 259 | $ | 3 |
† Consolidated financial statement, see Note A of the Notes to Financial Statements for additional information.
‡ 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
73
Statements of Operations (Unaudited)
Neuberger Berman Alternative Funds
(000's omitted)
ABSOLUTE RETURN MULTI-MANAGER FUND† | LONG SHORT MULTI-MANAGER FUND | ||||||||||
For the Six Months Ended April 30, 2016 | For the Six Months Ended April 30, 2016 | ||||||||||
Investment Income: | |||||||||||
Income (Note A): | |||||||||||
Dividend income—unaffiliated issuers | $ | 10,862 | $ | 426 | |||||||
Interest and other income—unaffiliated issuers | 10,853 | 1 | |||||||||
Foreign taxes withheld (Note A) | (86 | ) | (6 | ) | |||||||
Total income | $ | 21,629 | $ | 421 | |||||||
Expenses: | |||||||||||
Investment management fees (Note B) | 10,183 | 275 | |||||||||
Administration fees (Note B) | 370 | 10 | |||||||||
Administration fees (Note B): | |||||||||||
Institutional Class | 443 | 14 | |||||||||
Class A | 162 | 1 | |||||||||
Class C | 72 | 1 | |||||||||
Class R6 | 2 | — | |||||||||
Distribution fees (Note B): | |||||||||||
Class A | 203 | 1 | |||||||||
Class C | 361 | 6 | |||||||||
Shareholder servicing agent fees: | |||||||||||
Institutional Class | 6 | — | |||||||||
Class A | 30 | — | |||||||||
Class C | 7 | — | |||||||||
Class R6 | 1 | — | |||||||||
Organization expense (Note A) | 19 | — | |||||||||
Audit fees | 59 | 33 | |||||||||
Custodian and accounting fees (Note A) | 435 | 91 | |||||||||
Legal fees | 137 | 85 | |||||||||
Registration and filing fees | 93 | 23 | |||||||||
Repayment to Management of expenses previously assumed by Management (Note B) | 101 | — | |||||||||
Shareholder reports | 75 | 5 | |||||||||
Trustees' fees and expenses | 17 | 19 | |||||||||
Dividend and interest expense on securities sold short (Note A) | 4,821 | 174 | |||||||||
Interest expense | 6 | — | |||||||||
Miscellaneous | 78 | — | |||||||||
Total expenses | 17,681 | 738 | |||||||||
Expenses reimbursed by Management (Note B) | (13 | ) | (238 | ) | |||||||
Expenses reduced by custodian fee expense offset arrangement (Note A) | (1 | ) | — | ||||||||
Total net expenses | 17,667 | 500 | |||||||||
Net investment income (loss) | $ | 3,962 | $ | (79 | ) |
See Notes to Financial Statements
74
Statements of Operations (Unaudited) (cont'd)
Neuberger Berman Alternative Funds (cont'd)
(000's omitted)
ABSOLUTE RETURN MULTI-MANAGER FUND† | LONG SHORT MULTI-MANAGER FUND | ||||||||||
For the Six Months Ended April 30, 2016 | For the Six Months Ended April 30, 2016 | ||||||||||
Realized and Unrealized Gain (Loss) on Investments (Note A): | |||||||||||
Net realized gain (loss) on: | |||||||||||
Sales of investment securities of unaffiliated issuers | (106,308 | ) | (2,988 | ) | |||||||
Sales of investment securities of unaffiliated issuers sold short | 16,155 | 402 | |||||||||
Forward foreign currency contracts | (3,888 | ) | (240 | ) | |||||||
Foreign currency | (895 | ) | (29 | ) | |||||||
Futures contracts | 1,137 | 71 | |||||||||
Option contracts written | 2,841 | 8 | |||||||||
Swap contracts | (6,723 | ) | (99 | ) | |||||||
Change in net unrealized appreciation (depreciation) in value of: | |||||||||||
Unaffiliated investment securities | 35,527 | 1,866 | |||||||||
Unaffiliated investment securities sold short | (8,807 | ) | (561 | ) | |||||||
Forward foreign currency contracts | 999 | 17 | |||||||||
Foreign currency | 1,251 | 36 | |||||||||
Futures contracts | (701 | ) | (9 | ) | |||||||
Option contracts written | (2,379 | ) | 1 | ||||||||
Swap contracts | 2,647 | (26 | ) | ||||||||
Net gain (loss) on investments | (69,144 | ) | (1,551 | ) | |||||||
Net increase (decrease) in net assets resulting from operations | $ | (65,182 | ) | $ | (1,630 | ) |
† Consolidated financial statement, see Note A of the Notes to Financial Statements for additional information.
See Notes to Financial Statements
75
Statements of Changes in Net Assets
Neuberger Berman Alternative Funds
(000's omitted)
ABSOLUTE RETURN MULTI-MANAGER FUND | LONG SHORT MULTI-MANAGER FUND | ||||||||||||||||||
For the Six Months Ended April 30, 2016† (Unaudited) | For the Year Ended October 31, 2015 | For the Six Months Ended April 30, 2016 (Unaudited) | For the Year Ended October 31, 2015 | ||||||||||||||||
Increase (Decrease) in Net Assets: | |||||||||||||||||||
From Operations (Note A): | |||||||||||||||||||
Net investment income (loss) | $ | 3,962 | $ | (8,136 | ) | $ | (79 | ) | $ | (536 | ) | ||||||||
Net realized gain (loss) on investments | (97,681 | ) | 18,826 | (2,875 | ) | 792 | |||||||||||||
Change in net unrealized appreciation (depreciation) of investments | 28,537 | (56,709 | ) | 1,324 | (1,544 | ) | |||||||||||||
Net increase (decrease) in net assets resulting from operations | (65,182 | ) | (46,019 | ) | (1,630 | ) | (1,288 | ) | |||||||||||
Distributions to Shareholders From (Note A): | |||||||||||||||||||
Net investment income: | |||||||||||||||||||
Institutional Class | (2,529 | ) | (8,525 | ) | (35 | ) | (46 | ) | |||||||||||
Class A | — | (488 | ) | — | — | ||||||||||||||
Class R6 | (53 | ) | (231 | ) | — | — | |||||||||||||
Net realized gain on investments: | |||||||||||||||||||
Institutional Class | (10,417 | ) | (27,552 | ) | (877 | ) | (215 | ) | |||||||||||
Class A | (1,839 | ) | (5,036 | ) | (33 | ) | (5 | ) | |||||||||||
Class C | (784 | ) | (2,072 | ) | (31 | ) | (2 | ) | |||||||||||
Class R6 | (165 | ) | (688 | ) | — | — | |||||||||||||
Total distributions to shareholders | (15,787 | ) | (44,592 | ) | (976 | ) | (268 | ) | |||||||||||
From Fund Share Transactions (Note D): | |||||||||||||||||||
Proceeds from shares sold: | |||||||||||||||||||
Institutional Class | 174,497 | 777,257 | 5,564 | 15,632 | |||||||||||||||
Class A | 20,664 | 100,675 | 76 | 939 | |||||||||||||||
Class C | 4,774 | 24,880 | 479 | 1,321 | |||||||||||||||
Class R6 | 496 | 25,419 | — | — | |||||||||||||||
Proceeds from reinvestment of dividends and distributions: | |||||||||||||||||||
Institutional Class | 11,386 | 31,496 | 897 | 253 | |||||||||||||||
Class A | 1,650 | 4,809 | 33 | 5 | |||||||||||||||
Class C | 583 | 1,512 | 31 | 2 | |||||||||||||||
Class R6 | 218 | 919 | — | — | |||||||||||||||
Payments for shares redeemed: | |||||||||||||||||||
Institutional Class | (709,615 | ) | (668,142 | ) | (8,504 | ) | (11,780 | ) | |||||||||||
Class A | (103,119 | ) | (126,053 | ) | (511 | ) | (541 | ) | |||||||||||
Class C | (26,674 | ) | (29,562 | ) | (574 | ) | (200 | ) | |||||||||||
Class R6 | (1,432 | ) | (39,577 | ) | — | — | |||||||||||||
Net increase (decrease) from Fund share transactions | (626,572 | ) | 103,633 | (2,509 | ) | 5,631 | |||||||||||||
Net Increase (Decrease) in Net Assets | (707,541 | ) | 13,022 | (5,115 | ) | 4,075 | |||||||||||||
Net Assets: | |||||||||||||||||||
Beginning of period | 1,658,335 | 1,645,313 | 36,012 | 31,937 | |||||||||||||||
End of period | $ | 950,794 | $ | 1,658,335 | $ | 30,897 | $ | 36,012 | |||||||||||
Undistributed net investment income (loss) at end of period | 5,682 | 4,302 | (78 | ) | 36 |
† Consolidated financial statement, see Note A of the Notes to Financial Statements for additional information.
See Notes to Financial Statements
76
Notes to Financial Statements Alternative and
Multi-Asset Class Fundsß (Unaudited)
Note A—Summary of Significant Accounting Policies:
1 General: Neuberger Berman Alternative Funds (the "Trust") is a Delaware statutory trust organized pursuant to an Amended and Restated Trust Instrument dated March 27, 2014. The Trust is registered as an open-end management investment company under the Investment Company Act of 1940, as amended (the "1940 Act"), and its shares are registered under the 1933 Act. Each 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") 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. Neuberger Berman Alternative Funds' Board of Trustees (the "Board") may establish additional series or classes of shares without the approval of shareholders.
A zero balance, if any, reflects an actual amount rounding to less then $1,000.
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.
Absolute Return Multi-Manager invests in commodity-related instruments through the Subsidiary, which is organized under the laws of the Cayman Islands. Absolute Return Multi-Manager is and expects to be the sole shareholder of the Subsidiary. The Subsidiary is governed by its own Board of Directors.
As of April 30, 2016, the value of Absolute Return Multi-Manager's investment in the Subsidiary was as follows:
Investment in Subsidiary | Percentage of Net Assets | ||||||
61,546,424 | 6.5 | % |
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 Neuberger Berman Investment Advisers LLC ("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 Absolute Return Multi-Manager present the consolidated accounts of the Fund and the Subsidiary. All intercompany accounts and transactions have been eliminated in consolidation.
3 Portfolio valuation: In accordance with Accounting Standards Codification ("ASC") 820 "Fair Value Measurement" ("ASC 820"), all investments held by each of the Funds are carried at the value that 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.
ß Consolidated Notes to Financial Statements for Absolute Return Multi-Manager
77
• 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, closed-end funds, exchange-traded funds, exchange-traded notes, exchange-traded purchased option contracts, exchange-traded written option contracts, master limited partnerships, rights 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 sale of a security on a particular day, the independent pricing services may value the security based on 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").
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.
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 loan assignments 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 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 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).
78
The value of total return swaps on futures contracts is determined by Management by obtaining valuations from independent pricing services based on the settlement price of the underlying futures contract.
The value of equity swaps is determined by Management by obtaining valuations from independent pricing services using the underlying asset and stated London Interbank Offered Rate ("LIBOR") or Federal Funds floating rate ( Level 2 inputs).
The value of total return swaps is determined by Management by obtaining valuations from independent pricing services using the underlying index and stated LIBOR (Level 2 inputs).
The value of 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).
Option contracts that are traded over-the-counter ("OTC") are generally valued on the basis of quotations provided by broker-dealers or prices provided by independent pricing services 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 (Level 2 inputs).
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 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 Board has approved in the good-faith belief that the resulting valuation will reflect the fair value of the security. Numerous factors may be considered when determining the fair value of a security based on Level 2 or Level 3 inputs, including available analyst, media or other reports, trading in futures or American Depositary Receipts ("ADRs") and whether the issuer of the security being fair valued has other securities outstanding.
The value of the Funds' investments in foreign securities is generally determined using the same valuation methods and inputs as other Fund investments, as discussed above. Foreign security prices expressed in local currency values are translated from the local currency into U.S. dollars using the exchange rates as of the end of regular trading on the New York Stock Exchange ("NYSE") on business days, usually 4:00 p.m. Eastern Time. The Board has approved the use of Interactive Data Pricing and Reference Data, Inc. ("Interactive") to assist in determining the fair value of foreign equity securities when changes in the value of a certain index suggest that the closing prices on the foreign exchanges may no longer represent the amount that a Fund could expect to receive for those securities or on days when foreign markets are closed and U.S. markets are open. In each of these events, Interactive will provide adjusted prices for certain foreign equity securities using a statistical analysis of historical correlations of multiple factors (Level 2 inputs). The Board has also approved the use of Interactive to evaluate the prices of foreign income securities as of the close of the NYSE. Interactive utilizes benchmark spread and yield curves and evaluates available market activity from the local close to the close of the NYSE (Level 2 inputs) to assist in determining prices for certain foreign income securities. In the case of both foreign equity and foreign income securities, in the absence of precise information about the market values of these foreign securities as of the close of the NYSE, the Board has determined on the basis of available data that prices adjusted or evaluated in this way are 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.
79
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.
4 Foreign currency translation: The accounting records of the Funds 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 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.
5 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. Included in net realized gain (loss) on investments are proceeds from the settlement of class action litigation in which Absolute Return Multi-Manager participated as a class member. The amount of such proceeds for the six months ended April 30, 2016, was $2,282.
6 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.
The Funds have adopted the provisions of ASC 740 "Income Taxes" ("ASC 740"). ASC 740 sets forth a minimum threshold for financial statement recognition of a tax position taken, or expected to be taken, in a tax return. The Funds recognize interest and penalties, if any, related to unrecognized tax positions as an income tax expense in the Statements of Operations. The Funds are subject to examination by U.S. federal and state tax authorities for returns filed for the tax years for which the applicable statutes of limitations have not yet expired. As of April 30, 2016, the Funds did not have any unrecognized tax positions.
At April 30, 2016 selected Fund information on a U.S. federal income tax basis was as follows:
(000's omitted) | Cost | Gross Unrealized Appreciation | Gross Unrealized Depreciation | Net Unrealized Appreciation (Depreciation) | |||||||||||||||
Absolute Return Multi-Manager | $ | 925,718 | $ | 26,661 | $ | (53,314 | ) | $ | (26,653 | ) | |||||||||
Long Short Multi-Manager | 26,922 | 1,341 | (429 | ) | 912 |
The Subsidiary is a controlled foreign corporation under the U.S. Internal Revenue Code. As a U.S. shareholder of a controlled foreign corporation, Absolute Return Multi-Manager 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 Absolute Return Multi-Manager'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 each Fund, timing differences and differing characterization of distributions made by each Fund.
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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 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.
7 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 April 30, 2016, there were no outstanding balances of accrued capital gains taxes for the Funds.
8 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.
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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. At April 30, 2016, Absolute Return Multi-Manager and Long Short Multi-Manager estimated these amounts for the period January 1, 2016 to April 30, 2016 within the financial statements because the 2016 information is not available from the REITs until after the 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.
9 Organization expenses: Costs incurred by the Subsidiary in connection with its organization, which amounted to $19,302, and are reflected in "Organization expense" in the Statement of Operations of Absolute Return Multi-Manager and have been expensed as incurred.
10 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.
11 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.
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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 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 or liquid securities in an amount at least equal to the current market value of the securities sold short (less any additional collateral pledged to the lender). The Funds are contractually responsible to remit to the lender any dividends and interest payable on securities while those securities are being borrowed by the Fund. The Funds may receive or pay the net of the interest charged by the prime broker on the borrowed securities and a financing charge for the difference in the market value of the short position and the cash collateral deposited with the broker. This income or fee is calculated daily based upon the market value of each borrowed security and a variable rate that is dependent on the availability of the security. These costs related to short sales (i.e., dividend and interest remitted to the lender and interest charged by the prime broker) are recorded as an expense of the Funds and are excluded from the contractual expense limitation.
The net amount of fees incurred are included in the "Dividend and interest expense on securities sold short" on the Statements of Operations and are as follows:
(000's omitted) | |||||||
Absolute Return Multi-Manager | $ | 990 | |||||
Long Short Multi-Manager | 26 |
At April 30, 2016, Absolute Return Multi-Manager and Long Short Multi-Manager had pledged cash in the amount of $220,834,749 and $11,235,767, respectively, to JPMorgan Chase Bank, NA ("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 April 30, 2016, Absolute Return Multi-Manager and Long Short Multi-Manager had pledged securities in the amount of $41,963,320 and $2,983,892, respectively, to JPM to cover collateral requirements for borrowing in connection with securities sold short.
13 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.
14 Derivative instruments: The Funds' use of derivatives during the six months ended April 30, 2016, is described below. Please see the Schedule of Investments for each Fund's open positions in derivatives, if any, at April 30, 2016. 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
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derivatives may represent economic hedges, they are considered non-hedge transactions for purposes of this disclosure.
Credit default swap contracts: During the six months ended April 30, 2016, Absolute Return Multi-Manager used centrally cleared and OTC credit default swaps as part of its investment strategies, to enhance returns and 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 a credit default swap contract, it is entitled to receive the notional amount of the swap 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.
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 and net interest received or paid on swap contracts to determine the fair value of swaps. For the six months ended April 30, 2016, only the credit default index swaps in Absolute Return were centrally cleared.
Futures contracts: During the six months ended April 30, 2016, Absolute Return Multi-Manager used futures for economic hedging purposes and to enhance returns. Long Short Multi-Manager used futures for economic hedging purposes.
At the time a Fund enters into a 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 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 futures contract fluctuates. Daily variation margin adjustments, arising from this "mark to market," are recorded by a Fund or Subsidiary as unrealized gains or losses.
Although some 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 futures.
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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.
Equity swap contracts: During the six months ended April 30, 2016, the Funds used equity swaps to provide investment exposure to certain investments, primarily foreign securities.
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.
Total return swap contracts: During the six months ended April 30, 2016, 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.
Forward foreign currency contracts: During the six months ended April 30, 2016, Absolute Return Multi-Manager used forward contracts to hedge foreign currency and enhance returns. Long Short Multi-Manager 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
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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 risks associated with fluctuations in foreign currency and the risk the counterparty will fail to fulfill its obligations.
Options: Premiums received by a Fund upon writing a 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 contracts were used in an attempt to generate incremental returns for Absolute Return Multi-Manager and Long Short Multi-Manager for the six months ended April 30, 2016.
A Fund may write or purchase options on exchange-traded 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 futures contract.
Premiums paid by a Fund upon purchasing a call or put option are recorded in the asset section of the Fund's Statement of Assets and Liabilities and are subsequently adjusted to the current market value. When an option is exercised, closed, or expired, a Fund realizes a gain or loss and the asset is eliminated.
For purchased call options, a Fund's loss is limited to the amount of the option premium paid.
Purchased option contracts were used in an attempt to manage or adjust the risk profile and the investment exposure of each Fund to certain securities and enhance returns for the six months ended April 30, 2016.
At April 30, 2016, 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 | Statement of Assets and Liabilities Location | Credit Risk | Currency Risk | Equity Risk | Interest Rate Risk | Commodity Risk | Total | ||||||||||||||||||||||||
Absolute Return Multi-Manager | |||||||||||||||||||||||||||||||
OTC swaps | OTC swap contracts, at value(1) | $ | 946,019 | $ | — | $ | 3,127,721 | $ | — | $ | — | $ | 4,073,740 | ||||||||||||||||||
Futures | Receivable/Payable for variation margin on futures contracts(2) | — | 424,728 | 97,272 | 34,858 | 1,000,901 | 1,557,759 | ||||||||||||||||||||||||
Forward contracts | Receivable for open forward foreign currency exchange contracts | — | 1,383,965 | — | — | — | 1,383,965 | ||||||||||||||||||||||||
Option contracts purchased | Investments in securities, at value | — | — | 1,289,737 | — | — | 1,289,737 | ||||||||||||||||||||||||
Total Value—Assets | $ | 946,019 | $ | 1,808,693 | $ | 4,514,730 | $ | 34,858 | $ | 1,000,901 | $ | 8,305,201 |
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Derivative Type | Statement of Assets and Liabilities Location | Credit Risk | Currency Risk | Equity Risk | Interest Rate Risk | Commodity Risk | Total | ||||||||||||||||||||||||
Long Short Multi-Manager | |||||||||||||||||||||||||||||||
OTC swaps | OTC swap contracts, at value(1) | $ | — | $ | — | $ | 308,665 | $ | — | $ | — | $ | 308,665 | ||||||||||||||||||
Futures | Receivable/Payable for variation margin on futures contracts(2) | — | — | 766 | — | — | 766 | ||||||||||||||||||||||||
Forward contracts | Receivable for open forward foreign currency exchange contracts | — | 72,662 | — | — | — | 72,662 | ||||||||||||||||||||||||
Option contracts purchased | Investments in securities, at value | — | — | 52,700 | — | — | 52,700 | ||||||||||||||||||||||||
Total Value—Assets | $ | — | $ | 72,662 | $ | 362,131 | $ | — | $ | — | $ | 434,793 | |||||||||||||||||||
Liability Derivatives | |||||||||||||||||||||||||||||||
Absolute Return Multi-Manager | |||||||||||||||||||||||||||||||
OTC swaps | OTC swap contracts, at value(1) | $ | (625,440 | ) | $ | — | $ | (5,147,798 | ) | $ | — | $ | — | $ | (5,773,238 | ) | |||||||||||||||
Centrally cleared swaps | Receivable/Payable for variation margin on open centrally cleared swap contracts(3) | (1,023,963 | ) | — | — | — | — | (1,023,963 | ) | ||||||||||||||||||||||
Futures | Receivable/Payable for variation margin on futures contracts(2) | — | (346,437 | ) | (262,511 | ) | (534,043 | ) | (1,116,065 | ) | (2,259,056 | ) | |||||||||||||||||||
Forward contracts | Payable for open forward foreign currency exchange contracts | — | (2,505,662 | ) | — | — | — | (2,505,662 | ) | ||||||||||||||||||||||
Options written | Written options, at value | — | — | (482,775 | ) | — | — | (482,775 | ) | ||||||||||||||||||||||
Total Value—Liabilities | $ | (1,649,403 | ) | $ | (2,852,099 | ) | $ | (5,893,084 | ) | $ | (534,043 | ) | $ | (1,116,065 | ) | $ | (12,044,694 | ) |
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Derivative Type | Statement of Assets and Liabilities Location | Credit Risk | Currency Risk | Equity Risk | Interest Rate Risk | Commodity Risk | Total | ||||||||||||||||||||||||
Long Short Multi-Manager | |||||||||||||||||||||||||||||||
OTC swaps | OTC swap contracts, at value(1) | $ | — | $ | — | $ | (390,254 | ) | $ | — | $ | — | $ | (390,254 | ) | ||||||||||||||||
Futures | Receivable/Payable for variation margin on futures contracts(2) | — | — | (10,027 | ) | — | — | (10,027 | ) | ||||||||||||||||||||||
Forward contracts | Payable for open forward foreign currency exchange contracts | — | (149,530 | ) | — | — | — | (149,530 | ) | ||||||||||||||||||||||
Options written | Written options, at value | — | — | (2,020 | ) | — | — | (2,020 | ) | ||||||||||||||||||||||
Total Value—Liabilities | $ | — | $ | (149,530 | ) | $ | (402,301 | ) | $ | — | $ | — | $ | (551,831 | ) |
(1) "OTC swap contracts" reflects the appreciation (depreciation) of the OTC swap contracts plus accrued interest as of April 30, 2016, which is reflected in the Statements of Assets and Liabilities under the caption "OTC swap contracts, at value."
(2) "Futures" reflects the cumulative appreciation (depreciation) of futures as of April 30, 2016, which is reflected in the Statement of Assets and Liabilities under the caption "Net unrealized appreciation (depreciation) in value of investments." The current day's variation margin as of April 30, 2016, if any, is reflected in the Statement of Assets and Liabilities under the caption "Receivable/Payable for variation margin on futures contracts."
(3) "Centrally cleared swap contracts" reflects the cumulative unrealized appreciation (depreciation) of centrally cleared default index swaps as of April 30, 2016, 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."
The impact of the use of these derivative instruments on the Statement of Operations during the six months ended April 30, 2016, was as follows:
Realized Gain (Loss)
Derivative Type | Statement of Operations Location | Credit Risk | Currency Risk | Equity Risk | Interest Rate Risk | Commodity Risk | Total | ||||||||||||||||||||||||
Absolute Return Multi-Manager | |||||||||||||||||||||||||||||||
Forward contracts | Net realized gain (loss) on: Forward foreign currency contracts | $ | — | $ | (3,887,867 | ) | $ | — | $ | — | $ | — | $ | (3,887,867 | ) | ||||||||||||||||
Futures | Net realized gain (loss) on: Futures contracts | — | 45,969 | (323,163 | ) | 1,023,930 | 390,429 | 1,137,165 |
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Derivative Type | Statement of Operations Location | Credit Risk | Currency Risk | Equity Risk | Interest Rate Risk | Commodity Risk | Total | ||||||||||||||||||||||||
Options written | Net realized gain (loss) on: Options contracts written | $ | — | $ | — | $ | 2,840,512 | $ | — | $ | — | $ | 2,840,512 | ||||||||||||||||||
Option contracts purchased | Net realized gain (loss) on: Sales of investment securities of unaffiliated issuers | — | — | (14,247,589 | ) | — | — | (14,247,589 | ) | ||||||||||||||||||||||
Swaps | Net realized gain (loss) on: Swaps contracts | (819,566 | ) | — | (5,903,837 | ) | — | — | (6,723,403 | ) | |||||||||||||||||||||
Total Realized Gain (Loss) | $ | (819,566 | ) | $ | (3,841,898 | ) | $ | (17,634,077 | ) | $ | 1,023,930 | $ | 390,429 | $ | (20,881,182 | ) | |||||||||||||||
Long Short Multi-Manager | |||||||||||||||||||||||||||||||
Forward contracts | Net realized gain (loss) on: Forward foreign currency contracts | $ | — | $ | (240,154 | ) | $ | — | $ | — | $ | — | $ | (240,154 | ) | ||||||||||||||||
Futures | Net realized gain (loss) on: Futures contracts | — | — | 71,159 | — | — | 71,159 | ||||||||||||||||||||||||
Options written | Net realized gain (loss) on: Options written | — | — | 7,591 | — | — | 7,591 | ||||||||||||||||||||||||
Option contracts purchased | Net realized gain (loss) on: Sales of investment securities of unaffiliated issuers | — | — | (271,469 | ) | — | — | (271,469 | ) | ||||||||||||||||||||||
Swaps | Net realized gain (loss) on: Swap contracts | — | — | (98,829 | ) | — | — | (98,829 | ) | ||||||||||||||||||||||
Total Realized Gain (Loss) | $ | — | $ | (240,154 | ) | $ | (291,548 | ) | $ | — | $ | — | $ | (531,702 | ) | ||||||||||||||||
Change in Appreciation (Depreciation) | |||||||||||||||||||||||||||||||
Absolute Return Multi-Manager | |||||||||||||||||||||||||||||||
Forward contracts | Change in net unrealized appreciation (depreciation) in value of: Forward foreign currency contracts | $ | — | $ | 998,948 | $ | — | $ | — | $ | — | $ | 998,948 |
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Derivative Type | Statement of Operations Location | Credit Risk | Currency Risk | Equity Risk | Interest Rate Risk | Commodity Risk | Total | ||||||||||||||||||||||||
Futures | Change in net unrealized appreciation (depreciation) in value of: Futures contracts | $ | — | $ | 78,291 | $ | (165,239 | ) | $ | (499,185 | ) | $ | (115,164 | ) | $ | (701,297 | ) | ||||||||||||||
Options written | Change in net unrealized appreciation (depreciation) in value of: Options contracts written | — | — | (2,378,848 | ) | — | — | (2,378,848 | ) | ||||||||||||||||||||||
Option contracts purchased | Change in net unrealized appreciation (depreciation) in value of: Unaffiliated investment securities | — | — | 6,882,659 | — | — | 6,882,659 | ||||||||||||||||||||||||
Swaps | Change in net unrealized appreciation (depreciation) in value of: Swap contracts | (318,317 | ) | — | 2,965,476 | — | — | 2,647,159 | |||||||||||||||||||||||
Total Change in Appreciation (Depreciation) | $ | (318,317 | ) | $ | 1,077,239 | $ | 7,304,048 | $ | (499,185 | ) | $ | (115,164 | ) | $ | 7,448,621 | ||||||||||||||||
Long Short Multi-Manager | |||||||||||||||||||||||||||||||
Forward contracts | Change in net unrealized appreciation (depreciation) in value of: Forward foreign currency contracts | $ | — | $ | 17,522 | $ | — | $ | — | $ | — | $ | 17,522 | ||||||||||||||||||
Futures | Change in net unrealized appreciation (depreciation) in value of: Futures contracts | — | — | (9,261 | ) | — | — | (9,261 | ) |
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Derivative Type | Statement of Operations Location | Credit Risk | Currency Risk | Equity Risk | Interest Rate Risk | Commodity Risk | Total | ||||||||||||||||||||||||
Options written | Change in net unrealized appreciation (depreciation) in value of: Options contracts written | $ | — | $ | — | $ | 363 | $ | — | $ | — | $ | 363 | ||||||||||||||||||
Option contracts purchased | Change in net unrealized appreciation (depreciation) in value of: Unaffiliated investment securities | — | — | 128,370 | — | — | 128,370 | ||||||||||||||||||||||||
Swaps | Change in net unrealized appreciation (depreciation) in value of: Swap contracts | — | — | (25,211 | ) | — | — | (25,211 | ) | ||||||||||||||||||||||
Total Change in Appreciation (Depreciation) | $ | — | $ | 17,522 | $ | 94,261 | $ | — | $ | — | $ | 111,783 |
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 April 30, 2016.
Absolute Return Multi-Manager
Description | Gross Amounts of Recognized Assets | Gross Amounts Offset in the Statement of Assets and Liabilities | Net Amounts of Assets Presented in the Statements of Assets and Liabilities | ||||||||||||
OTC swap contracts | $ | 4,073,740 | $ | — | $ | 4,073,740 | |||||||||
Forward contracts | 1,383,965 | — | 1,383,965 | ||||||||||||
OTC purchased options | 34,500 | — | 34,500 | ||||||||||||
Total | $ | 5,492,205 | $ | — | $ | 5,492,205 |
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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) | |||||||||||||||
Bank of America, NA | $ | 386,357 | $ | (386,357 | ) | $ | — | $ | — | ||||||||||
JPMorgan Chase Bank, NA | 2,397,203 | (2,397,203 | ) | — | — | ||||||||||||||
Morgan Stanley Capital Services LLC | 2,708,645 | (2,708,645 | ) | — | — | ||||||||||||||
Total | $ | 5,492,205 | $ | (5,492,205 | ) | $ | — | $ | — |
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 | ||||||||||||
OTC swap contracts | $ | (5,773,238 | ) | $ | — | $ | (5,773,238 | ) | |||||||
Forward contracts | (2,505,662 | ) | — | (2,505,662 | ) | ||||||||||
Total | $ | (8,278,900 | ) | $ | — | $ | (8,278,900 | ) |
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(b) | |||||||||||||||
Bank of America, NA | $ | (573,734 | ) | $ | 386,357 | $ | 187,377 | $ | — | ||||||||||
JPMorgan Chase Bank, NA | (3,504,776 | ) | 2,397,203 | 1,107,573 | — | ||||||||||||||
Morgan Stanley Capital Services LLC | (4,200,390 | ) | 2,708,645 | 1,491,745 | — | ||||||||||||||
Total | $ | (8,278,900 | ) | $ | 5,492,205 | $ | 2,786,695 | $ | — |
(a) Collateral received (or pledged) is limited to an amount not to exceed 100% of the net amount of assets (or liabilities) in the tables presented above, for each respective counterparty.
(b) Net Amount represents amounts subject to loss as of April 30, 2016, in the event of a counterparty failure.
(c) Net Amount represents amounts under-collateralized by the Fund to each counterparty as of April 30, 2016.
Long Short Multi-Manager
Description | Gross Amounts of Recognized Assets | Gross Amounts Offset in the Statement of Assets and Liabilities | Net Amounts of Assets Presented in the Statements of Assets and Liabilities | ||||||||||||
OTC swap contracts | $ | 308,665 | $ | — | $ | 308,665 | |||||||||
Forward contracts | 72,662 | — | 72,662 | ||||||||||||
OTC purchased options | 3,500 | — | 3,500 | ||||||||||||
Total | $ | 384,827 | $ | — | $ | 384,827 |
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) | |||||||||||||||
JPMorgan Chase Bank, NA | $ | 129,510 | $ | (129,510 | ) | $ | — | $ | — | ||||||||||
Morgan Stanley Capital Services LLC | 255,317 | (255,317 | ) | — | — | ||||||||||||||
Total | $ | 384,827 | $ | (384,827 | ) | $ | — | $ | — |
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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 | ||||||||||||
OTC swap contracts | $ | (390,254 | ) | $ | — | $ | (390,254 | ) | |||||||
Forward contracts | (149,530 | ) | — | (149,530 | ) | ||||||||||
Total | $ | (539,784 | ) | $ | — | $ | (539,784 | ) |
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(b) | |||||||||||||||
JPMorgan Chase Bank, NA | $ | (188,891 | ) | $ | 129,510 | $ | — | $ | (59,381 | ) | |||||||||
Morgan Stanley Capital Services LLC | (350,893 | ) | 255,317 | 95,576 | — | ||||||||||||||
Total | $ | (539,784 | ) | $ | 384,827 | $ | 95,576 | $ | (59,381 | ) |
(a) Collateral received (or pledged) is limited to an amount not to exceed 100% of the net amount of assets (or liabilities) in the tables presented above, for each respective counterparty.
(b) Net Amount represents amounts subject to loss as of April 30, 2016, in the event of a counterparty failure.
(c) Net Amount represents amounts under-collateralized by the Fund to each counterparty as of April 30, 2016.
15 Indemnifications: Like many other companies, the Trust's organizational documents provide that its officers ("Officers") and trustees ("Trustees") are indemnified against certain liabilities arising out of the performance of their duties to the Trust. In addition, both in some of its principal service contracts and in the normal course of its business, the Trust enters into contracts that provide indemnifications to other parties for certain types of losses or liabilities. The Trust's maximum exposure under these arrangements is unknown as this could involve future claims against the Trust.
16 Unfunded loan commitments: Absolute Return Multi-Manager may enter into certain credit agreements all or a portion of which may be unfunded. Absolute Return Multi-Manager is obligated to fund these commitments at the borrower's discretion. As of April 30, 2016, the value of unfunded loan commitments was $501,417 pursuant to the following loan agreement:
Borrower | Principal Amount | Value | |||||||||
SunEdison, Inc., 1st Lien DIP Delayed Draw Term Loan 0.50%, 8/1/2016 | $ | 509,053 | $ | 501,417 | (a) |
Abbreviations
DIP Debtor-in-Possession
(a) Security fair valued as of 4/30/2016 in accordance with procedures approved by the Board of Trustees.
17 Expense offset arrangement: Absolute Return Multi-Manager has an expense offset arrangement in connection with its custodian contract. For the six months ended April 30, 2016, the impact of this arrangement was a reduction of expenses of $699.
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.
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Note B—Investment Management Fees, Administration Fees, Distribution Arrangements, and Other Transactions with Affiliates:
Each Fund retains Management as its investment manager under a Management Agreement. For such investment management services, each Fund pays Management a fee at the annual rate of 1.700% of the first $250 million of the Fund's average daily net assets, 1.675% of the next $250 million, 1.650% of the next $250 million, 1.625% of the next $250 million, 1.600% of the next $500 million, 1.575% of the next $2.5 billion, and 1.550% of average daily net assets in excess of $4 billion. Accordingly, for the six months ended April 30, 2016, the Investment Management fee pursuant to the Investment Management Agreement was equivalent to an annual effective rate of 1.65% 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 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 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. The expenses of the Subsidiary are included in the total expenses used to calculate the reimbursement, which Absolute Return Multi-Manager has agreed to share with the Subsidiary. For the six months ended April 30, 2016, these Subsidiary expenses amounted to $105,640.
During the six months ended April 30, 2016, the following classes repaid Management under their contractual expense limitation agreements as follows:
Class | Expenses Repaid to Management | ||||||
Absolute Return Multi-Manager Institutional Class | $ | 100,885 | |||||
Absolute Return Multi-Manager Class R6 | 700 |
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At April 30, 2016, contingent liabilities to Management under the agreements were as follows:
Expenses Reimbursed in Year Ending, October 31, | |||||||||||||||||||||||||||
2013 | 2014 | 2015 | 2016 | ||||||||||||||||||||||||
Contractual | Subject to Repayment until October 31, | ||||||||||||||||||||||||||
Class | Expense Limitation(1) | Expiration | 2016 | 2017 | 2018 | 2019 | |||||||||||||||||||||
Absolute Return Multi-Manager Institutional Class(2) | 1.97 | % | 10/31/19 | $ | 286,055 | $ | 759,554 | $ | — | $ | — | ||||||||||||||||
Absolute Return Multi-Manager Class A(2) | 2.33 | % | 10/31/19 | 90,488 | 316,015 | — | 12,637 | ||||||||||||||||||||
Absolute Return Multi-Manager Class C(2) | 3.08 | % | 10/31/19 | — | 48,666 | — | 687 | ||||||||||||||||||||
Absolute Return Multi-Manager Class R6 | 1.90 | % | 10/31/19 | — | — | — | — | ||||||||||||||||||||
Long Short Multi-Manager Institutional Class | 1.97 | % | 10/31/19 | — | 459,171 | (3) | 448,751 | 221,461 | |||||||||||||||||||
Long Short Multi-Manager Class A | 2.33 | % | 10/31/19 | — | 13,772 | (3) | 12,486 | 7,570 | |||||||||||||||||||
Long Short Multi-Manager Class C | 3.08 | % | 10/31/19 | — | 6,443 | (3) | 8,317 | 9,156 |
(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.
(3) Period from December 19, 2013 (Commencement of Operations) to October 31, 2014.
Until December 31, 2015, NB Alternative Investment Management LLC ("NBAIM"), was the investment adviser to the Funds, and was retained by Neuberger Berman Management LLC ("NBM") 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 received a monthly fee paid by NBM. As investment manager, NBM was 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. As a result of the entity consolidation described on page 6 of this Semi-Annual Report, the services previously provided by NBAIM are being provided by NBIA as of January 1, 2016.
Management engages Blue Jay Capital Management, LLC, Cramer Rosenthal McGlynn, LLC, GAMCO Asset Management Inc., Good Hill Partners LP, GSA Capital Partners LLP, Lazard Asset Management LLC, Levin Capital Strategies, L.P., Portland Hill Capital LLP, Sound Point Capital Management, L.P., and TPH Asset Management, LLC as subadvisers of Absolute Return Multi-Manager to provide investment management services. Management engages Blue Jay Capital Management, LLC, Cramer Rosenthal McGlynn, LLC, Lazard Asset Management LLC, Levin Capital Strategies, L.P., Portland Hill Capital LLP, 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 NBM with respect to each class of shares. NBM 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. As part of the entity consolidation as noted on page 6, it is expected that effective July 1, 2016, NBM will merge with and into Neuberger Berman LLC ("Neuberger") and, as a result, the distribution agreement will be transferred to Neuberger.
However, NBM 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
95
and other services provided to these classes, NBM's activities and expenses related to the sale and distribution of these classes, and ongoing services provided to investors in these classes, NBM 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. NBM receives this amount to provide distribution and shareholder servicing for these classes and pays a portion of it to institutions that provide such services. Those institutions may use the payments for, among other purposes, compensating employees engaged in sales and/or shareholder servicing. The amount of fees paid by each class during any year may be more or less than the cost of distribution and other services provided to that class. FINRA rules limit the amount of annual distribution fees that may be paid by a mutual fund and impose a ceiling on the cumulative distribution fees paid. The Trust's Plans comply with those rules.
Class A shares of each Fund are generally sold with an initial sales charge of up to 5.75% and no contingent deferred sales charge ("CDSC"), except that a CDSC of 1.00% applies to certain redemptions made within 18 months following purchases of $1 million or more without an initial sales charge. Class C shares of each Fund are sold with no initial sales charge and a 1.00% CDSC if shares are sold within one year after purchase.
For the six months ended April 30, 2016, NBM, 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 | $ | 8,281 | $ | — | $ | — | $ | — | |||||||||||
Absolute Return Multi-Manager Class C | — | 14,487 | — | — | |||||||||||||||
Long Short Multi-Manager Class A | — | — | — | — | |||||||||||||||
Long Short Multi-Manager Class C | — | 1,412 | — | — |
Note C—Securities Transactions:
During the six months ended April 30, 2016, there were purchase and sale transactions of long-term securities (excluding equity swaps, total return swaps, credit default swaps, forward contracts, 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 excluding U.S. Government and Agency Obligations | Sales and Maturities of U.S. Government and Agency Obligations | Sales and Maturities excluding U.S. Government and Agency Obligations | Covers excluding U.S. Government and Agency Obligations on Securities Sold Short | ||||||||||||||||||||||
Absolute Return Multi-Manager | $ | 862,573 | $ | 2,823,736,502 | $ | 585,900,982 | $ | 1,078,813 | $ | 3,468,465,281 | $ | 830,127,140 | |||||||||||||||
Long Short Multi-Manager | — | 120,243,423 | 30,812,883 | — | 124,165,810 | 33,638,384 |
During the six months ended April 30, 2016, no brokerage commissions on securities transactions were paid to affiliated brokers.
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Note D—Fund Share Transactions:
Share activity for the six months ended April 30, 2016 and for the year ended October 31, 2015 was as follows:
For the Six Months Ended April 30, 2016 | For the Year Ended October 31, 2015 | ||||||||||||||||||||||||||||||||||
(000's omitted) | Shares Sold | Shares Issued on Reinvestment of Dividends and Distributions | Shares Redeemed | Total | Shares Sold | Shares Issued in Connection with In-Kind | Shares Redeemed | Total | |||||||||||||||||||||||||||
Absolute Return Multi-Manager Fund | |||||||||||||||||||||||||||||||||||
Institutional Class | 17,333 | 1,124 | (70,428 | ) | (51,971 | ) | 71,126 | 2,935 | (61,686 | ) | 12,375 | ||||||||||||||||||||||||
Class A | 2,055 | 164 | (10,363 | ) | (8,144 | ) | 9,264 | 450 | (11,647 | ) | (1,933 | ) | |||||||||||||||||||||||
Class C | 487 | 59 | (2,736 | ) | (2,190 | ) | 2,336 | 144 | (2,791 | ) | (311 | ) | |||||||||||||||||||||||
Class R6 | 49 | 21 | (143 | ) | (73 | ) | 2,320 | 86 | (3,693 | ) | (1,287 | ) | |||||||||||||||||||||||
Long Short Multi-Manager Fund | |||||||||||||||||||||||||||||||||||
Institutional Class | 583 | 94 | (896 | ) | (219 | ) | 1,472 | 25 | (1,135 | ) | 362 | ||||||||||||||||||||||||
Class A | 8 | 4 | (55 | ) | (43 | ) | 89 | 1 | (52 | ) | 38 | ||||||||||||||||||||||||
Class C | 51 | 3 | (62 | ) | (8 | ) | 128 | 0 | (20 | ) | 108 |
Other: At April 30, 2016, there was an affiliated investor owning 41.8% of Long Short Multi-Manager's outstanding shares.
Note E—Lines of Credit:
At April 30, 2016, 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 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 April 30, 2016. During the period ended April 30, 2016, none of the Funds utilized the line of credit.
Note F—Recent Accounting Pronouncement:
In June 2014, FASB issued Accounting Standards Update 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 ("ASU 2014-11"). 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. ASU 2014-11 is effective for the Portfolio as of April 30, 2016; however, no additional disclosure was necessary.
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Note G—Unaudited Financial Information:
The financial information included in this interim report is taken from the records of the Funds without audit by an independent registered public accounting firm. Annual reports contain audited financial statements.
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Financial Highlights
The following tables include selected data for a share outstanding throughout each period and other performance information derived from the Financial Statements. Amounts that do not round to $0.001 or $(0.01) per share are presented as $0.00 or $(0.00), respectively. Ratios that do not round to 0.01% or (0.01)% 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†d | Net Assets, End of Period (in millions) | Ratio of Gross Expenses to Average Net Assets# | Ratio of Gross Expenses to Average Net Assets (excluding dividend and interest expense relating to short sales)# | Ratio of Net Expenses to Average Net Assets | Ratio of Net Expenses to Average Net Assets (excluding dividend and interest expense relating to short sales) | Ratio of Net Investment Income/ (Loss) to Average Net Assets | Portfolio Turnover Rate (including securities sold short) | Portfolio Turnover Rate (excluding securities sold short) | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Absolute Return Multi-Manager Fund | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Institutional Class | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
4/30/2016 (Unaudited) | $ | 10.47 | $ | 0.04 | $ | (0.49 | ) | $ | (0.45 | ) | $ | (0.03 | ) | $ | (0.10 | ) | $ | — | $ | (0.13 | ) | $ | 9.89 | (4.37 | )%** | $ | 755.0 | 2.75 | %*‡ | 1.97 | %*‡ | 2.75 | %*ا‡ | 1.97 | %*ا‡ | 0.75 | %*‡ | 253 | %** | 248 | %** | ||||||||||||||||||||||||||||||||||
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 05/15/2012^ to 10/31/2012 | $ | 10.00 | $ | (0.08 | ) | $ | 0.08 | $ | — | $ | — | $ | — | $ | — | $ | — | $ | 10.00 | 0.00 | %** | $ | 33.2 | 7.86 | %*‡ | 7.50 | %*‡ | 2.81 | %*‡ | 2.45 | %*‡ | (1.81 | )%*‡ | 270 | %** | 213 | %** | ||||||||||||||||||||||||||||||||||||||
Class A | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
4/30/2016 (Unaudited) | $ | 10.40 | $ | 0.02 | $ | (0.49 | ) | $ | (0.47 | ) | $ | — | $ | (0.10 | ) | $ | — | $ | (0.10 | ) | $ | 9.83 | (4.53 | )%** | $ | 119.0 | 3.13 | %*‡ | 2.35 | %*‡ | 3.11 | %*؇ | 2.33 | %*؇ | 0.41 | %*‡ | 253 | %** | 248 | %** | |||||||||||||||||||||||||||||||||||
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 05/15/2012^ to 10/31/2012 | $ | 10.00 | $ | (0.09 | ) | $ | 0.08 | $ | (0.01 | ) | $ | — | $ | — | $ | — | $ | — | $ | 9.99 | (0.10 | )%** | $ | 1.8 | 8.67 | %*‡ | 8.26 | %*‡ | 3.22 | %*‡ | 2.81 | %*‡ | (2.02 | )%*‡ | 270 | %** | 213 | %** | |||||||||||||||||||||||||||||||||||||
Class C | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
4/30/2016 (Unaudited) | $ | 10.15 | $ | (0.02 | ) | $ | (0.47 | ) | $ | (0.49 | ) | $ | — | $ | (0.10 | ) | $ | — | $ | (0.10 | ) | $ | 9.56 | (4.85 | )%** | $ | 61.0 | 3.86 | %*‡ | 3.08 | %*‡ | 3.86 | %*؇ | 3.08 | %*؇ | (0.38 | )%*‡ | 253 | %** | 248 | %** | ||||||||||||||||||||||||||||||||||
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 05/15/2012^ 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 | %** |
See Notes to Financial Highlights
99
100
Financial Highlights (cont'd)
Net Asset Value, Beginning of Period | Net Investment Income (Loss)@ | Net Gains or Losses on Securities (both realized and unrealized) | Total From Investment Operations | Dividends from Net Investment Income | Distributions from Net Realized Capital Gains | Tax Return of Capital | Total Distributions | Net Asset Value, End of Period | Total Return†d | Net Assets, End of Period (in millions) | Ratio of Gross Expenses to Average Net Assets# | Ratio of Gross Expenses to Average Net Assets (excluding dividend and interest expense relating to short sales)# | Ratio of Net Expenses to Average Net Assets | Ratio of Net Expenses to Average Net Assets (excluding dividend and interest expense relating to short sales) | Ratio of Net Investment Income/ (Loss) to Average Net Assets | Portfolio Turnover Rate (including securities sold short) | Portfolio Turnover Rate (excluding securities sold short) | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Absolute Return Multi-Manager Fund (cont'd) | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Class R6 | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
4/30/2016 (Unaudited) | $ | 10.47 | $ | 0.04 | $ | (0.49 | ) | $ | (0.45 | ) | $ | (0.03 | ) | $ | (0.10 | ) | $ | — | $ | (0.13 | ) | $ | 9.89 | (4.29 | )%** | $ | 15.7 | 2.68 | %*‡ | 1.90 | %*‡ | 2.68 | %*ا‡ | 1.90 | %*ا‡ | 0.79 | %*‡ | 253 | %** | 248 | %** | ||||||||||||||||||||||||||||||||||
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 | |||||||||||||||||||||||||||||||||||||||
Long Short Multi-Manager Fund | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Institutional Class | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
4/30/2016 (Unaudited) | $ | 10.06 | $ | (0.02 | ) | $ | (0.41 | ) | $ | (0.43 | ) | $ | (0.01 | ) | $ | (0.28 | ) | $ | — | $ | (0.29 | ) | $ | 9.34 | (4.32 | )%** | $ | 29.0 | 4.53 | %* | 3.45 | %* | 3.05 | %* | 1.97 | %* | (0.45 | )%* | 370 | %** | 393 | %** | |||||||||||||||||||||||||||||||||
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 | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
4/30/2016 (Unaudited) | $ | 10.01 | $ | (0.04 | ) | $ | (0.41 | ) | $ | (0.45 | ) | $ | — | $ | (0.28 | ) | $ | — | $ | (0.28 | ) | $ | 9.28 | (4.55 | )%** | $ | 0.7 | 4.89 | %* | 3.83 | %* | 3.39 | %* | 2.33 | %* | (0.79 | )%* | 370 | %** | 393 | %** | ||||||||||||||||||||||||||||||||||
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 | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
4/30/2016 (Unaudited) | $ | 9.87 | $ | (0.07 | ) | $ | (0.40 | ) | $ | (0.47 | ) | $ | — | $ | (0.28 | ) | $ | — | $ | (0.28 | ) | $ | 9.12 | (4.82 | )%** | $ | 1.1 | 5.64 | %* | 4.58 | %* | 4.14 | %* | 3.08 | %* | (1.45 | )%* | 370 | %** | 393 | %** | ||||||||||||||||||||||||||||||||||
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
101
102
Notes to Financial Highlights (Unaudited)
@ 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 certain expenses. Total return would have been higher if Management had not recouped previously reimbursed and/or waived expenses.
d The class action proceeds listed in Note A-5 of the Notes to Financial Statements, if any, had no impact on the Funds' total returns for the six months ended April 30, 2016.
# 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 Absolute Return Multi-Manager 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 | Including Dividend and Interest Expense Relating to Short Sales | Excluding Dividend and Interest Expense Relating to Short Sales | ||||||||||||||||||||||||||||
Six Months Ended April 30, 2016 | Year Ended October 31, 2015 | Year Ended October 31, 2014 | Year Ended October 31, 2013 | ||||||||||||||||||||||||||||||||
Absolute Return Multi-Manager Institutional Class | 2.75 | % | 1.97 | % | 2.71 | % | 1.97 | % | 2.55 | % | 2.04 | % | 2.30 | % | 2.01 | % | |||||||||||||||||||
Absolute Return Multi-Manager Class A | 3.11 | % | 2.33 | % | 3.06 | % | 2.33 | % | 2.90 | % | 2.38 | % | 2.63 | % | 2.35 | % | |||||||||||||||||||
Absolute Return Multi-Manager Class C | 3.86 | % | 3.08 | % | 3.81 | % | 3.08 | % | 3.66 | % | 3.15 | % | 3.39 | % | 3.10 | % | |||||||||||||||||||
Absolute Return Multi-Manager Fund Class R6 | 2.68 | % | 1.90 | % | 2.66 | % | 1.90 | % | 2.46 | %(1) | 1.98 | %(1) | — | — |
(1) Period from December 31, 2014 (Commencement of Operations) to October 31, 2014.
103
Notes to Financial Highlights (Unaudited) (cont'd)
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.
§ 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 | Including Dividend and Interest Expense Relating to Short Sales | Excluding Dividend and Interest Expense Relating to Short Sales | ||||||||||||||||
Six Months Ended April 30, 2016 | Year Ended October 31, 2015 | ||||||||||||||||||
Absolute Return Multi-Manager Institutional Class | 2.74 | % | 1.95 | % | 2.64 | % | 1.90 | % | |||||||||||
Absolute Return Multi-Manager Class A | — | — | 3.02 | % | 2.29 | % | |||||||||||||
Absolute Return Multi-Manager Class C | — | — | 3.75 | % | 3.02 | % | |||||||||||||
Absolute Return Multi-Manager Class R6 | 2.68 | % | 1.89 | % | 2.59 | % | 1.83 | % |
104
Directory
Investment Manager and Administrator
Neuberger Berman Investment Advisers LLC
605 Third Avenue, 2nd Floor
New York, NY 10158-0180
212.476.8800
Intermediary Client Services 800.366.6264
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 (prior to January 1, 2016)
NB Alternative Investment Management LLC
605 Third Avenue, 22nd Floor
New York, NY 10158
Sub-Advisers
Blue Jay Capital Management, LLC
2121 Avenue of the Stars, Suite 2420
Los Angeles, CA 90067
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
GSA Capital Partners LLP
5 Stratton Street
London WIJ 8LA, United Kingdom
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
Portland Hill Capital LLP
21 Knightsbridge
London SW1X7LY, United Kingdom
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
Custodian
J.P. Morgan Chase Bank, N.A.
14201 Dallas Parkway
Dallas, TX 75254
Shareholder Servicing Agent
State Street Bank and Trust Company
One Lincoln Street
Boston, MA 02111
For Institutional Class Shareholders
Address correspondence to:
Neuberger Berman Investment Advisers LLC
605 Third Avenue, 2nd Floor
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
105
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).
106
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107
Neuberger Berman Investment Advisers 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 you can obtain by calling 877.628.2583. An investor should consider a Fund's investment objectives, risks and fees and expenses carefully before investing.
N0087 06/16
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
Long Short Fund
Long Short Credit Fund
Multi-Asset Income Fund
Risk Balanced Commodity Strategy Fund
Semi-Annual Report
April 30, 2016
Contents
THE FUNDS | |||||||
President's Letter | 1 | ||||||
PORTFOLIO COMMENTARY | |||||||
Flexible Select Fund | 2 | ||||||
Global Allocation Fund | 4 | ||||||
Inflation Managed Fund | 6 | ||||||
Long Short Fund | 8 | ||||||
Long Short Credit Fund | 10 | ||||||
Multi-Asset Income Fund | 12 | ||||||
Risk Balanced Commodity Strategy Fund | 14 | ||||||
FUND EXPENSE INFORMATION | 19 | ||||||
SCHEDULE OF INVESTMENTS | |||||||
Flexible Select Fund | 21 | ||||||
Global Allocation Fund | 23 | ||||||
Positions by Industry | 41 | ||||||
Inflation Managed Fund | 44 | ||||||
Long Short Fund | 49 | ||||||
Long Short Credit Fund | 58 | ||||||
Multi-Asset Income Fund | 65 | ||||||
Risk Balanced Commodity Strategy Fund | 78 | ||||||
FINANCIAL STATEMENTS | 96 | ||||||
FINANCIAL HIGHLIGHTS (ALL CLASSES)/ PER SHARE DATA | |||||||
Flexible Select Fund | 140 | ||||||
Global Allocation Fund | 142 | ||||||
Inflation Managed Fund | 144 | ||||||
Long Short Fund | 144 | ||||||
Long Short Credit Fund | 146 | ||||||
Multi-Asset Income Fund | 148 | ||||||
Risk Balanced Commodity Strategy Fund | 148 |
Directory | 153 | ||||||
Proxy Voting Policies and Procedures | 154 | ||||||
Quarterly Portfolio Schedule | 154 | ||||||
Neuberger Berman Long Short Credit Fund: Initial Consideration of the Management and Sub-Advisory Agreements | 155 |
The "Neuberger Berman" name and logo are registered service marks of Neuberger Berman Group LLC. "Neuberger Berman Investment Advisers LLC" and the individual Fund names in this piece are either service marks or registered service marks of Neuberger Berman Investment Advisers LLC. ©2016 Neuberger Berman Management LLC, distributor. All rights reserved.
President's Letter
Dear Shareholder,
I am pleased to present this semi-annual shareholder report for Neuberger Berman Flexible Select Fund, Neuberger Berman Global Allocation Fund, Neuberger Berman Inflation Managed Fund, Neuberger Berman Long Short Fund, Neuberger Berman Long Short Credit Fund, Neuberger Berman Multi-Asset Income Fund and Neuberger Berman Risk Balanced Commodity Strategy Fund.
After a weak start, the global financial markets rallied and generated mixed results during the six months ended April 30, 2016. Investor sentiment was initially challenged given concerns over moderating growth in China, falling commodity prices and geopolitical issues. As widely expected, the U.S. Federal Reserve (Fed) raised interest rates for the first time in almost a decade in December 2015. Risk appetite then improved beginning in mid-February and continued during much of the remainder of the period. This turnaround was partially driven by the Fed's reduction in the number of interest rate hikes it expects to make in 2016. This, along with further policy accommodation from other central banks and rising commodity prices, supported risk assets.
All told, the U.S. equity market, as measured by the S&P 500® Index, gained 0.43% over the six month period. In contrast, international developed and emerging markets equities posted negative results. 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 2.82% during the period. Finally, inflation remained generally well contained.
Looking ahead, we believe the U.S. economy has sufficient momentum to continue expanding as the year progresses. That being said, we feel growth will be fairly muted. While inflation could edge higher, we think it should remain fairly well contained. Against this backdrop, we anticipate the Fed will take a very gradual approach to normalizing monetary policy. From an investment perspective, we continue to have high conviction in our portfolio managers and believe their portfolios 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
Flexible Select Fund Commentary
Neuberger Berman Flexible Select Fund Institutional Class generated a –0.95% total return for the six months ended April 30, 2016 and underperformed its primary benchmark, the Russell 3000® Index, which provided a 0.06% return for the same period. The Fund also underperformed its secondary benchmark, a blended index composed of 75% Russell 3000 Index, 15% Barclays U.S. Aggregate Bond Index and 10% Citigroup US Three-Month Treasury Bill Index, which provided a 0.56% return. (Performance for all share classes is provided in the table immediately following this letter.) As of April 30, 2016, the Fund's portfolio allocation was 83.0% equity, 15.5% fixed income and 1.5% cash and cash equivalents.
As mentioned above, the Russell 3000 Index generated a modestly positive return during the reporting period. In terms of sectors, Utilities and Telecommunication Services were by far the best performers, but both have small weightings in the index. Information Technology and Health Care were the worst performing sectors over the period. U.S. fixed income generated positive returns over the last 6 months, as measured by the Barclays U.S. Aggregate Bond Index. In our view, in the U.S., high employment and moderately rising wages have been offset by weak overall economic activity. We believe the U.S. Federal Reserve will be dovish in tightening monetary policy, while other central banks globally continue to be stimulative by keeping interest rates low amidst an accommodative global monetary environment. In our view, inflation is likely to remain low, as supply/demand imbalances persist in the commodity markets.
Risk assets continued to generate gain in April, albeit at a more modest pace compared to March. U.S. equity markets posted positive returns, although they lagged their emerging market and commodity-sensitive developed market counterparts. The ongoing recovery in crude oil prices (gaining nearly 20% over the month of April alone) and commodity prices in general, as well as a decline in the U.S. dollar, supported these gains. Going forward, we anticipate more measured currency moves against the dollar, but believe the dollar is supported by a benign federal funds rate path that is currently priced in and the aggressive easing of other major central banks still in the pipeline.
Over the six-month period, sector selection in the equity portion of the portfolio had a negative contribution to relative performance, led by an underweight to the Materials sector relative to the benchmark. Security selection also had a negative contribution to relative performance, driven by holdings in the Consumer Discretionary and Industrials sectors. The allocations to fixed income and cash were additive to performance over the reporting period.
At this juncture, we continue to look for evidence of an earnings revival and an improved business cycle. After the recent rally in equities, non-investment grade debt, and commodities, risk assets do not look to us particularly cheap. Meanwhile, we continue to be vigilant on the risk front, as global economic growth, global central bank policy, commodity prices and geopolitical uncertainty remain top of mind. That being said, we believe the potential for an extended business cycle and additional policy support will keep the probability of a near-term recession low. Against this backdrop, we believe investors should brace for ongoing volatility, but embrace a cautiously optimistic outlook on risk assets.
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.
2
Flexible Select Fund
TICKER SYMBOLS
Institutional Class | NFLIX | ||||||
Class A | NFLAX | ||||||
Class C | NFLCX |
SECTOR ALLOCATION
(as a % of Total Investments*) | |||||||
Consumer Discretionary | 12.5 | % | |||||
Consumer Staples | 9.4 | ||||||
Energy | 7.6 | ||||||
Financials | 16.8 | ||||||
Health Care | 10.2 | ||||||
Industrials | 6.9 | ||||||
Information Technology | 15.6 | ||||||
Materials | 1.0 | ||||||
Telecommunication Services | 1.4 | ||||||
Utilities | 1.6 | ||||||
Mutual Funds | 15.5 | ||||||
Short-Term Investments | 1.5 | ||||||
Total | 100.0 | % |
* Derivatives, if any, are excluded from this chart.
PERFORMANCE HIGHLIGHTS6
Inception | Six Month Period Ended | Average Annual Total Return Ended 04/30/2016 | |||||||||||||||||
Date | 04/30/2016 | 1 Year | Life of Fund | ||||||||||||||||
At NAV | |||||||||||||||||||
Institutional Class | 05/31/2013 | –0.95 | % | –4.00 | % | 6.16 | % | ||||||||||||
Class A | 05/31/2013 | –1.09 | % | –4.31 | % | 5.79 | % | ||||||||||||
Class C | 05/31/2013 | –1.38 | % | –5.03 | % | 5.02 | % | ||||||||||||
With Sales Charge | |||||||||||||||||||
Class A | –6.81 | % | –9.81 | % | 3.67 | % | |||||||||||||
Class C | –2.33 | % | –5.94 | % | 5.02 | % | |||||||||||||
Index | |||||||||||||||||||
Russell 3000® Index1,2 | 0.06 | % | –0.18 | % | 9.69 | % | |||||||||||||
75% Russell 3000® Index, 15% Barclays U.S. Aggregate Bond Index and 10% Citigroup US Three-Month Treasury Bill Index1,2 | 0.56 | % | 0.47 | % | 7.79 | % |
The performance data quoted represent past performance and do not indicate future results. Current performance may be lower or higher than the performance data quoted. For performance data current to the most recent month-end, please visit www.nb.com/performance.
The results shown in the table reflect the reinvestment of income dividends and other distributions, if any. The results do not reflect the effect of taxes a shareholder would pay on Fund distributions or on the redemption of Fund shares.
The investment return and principal value of an investment will fluctuate and shares, when redeemed, may be worth more or less than their original cost.
Returns would have been lower if Neuberger Berman Investment Advisers 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 2015 were 1.19%, 1.59% and 2.36% for Institutional Class, Class A and Class C shares, respectively (before expense reimbursements and/or fee waivers, if any). The total annual operating expense ratios were 0.87%, 1.23% and 1.98% for Institutional Class, Class A and Class C shares, respectively, after expense reimbursements and/or fee waivers. The expense ratios for the semi-annual period ended April 30, 2016 can be found in the Financial Highlights section of this report.
Returns shown with a sales charge reflect the deduction of the current maximum initial sales charge of 5.75% for Class A shares and the contingent deferred sales charge (CDSC) for Class C shares. The CDSC for Class C shares is 1%, which is reduced to 0% after 1 year. The performance of the Fund's share classes will differ primarily due to different sales charge structures and class expenses. Please see the prospectus for more information about sales charge structures, if any, and class expenses for your share class.
3
Global Allocation Fund Commentary
Neuberger Berman Global Allocation Fund Institutional Class generated a –0.86% total return for the six months ended April 30, 2016 and underperformed its benchmark, a blend consisting of 60% MSCI All Country World Index (ACWI) and 40% Barclays Global Aggregate Index, which provided a 2.10% return for the same period. (Performance for all share classes is provided in the table immediately following this letter.)
Global equity markets generated mixed returns during the reporting period. Emerging markets stocks outperformed other regions. U.S. stocks performed positively, while non-U.S. developed markets stocks were modestly negative. In fixed income markets, the U.S., non-U.S. developed and emerging markets all generated positive returns, led by the non-U.S. developed markets. In our view, in the U.S., high employment and moderately rising wages were offset by weak overall economic activity. Europe is benefitting from aggressive central bank stimulus, but political risks are rising. Japan is threatened by negative interest rates and faltering growth, as "Abenomics," the economic program of the current government, loses traction. In China, policy makers are pushing short-term growth, but the aggressive stimulus may be jeopardizing longer-term prospects.
During the reporting period, fixed income assets as a whole were the largest positive contributors to the Fund's performance, particularly security selection within U.S. bonds. However, the underweight to the asset class relative to the benchmark as a whole detracted from performance, as the Barclays Global Aggregate outperformed the MSCI ACWI. Sector allocation within fixed income hurt performance, largely due to allocations to global Treasury Inflation-Protected Securities (TIPS) and short duration high yield.
Over the past six months, the Fund maintained a modest overweight to equities relative to its benchmark, a decision that detracted from performance. Security selection within non-U.S. developed markets and emerging markets was additive; security selection within U.S. equities detracted. The Fund's aggregate use of derivatives (futures and forward foreign currency contracts) contributed to performance during the period.
At this juncture, we continue to look for evidence of an earnings revival and improved business cycle. After the recent rally across global equities, non-investment grade debt, emerging markets debt and commodities, risk assets do not look to us particularly cheap. For the time being, we are maintaining our modest risk-on bias on a 12-month time horizon. Meanwhile, we continue to be vigilant on the risk front as global economic growth, global central bank policy, commodity prices and geopolitics remain top of mind. At the same time, we believe the potential for an extended business cycle and additional policy support will keep the probability of a near-term global recession low. Against this backdrop, we believe investors should brace for ongoing volatility, but embrace a cautiously optimistic outlook on risk assets. That being said, should business fundamentals and the macroeconomic environment show signs of improvement, we may lift some of that caution. We remain constructive on risk assets, with a bias towards equities, particularly in Europe, and credit over government securities.
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.
4
Global Allocation Fund
TICKER SYMBOLS
Institutional Class | NGLIX | ||||||
Class A | NGLAX | ||||||
Class C | NGLCX |
PERFORMANCE HIGHLIGHTS3
Inception | Six Month Period Ended | Average Annual Total Return Ended 04/30/2016 | |||||||||||||||||||||
Date | 04/30/2016 | 1 Year | 5 Year | Life of Fund | |||||||||||||||||||
At NAV | |||||||||||||||||||||||
Institutional Class | 12/29/2010 | –0.86 | % | –6.42 | % | 3.81 | % | 4.81 | % | ||||||||||||||
Class A | 12/29/2010 | –0.96 | % | –6.72 | % | 3.45 | % | 4.45 | % | ||||||||||||||
Class C | 12/29/2010 | –1.27 | % | –7.37 | % | 2.69 | % | 3.68 | % | ||||||||||||||
With Sales Charge | |||||||||||||||||||||||
Class A | –6.64 | % | –12.08 | % | 2.23 | % | 3.30 | % | |||||||||||||||
Class C | –2.26 | % | –8.29 | % | 2.69 | % | 3.68 | % | |||||||||||||||
Index | |||||||||||||||||||||||
60% MSCI All Country World Index and 40% Barclays Global Aggregate Index1,2 | 2.10 | % | –1.00 | % | 3.92 | % | 5.19 | % | |||||||||||||||
MSCI All Country World Index1,2 | –0.65 | % | –5.13 | % | 5.26 | % | 6.72 | % |
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 Investment Advisers 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 2015 were 3.59%, 3.99% and 4.75% for Institutional Class, Class A and Class C shares, respectively (before expense reimbursements and/or fee waivers, if any). The total annual operating expense ratios were 1.34%, 1.69% and 2.44% for Institutional Class, Class A and Class C shares, respectively, after expense reimbursements and/or fee waivers. The expense ratios for the semi-annual period ended April 30, 2016 can be found in the Financial Highlights section of this report.
Returns shown with a sales charge reflect the deduction of the current maximum initial sales charge of 5.75% for Class A shares and the contingent deferred sales charge (CDSC) for Class C shares. The CDSC for Class C shares is 1%, which is reduced to 0% after 1 year. The performance of the Fund's share classes will differ primarily due to different sales charge structures and class expenses. Please see the prospectus for more information about sales charge structures, if any, and class expenses for your share class.
5
Inflation Managed Fund Commentary
Neuberger Berman Inflation Managed Fund Institutional Class generated a –2.86% total return for the six months ended April 30, 2016. During this same time period, the Barclays U.S. 1-10 Year Treasury Inflation-Protected Securities (TIPS) Index provided a 3.12% return while the U.S. Consumer Price Index was up 0.6%.1 (Performance for all share classes is provided in the table immediately following this letter.)
Investor sentiment fluctuated during the reporting period given mixed global economic data, uncertainty regarding future U.S. Federal Reserve (Fed) monetary policy and several geopolitical issues. In a well-telegraphed move, the Fed raised interest rates in December 2015—the first such occurrence in nearly a decade. However, the Fed has since remained on hold and pared back expectations for the number of interest rate increases in 2016. Against this backdrop, short-term Treasury yields edged higher, while longer-term rates declined over the period. Most non-Treasury securities produced positive total returns, but generated mixed results compared to equal-duration Treasuries during the period. Finally, inflation expectations remained generally well contained during the period.
The Fund's underperformance during the reporting period was largely driven by its allocations to master limited partnerships (MLPs), emerging markets equities, energy-related equities and commodities. The Fund used futures contracts during the reporting period, which was also a drag on results. The Fund's allocations to senior floating rate loans, materials-related equities, real estate investment trusts and TIPS contributed to the Fund's absolute performance, although they lagged the benchmark on a relative basis. Elsewhere, the Fund's dynamic overlay (flexible use of strategies in an attempt to capitalize on short-term changes in inflation expectations) was additive for performance.
There were several adjustments made to the portfolio during the reporting period. In particular, we modestly reduced our exposure to senior floating rate loans, global inflation-linked bonds and emerging markets.
The initial estimate for first quarter 2016 growth in the U.S. confirmed our expectation for a modest, albeit positive, reading. While several headwinds remain, we feel the economy will remain fairly resilient and continue to expand as the year progresses. We anticipate inflation will gradually move higher, although this has not yet been priced into the market. Regarding future Fed monetary policy, at its April meeting the central bank reiterated that future rate hikes will be data dependent. In our view, the Fed will take a measured and very cautious approach in terms of normalizing policy. We continue to believe that the Fund is well positioned, as we maintain a diversified portfolio of inflation-sensitive asset classes. In addition, with its dynamic overlay, we believe the Fund has the potential to provide attractive real returns in a variety of inflationary environments.
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, 2015 to April 30, 2016, and is not seasonally adjusted.
6
Inflation Managed Fund
TICKER SYMBOLS
Institutional Class | NDRIX | ||||||
Class A | NDRAX | ||||||
Class C | NDRCX | ||||||
Class R6 | NRIMX |
PORTFOLIO BY TYPE OF
INVESTMENT STRATEGY
(as a % of Total Investment Strategies) | |||||||
Commodities | 9.4 | % | |||||
Emerging Markets | 5.2 | ||||||
Global Treasury Inflation Protected Securities | 30.7 | ||||||
High Yield Securities | 11.0 | ||||||
Loans | 1.2 | ||||||
Master Limited Partnerships | 12.8 | ||||||
Real Estate Investment Trusts | 8.3 | ||||||
S&P Energy | 10.1 | ||||||
S&P Materials | 11.3 | ||||||
Total | 100.0 | % |
PORTFOLIO BY TYPE OF SECURITY
(as a % of Total Net Assets) | |||||||
Common Stocks | 32.9 | % | |||||
Government Securities | 14.1 | ||||||
Master Limited Partnerships | 9.4 | ||||||
Mutual Funds | 27.0 | ||||||
U.S. Treasury Securities | 13.2 | ||||||
Short-Term Investments | 3.9 | ||||||
Liabilities, less cash, receivables and other assets | (0.5 | )* | |||||
Total | 100.0 | % |
* Percentage includes appreciation/depreciation from derivatives, if any.
PERFORMANCE HIGHLIGHTS4
Inception | Six Month Period Ended | Average Annual Total Return Ended 04/30/2016 | |||||||||||||||||
Date | 04/30/2016 | 1 Year | Life of Fund | ||||||||||||||||
At NAV | |||||||||||||||||||
Institutional Class | 12/19/2012 | –2.86 | % | –12.21 | % | –1.21 | % | ||||||||||||
Class A | 12/19/2012 | –2.94 | % | –12.31 | % | –1.49 | % | ||||||||||||
Class C | 12/19/2012 | –3.40 | % | –13.10 | % | –2.28 | % | ||||||||||||
Class R65 | 05/11/2015 | –2.79 | % | –12.05 | % | –1.16 | % | ||||||||||||
With Sales Charge | |||||||||||||||||||
Class A | –8.50 | % | –17.32 | % | –3.21 | % | |||||||||||||
Class C | –4.37 | % | –13.97 | % | –2.28 | % | |||||||||||||
Index | |||||||||||||||||||
Barclays U.S. 1-10 Year Treasury Inflation-Protected Securities (TIPS) Index1,2 | 3.12 | % | 1.23 | % | –0.43 | % |
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 Investment Advisers 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 2015 were 3.16%, 3.61%, 4.33% and 3.90% for Institutional Class, Class A, Class C and Class R6 shares, respectively (before expense reimbursements and/or fee waivers, if any). The total annual operating expense ratios were 0.99%, 1.34%, 2.09% and 0.93% for Institutional Class, Class A, Class C and Class R6 shares, respectively, after expense reimbursements and/or fee waivers. The expense ratios for the semi-annual period ended April 30, 2016 can be found in the Financial Highlights section of this report.
Returns shown with a sales charge reflect the deduction of the current maximum initial sales charge of 5.75% for Class A shares and the contingent deferred sales charge (CDSC) for Class C shares. The CDSC for Class C shares is 1%, which is reduced to 0% after 1 year. The performance of the Fund's share classes will differ primarily due to different sales charge structures and class expenses. Please see the prospectus for more information about sales charge structures, if any, and class expenses for your share class.
7
Long Short Fund Commentary
Neuberger Berman Long Short Fund Institutional Class generated a –0.61% total return for the six months ended April 30, 2016 but outperformed its primary benchmark, the HFRX Equity Hedge Index, which returned –3.94% for the same period. The Fund, however, underperformed the S&P 500® Index, which provided a 0.43% return for the period. (Performance for all share classes is provided in the table immediately following this letter.)
Investor sentiment fluctuated during the reporting period given mixed global economic data, uncertainty regarding future U.S. Federal Reserve (Fed) monetary policy and several geopolitical events. In a well-telegraphed move, the Fed raised interest rates in December 2015—the first such occurrence in nearly a decade. However, the Fed has since remained on hold and pared back expectations for the number of interest rate increases in 2016. Against this backdrop, the U.S. and non-U.S. fixed income global financial markets generally posted modest gains during the reporting 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 long exposure. 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. Capital Growth continues to represent our largest allocation, followed by Total Return and Opportunistic. We continued to find 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, we continued to find more Fundamental short opportunities within the backdrop of heightened market volatility and our team's belief of greater dispersion within sectors. 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.
The Fund's aggregate use of derivatives (futures, options and swaps) detracted from performance during the period.
We continue to believe that both equity and debt markets appear to be wrestling with two alternative views of future prospects—one in which growth remains muted indefinitely (economists like to describe this as "secular stagnation") versus a gradual normalization of economic growth rates. Under the first scenario, deflation concerns are likely to persist. However, 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 than in the past 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.
8
Long Short Fund
TICKER SYMBOLS
Institutional Class | NLSIX | ||||||
Class A | NLSAX | ||||||
Class C | NLSCX |
PORTFOLIO BY TYPE OF SECURITY
(as a % of Total Net Assets) | |||||||||||
Long | Short | ||||||||||
Common Stocks | 71.5 | % | (10.2 | )% | |||||||
Corporate Debt Securities | 8.1 | — | |||||||||
Exchange Traded Funds | — | (4.7 | ) | ||||||||
Master Limited Partnerships | 0.8 | (0.4 | ) | ||||||||
Purchased Options | 0.2 | — | |||||||||
Short-Term Investments | 16.9 | — | |||||||||
Cash, receivables and other assets, less liabilities | 17.8* | — | |||||||||
Total | 115.3 | % | (15.3 | )% |
* Percentage includes appreciation/depreciation from derivatives, if any.
PERFORMANCE HIGHLIGHTS
Inception | Six Month Period Ended | Average Annual Total Return Ended 04/30/2016 | |||||||||||||||||
Date | 04/30/2016 | 1 Year | Life of Fund | ||||||||||||||||
At NAV | |||||||||||||||||||
Institutional Class | 12/29/2011 | –0.61 | % | –3.85 | % | 6.08 | % | ||||||||||||
Class A | 12/29/2011 | –0.79 | % | –4.21 | % | 5.69 | % | ||||||||||||
Class C | 12/29/2011 | –1.22 | % | –4.93 | % | 4.91 | % | ||||||||||||
With Sales Charge | |||||||||||||||||||
Class A | –6.50 | % | –9.73 | % | 4.26 | % | |||||||||||||
Class C | –2.21 | % | –5.88 | % | 4.91 | % | |||||||||||||
Index | |||||||||||||||||||
HFRX Equity Hedge Index1,2 | –3.94 | % | –8.31 | % | 2.71 | % | |||||||||||||
S&P 500® Index1,2 | 0.43 | % | 1.21 | % | 14.68 | % |
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 Investment Advisers 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 2015 were 1.67%, 2.05% and 2.79% for Institutional Class, Class A and Class C shares, respectively (before expense reimbursements and/or fee waivers, if any). The expense ratios for the semi-annual period ended April 30, 2016 can be found in the Financial Highlights section of this report.
Returns shown with a sales charge reflect the deduction of the current maximum initial sales charge of 5.75% for Class A shares and the contingent deferred sales charge (CDSC) for Class C shares. The CDSC for Class C shares is 1%, which is reduced to 0% after 1 year. The performance of the Fund's share classes will differ primarily due to different sales charge structures and class expenses. Please see the prospectus for more information about sales charge structures, if any, and class expenses for your share class.
9
Long Short Credit Fund Commentary
Neuberger Berman Long Short Credit Fund Institutional Class generated a –2.73% total return for the six months ended April 30, 2016, resulting in mixed performance versus its benchmarks. During the period, the Fund outperformed the HFRX Fixed Income-Credit Index, which provided a –3.50% return. The Fund underperformed the Barclays U.S. Aggregate Bond Index, which provided a 2.82% return, and the BofA Merrill Lynch U.S. High Yield Master II Index, which provided a 2.25% return. (Performance for all share classes is provided in the table immediately following this letter.)
The credit markets have been quite volatile since November of 2015. During the reporting period, the BofA Merrill Lynch U.S. High Yield Master II Index posted three consecutive months (November, December and January) of sharply negative returns, which we believe was induced by macro gyrations, continued concerns over commodity prices, deteriorating growth trajectories in China and a sense of dread on earnings estimates for the fourth quarter of 2015. At the lows in February, we believed that risk assets were oversold and the high yield bond market was as attractive as we could remember. Using the BofA Merrill Lynch U.S. High Yield Master II Index as a proxy for the market, following negative returns in seven of the eight months from June 2015 through January 2016, the market rallied sharply in March and April. The rally was ignited, in our view, by signs that the Chinese economy had responded positively to simulative economic policy actions and the U.S. Federal Reserve would remain accommodative in its policy approach. As earnings season in the U.S. progressed and companies began to beat lowered expectations, we saw growth fears further diminish, investment funds flowed into credit, and the rally became a buying frenzy, culminating in a historic rally in March and April.
The Fund's performance during the period was driven by the Energy sector, where there was overall downward pressure, as well as the Industrials sector, where we saw an adverse idiosyncratic credit event in a single position in late 2015. Short bond positions also negatively impacted performance as the market rallied sharply in March and April.
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 an overall negative impact on the Fund's performance.
Looking forward, we will continue to build a portfolio that we believe can capture significant idiosyncratic opportunities. As market risk premiums and volatility in credit wax and wane, we see increased opportunities for our investment strategy. Our portfolio is constructed with the intention 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.
10
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 | 0.1 | % | — | % | |||||||
Preferred Stocks | 0.7 | — | |||||||||
Corporate Debt Securities | 42.5 | (14.8 | ) | ||||||||
Government Securities | 3.1 | (0.6 | ) | ||||||||
Purchased Options | 0.0 | — | |||||||||
Short Term Investments | 37.0 | — | |||||||||
Cash, receivables and other assets, less liabilities | 32.0* | — | |||||||||
Total | 115.4 | % | (15.4 | )% |
* Percentage includes appreciation/depreciation from derivatives, if any.
PERFORMANCE HIGHLIGHTS
Inception Date | Six Month Period Ended 04/30/2016 | Cumulative Total Return Ended 04/30/2016 Life of Fund | |||||||||||||
At NAV | |||||||||||||||
Institutional Class | 06/29/2015 | –2.73 | % | –4.73 | % | ||||||||||
Class A | 06/29/2015 | –2.86 | % | –4.97 | % | ||||||||||
Class C | 06/29/2015 | –3.09 | % | –5.43 | % | ||||||||||
Class R6 | 06/29/2015 | –2.71 | % | –4.69 | % | ||||||||||
With Sales Charge | |||||||||||||||
Class A | –6.96 | % | –8.97 | % | |||||||||||
Class C | –4.06 | % | –6.37 | % | |||||||||||
Index | |||||||||||||||
HFRX Fixed Income-Credit Index1,2 | –3.50 | % | –6.09 | % | |||||||||||
Barclays U.S. Aggregate Bond Index1,2 | 2.82 | % | 4.76 | % | |||||||||||
BofA Merrill Lynch U.S. High Yield Master II Index1,2 | 2.25 | % | –0.50 | % |
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 Investment Advisers 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 April 30, 2016, the 30-day SEC yields were 2.49%, 2.03%, 1.44% and 2.57% 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 1.41%, 0.99%, 0.32% and 1.49% 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 the current fiscal year are 2.67%, 3.04%, 3.79% and 2.60% 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 2.38%, 2.75%, 3.50% and 2.31% for Institutional Class, Class A, Class C and Class R6 shares, respectively, after expense reimbursements and/or fee waivers. The expense ratios for the semi-annual period ended April 30, 2016 can be found in the Financial Highlights section of this report.
Returns shown with a sales charge reflect the deduction of the current maximum initial sales charge of 4.25% for Class A shares and the contingent deferred sales charge (CDSC) for Class C shares. The CDSC for Class C shares is 1%, which is reduced to 0% after 1 year. The performance of the Fund's share classes will differ primarily due to different sales charge structures and class expenses. Please see the prospectus for more information about sales charge structures, if any, and class expenses for your share class.
11
Multi-Asset Income Fund Commentary
Neuberger Berman Multi-Asset Income Fund Institutional Class generated a 1.99% total return for the six months ended April 30, 2016 and outperformed its benchmark, a blend consisting of 60% Barclays U.S. Aggregate Bond Index and 40% S&P 500® Index, which provided a 1.95% return for the same period. (Performance for all share classes is provided in the table immediately following this letter.)
Global equity markets generated mixed returns during the reporting period. Emerging markets stocks outperformed other regions. U.S. stocks performed positively, while non-U.S. developed markets stocks were modestly negative. In fixed income, the U.S., non-U.S. developed and emerging markets all generated positive returns, led by the non-U.S. developed markets. In the U.S., high employment and moderately rising wages were offset by weak overall economic activity. Europe is benefitting from aggressive central bank stimulus, but political risks are rising. Japan is threatened by negative interest rates and faltering growth, as "Abenomics," the economic program of the current government, loses traction. In China, policy makers are pushing short-term growth, but the aggressive stimulus may be jeopardizing longer-term prospects.
During the reporting period, fixed income assets were the largest positive contributors to the Fund's performance. The underweight to the asset class as a whole relative to the Fund's benchmark detracted from performance, however, as the Barclays U.S. Aggregate Bond Index outperformed the S&P 500. Security selection within fixed income was additive, led by U.S. investment grade bonds; both high yield and emerging markets debt also contributed positively.
Over the past six months, the Fund maintained a modest overweight to equities relative to its benchmark, a decision that contributed to performance. Security selection within equity markets also detracted from returns, primarily in high dividend non-U.S. equities and Master Limited Partnerships (MLPs). However, security selection was additive in high dividend U.S. equities and high income real estate investment trusts (REITs). The Fund's aggregate use of derivatives (including futures contracts, forward contracts and written option contracts) had a negative impact on performance.
At this juncture, we continue to look for evidence of an earnings revival and improved business cycle. After the recent rally across global equities, non-investment grade debt, emerging markets debt and commodities, risk assets do not appear particularly cheap in our view. For the time being, we are maintaining our modest risk-on bias on a 12-month time horizon. Meanwhile, we continue to be vigilant on the risk front as global economic growth, global central bank policy, commodity prices and geopolitics remain top of mind. At the same time, we believe the potential for an extended business cycle and additional policy support will keep the probability of a near-term global recession low. Against this backdrop, we believe investors should brace for ongoing volatility, but embrace a cautiously optimistic outlook on risk assets. That being said, should business fundamentals and the macroeconomic environment show signs of improvement, we may lift some of that caution. We remain constructive on risk assets, with a bias towards equities, particularly in Europe, and credit over government securities.
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
12
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 | 39.2 | % | |||||
Convertible Bonds | 0.3 | ||||||
Convertible Preferred Stocks | 0.1 | ||||||
Exchange Traded Funds | 10.7 | ||||||
Master Limited Partnerships | 4.2 | ||||||
Mutual Funds | 36.7 | ||||||
Preferred Stocks | 1.8 | ||||||
U.S. Government Agency Securities | 0.8 | ||||||
U.S. Treasury Securities | 5.4 | ||||||
Short-Term Investments | 0.7 | ||||||
Cash, receivables and other assets, less liabilities | 0.1 | * | |||||
Total | 100.0 | % |
* Percentage includes appreciation/depreciation from derivatives, if any.
PERFORMANCE HIGHLIGHTS
Inception | Six Month Period Ended | Average Annual Total Return Ended 04/30/2016 | |||||||||||||||||
Date | 04/30/2016 | 1 Year | Life of Fund | ||||||||||||||||
At NAV | |||||||||||||||||||
Institutional Class | 03/27/2015 | 1.99 | % | –2.70 | % | –1.38 | % | ||||||||||||
Class A | 03/27/2015 | 1.80 | % | –3.06 | % | –1.74 | % | ||||||||||||
Class C | 03/27/2015 | 1.43 | % | –3.78 | % | –2.46 | % | ||||||||||||
Class R6 | 03/27/2015 | 2.02 | % | –2.63 | % | –1.31 | % | ||||||||||||
With Sales Charge | |||||||||||||||||||
Class A | –2.54 | % | –7.20 | % | –5.51 | % | |||||||||||||
Class C | 0.43 | % | –4.72 | % | –2.46 | % | |||||||||||||
Index | |||||||||||||||||||
60% Barclays U.S. Aggregrate Bond Index and 40% S&P 500® Index1,2 | 1.95 | % | 2.35 | % | 2.76 | % | |||||||||||||
Barclays U.S. Aggregate Bond Index1,2 | 2.82 | % | 2.72 | % | 2.54 | % |
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 Investment Advisers 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 April 30, 2016, the 30-day SEC yields were 3.84%, 3.32%, 2.73% and 3.91% 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 0.43%, 0.03%, -0.67% and 0.50% for Institutional Class, Class A, Class C and Class R6 shares, respectively. A negative 30-day SEC yield results when a fund's accrued expenses exceed its income for the relevant period. Please note, in such instances the 30-day SEC yield may not equal the Fund's actual rate of income earned and distributed by the Fund and, therefore, a per share distribution may still be paid to shareholders
As stated in the Fund's most recent prospectus, the total annual operating expense ratios for fiscal year 2015 were 3.50%, 4.39%, 5.13% and 3.47% for Institutional Class, Class A, Class C and Class R6 shares, respectively (before expense reimbursements and/or fee waivers, if any). The total annual operating expense ratios were 0.69%, 1.06%, 1.81% and 0.62% for Institutional Class, Class A, Class C and Class R6 shares, respectively, after expense reimbursements and/or fee waivers. The expense ratios for the semi-annual period ended April 30, 2016 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.
13
Risk Balanced Commodity Strategy Fund Commentary
Neuberger Berman Risk Balanced Commodity Strategy Fund1 Institutional Class generated a total return of –2.26% for the six months ended April 30, 2016 and underperformed its benchmark, the Bloomberg Commodity Index, which posted a –2.06% return for the period. (Performance for all share classes is provided in the table immediately following this letter.)
The overall commodity market was volatile during the six-month period. In general, the commodity complex was weak during the first four months of the period given concerns over global growth—especially China—as well as supply issues and the strengthening U.S. dollar. Certain commodities then rallied sharply over the last two months of the period. This turnaround was driven by several factors, including improving supply/demand trends for commodities such as oil, along with some encouraging economic data and the declining U.S. dollar.
The Fund's Dynamic Core strategy selects weights by focusing on risk, liquidity and yield.
Relative to the benchmark, the largest detractor from performance was an out-of-benchmark allocation to gas oil, which declined over the reporting period. An underweight to gold relative to the benchmark was also a headwind for results, given its double-digit gain for the period. Elsewhere, an underweight to soybeans was not rewarded given that market's strong performance over the reporting period. On the upside, underweights to crude oil and natural gas were beneficial for the Fund's relative results. Out-of-benchmark allocations to platinum and lead also contributed to results, as they posted positive returns over the period.
The Fund's Tactical Strategy actively manages the Dynamic Core exposures by taking advantage of short- to medium-term opportunities based on factors including macroeconomics, supply/demand, the pricing relationships between certain pairs of commodities and the shape of the futures curve. The Fund's tactical positioning modestly contributed to performance during the period.
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 detracted from performance during the reporting period.
Looking ahead, we anticipate seeing more balance from a supply/demand perspective for certain commodities, including energy. Our outlook for the commodity complex is more constructive than it has been in recent years, as some of the supply/demand imbalances that have weighed on prices are beginning to correct themselves. That being said, we anticipate seeing continued periods of heightened volatility in the commodity market. This could be driven by a number of potential factors, including incoming global economic data, uncertainty regarding future monetary policy and geopolitical events and commodity-specific drivers of returns.
Sincerely,
WAI LEE, HAKAN KAYA, THOMAS SONTAG AND DAVID YI WAN
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.
14
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 | 10.6 | % | |||||
Certificates of Deposit | 1.2 | ||||||
Corporate Debt Securities | 45.5 | ||||||
U.S. Government Agency Securities | 1.3 | ||||||
Short-Term Investments | 37.5 | ||||||
Cash, receivables and other assets, less liabilities | 3.9 | * | |||||
Total | 100.0 | % |
* Percentage includes appreciation/depreciation from derivatives.
PORTFOLIO BY INVESTMENT EXPOSURE
TO COMMODITY DERIVATIVES
(as a % of Total Notional Value) | |||||||
Commodity Futures: | |||||||
Agriculture | 24.3 | % | |||||
Energy | 29.8 | ||||||
Industrial Metals | 15.1 | ||||||
Livestock | 8.0 | ||||||
Precious Metals | 15.5 | ||||||
Softs | 7.3 | ||||||
Total | 100.0 | % |
PERFORMANCE HIGHLIGHTS3
Inception | Six Month Period Ended | Average Annual Total Return Ended 04/30/2016 | |||||||||||||||||
Date | 04/30/2016 | 1 Year | Life of Fund | ||||||||||||||||
At NAV | |||||||||||||||||||
Institutional Class | 08/27/2012 | –2.26 | % | –17.33 | % | –12.72 | % | ||||||||||||
Class A | 08/27/2012 | –2.29 | % | –17.63 | % | –13.04 | % | ||||||||||||
Class C | 08/27/2012 | –2.68 | % | –18.14 | % | –13.68 | % | ||||||||||||
With Sales Charge | |||||||||||||||||||
Class A | –7.86 | % | –22.34 | % | –14.43 | % | |||||||||||||
Class C | –3.65 | % | –18.96 | % | –13.68 | % | |||||||||||||
Index | |||||||||||||||||||
Bloomberg Commodity Index1,2 | –2.06 | % | –17.45 | % | –13.36 | % |
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 Investment Advisers 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 2015 were 1.47%,1.84% and 2.70% for Institutional Class, Class A and Class C shares, respectively (before expense reimbursements and/or fee waivers, if any). The total annual operating expense ratios were 1.10%, 1.46% and 2.21% for Institutional Class, Class A and Class C shares, respectively, after expense reimbursements and/or fee waivers. The expense ratios for the semi-annual period ended April 30, 2016 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.
15
Endnotes
1 Please see "Glossary of Indices" on page 17 for a description of indices. Please note that individuals cannot invest directly in any index. The HFRX Equity Hedge Index and HFRX Fixed Income-Credit Index do take into account fees and expenses of investing since they are 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 Investment Advisers 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 2010 through April 2011, Neuberger Berman Global Allocation Fund had only one shareholder and the Fund was relatively small, which could have impacted Fund performance. During the period from August 2012 through January 2013, Neuberger Berman Risk Balanced Commodity Strategy 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.
6 Neuberger Berman Flexible Select Fund had a different investment strategy, which included limiting downside volatility and investments in only one affiliated Underlying Fund, prior to October 1, 2015. Its performance information prior to that date might have been different if current policies had been in effect.
* On January 1, 2016, Neuberger Berman Management LLC (NBM) and Neuberger Berman LLC (NB LLC) transferred to Neuberger Berman Fixed Income LLC (NBFI) their rights and obligations pertaining to all services they provided to any Fund under any investment management, investment sub-advisory, and/or administration agreement, as applicable (the "Agreements"). Following this transfer, NBFI was renamed Neuberger Berman Investment Advisers LLC (NBIA). In addition, as of the date of the transfer, the services previously provided by NB Alternative Investment Management LLC (NBAIM) are provided by NBIA.
As of December 31, 2015, NBM served as each Fund's investment manager and administrator and each of NB LLC, NBFI and NBAIM served as certain Funds' adviser or sub-adviser. Following the consolidation, the investment professionals of NBM, NB LLC, NBFI and NBAIM who provided services to the Funds under the Agreements continue to provide the same services, except that they provide those services in their new capacities as investment professionals of NBIA. Further, the consolidation did not result in any change in the investment processes 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.
** It is contemplated that effective July 1, 2016 Neuberger Berman Management LLC will merge with and into Neuberger Berman LLC, which will assume the role of distributor to the Funds.
16
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 below), 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. | ||||||
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. | ||||||
BofA Merrill Lynch U.S. High Yield Master II 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. | ||||||
Citigroup US Three-Month Treasury Bill Index: | The index measures monthly return equivalents of short-term US cash yield averages that are not marked to market. The Three-Month Treasury Bill Index consists of the last three three-month Treasury bill month-end rates. | ||||||
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. |
17
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. | ||||||
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. | ||||||
75% Russell 3000 Index, 15% Barclays U.S. Aggregate Bond Index and 10% Citigroup US Three-Month Treasury Bill Index: | The blended index is composed of 75% Russell 3000 Index (described above), 15% Barclays U.S. Aggregate Bond Index (described above) and 10% Citigroup US Three-Month Treasury Bill Index (described above), and is rebalanced monthly. | ||||||
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. |
18
Information About Your Fund's Expenses (Unaudited)
As a Fund shareholder, you incur two types of costs: (1) transaction costs, including sales charges (loads) on purchase payments or redemption proceeds (if applicable); and (2) ongoing costs, including management fees, distribution and/or service (12b-1) fees (if applicable), and other Fund expenses. This example is intended to help you understand your ongoing costs (in U.S. dollars) of investing in a Fund and compare these costs with the ongoing costs of investing in other mutual funds.
This table is designed to provide information regarding costs related to your investments. The following examples are based on an investment of $1,000 made at the beginning of the six month period ended April 30, 2016 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.
19
Expense Information as of 4/30/16 (Unaudited)
Neuberger Berman Alternative Funds | |||||||||||||||||||||||||||||||||||
ACTUAL | HYPOTHETICAL (5% ANNUAL RETURN BEFORE EXPENSES) | ||||||||||||||||||||||||||||||||||
Beginning Account Value 11/1/15 | Ending Account Value 4/30/16 | Expenses Paid During the Period(1) 11/1/15 - 4/30/16 | Expense Ratio | Beginning Account Value 11/1/15 | Ending Account Value 4/30/16 | Expenses Paid During the Period(2) 11/1/15 - 4/30/16 | Expense Ratio | ||||||||||||||||||||||||||||
Flexible Select Fund | |||||||||||||||||||||||||||||||||||
Institutional Class | $ | 1,000.00 | $ | 990.50 | $ | 4.01 | 0.81 | % | $ | 1,000.00 | $ | 1,020.84 | $ | 4.07 | 0.81 | % | |||||||||||||||||||
Class A | $ | 1,000.00 | $ | 989.10 | $ | 5.79 | 1.17 | % | $ | 1,000.00 | $ | 1,019.05 | $ | 5.87 | 1.17 | % | |||||||||||||||||||
Class C | $ | 1,000.00 | $ | 986.20 | $ | 9.48 | 1.92 | % | $ | 1,000.00 | $ | 1,015.32 | $ | 9.62 | 1.92 | % | |||||||||||||||||||
Global Allocation Fund | |||||||||||||||||||||||||||||||||||
Institutional Class | $ | 1,000.00 | $ | 991.40 | $ | 5.89 | 1.19 | % | $ | 1,000.00 | $ | 1,018.95 | $ | 5.97 | 1.19 | % | |||||||||||||||||||
Class A | $ | 1,000.00 | $ | 990.40 | $ | 7.62 | 1.54 | % | $ | 1,000.00 | $ | 1,017.21 | $ | 7.72 | 1.54 | % | |||||||||||||||||||
Class C | $ | 1,000.00 | $ | 987.30 | $ | 11.32 | 2.29 | % | $ | 1,000.00 | $ | 1,013.48 | $ | 11.46 | 2.29 | % | |||||||||||||||||||
Inflation Managed Fund | |||||||||||||||||||||||||||||||||||
Institutional Class | $ | 1,000.00 | $ | 971.40 | $ | 3.68 | 0.75 | % | $ | 1,000.00 | $ | 1,021.13 | $ | 3.77 | 0.75 | % | |||||||||||||||||||
Class A | $ | 1,000.00 | $ | 970.60 | $ | 5.54 | 1.13 | % | $ | 1,000.00 | $ | 1,019.24 | $ | 5.67 | 1.13 | % | |||||||||||||||||||
Class C | $ | 1,000.00 | $ | 966.00 | $ | 9.19 | 1.88 | % | $ | 1,000.00 | $ | 1,015.51 | $ | 9.42 | 1.88 | % | |||||||||||||||||||
Class R6 | $ | 1,000.00 | $ | 972.10 | $ | 3.43 | 0.70 | % | $ | 1,000.00 | $ | 1,021.38 | $ | 3.52 | 0.70 | % | |||||||||||||||||||
Long Short Fund | |||||||||||||||||||||||||||||||||||
Institutional Class | $ | 1,000.00 | $ | 993.90 | $ | 9.52 | 1.92 | % | $ | 1,000.00 | $ | 1,015.32 | $ | 9.62 | 1.92 | % | |||||||||||||||||||
Class A | $ | 1,000.00 | $ | 992.10 | $ | 11.34 | 2.29 | % | $ | 1,000.00 | $ | 1,013.48 | $ | 11.46 | 2.29 | % | |||||||||||||||||||
Class C | $ | 1,000.00 | $ | 987.80 | $ | 14.98 | 3.03 | % | $ | 1,000.00 | $ | 1,009.80 | $ | 15.14 | 3.03 | % | |||||||||||||||||||
Long Short Credit Fund | |||||||||||||||||||||||||||||||||||
Institutional Class | $ | 1,000.00 | $ | 972.70 | $ | 10.94 | 2.23 | % | $ | 1,000.00 | $ | 1,014.72 | $ | 11.17 | 2.23 | % | |||||||||||||||||||
Class A | $ | 1,000.00 | $ | 971.40 | $ | 12.11 | 2.47 | % | $ | 1,000.00 | $ | 1,013.48 | $ | 12.36 | 2.47 | % | |||||||||||||||||||
Class C | $ | 1,000.00 | $ | 969.10 | $ | 14.49 | 2.96 | % | $ | 1,000.00 | $ | 1,011.04 | $ | 14.79 | 2.96 | % | |||||||||||||||||||
Class R6 | $ | 1,000.00 | $ | 972.90 | $ | 10.60 | 2.16 | % | $ | 1,000.00 | $ | 1,015.02 | $ | 10.82 | 2.16 | % | |||||||||||||||||||
Multi-Asset Income Fund | |||||||||||||||||||||||||||||||||||
Institutional Class | $ | 1,000.00 | $ | 1,019.90 | $ | 2.11 | 0.42 | % | $ | 1,000.00 | $ | 1,022.77 | $ | 2.11 | 0.42 | % | |||||||||||||||||||
Class A | $ | 1,000.00 | $ | 1,018.00 | $ | 3.96 | 0.79 | % | $ | 1,000.00 | $ | 1,020.93 | $ | 3.97 | 0.79 | % | |||||||||||||||||||
Class C | $ | 1,000.00 | $ | 1,014.30 | $ | 7.71 | 1.54 | % | $ | 1,000.00 | $ | 1,017.21 | $ | 7.72 | 1.54 | % | |||||||||||||||||||
Class R6 | $ | 1,000.00 | $ | 1,020.20 | $ | 1.76 | 0.35 | % | $ | 1,000.00 | $ | 1,023.12 | $ | 1.76 | 0.35 | % | |||||||||||||||||||
Risk Balanced Commodity Strategy | |||||||||||||||||||||||||||||||||||
Institutional Class | $ | 1,000.00 | $ | 977.40 | $ | 5.41 | 1.10 | % | $ | 1,000.00 | $ | 1,019.39 | $ | 5.52 | 1.10 | % | |||||||||||||||||||
Class A | $ | 1,000.00 | $ | 977.10 | $ | 7.18 | 1.46 | % | $ | 1,000.00 | $ | 1,017.60 | $ | 7.32 | 1.46 | % | |||||||||||||||||||
Class C | $ | 1,000.00 | $ | 973.20 | $ | 10.84 | 2.21 | % | $ | 1,000.00 | $ | 1,013.87 | $ | 11.07 | 2.21 | % |
(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 182/366 (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 182/366 (to reflect the one-half year period shown).
20
Schedule of Investments Flexible Select Fund (Unaudited) 4/30/16
Number of Shares | Value† (000's omitted) | ||||||||||
Common Stocks (83.0%) | |||||||||||
Air Freight & Logistics (1.5%) | |||||||||||
FedEx Corp. | 8,950 | $ | 1,478 | ||||||||
Airlines (2.5%) | |||||||||||
Delta Air Lines, Inc. | 40,004 | 1,667 | |||||||||
JetBlue Airways Corp. | 35,533 | 703 | * | ||||||||
2,370 | |||||||||||
Banks (8.4%) | |||||||||||
Citigroup, Inc. | 15,814 | 732 | |||||||||
JPMorgan Chase & Co. | 60,354 | 3,814 | |||||||||
PNC Financial Services Group, Inc. | 28,650 | 2,515 | |||||||||
Wells Fargo & Co. | 20,920 | 1,046 | |||||||||
8,107 | |||||||||||
Capital Markets (6.6%) | |||||||||||
Bank of New York Mellon Corp. | 21,748 | 875 | |||||||||
BlackRock, Inc. | 6,871 | 2,448 | |||||||||
Goldman Sachs Group, Inc. | 18,487 | 3,034 | |||||||||
6,357 | |||||||||||
Electronic Equipment, Instruments & Components (2.3%) | |||||||||||
CDW Corp. | 57,722 | 2,222 | |||||||||
Food & Staples Retailing (6.9%) | |||||||||||
Costco Wholesale Corp. | 19,446 | 2,880 | |||||||||
CVS Health Corp. | 26,747 | 2,688 | |||||||||
Whole Foods Market, Inc. | 37,474 | 1,090 | |||||||||
6,658 | |||||||||||
Food Products (1.7%) | |||||||||||
Mondelez International, Inc. Class A | 38,081 | 1,636 | |||||||||
Health Care Equipment & Supplies (2.4%) | |||||||||||
Zimmer Biomet Holdings, Inc. | 19,553 | 2,264 | |||||||||
Health Care Providers & Services (2.9%) | |||||||||||
Anthem, Inc. | 9,308 | 1,310 | |||||||||
HCA Holdings, Inc. | 18,133 | 1,462 | * | ||||||||
2,772 | |||||||||||
Household Durables (2.4%) | |||||||||||
Lennar Corp. Class A | 49,935 | 2,263 |
Number of Shares | Value† (000's omitted) | ||||||||||
Independent Power and Renewable Electricity Producers (1.6%) | |||||||||||
Calpine Corp. | 45,647 | $ | 720 | * | |||||||
Dynegy, Inc. | 46,564 | 821 | * | ||||||||
1,541 | |||||||||||
Insurance (1.8%) | |||||||||||
American International Group, Inc. | 16,437 | 917 | |||||||||
Prudential Financial, Inc. | 11,112 | 863 | |||||||||
1,780 | |||||||||||
Internet Software & Services (0.7%) | |||||||||||
Alphabet, Inc. Class C | 1,028 | 712 | * | ||||||||
IT Services (0.8%) | |||||||||||
Leidos Holdings, Inc. | 14,891 | 739 | |||||||||
Life Sciences Tools & Services (0.7%) | |||||||||||
ICON PLC | 9,754 | 659 | * | ||||||||
Machinery (0.9%) | |||||||||||
Joy Global, Inc. | 42,016 | 895 | |||||||||
Media (5.3%) | |||||||||||
Comcast Corp. Class A | 29,171 | 1,772 | |||||||||
Nexstar Broadcasting Group, Inc. Class A | 15,270 | 784 | |||||||||
Twenty-First Century Fox, Inc. Class A | 52,797 | 1,598 | |||||||||
Walt Disney Co. | 9,600 | 991 | |||||||||
5,145 | |||||||||||
Metals & Mining (1.0%) | |||||||||||
Newmont Mining Corp. | 26,914 | 941 | |||||||||
Oil, Gas & Consumable Fuels (7.6%) | |||||||||||
Cabot Oil & Gas Corp. | 103,473 | 2,421 | |||||||||
EOG Resources, Inc. | 20,317 | 1,679 | |||||||||
Pioneer Natural Resources Co. | 15,156 | 2,518 | |||||||||
Valero Energy Corp. | 12,692 | 747 | |||||||||
7,365 | |||||||||||
Personal Products (0.8%) | |||||||||||
Unilever NV | 17,125 | 754 | |||||||||
Pharmaceuticals (4.3%) | |||||||||||
Pfizer, Inc. | 55,207 | 1,806 |
Number of Shares | Value† (000's omitted) | ||||||||||
Teva Pharmaceutical Industries Ltd. ADR | 42,134 | $ | 2,294 | ||||||||
4,100 | |||||||||||
Professional Services (0.8%) | |||||||||||
WageWorks, Inc. | 13,684 | 737 | * | ||||||||
Semiconductors & Semiconductor Equipment (3.3%) | |||||||||||
ASML Holding NV | 12,203 | 1,179 | * | ||||||||
NXP Semiconductors NV | 23,845 | 2,033 | * | ||||||||
3,212 | |||||||||||
Software (6.3%) | |||||||||||
Adobe Systems, Inc. | 7,447 | 702 | * | ||||||||
Check Point Software Technologies Ltd. | 9,636 | 798 | * | ||||||||
Intuit, Inc. | 24,155 | 2,437 | |||||||||
Oracle Corp. | 38,855 | 1,549 | |||||||||
Rovi Corp. | 33,136 | 584 | * | ||||||||
6,070 | |||||||||||
Specialty Retail (2.9%) | |||||||||||
Burlington Stores, Inc. | 12,900 | 735 | * | ||||||||
Lithia Motors, Inc. Class A | 13,530 | 1,123 | |||||||||
Office Depot, Inc. | 155,169 | 913 | * | ||||||||
2,771 | |||||||||||
Technology Hardware, Storage & Peripherals (2.1%) | |||||||||||
Apple, Inc. | 21,967 | 2,059 | |||||||||
Textiles, Apparel & Luxury Goods (1.9%) | |||||||||||
Deckers Outdoor Corp. | 22,449 | 1,298 | * | ||||||||
Luxottica Group SpA ADR | 10,182 | 557 | |||||||||
1,855 | |||||||||||
Trading Companies & Distributors (1.2%) | |||||||||||
AerCap Holdings NV | 29,008 | 1,161 | * | ||||||||
Wireless Telecommunication Services (1.4%) | |||||||||||
T-Mobile US, Inc. | 35,253 | 1,385 | * | ||||||||
Total Common Stocks (Cost $75,962) | 80,008 |
See Notes to Schedule of Investments
21
Schedule of Investments Flexible Select Fund (Unaudited) (cont'd)
Number of Shares | Value† (000's omitted) | ||||||||||
Mutual Funds (15.5%) | |||||||||||
Neuberger Berman Core Bond Fund Institutional Class | 774,712 | $ | 8,142 | §§ | |||||||
Neuberger Berman Unconstrained Bond Fund Institutional Class | 747,604 | 6,820 | §§ | ||||||||
Total Mutual Funds (Cost $14,929) | 14,962 | ||||||||||
Short-Term Investments (1.5%) | |||||||||||
State Street Institutional Treasury Money Market Fund Premier Class, 0.16% (Cost $1,447) | 1,447,240 | 1,447 | d | ||||||||
Total Investments (100.0%) (Cost $92,338) | 96,417 | ## | |||||||||
Cash, receivables and other assets, less liabilities (0.0%) | 3 | ||||||||||
Total Net Assets (100.0%) | $ | 96,420 |
See Notes to Schedule of Investments
22
Schedule of Investments Global Allocation Fund (Unaudited) 4/30/16
Number of Shares | Value† (000's omitted) | ||||||||||
Long Positions (111.2%) | |||||||||||
Common Stocks (54.3%) | |||||||||||
Australia (0.8%) | |||||||||||
AGL Energy Ltd. | 1,381 | $ | 19 | ||||||||
BlueScope Steel Ltd. | 2,020 | 10 | |||||||||
CIMIC Group Ltd. | 810 | 22 | |||||||||
CSL Ltd. | 48 | 4 | |||||||||
Dexus Property Group | 3,472 | 22 | |||||||||
GPT Group | 3,254 | 12 | |||||||||
Mirvac Group | 7,665 | 11 | |||||||||
Qantas Airways Ltd. | 13,301 | 32 | * | ||||||||
Scentre Group | 5,892 | 21 | |||||||||
Vicinity Centres | 5,120 | 13 | |||||||||
166 | |||||||||||
Austria (0.5%) | |||||||||||
OMV AG | 1,882 | 56 | |||||||||
Raiffeisen Bank International AG | 727 | 12 | * | ||||||||
voestalpine AG | 1,203 | 43 | |||||||||
111 | |||||||||||
Belgium (0.4%) | |||||||||||
Ageas | 306 | 12 | |||||||||
AGFA-Gevaert NV | 3,460 | 14 | * | ||||||||
Bekaert NV | 146 | 6 | |||||||||
Cie d'Entreprises CFE | 177 | 18 | |||||||||
D'ieteren SA | 485 | 21 | |||||||||
Delhaize Group | 106 | 11 | |||||||||
KBC Groep NV | 135 | 8 | |||||||||
90 | |||||||||||
Canada (1.1%) | |||||||||||
Alimentation Couche-Tard, Inc. Class B | 1,099 | 48 | ØØ | ||||||||
Barrick Gold Corp. | 1,293 | 25 | |||||||||
Encana Corp. | 1,844 | 14 | |||||||||
First Quantum Minerals Ltd. | 1,822 | 15 | |||||||||
George Weston Ltd. | 55 | 5 | ØØ | ||||||||
Goldcorp, Inc. | 883 | 18 | |||||||||
Hudson's Bay Co. | 1,475 | 20 | ØØ | ||||||||
Kinross Gold Corp. | 3,074 | 17 | *ØØ |
Number of Shares | Value† (000's omitted) | ||||||||||
Magna International, Inc. | 466 | $ | 20 | ØØ | |||||||
Metro, Inc. | 935 | 31 | ØØ | ||||||||
Rogers Communications, Inc. Class B | 337 | 13 | ØØ | ||||||||
TELUS Corp. | 152 | 5 | |||||||||
231 | |||||||||||
Denmark (0.3%) | |||||||||||
Dfds A/S | 575 | 23 | |||||||||
ISS A/S | 698 | 26 | |||||||||
Vestas Wind Systems A/S | 97 | 7 | |||||||||
56 | |||||||||||
Finland (0.3%) | |||||||||||
Neste OYJ | 149 | 5 | |||||||||
Stora Enso OYJ, R Shares | 1,117 | 10 | |||||||||
UPM-Kymmene OYJ | 2,126 | 40 | |||||||||
55 | |||||||||||
France (1.2%) | |||||||||||
BNP Paribas SA | 430 | 23 | |||||||||
Christian Dior SE | 149 | 26 | |||||||||
Cie de Saint-Gobain | 476 | 22 | |||||||||
Cie Generale des Etablissements Michelin | 213 | 22 | |||||||||
Credit Agricole SA | 1,304 | 14 | |||||||||
Peugeot SA | 2,290 | 37 | * | ||||||||
Renault SA | 503 | 49 | |||||||||
Sanofi | 122 | 10 | |||||||||
Societe Generale SA | 373 | 15 | |||||||||
Vinci SA | 379 | 28 | |||||||||
246 | |||||||||||
Germany (0.8%) | |||||||||||
Deutsche Lufthansa AG | 1,335 | 21 | |||||||||
GEA Group AG | 457 | 21 | |||||||||
Hannover Rueck SE | 242 | 27 | |||||||||
LANXESS AG | 450 | 23 | |||||||||
MAN SE | 214 | 23 | |||||||||
Muenchener Rueckversicherungs- Gesellschaft AG in Muenchen | 25 | 5 | |||||||||
OSRAM Licht AG | 249 | 13 | |||||||||
SMA Solar Technology AG | 163 | 9 | * | ||||||||
Volkswagen AG | 62 | 10 |
Number of Shares | Value† (000's omitted) | ||||||||||
Volkswagen AG, Preference Shares | 115 | $ | 17 | ||||||||
169 | |||||||||||
Hong Kong (0.2%) | |||||||||||
CK Hutchison Holdings Ltd. | 1,500 | 18 | |||||||||
HKT Trust & HKT Ltd. | 6,000 | 9 | |||||||||
Jardine Matheson Holdings Ltd. | 200 | 11 | |||||||||
MTR Corp. Ltd. | 2,500 | 12 | |||||||||
SmarTone Telecommunications Holdings Ltd. | 2 | 0 | Z | ||||||||
50 | |||||||||||
Ireland (0.5%) | |||||||||||
AerCap Holdings NV | 1,267 | 51 | *ØØ | ||||||||
Experian PLC | 1,137 | 21 | |||||||||
Ryanair Holdings PLC ADR | 452 | 36 | ØØ | ||||||||
108 | |||||||||||
Israel (0.8%) | |||||||||||
Check Point Software Technologies Ltd. | 615 | 51 | *ÈØØ | ||||||||
NICE-Systems Ltd. ADR | 187 | 12 | |||||||||
Teva Pharmaceutical Industries Ltd. ADR | 1,671 | 91 | g | ||||||||
154 | |||||||||||
Italy (0.8%) | |||||||||||
Atlantia SpA | 402 | 11 | |||||||||
Banco Popolare SC | 753 | 5 | |||||||||
DiaSorin SpA | 84 | 5 | |||||||||
Enel SpA | 5,307 | 24 | |||||||||
ERG SpA | 376 | 5 | |||||||||
Luxottica Group SpA ADR | 465 | 25 | ØØ | ||||||||
Prysmian SpA | 745 | 18 | |||||||||
Recordati SpA | 1,843 | 47 | |||||||||
UniCredit SpA | 3,582 | 14 | |||||||||
154 | |||||||||||
Japan (2.2%) | |||||||||||
Astellas Pharma, Inc. | 400 | 5 |
See Notes to Schedule of Investments
23
Schedule of Investments Global Allocation Fund (Unaudited) (cont'd)
Number of Shares | Value† (000's omitted) | ||||||||||
Central Japan Railway Co. | 200 | $ | 35 | ØØ | |||||||
Daiichi Sankyo Co. Ltd. | 1,100 | 26 | ØØ | ||||||||
FUJIFILM Holdings Corp. | 400 | 16 | ØØ | ||||||||
Hakuhodo DY Holdings, Inc. | 1,500 | 17 | |||||||||
Iida Group Holdings Co. Ltd. | 200 | 4 | ØØ | ||||||||
ITOCHU Corp. | 800 | 10 | ØØ | ||||||||
Japan Airlines Co. Ltd. | 300 | 11 | ØØ | ||||||||
JX Holdings, Inc. | 2,400 | 10 | |||||||||
Kaken Pharmaceutical Co. Ltd. | 100 | 5 | ØØ | ||||||||
Kansai Electric Power Co., Inc. | 500 | 4 | * | ||||||||
KDDI Corp. | 800 | 23 | ØØ | ||||||||
Marubeni Corp. | 1,000 | 5 | |||||||||
Medipal Holdings Corp. | 1,100 | 17 | ØØ | ||||||||
Mitsubishi Corp. | 1,500 | 25 | ØØ | ||||||||
Mitsubishi Motors Corp. | 4,600 | 19 | |||||||||
Mitsubishi Tanabe Pharma Corp. | 500 | 9 | |||||||||
Mitsubishi UFJ Financial Group, Inc. | 4,500 | 21 | ØØ | ||||||||
Mitsui OSK Lines Ltd. | 2,000 | 4 | |||||||||
Nippon Paper Industries Co. Ltd. | 500 | 10 | |||||||||
Nippon Telegraph & Telephone Corp. | 800 | 36 | ØØ | ||||||||
Nippon Yusen KK | 12,000 | 23 | ØØ | ||||||||
Nissan Motor Co. Ltd. | 1,300 | 12 | ØØ | ||||||||
NTT DOCOMO, Inc. | 300 | 7 | ØØ | ||||||||
Obayashi Corp. | 500 | 5 | |||||||||
Renesas Electronics Corp. | 700 | 4 | * | ||||||||
Resona Holdings, Inc. | 1,900 | 7 | ØØ |
Number of Shares | Value† (000's omitted) | ||||||||||
Sojitz Corp. | 5,500 | $ | 11 | ØØ | |||||||
Sumitomo Chemical Co. Ltd. | 3,000 | 14 | ØØ | ||||||||
Sumitomo Corp. | 900 | 10 | ØØ | ||||||||
Sumitomo Mitsui Financial Group, Inc. | 700 | 21 | ØØ | ||||||||
Tokyo Broadcasting System Holdings, Inc. | 500 | 7 | |||||||||
Tokyo Electric Power Co. Holdings, Inc. | 3,000 | 16 | *ØØ | ||||||||
Toppan Printing Co. Ltd. | 1,000 | 9 | |||||||||
Yamada Denki Co. Ltd. | 1,000 | 5 | |||||||||
463 | |||||||||||
Netherlands (1.1%) | |||||||||||
Akzo Nobel NV | 256 | 18 | |||||||||
ASML Holding NV | 525 | 51 | ØØ | ||||||||
ING Groep NV | 417 | 5 | |||||||||
Koninklijke Ahold NV | 1,020 | 22 | |||||||||
NN Group NV | 1,188 | 41 | |||||||||
NXP Semiconductors NV | 593 | 51 | *ØØ | ||||||||
Randstad Holding NV | 438 | 24 | |||||||||
Royal Dutch Shell PLC, A Shares | 856 | 22 | |||||||||
234 | |||||||||||
Norway (0.0%) | |||||||||||
Orkla ASA | 555 | 5 | |||||||||
Portugal (0.0%) | |||||||||||
Jeronimo Martins SGPS SA | 301 | 5 | |||||||||
Singapore (0.2%) | |||||||||||
Wilmar International Ltd. | 13,700 | 38 | |||||||||
South Africa (0.1%) | |||||||||||
Mondi PLC | 1,132 | 22 | |||||||||
Spain (0.2%) | |||||||||||
Acciona SA | 322 | 26 | ØØ |
Number of Shares | Value† (000's omitted) | ||||||||||
Gamesa Corporacion Tecnologica SA | 1,023 | $ | 20 | ØØ | |||||||
46 | |||||||||||
Sweden (0.6%) | |||||||||||
Boliden AB | 1,147 | 20 | |||||||||
Fingerprint Cards AB Class B | 104 | 6 | * | ||||||||
L E Lundbergforetagen AB, B Shares | 456 | 25 | |||||||||
Swedish Match AB | 774 | 24 | |||||||||
Telefonaktiebolaget LM Ericsson, B Shares | 1,479 | 12 | |||||||||
Volvo AB, B Shares | 3,141 | 37 | |||||||||
124 | |||||||||||
Switzerland (1.4%) | |||||||||||
Aryzta AG | 122 | 5 | * | ||||||||
BKW AG | 898 | 39 | |||||||||
Coca-Cola HBC AG | 1,043 | 21 | * | ||||||||
Galenica AG | 3 | 4 | |||||||||
Georg Fischer AG | 31 | 25 | |||||||||
Lonza Group AG | 198 | 33 | |||||||||
Roche Holding AG | 30 | 8 | |||||||||
Schindler Holding AG | 104 | 19 | |||||||||
Swiss Life Holding AG | 252 | 64 | * | ||||||||
Swiss Re AG | 307 | 27 | |||||||||
UBS Group AG | 1,268 | 22 | |||||||||
Wizz Air Holdings PLC | 690 | 19 | * | ||||||||
286 | |||||||||||
United Kingdom (2.9%) | |||||||||||
3 | i Group PLC | 3,284 | 23 | ||||||||
AstraZeneca PLC | 285 | 16 | |||||||||
Barclays PLC | 5,988 | 15 | |||||||||
Berendsen PLC | 1,089 | 19 | |||||||||
BT Group PLC | 4,843 | 31 | |||||||||
DS Smith PLC | 8,752 | 49 | |||||||||
easyJet PLC | 975 | 21 | |||||||||
Fiat Chrysler Automobiles NV | 1,437 | 11 | |||||||||
GKN PLC | 3,724 | 15 |
See Notes to Schedule of Investments
24
Schedule of Investments Global Allocation Fund (Unaudited) (cont'd)
Number of Shares | Value† (000's omitted) | ||||||||||
GlaxoSmithKline PLC | 2,212 | $ | 47 | ||||||||
Greene King PLC | 2,062 | 25 | |||||||||
HSBC Holdings PLC | 1,846 | 12 | |||||||||
Inchcape PLC | 1,891 | 19 | |||||||||
J Sainsbury PLC | 5,393 | 23 | |||||||||
Moneysuper market.com Group PLC | 6,272 | 29 | |||||||||
National Express Group PLC | 6,989 | 33 | |||||||||
Oxford Instruments PLC | 1,256 | 12 | |||||||||
Petrofac Ltd. | 1,113 | 14 | |||||||||
QinetiQ Group PLC | 5,660 | 18 | |||||||||
Rexam PLC | 2,287 | 21 | |||||||||
Spire Healthcare Group PLC | 1,026 | 5 | ñ | ||||||||
Stagecoach Group PLC | 5,215 | 20 | |||||||||
Tesco PLC | 3,091 | 8 | * | ||||||||
Unilever NV | 786 | 34 | ØØ | ||||||||
William Hill PLC | 4,361 | 20 | |||||||||
WM Morrison Supermarkets PLC | 18,522 | 52 | |||||||||
592 | |||||||||||
United States (37.9%) | |||||||||||
AbbVie, Inc. | 170 | 10 | |||||||||
Abercrombie & Fitch Co. Class A | 157 | 4 | È | ||||||||
Activision Blizzard, Inc. | 402 | 14 | ØØ | ||||||||
Adobe Systems, Inc. | 146 | 14 | * | ||||||||
ADT Corp. | 505 | 21 | |||||||||
Aetna, Inc. | 273 | 31 | ÈØØ | ||||||||
AGL Resources, Inc. | 1,114 | 73 | ØØ | ||||||||
Alaska Air Group, Inc. | �� | 604 | 43 | g | |||||||
Alexion Pharmaceuticals, Inc. | 24 | 3 | * | ||||||||
Allergan PLC | 81 | 18 | *ØØ | ||||||||
Alliance Data Systems Corp. | 65 | 13 | *ØØ | ||||||||
Allison Transmission Holdings, Inc. | 785 | 23 | ØØ |
Number of Shares | Value† (000's omitted) | ||||||||||
Allscripts Healthcare Solutions, Inc. | 1,007 | $ | 13 | *ØØ | |||||||
Ally Financial, Inc. | 877 | 16 | *ØØ | ||||||||
Alphabet, Inc. Class A | 33 | 23 | *ØØ | ||||||||
Alphabet, Inc. Class C | 94 | 65 | *g | ||||||||
Altria Group, Inc. | 820 | 51 | ÈØØ | ||||||||
Amazon.com, Inc. | 9 | 6 | * | ||||||||
Amdocs Ltd. | 853 | 48 | ØØ | ||||||||
AMERCO | 107 | 38 | g | ||||||||
American Capital Agency Corp. | 266 | 5 | |||||||||
American Electric Power Co., Inc. | 409 | 26 | |||||||||
American Financial Group, Inc. | 484 | 33 | ØØ | ||||||||
American International Group, Inc. | 937 | 52 | ØØ | ||||||||
American National Insurance Co. | 55 | 6 | È | ||||||||
Amgen, Inc. | 97 | 15 | ØØ | ||||||||
Annaly Capital Management, Inc. | 477 | 5 | |||||||||
Anthem, Inc. | 581 | 82 | ØØg | ||||||||
Apple, Inc. | 2,104 | 197 | g | ||||||||
Arrow Electronics, Inc. | 379 | 24 | *ØØ | ||||||||
Ashland, Inc. | 380 | 42 | ØØ | ||||||||
Assurant, Inc. | 585 | 49 | g | ||||||||
Assured Guaranty Ltd. | 534 | 14 | ØØ | ||||||||
AT&T, Inc. | 485 | 19 | |||||||||
Avery Dennison Corp. | 363 | 26 | ØØ | ||||||||
Avnet, Inc. | 2,444 | 100 | g | ||||||||
AVX Corp. | 2,300 | 30 | È | ||||||||
Axis Capital Holdings Ltd. | 87 | 5 | |||||||||
Bank of America Corp. | 2,932 | 43 | g | ||||||||
Bank of Hawaii Corp. | 477 | 33 | |||||||||
Bank of New York Mellon Corp. | 1,909 | 77 | Èg | ||||||||
BankUnited, Inc. | 2,860 | 99 | ÈØØ |
Number of Shares | Value† (000's omitted) | ||||||||||
Becton, Dickinson & Co. | 46 | $ | 7 | ØØ | |||||||
Bemis Co., Inc. | 490 | 25 | ØØ | ||||||||
Berkshire Hathaway, Inc. Class B | 269 | 39 | *ØØ | ||||||||
Best Buy Co., Inc. | 204 | 7 | ØØ | ||||||||
Biogen, Inc. | 24 | 7 | * | ||||||||
BlackRock, Inc. | 86 | 31 | ÈØØ | ||||||||
Bristol-Myers Squibb Co. | 347 | 25 | ØØ | ||||||||
Burlington Stores, Inc. | 588 | 33 | *ØØ | ||||||||
C.R. Bard, Inc. | 130 | 28 | |||||||||
Cablevision Systems Corp. Class A | 150 | 5 | ØØ | ||||||||
Cabot Corp. | 525 | 26 | ØØ | ||||||||
Cabot Oil & Gas Corp. | 1,930 | 45 | ØØg | ||||||||
CACI International, Inc. Class A | 47 | 5 | * | ||||||||
Cadence Design Systems, Inc. | 1,089 | 25 | * | ||||||||
Cal-Maine Foods, Inc. | 139 | 7 | È | ||||||||
Calpine Corp. | 2,084 | 33 | * | ||||||||
Campbell Soup Co. | 166 | 10 | |||||||||
Capital One Financial Corp. | 595 | 43 | ÈØØ | ||||||||
Cardinal Health, Inc. | 297 | 23 | ØØ | ||||||||
Carnival Corp. | 355 | 17 | ÈØØ | ||||||||
Carnival PLC | 618 | 31 | |||||||||
CDW Corp. | 1,277 | 49 | g | ||||||||
Celgene Corp. | 238 | 25 | * | ||||||||
CenturyLink, Inc. | 868 | 27 | ÈØØ | ||||||||
Charles River Laboratories International, Inc. | 427 | 34 | *g | ||||||||
Cigna Corp. | 213 | 30 | g | ||||||||
Cisco Systems, Inc. | 3,070 | 84 | g | ||||||||
CIT Group, Inc. | 158 | 5 | |||||||||
Citigroup, Inc. | 1,787 | 83 | g | ||||||||
Citizens Financial Group, Inc. | 231 | 5 | |||||||||
Clorox Co. | 208 | 26 | ØØ | ||||||||
CME Group, Inc. | 466 | 43 | ØØ | ||||||||
Comcast Corp. Class A | 1,958 | 119 | ØØg |
See Notes to Schedule of Investments
25
Schedule of Investments Global Allocation Fund (Unaudited) (cont'd)
Number of Shares | Value† (000's omitted) | ||||||||||
Community Health Systems, Inc. | 430 | $ | 8 | *ÈØØ | |||||||
Computer Sciences Corp. | 656 | 22 | ÈØØ | ||||||||
ConAgra Foods, Inc. | 1,654 | 74 | ØØg | ||||||||
Consolidated Edison, Inc. | 65 | 5 | |||||||||
Cooper Tire & Rubber Co. | 143 | 5 | |||||||||
Costco Wholesale Corp. | 701 | 104 | g | ||||||||
CVS Health Corp. | 1,054 | 106 | g | ||||||||
Danaher Corp. | 245 | 24 | |||||||||
Darden Restaurants, Inc. | 74 | 5 | |||||||||
Delta Air Lines, Inc. | 510 | 21 | ØØ | ||||||||
DENTSPLY SIRONA, Inc. | 949 | 57 | ØØg | ||||||||
Dow Chemical Co. | 233 | 12 | ØØ | ||||||||
eBay, Inc. | 733 | 18 | *ØØ | ||||||||
Ecolab, Inc. | 164 | 19 | |||||||||
EMC Corp. | 184 | 5 | |||||||||
EMCOR Group, Inc. | 505 | 24 | |||||||||
Ennis, Inc. | 653 | 13 | |||||||||
Entergy Corp. | 351 | 26 | ØØ | ||||||||
EOG Resources, Inc. | 821 | 68 | Èg | ||||||||
Equifax, Inc. | 184 | 22 | |||||||||
Equinix, Inc. | 26 | 9 | |||||||||
Everest Re Group Ltd. | 96 | 18 | |||||||||
Exelon Corp. | 1,111 | 39 | |||||||||
Express Scripts Holding Co. | 442 | 33 | *ØØ | ||||||||
Exxon Mobil Corp. | 934 | 83 | g | ||||||||
Facebook, Inc. Class A | 130 | 15 | * | ||||||||
FedEx Corp. | 135 | 22 | ØØ | ||||||||
Fidelity National Information Services, Inc. | 204 | 13 | |||||||||
FirstEnergy Corp. | 407 | 13 | |||||||||
General Electric Co. | 588 | 18 | ØØ | ||||||||
General Mills, Inc. | 285 | 17 | ØØ |
Number of Shares | Value† (000's omitted) | ||||||||||
General Motors Co. | 354 | $ | 11 | ØØ | |||||||
Genuine Parts Co. | 318 | 31 | ØØ | ||||||||
Gilead Sciences, Inc. | 246 | 22 | ØØ | ||||||||
GNC Holdings, Inc. Class A | 754 | 18 | ØØ | ||||||||
Goldman Sachs Group, Inc. | 542 | 89 | ØØg | ||||||||
Goodyear Tire & Rubber Co. | 431 | 12 | ØØ | ||||||||
Great Plains Energy, Inc. | 964 | 30 | ØØ | ||||||||
Hasbro, Inc. | 266 | 23 | ØØ | ||||||||
Hawaiian Holdings, Inc. | 371 | 16 | *ÈØØ | ||||||||
HCA Holdings, Inc. | 925 | 75 | *ØØg | ||||||||
Hilton Worldwide Holdings, Inc. | 1,059 | 23 | È | ||||||||
HollyFrontier Corp. | 145 | 5 | |||||||||
Hologic, Inc. | 741 | 25 | * | ||||||||
Home Depot, Inc. | 373 | 50 | g | ||||||||
Hormel Foods Corp. | 230 | 9 | |||||||||
HP, Inc. | 834 | 10 | ÈØØ | ||||||||
Humana, Inc. | 27 | 5 | |||||||||
ICON PLC | 442 | 30 | *ÈØØ | ||||||||
Ingram Micro, Inc. Class A | 1,603 | 56 | g | ||||||||
Ingredion, Inc. | 227 | 26 | ØØ | ||||||||
Intel Corp. | 152 | 5 | |||||||||
Intuit, Inc. | 868 | 88 | ØØ | ||||||||
Jack Henry & Associates, Inc. | 153 | 12 | ØØ | ||||||||
Jacobs Engineering Group, Inc. | 729 | 32 | *ÈØØ | ||||||||
JC Penney Co., Inc. | 757 | 7 | *È | ||||||||
JetBlue Airways Corp. | 2,435 | 48 | *ØØ | ||||||||
Johnson & Johnson | 494 | 55 | ØØ | ||||||||
JPMorgan Chase & Co. | 3,942 | 249 | ØØ | ||||||||
Juniper Networks, Inc. | 372 | 9 | ØØ | ||||||||
Kohl's Corp. | 144 | 6 | È | ||||||||
Kroger Co. | 171 | 6 | ØØ |
Number of Shares | Value† (000's omitted) | ||||||||||
L-3 Communications Holdings, Inc. | 492 | $ | 65 | g | |||||||
Leidos Holdings, Inc. | 681 | 34 | ØØ | ||||||||
Lennar Corp. Class A | 1,568 | 71 | ØØ | ||||||||
Level 3 Communications, Inc. | 334 | 17 | *ØØ | ||||||||
Liberty Braves Group Class C | 34 | 1 | * | ||||||||
Liberty Broadband Corp. Class C | 351 | 20 | * | ||||||||
Liberty Media Group Class C | 85 | 2 | * | ||||||||
Liberty SiriusXM Group Class C | 341 | 11 | * | ||||||||
Lithia Motors, Inc. Class A | 543 | 45 | |||||||||
Lockheed Martin Corp. | 23 | 5 | |||||||||
Markit Ltd. | 1,636 | 57 | *ØØ | ||||||||
Marvell Technology Group Ltd. | 885 | 9 | |||||||||
MasterCard, Inc. Class A | 427 | 41 | ØØ | ||||||||
Mattel, Inc. | 1,109 | 34 | |||||||||
McDonald's Corp. | 72 | 9 | |||||||||
Medtronic PLC | 138 | 11 | ØØ | ||||||||
Merck & Co., Inc. | 290 | 16 | ØØ | ||||||||
MetLife, Inc. | 340 | 15 | ØØ | ||||||||
Microsoft Corp. | 1,309 | 65 | g | ||||||||
Mondelez International, Inc. Class A | 1,317 | 57 | g | ||||||||
Motorola Solutions, Inc. | 559 | 42 | g | ||||||||
Mylan NV | 114 | 5 | * | ||||||||
National Fuel Gas Co. | 321 | 18 | ÈØØ | ||||||||
NCR Corp. | 527 | 15 | *È | ||||||||
Newell Brands, Inc. | 1,054 | 48 | ÈØØ | ||||||||
Newmont Mining Corp. | 1,243 | 43 | g | ||||||||
NextEra Energy, Inc. | 156 | 18 | ØØ |
See Notes to Schedule of Investments
26
Schedule of Investments Global Allocation Fund (Unaudited) (cont'd)
Number of Shares | Value† (000's omitted) | ||||||||||
NiSource, Inc. | 1,765 | $ | 40 | ØØ | |||||||
Nuance Communications, Inc. | 3,256 | 56 | *ØØ | ||||||||
NuVasive, Inc. | 142 | 8 | *ØØ | ||||||||
NVIDIA Corp. | 168 | 6 | È | ||||||||
Office Depot, Inc. | 6,217 | 37 | *ØØ | ||||||||
Oracle Corp. | 1,330 | 53 | g | ||||||||
Orbital ATK, Inc. | 149 | 13 | ØØ | ||||||||
Ormat Technologies, Inc. | 164 | 7 | |||||||||
PBF Energy, Inc. Class A | 152 | 5 | |||||||||
People's United Financial, Inc. | 1,558 | 24 | ØØ | ||||||||
PepsiCo, Inc. | 47 | 5 | ØØ | ||||||||
Pfizer, Inc. | 3,189 | 104 | ØØ | ||||||||
Philip Morris International, Inc. | 484 | 47 | |||||||||
Phillips 66 | 190 | 16 | ØØ | ||||||||
Pioneer Natural Resources Co. | 504 | 84 | ØØ | ||||||||
Pitney Bowes, Inc. | 1,625 | 34 | È | ||||||||
PNC Financial Services Group, Inc. | 1,256 | 110 | g | ||||||||
Pool Corp. | 287 | 25 | ØØ | ||||||||
Popular, Inc. | 478 | 14 | ØØ | ||||||||
PRA Health Sciences, Inc. | 327 | 16 | * | ||||||||
Priceline Group, Inc. | 10 | 13 | *ØØ | ||||||||
Procter & Gamble Co. | 592 | 47 | ØØ | ||||||||
Prudential Financial, Inc. | 538 | 42 | Èg | ||||||||
Public Service Enterprise Group, Inc. | 527 | 24 | ØØ | ||||||||
Ralph Lauren Corp. | 164 | 15 | ÈØØ | ||||||||
Regeneron Pharmaceuticals, Inc. | 7 | 3 | *È | ||||||||
Reinsurance Group of America, Inc. | 314 | 30 | ØØ |
Number of Shares | Value† (000's omitted) | ||||||||||
Reliance Steel & Aluminum Co. | 736 | $ | 54 | g | |||||||
Republic Services, Inc. | 202 | 9 | |||||||||
Rite Aid Corp. | 1,938 | 16 | *ØØ | ||||||||
Roper Technologies, Inc. | 115 | 20 | ØØ | ||||||||
Royal Caribbean Cruises Ltd. | 82 | 6 | ØØ | ||||||||
Schlumberger Ltd. | 269 | 22 | ØØ | ||||||||
Sensient Technologies Corp. | 573 | 39 | ØØ | ||||||||
ServiceMaster Global Holdings, Inc. | 1,557 | 60 | *g | ||||||||
Spire, Inc. | 569 | 36 | |||||||||
Spirit AeroSystems Holdings, Inc. Class A | 612 | 29 | *g | ||||||||
Stanley Black & Decker, Inc. | 149 | 17 | ØØ | ||||||||
SunTrust Banks, Inc. | 337 | 14 | |||||||||
SYNNEX Corp. | 88 | 7 | |||||||||
T-Mobile US, Inc. | 630 | 25 | *ØØ | ||||||||
Target Corp. | 609 | 48 | ØØ | ||||||||
Tech Data Corp. | 242 | 17 | *ØØ | ||||||||
Teleflex, Inc. | 170 | 26 | ØØ | ||||||||
Teradata Corp. | 258 | 7 | * | ||||||||
Teradyne, Inc. | 794 | 15 | ØØ | ||||||||
Tesoro Corp. | 91 | 7 | ØØ | ||||||||
Texas Instruments, Inc. | 492 | 28 | È | ||||||||
Thermo Fisher Scientific, Inc. | 484 | 70 | ØØ | ||||||||
Thomson Reuters Corp. | 201 | 8 | ØØ | ||||||||
Time Warner Cable, Inc. | 60 | 13 | ØØ | ||||||||
Time Warner, Inc. | 644 | 48 | ØØ | ||||||||
Total System Services, Inc. | 455 | 23 | ØØ |
Number of Shares | Value† (000's omitted) | ||||||||||
Trinity Industries, Inc. | 494 | $ | 10 | ||||||||
Twenty-First Century Fox, Inc. Class A | 2,291 | 69 | ØØ | ||||||||
Twenty-First Century Fox, Inc. Class B | 512 | 15 | ØØ | ||||||||
Tyler Technologies, Inc. | 52 | 8 | *ØØ | ||||||||
Tyson Foods, Inc. Class A | 969 | 64 | Èg | ||||||||
U.S. Bancorp | 349 | 15 | ØØ | ||||||||
United Continental Holdings, Inc. | 261 | 12 | *ØØ | ||||||||
United States Cellular Corp. | 1,243 | 53 | *ÈØØ | ||||||||
UnitedHealth Group, Inc. | 403 | 53 | g | ||||||||
Valeant Pharmaceuticals International, Inc. | 388 | 13 | * | ||||||||
Valero Energy Corp. | 1,035 | 61 | ØØ | ||||||||
Valmont Industries, Inc. | 158 | 22 | È | ||||||||
VCA, Inc. | 342 | 22 | * | ||||||||
VeriFone Systems, Inc. | 1,176 | 33 | *ØØg | ||||||||
Verisk Analytics, Inc. | 731 | 57 | *g | ||||||||
Verizon Communications, Inc. | 1,641 | 84 | ØØg | ||||||||
Vertex Pharmaceuticals, Inc. | 26 | 2 | * | ||||||||
Visa, Inc. Class A | 63 | 5 | È | ||||||||
Voya Financial, Inc. | 519 | 17 | ØØ | ||||||||
Wal-Mart Stores, Inc. | 296 | 20 | |||||||||
Walt Disney Co. | 611 | 63 | ØØ | ||||||||
Waste Management, Inc. | 489 | 29 | ØØ | ||||||||
Watsco, Inc. | 226 | 30 | È | ||||||||
Wells Fargo & Co. | 1,673 | 84 | ØØ | ||||||||
WhiteWave | 637 | 26 | *ØØ | ||||||||
Foods Co. |
See Notes to Schedule of Investments
27
Schedule of Investments Global Allocation Fund (Unaudited) (cont'd)
Number of Shares | Value† (000's omitted) | ||||||||||
Whole Foods Market, Inc. | 1,308 | $ | 38 | ÈØØ | |||||||
Zebra Technologies Corp. Class A | 170 | 11 | *ØØ | ||||||||
Zimmer Biomet Holdings, Inc. | 986 | 114 | ØØ | ||||||||
7,858 | |||||||||||
Total Common Stocks (Cost $10,961) | 11,263 | ||||||||||
Principal Amounta (000's omitted) | |||||||||||
U.S. Treasury Securities-Backed by the Full Faith and Credit of the U.S. Government (3.5%) | |||||||||||
U.S. Treasury Bonds, 4.50%, due 2/15/36 | $ | 10 | 14 | ØØ | |||||||
U.S. Treasury Bonds, 3.88%, due 8/15/40 | 10 | 12 | ØØ | ||||||||
U.S. Treasury Bonds, 3.00%, due 11/15/44 | 100 | 107 | ØØ | ||||||||
U.S. Treasury Inflation- Indexed Bonds, 0.13%, due 4/15/18 | 31 | 31 | ØØ | ||||||||
U.S. Treasury Inflation- Indexed Notes, 0.13%, due 1/15/22 | 37 | 37 | ØØ | ||||||||
U.S. Treasury Inflation- Indexed Notes, 0.13%, due 1/15/23 | 31 | 31 | ØØ | ||||||||
U.S. Treasury Inflation- Indexed Bonds, 0.63%, due 1/15/24 | 61 | 64 | ØØ |
Principal Amounta (000's omitted) | Value† (000's omitted) | ||||||||||
U.S. Treasury Inflation- Indexed Bonds, 2.38%, due 1/15/25 | $ | 19 | $ | 23 | ØØ | ||||||
U.S. Treasury Inflation- Indexed Bonds, 0.25%, due 1/15/25 | 10 | 10 | ØØ | ||||||||
U.S. Treasury Inflation- Indexed Bonds, 2.38%, due 1/15/27 | 18 | 22 | ØØ | ||||||||
U.S. Treasury Inflation- Indexed Bonds, 1.75%, due 1/15/28 | 6 | 7 | ØØ | ||||||||
U.S. Treasury Inflation- Indexed Bonds, 2.50%, due 1/15/29 | 22 | 28 | ØØ | ||||||||
U.S. Treasury Inflation- Indexed Bonds, 3.88%, due 4/15/29 | 43 | 62 | ØØ | ||||||||
U.S. Treasury Inflation- Indexed Bonds, 3.38%, due 4/15/32 | 80 | 116 | ØØ | ||||||||
U.S. Treasury Inflation- Indexed Bonds, 2.13%, due 2/15/40 | 66 | 84 | ØØ | ||||||||
U.S. Treasury Inflation- Indexed Bonds, 0.75%, due 2/15/42 | 16 | 15 | ØØ | ||||||||
U.S. Treasury Inflation- Indexed Bonds, 0.75%, due 2/15/45 | 15 | 15 | ØØ |
Principal Amounta (000's omitted) | Value† (000's omitted) | ||||||||||
U.S. Treasury Inflation- Indexed Bonds, 0.13%, due 7/15/24 | $ | 50 | $ | 50 | |||||||
Total U.S. Treasury Securities-Backed by the Full Faith and Credit of the U.S. Government (Cost $710) | 728 | ||||||||||
U.S. Government Agency Securities (0.2%) | |||||||||||
United States (0.2%) | |||||||||||
Federal Home Loan Bank, Bonds, 5.50%, due 7/15/36 (Cost $35) | 25 | 34 | ØØ | ||||||||
Mortgage-Backed Securities (0.8%) | |||||||||||
Fannie Mae (0.3%) | |||||||||||
Pass- Through Certificates, 4.50%, TBA, 30 Year Maturity | 60 | 65 | t | ||||||||
Freddie Mac (0.5%) | |||||||||||
Pass- Through Certificates, 4.00%, TBA, 30 Year Maturity | 85 | 91 | t | ||||||||
Total Mortgage- Backed Securities (Cost $156) | 156 | ||||||||||
Foreign Government Securities (7.9%) | |||||||||||
Sovereign (7.9%) | |||||||||||
Australia Government Bond, Senior Unsecured Notes, 3.25%, due 4/21/29 | AUD | 75 | 60 | r | |||||||
Australia Government Bond, Senior Unsecured Notes, 2.00%, due 8/21/35 | AUD | 35 | 32 | r |
See Notes to Schedule of Investments
28
Schedule of Investments Global Allocation Fund (Unaudited) (cont'd)
Principal Amounta (000's omitted) | Value† (000's omitted) | ||||||||||
Australia Government Bond, Senior Unsecured Notes, 3.25%, due 6/21/39 | AUD | 30 | $ | 23 | r | ||||||
Australia Government Bond, Senior Unsecured Notes, 1.25%, due 8/21/40 | AUD | 15 | 12 | r | |||||||
Canadian Government Bond, Bonds, 4.25%, due 6/1/18 | CAD | 160 | 137 | ØØ | |||||||
Canadian Government Bond, Bonds, 4.25%, due 12/1/21 | CAD | 23 | 23 | ØØ | |||||||
Canadian Government Bond, Bonds, 5.75%, due 6/1/33 | CAD | 85 | 105 | ||||||||
Canadian Government Bond, Bonds, 1.50%, due 12/1/44 | CAD | 16 | 17 | ||||||||
Canadian Government Bond, Bonds, 1.25%, due 12/1/47 | CAD | 10 | 10 | ||||||||
France Government Bond OAT, Bonds, 1.75%, due 11/25/24 | EUR | 80 | 102 | r | |||||||
France Government Bond OAT, Bonds, 3.25%, due 5/25/45 | EUR | 10 | 16 | r | |||||||
Italy Buoni Poliennali Del Tesoro, Bonds, 4.00%, due 2/1/37 | EUR | 30 | 44 | r |
Principal Amounta (000's omitted) | Value† (000's omitted) | ||||||||||
Italy Buoni Poliennali Del Tesoro, Bonds, 2.55%, due 9/15/41 | EUR | 43 | $ | 62 | r | ||||||
Mexican Bonos, Senior Unsecured Bonds, Ser. M, 7.75%, due 11/13/42 | MXN | 840 | 56 | ØØ | |||||||
New Zealand Government Bond, Senior Unsecured Notes, 2.00%, due 9/20/25 | NZD | 20 | 15 | r | |||||||
New Zealand Government Bond, Senior Unsecured Notes, Ser. 427, 4.50%, due 4/15/27 | NZD | 80 | 64 | r | |||||||
New Zealand Government Bond, Senior Unsecured Notes, 2.50%, due 9/20/35 | NZD | 85 | 64 | r | |||||||
South Africa Government Bond, Bonds, Ser. R214, 6.50%, due 2/28/41 | ZAR | 730 | 36 | ||||||||
Spain Government Bond, Senior Unsecured Notes, 4.65%, due 7/30/25 | EUR | 45 | 65 | ñrØØ | |||||||
Spain Government Bond, Bonds, 5.15%, due 10/31/44 | EUR | 20 | 34 | ñrØØ |
Principal Amounta (000's omitted) | Value† (000's omitted) | ||||||||||
Spain Government Inflation Linked Bond, Senior Unsecured Notes, 1.00%, due 11/30/30 | EUR | 5 | $ | 6 | ñrØØ | ||||||
United Kingdom Gilt, Bonds, 1.75%, due 7/22/19 | GBP | 140 | 211 | r | |||||||
United Kingdom Gilt, Bonds, 1.75%, due 9/7/22 | GBP | 105 | 159 | r | |||||||
United Kingdom Gilt, Bonds, 4.25%, due 12/7/27 | GBP | 55 | 101 | r | |||||||
United Kingdom Gilt Inflation Linked Bonds, Bonds, 0.13%, due 3/22/24 | GBP | 16 | 26 | r | |||||||
United Kingdom Gilt Inflation Linked Bonds, Senior Unsecured Notes, 0.13%, due 3/22/29 | GBP | 27 | 45 | r | |||||||
United Kingdom Gilt Inflation Linked Bonds, Bonds, 0.13%, due 3/22/44 | GBP | 38 | 70 | r | |||||||
United Kingdom Gilt Inflation Linked Bonds, Bonds, 0.25%, due 3/22/52 | GBP | 21 | 45 | r | |||||||
Total Government Securities (Cost $1,649) | 1,640 |
See Notes to Schedule of Investments
29
Schedule of Investments Global Allocation Fund (Unaudited) (cont'd)
Number of Shares | Value† (000's omitted) | ||||||||||
Exchange Traded Funds (4.6%) | |||||||||||
iShares 10+ Year Credit Bond ETF | 2,600 | $ | 157 | ØØ | |||||||
iShares Core U.S. Aggregate Bond ETF | 796 | 88 | |||||||||
iShares iBoxx $ Investment Grade Corporate Bond ETF | 1,400 | 169 | ØØ | ||||||||
iShares MSCI ACWI ETF | 4,582 | 260 | |||||||||
SPDR Barclays International Treasury Bond ETF | 1,582 | 90 | * | ||||||||
SPDR Barclays Long Term Corporate Bond ETF | 4,600 | 188 | ØØ | ||||||||
Total Exchange Traded Funds (Cost $934) | 952 | ||||||||||
Mutual Funds (36.8%) | |||||||||||
Neuberger Berman Emerging Markets Debt Fund Institutional Class | 26,649 | 234 | §§ | ||||||||
Neuberger Berman Emerging Markets Equity Fund Institutional Class | 145,052 | 2,125 | §§ | ||||||||
Neuberger Berman High Income Bond Fund Institutional Class | 138,909 | 1,168 | §§ | ||||||||
Neuberger Berman International Equity Fund Institutional Class | 249,439 | 2,737 | §§ | ||||||||
Neuberger Berman Long Short Credit Fund Institutional Class | 81,883 | 769 | §§ |
Number of Shares | Value† (000's omitted) | ||||||||||
Neuberger Berman Risk Balanced Commodity Strategy Fund Institutional Class | 97,139 | $ | 589 | *§§ | |||||||
Total Mutual Funds (Cost $7,906) | 7,622 | ||||||||||
Short-Term Investments (3.1%) | |||||||||||
State Street Institutional Liquid Reserves Fund Premier Class, 0.46% (Cost $644) | 643,653 | 644 | dØØ | ||||||||
Total Long Positions (111.2%) (Cost $22,995) | 23,039 | ## | |||||||||
Short Positions (see summary below) ((16.7)%) | (3,456 | ) | |||||||||
Cash, receivables and other assets, less liabilities (5.5%) | 1,142 | k | |||||||||
Total Net Assets (100.0%) | $ | 20,725 | |||||||||
Short Positions ((16.7)%)‡g | |||||||||||
Common Stocks Sold Short (16.7%) | |||||||||||
Australia (0.4%) | |||||||||||
Amcor Ltd. | (1,377 | ) | (16 | ) | |||||||
AMP Ltd. | (3,245 | ) | (14 | ) | |||||||
BHP Billiton PLC | (1,381 | ) | (19 | ) | |||||||
Commonwealth Bank of Australia | (238 | ) | (13 | ) | |||||||
Westpac Banking Corp. | (573 | ) | (14 | ) | |||||||
(76 | ) | ||||||||||
Belgium (0.1%) | |||||||||||
Anheuser-Busch InBev NV | (153 | ) | (19 | ) | |||||||
Canada (0.6%) | |||||||||||
Alaris Royalty Corp. | (750 | ) | (18 | ) | |||||||
CI Financial Corp. | (739 | ) | (16 | ) | |||||||
Dollarama, Inc. | (225 | ) | (16 | ) | |||||||
Gildan Activewear, Inc. | (482 | ) | (15 | ) |
Number of Shares | Value† (000's omitted) | ||||||||||
IGM Financial, Inc. | (431 | ) | $ | (14 | ) | ||||||
MacDonald Dettwiler & Associates Ltd. | (222 | ) | (16 | ) | |||||||
RONA, Inc. | (707 | ) | (13 | ) | |||||||
Silver Wheaton Corp. | (771 | ) | (16 | ) | |||||||
(124 | ) | ||||||||||
Chile (0.1%) | |||||||||||
Antofagasta PLC | (1,986 | ) | (14 | ) | |||||||
Denmark (0.1%) | |||||||||||
Pandora A/S | (110 | ) | (14 | ) | |||||||
Tryg A/S | (782 | ) | (15 | ) | |||||||
(29 | ) | ||||||||||
Finland (0.1%) | |||||||||||
Huhtamaki OYJ | (379 | ) | (15 | ) | |||||||
France (0.9%) | |||||||||||
Accor SA | (418 | ) | (19 | ) | |||||||
Air Liquide SA | (182 | ) | (21 | ) | |||||||
Bureau Veritas SA | (888 | ) | (21 | ) | |||||||
Danone SA | (175 | ) | (12 | ) | |||||||
Essilor International SA | (155 | ) | (20 | ) | |||||||
Imerys SA | (296 | ) | (22 | ) | |||||||
L'Oreal SA | (101 | ) | (18 | ) | |||||||
Legrand SA | (346 | ) | (20 | ) | |||||||
Orpea | (212 | ) | (17 | ) | |||||||
Pernod Ricard SA | (116 | ) | (13 | ) | |||||||
(183 | ) | ||||||||||
Germany (0.6%) | |||||||||||
Bayer AG | (87 | ) | (10 | ) | |||||||
Beiersdorf AG | (144 | ) | (13 | ) | |||||||
Fresenius Medical Care AG & Co. KGaA | (157 | ) | (13 | ) | |||||||
Infineon Technologies AG | (1,471 | ) | (21 | ) | |||||||
SAP SE | (137 | ) | (11 | ) | |||||||
Siemens AG | (151 | ) | (16 | ) | |||||||
Symrise AG | (275 | ) | (18 | ) | |||||||
United Internet AG | (311 | ) | (15 | ) | |||||||
(117 | ) | ||||||||||
Hong Kong (0.1%) | |||||||||||
AIA Group Ltd. | (2,200 | ) | (13 | ) | |||||||
Hong Kong & China Gas Co. Ltd. | (6,000 | ) | (11 | ) | |||||||
(24 | ) |
See Notes to Schedule of Investments
30
Schedule of Investments Global Allocation Fund (Unaudited) (cont'd)
Number of Shares | Value† (000's omitted) | ||||||||||
Ireland (0.2%) | |||||||||||
Kerry Group PLC Class A | (220 | ) | $ | (20 | ) | ||||||
Shire PLC | (306 | ) | (19 | ) | |||||||
(39 | ) | ||||||||||
Italy (0.1%) | |||||||||||
Salvatore Ferragamo SpA | (653 | ) | (15 | ) | |||||||
Snam SpA | (2,407 | ) | (15 | ) | |||||||
(30 | ) | ||||||||||
Japan (0.5%) | |||||||||||
Canon, Inc. | (600 | ) | (17 | ) | |||||||
Daiwa Securities Group, Inc. | (2,000 | ) | (12 | ) | |||||||
Honda Motor Co. Ltd. | (590 | ) | (16 | ) | |||||||
Inpex Corp. | (2,207 | ) | (18 | ) | |||||||
Lawson, Inc. | (200 | ) | (15 | ) | |||||||
Tobu Railway Co. Ltd. | (4,000 | ) | (20 | ) | |||||||
Toyota Motor Corp. | (300 | ) | (15 | ) | |||||||
(113 | ) | ||||||||||
Jordan (0.1%) | |||||||||||
Hikma Pharmaceuticals PLC | (472 | ) | (15 | ) | |||||||
Mexico (0.1%) | |||||||||||
Fresnillo PLC | (1,115 | ) | (18 | ) | |||||||
Netherlands (0.3%) | |||||||||||
Aalberts Industries NV | (549 | ) | (19 | ) | |||||||
Heineken NV | (182 | ) | (17 | ) | |||||||
Koninklijke Philips NV | (730 | ) | (20 | ) | |||||||
(56 | ) | ||||||||||
Singapore (0.1%) | |||||||||||
Singapore Exchange Ltd. | (2,200 | ) | (12 | ) | |||||||
StarHub Ltd. | (6,400 | ) | (16 | ) | |||||||
(28 | ) | ||||||||||
South Africa (0.1%) | |||||||||||
Randgold Resources Ltd. | (163 | ) | (16 | ) | |||||||
Spain (0.2%) | |||||||||||
Banco Bilbao Vizcaya Argentaria SA | (1,819 | ) | (13 | ) | |||||||
Enagas SA | (310 | ) | (9 | ) | |||||||
Industria de Diseno Textil SA | (437 | ) | (14 | ) |
Number of Shares | Value† (000's omitted) | ||||||||||
Red Electrica Corp. SA | (199 | ) | $ | (18 | ) | ||||||
(54 | ) | ||||||||||
Sweden (0.5%) | |||||||||||
Assa Abloy AB, B Shares | (885 | ) | (18 | ) | |||||||
Hennes & Mauritz AB, B Shares | (531 | ) | (19 | ) | |||||||
Investment AB Kinnevik, B Shares | (625 | ) | (18 | ) | |||||||
Investor AB, B Shares | (329 | ) | (12 | ) | |||||||
Lundin Petroleum AB | (836 | ) | (16 | )* | |||||||
Svenska Handelsbanken AB, A Shares | (1,138 | ) | (15 | ) | |||||||
(98 | ) | ||||||||||
Switzerland (0.6%) | |||||||||||
Cie Financiere Richemont SA | (287 | ) | (19 | ) | |||||||
Geberit AG | (39 | ) | (15 | ) | |||||||
LafargeHolcim Ltd. | (417 | ) | (21 | )* | |||||||
Nestle SA | (259 | ) | (19 | ) | |||||||
SGS SA | (8 | ) | (18 | ) | |||||||
Swisscom AG | (28 | ) | (14 | ) | |||||||
Syngenta AG | (42 | ) | (17 | ) | |||||||
(123 | ) | ||||||||||
United Arab Emirates (0.1%) | |||||||||||
NMC Health PLC | (686 | ) | (11 | ) | |||||||
United Kingdom (2.3%) | |||||||||||
ARM Holdings PLC | (1,226 | ) | (17 | ) | |||||||
Associated British Foods PLC | (273 | ) | (12 | ) | |||||||
Babcock International Group PLC | (1,349 | ) | (19 | ) | |||||||
British American Tobacco PLC | (259 | ) | (16 | ) | |||||||
BTG PLC | (2,143 | ) | (19 | )* | |||||||
Bunzl PLC | (523 | ) | (16 | ) | |||||||
Capita PLC | (1,153 | ) | (17 | ) | |||||||
Compass Group PLC | (627 | ) | (11 | ) | |||||||
Croda International PLC | (409 | ) | (18 | ) | |||||||
Delphi Automotive PLC | (287 | ) | (21 | ) |
Number of Shares | Value† (000's omitted) | ||||||||||
Diageo PLC | (745 | ) | $ | (20 | ) | ||||||
Diploma PLC | (1,605 | ) | (17 | ) | |||||||
Essentra PLC | (1,761 | ) | (21 | ) | |||||||
Halma PLC | (1,330 | ) | (17 | ) | |||||||
Hammerson PLC | (22 | ) | (0 | ) | |||||||
ITV PLC | (5,120 | ) | (17 | ) | |||||||
Pennon Group PLC | (1,085 | ) | (13 | ) | |||||||
Pentair PLC | (403 | ) | (23 | ) | |||||||
Reckitt Benckiser Group PLC | (143 | ) | (14 | ) | |||||||
RELX NV | (657 | ) | (11 | ) | |||||||
RELX PLC | (704 | ) | (12 | ) | |||||||
Rotork PLC | (8,556 | ) | (23 | ) | |||||||
Sky PLC | (1,178 | ) | (16 | ) | |||||||
SSE PLC | (682 | ) | (15 | ) | |||||||
St. James's Place PLC | (850 | ) | (11 | ) | |||||||
UBM PLC | (1,843 | ) | (15 | ) | |||||||
Ultra Electronics Holdings PLC | (815 | ) | (21 | ) | |||||||
Unilever NV | (276 | ) | (12 | ) | |||||||
United Utilities Group PLC | (1,216 | ) | (17 | ) | |||||||
Whitbread PLC | (383 | ) | (22 | ) | |||||||
(483 | ) | ||||||||||
United States (8.5%) | |||||||||||
3M Co. | (128 | ) | (21 | ) | |||||||
Affiliated Managers Group, Inc. | (90 | ) | (15 | )* | |||||||
Alliant Energy Corp. | (212 | ) | (15 | ) | |||||||
American Water Works Co., Inc. | (283 | ) | (21 | ) | |||||||
AmerisourceBergen Corp. | (206 | ) | (18 | ) | |||||||
AMETEK, Inc. | (413 | ) | (20 | ) | |||||||
Amphenol Corp. Class A | (315 | ) | (18 | ) | |||||||
ANSYS, Inc. | (220 | ) | (20 | )* | |||||||
Aqua America, Inc. | (610 | ) | (19 | ) | |||||||
Arthur J Gallagher & Co. | (248 | ) | (11 | ) | |||||||
Ball Corp. | (288 | ) | (21 | ) | |||||||
Becton Dickinson and Co. | (117 | ) | (19 | ) | |||||||
BlackRock, Inc. | (45 | ) | (16 | ) | |||||||
Boeing Co. | (80 | ) | (11 | ) | |||||||
Broadridge Financial Solutions, Inc. | (338 | ) | (20 | ) |
See Notes to Schedule of Investments
31
Schedule of Investments Global Allocation Fund (Unaudited) (cont'd)
Number of Shares | Value† (000's omitted) | ||||||||||
Brown & Brown, Inc. | (347 | ) | $ | (12 | ) | ||||||
Brown-Forman Corp. Class B | (166 | ) | (16 | ) | |||||||
Caterpillar, Inc. | (215 | ) | (17 | ) | |||||||
Chevron Corp. | (181 | ) | (18 | ) | |||||||
Church & Dwight Co., Inc. | (108 | ) | (10 | ) | |||||||
CMS Energy Corp. | (339 | ) | (14 | ) | |||||||
Coach, Inc. | (547 | ) | (22 | ) | |||||||
Coca-Cola Co. | (359 | ) | (16 | ) | |||||||
Colgate- Palmolive Co. | (275 | ) | (19 | ) | |||||||
ConocoPhillips | (435 | ) | (21 | ) | |||||||
Copart, Inc. | (475 | ) | (20 | )* | |||||||
Costco Wholesale Corp. | (138 | ) | (20 | ) | |||||||
Crown Holdings, Inc. | (391 | ) | (21 | )* | |||||||
Danaher Corp. | (228 | ) | (22 | ) | |||||||
Dominion Resources, Inc. | (282 | ) | (20 | ) | |||||||
Donaldson Co., Inc. | (672 | ) | (22 | ) | |||||||
DTE Energy Co. | (206 | ) | (18 | ) | |||||||
EOG Resources, Inc. | (220 | ) | (18 | ) | |||||||
Equinix, Inc. | (26 | ) | (9 | ) | |||||||
Exxon Mobil Corp. | (149 | ) | (13 | ) | |||||||
FactSet Research Systems, Inc. | (133 | ) | (20 | ) | |||||||
Fastenal Co. | (464 | ) | (22 | ) | |||||||
FedEx Corp. | (114 | ) | (19 | ) | |||||||
Fidelity National Information Services, Inc. | (329 | ) | (22 | ) | |||||||
Fortune Brands Home & Security, Inc. | (356 | ) | (20 | ) | |||||||
Garmin Ltd. | (365 | ) | (16 | ) | |||||||
Gartner, Inc. | (244 | ) | (21 | )* | |||||||
Harris Corp. | (233 | ) | (19 | ) | |||||||
Hershey Co. | (201 | ) | (19 | ) | |||||||
Home Depot, Inc. | (144 | ) | (19 | ) | |||||||
Honeywell International, Inc. | (170 | ) | (19 | ) | |||||||
IDEX Corp. | (223 | ) | (18 | ) | |||||||
IDEXX Laboratories, Inc. | (245 | ) | (21 | )* | |||||||
Illinois Tool Works, Inc. | (102 | ) | (11 | ) |
Number of Shares | Value† (000's omitted) | ||||||||||
International Business Machines Corp. | (108 | ) | $ | (16 | ) | ||||||
Intuit, Inc. | (184 | ) | (19 | ) | |||||||
ITC Holdings Corp. | (497 | ) | (22 | ) | |||||||
J.B. Hunt Transport Services, Inc. | (175 | ) | (14 | ) | |||||||
J.M. Smucker Co. | (110 | ) | (14 | ) | |||||||
Kimberly-Clark Corp. | (107 | ) | (13 | ) | |||||||
Marsh & McLennan Cos., Inc. | (204 | ) | (13 | ) | |||||||
MasterCard, Inc. Class A | (227 | ) | (22 | ) | |||||||
Mead Johnson Nutrition Co. | (232 | ) | (20 | ) | |||||||
Medtronic PLC | (241 | ) | (19 | ) | |||||||
Mettler-Toledo International, Inc. | (51 | ) | (18 | )* | |||||||
Microchip Technology, Inc. | (436 | ) | (21 | ) | |||||||
Monsanto Co. | (200 | ) | (19 | ) | |||||||
Moody's Corp. | (200 | ) | (19 | ) | |||||||
Newell Brands, Inc. | (443 | ) | (20 | ) | |||||||
NextEra Energy, Inc. | (131 | ) | (15 | ) | |||||||
Nordson Corp. | (272 | ) | (21 | ) | |||||||
Oracle Corp. | (477 | ) | (19 | ) | |||||||
Parker-Hannifin Corp. | (178 | ) | (21 | ) | |||||||
Paychex, Inc. | (273 | ) | (14 | ) | |||||||
Piedmont Natural Gas Co., Inc. | (319 | ) | (19 | ) | |||||||
PPG Industries, Inc. | (179 | ) | (20 | ) | |||||||
Praxair, Inc. | (142 | ) | (17 | ) | |||||||
QUALCOMM, Inc. | (343 | ) | (17 | ) | |||||||
Roper Technologies, Inc. | (119 | ) | (21 | ) | |||||||
S&P Global, Inc. | (206 | ) | (22 | ) | |||||||
Sempra Energy | (151 | ) | (16 | ) | |||||||
Sirius XM Holdings, Inc. | (5,462 | ) | (22 | )* | |||||||
Southern Co. | (318 | ) | (16 | ) | |||||||
Southern Copper Corp. | (513 | ) | (15 | ) | |||||||
Spectrum Brands Holdings, Inc. | (179 | ) | (20 | ) |
Number of Shares | Value† (000's omitted) | ||||||||||
St. Jude Medical, Inc. | (326 | ) | $ | (25 | ) | ||||||
Starbucks Corp. | (287 | ) | (16 | ) | |||||||
Stericycle, Inc. | (171 | ) | (16 | )* | |||||||
STERIS PLC | (291 | ) | (21 | ) | |||||||
TD Ameritrade Holding Corp. | (551 | ) | (16 | ) | |||||||
TECO Energy, Inc. | (743 | ) | (21 | ) | |||||||
TJX Cos., Inc. | (259 | ) | (20 | ) | |||||||
TransDigm Group, Inc. | (88 | ) | (20 | )* | |||||||
Tyco International PLC | (581 | ) | (22 | ) | |||||||
Under Armour, Inc. Class C | (233 | ) | (9 | )* | |||||||
Union Pacific Corp. | (245 | ) | (21 | ) | |||||||
United Technologies Corp. | (160 | ) | (17 | ) | |||||||
VF Corp. | (334 | ) | (21 | ) | |||||||
WEC Energy Group, Inc. | (357 | ) | (21 | ) | |||||||
WhiteWave Foods Co. | (496 | ) | (20 | )* | |||||||
Zimmer Biomet Holdings, Inc. | (189 | ) | (22 | ) | |||||||
Zoetis, Inc. | (418 | ) | (20 | ) | |||||||
(1,771 | ) | ||||||||||
Total Short Positions (Proceeds $(3,385)) | (3,456 | ) |
See Notes to Schedule of Investments
32
Schedule of Investments Global Allocation Fund (Unaudited) (cont'd)
Derivative Instruments
Futures Contracts ("Futures")
At April 30, 2016, open positions in futures were as follows:
Expiration | Open Contracts | Position | Unrealized Appreciation (Depreciation) | ||||||||||||
May 2016 | 1 H-Shares Index | Short | $ | 448 | |||||||||||
May 2016 | 1 IBEX 35 Index | Short | (6,776 | ) | |||||||||||
May 2016 | 3 OMXS30 Index | Short | (703 | ) | |||||||||||
June 2016 | 2 CAD Currency | Short | (9,386 | ) | |||||||||||
June 2016 | 3 CHF Currency | Short | (9,448 | ) | |||||||||||
June 2016 | 4 Euro-SCHATZ | Short | 630 | ||||||||||||
June 2016 | 1 FTSE MIB Index | Short | (3,200 | ) | |||||||||||
June 2016 | 4 GBP Currency | Short | (9,862 | ) | |||||||||||
June 2016 | 1 NOK Currency | Short | (13,564 | ) | |||||||||||
June 2016 | 2 NZD Currency Dollar | Short | (5,168 | ) | |||||||||||
June 2016 | 1 SEK Currency | Short | (2,520 | ) | |||||||||||
June 2016 | 2 TOPIX Index | Short | 3,102 | ||||||||||||
June 2016 | 1 UK Long Gilt Bond | Short | 2,453 | ||||||||||||
June 2016 | 1 U.S. Treasury Note, 5 Year | Short | 76 | ||||||||||||
June 2016 | 1 U.S. Treasury Note, 10 Year | Short | 1,147 | ||||||||||||
June 2016 | 1 ZAR Currency | Short | (2,888 | ) | |||||||||||
June 2016 | 2 CAD Currency | Long | 6,908 | ||||||||||||
June 2016 | 3 Canadian Treasury Bond, 10 Year | Long | (3,888 | ) | |||||||||||
June 2016 | 2 Euro-BOBL | Long | (826 | ) | |||||||||||
June 2016 | 2 Euro-BTP | Long | (3,253 | ) | |||||||||||
June 2016 | 6 Euro FX Currency | Long | 24,098 | ||||||||||||
June 2016 | 2 Euro-OAT | Long | (1,822 | ) | |||||||||||
June 2016 | 1 Euro STOXX 50 Index | Long | 502 | ||||||||||||
June 2016 | 1 FTSE 100 Index | Long | 1,759 | ||||||||||||
June 2016 | 1 GBP Currency | Long | 2,454 | ||||||||||||
June 2016 | 5 JPY Currency | Long | 35,274 | ||||||||||||
June 2016 | 15 Mini MSCI Emerging Markets Index | Long | 8,651 | ||||||||||||
June 2016 | 3 Nikkei 225 Index | Long | (13,578 | ) | |||||||||||
June 2016 | 2 UK Long Gilt Bond | Long | (5,672 | ) | |||||||||||
June 2016 | 1 U.S. Treasury Bond, Long | Long | (1,136 | ) | |||||||||||
June 2016 | 2 U.S. Treasury Note, 2 Year | Long | 91 | ||||||||||||
June 2016 | 2 U.S. Treasury Note, 10 Year | Long | (691 | ) | |||||||||||
June 2017 | 1 Canadian Bankers' Acceptance, 90 Day | Long | (501 | ) | |||||||||||
Total | $ | (7,289 | ) |
See Notes to Schedule of Investments
33
Schedule of Investments Global Allocation Fund (Unaudited) (cont'd)
For the six months ended April 30, 2016, the average notional value of futures for the Fund was $5,222,344 for long positions and $(2,688,380) for short positions.
At April 30, 2016, the notional value of futures for the Fund was $5,402,926 for long positions and $(3,090,398) for short positions. The Fund had deposited $193,000 in segregated accounts to cover margin requirements on open futures.
Forward Foreign Currency Contracts ("forward contracts")
At April 30, 2016, open forward contracts for the Fund were as follows:
Contracts to Receive | In Exchange For | Counterparty | Settlement Date | Net Unrealized Appreciation (Depreciation) | |||||||||||||||||||
94,962 | Australian Dollar | $ | 70,300 | Deutsche Bank AG | 06/03/16 | $ | 1,812 | ||||||||||||||||
44,110 | Australian Dollar | 33,819 | Goldman Sachs International | 06/03/16 | (323 | ) | |||||||||||||||||
41,009 | Australian Dollar | 30,613 | Goldman Sachs International | 06/03/16 | 529 | ||||||||||||||||||
28,981 | Australian Dollar | 21,785 | Royal Bank of Canada | 06/03/16 | 223 | ||||||||||||||||||
178,674 | Australian Dollar | 136,316 | Royal Bank of Canada | 06/03/16 | (634 | ) | |||||||||||||||||
17,769 | Australian Dollar | 13,173 | Societe Generale | 06/03/16 | 320 | ||||||||||||||||||
61,835 | Australian Dollar | 47,021 | Societe Generale | 06/03/16 | (65 | ) | |||||||||||||||||
52,550 | Australian Dollar | 39,946 | Societe Generale | 06/03/16 | (41 | ) | |||||||||||||||||
76,234 | Australian Dollar | 57,116 | Societe Generale | 06/03/16 | 775 | ||||||||||||||||||
81,358 | Australian Dollar | 61,971 | Societe Generale | 06/03/16 | (190 | ) | |||||||||||||||||
225,476 | Australian Dollar | 171,909 | Societe Generale | 06/03/16 | (687 | ) | |||||||||||||||||
26,255 | Australian Dollar | 20,501 | State Street Bank and Trust Company | 06/03/16 | (563 | ) | |||||||||||||||||
546,161 | Brazilian Real | 151,036 | Barclays Bank PLC | 05/12/16 | 7,273 | ||||||||||||||||||
348,328 | Canadian Dollar | 261,064 | Deutsche Bank AG | 06/03/16 | 16,557 | ||||||||||||||||||
16,035 | Canadian Dollar | 12,478 | Goldman Sachs International | 06/03/16 | 302 | ||||||||||||||||||
14,339 | Canadian Dollar | 11,421 | Royal Bank of Canada | 06/03/16 | 7 | ||||||||||||||||||
76,537 | Canadian Dollar | 58,901 | Royal Bank of Canada | 06/03/16 | 2,100 | ||||||||||||||||||
77,217 | Canadian Dollar | 59,281 | Royal Bank of Canada | 06/03/16 | 2,262 | ||||||||||||||||||
19,928 | Canadian Dollar | 15,385 | Royal Bank of Canada | 06/03/16 | 498 | ||||||||||||||||||
168,428 | Canadian Dollar | 128,257 | Societe Generale | 06/03/16 | 5,981 | ||||||||||||||||||
523,720 | Canadian Dollar | 392,414 | Societe Generale | 06/03/16 | 24,996 | ||||||||||||||||||
136,126 | Canadian Dollar | 108,797 | Societe Generale | 06/03/16 | (304 | ) | |||||||||||||||||
60,607 | Canadian Dollar | 45,635 | Societe Generale | 06/03/16 | 2,670 | ||||||||||||||||||
17,616 | Canadian Dollar | 13,580 | Societe Generale | 06/03/16 | 460 | ||||||||||||||||||
98,626 | Canadian Dollar | 74,835 | State Street Bank and Trust Company | 06/03/16 | 3,771 | ||||||||||||||||||
42,138 | Canadian Dollar | 32,051 | State Street Bank and Trust Company | 06/03/16 | 1,534 | ||||||||||||||||||
68,156 | Canadian Dollar | 52,828 | State Street Bank and Trust Company | 06/03/16 | 1,493 | ||||||||||||||||||
44,540 | Canadian Dollar | 35,156 | State Street Bank and Trust Company | 06/03/16 | 342 | ||||||||||||||||||
128,910 | Canadian Dollar | 101,584 | State Street Bank and Trust Company | 06/03/16 | 1,159 | ||||||||||||||||||
96,138,302 | Chilean Peso | 143,383 | Barclays Bank PLC | 05/12/16 | 2,015 | ||||||||||||||||||
30,778 | Euro | 33,865 | Goldman Sachs International | 06/03/16 | 1,409 | ||||||||||||||||||
23,716 | Euro | 26,801 | Goldman Sachs International | 06/03/16 | 379 | ||||||||||||||||||
39,753 | Euro | 45,121 | Goldman Sachs International | 06/03/16 | 439 | ||||||||||||||||||
19,017 | Euro | 21,502 | Royal Bank of Canada | 06/03/16 | 292 | ||||||||||||||||||
12,498 | Euro | 14,199 | Royal Bank of Canada | 06/03/16 | 124 |
See Notes to Schedule of Investments
34
Schedule of Investments Global Allocation Fund (Unaudited) (cont'd)
Contracts to Receive | In Exchange For | Counterparty | Settlement Date | Net Unrealized Appreciation (Depreciation) | |||||||||||||||||||
50,120 | Euro | $ | 55,373 | Societe Generale | 06/03/16 | $ | 2,068 | ||||||||||||||||
27,785 | Euro | 31,401 | Societe Generale | 06/03/16 | 443 | ||||||||||||||||||
23,871 | Euro | 27,308 | Societe Generale | 06/03/16 | 50 | ||||||||||||||||||
9,833 | Euro | 10,802 | Societe Generale | 06/03/16 | 467 | ||||||||||||||||||
51,762 | Euro | 58,870 | Societe Generale | 06/03/16 | 453 | ||||||||||||||||||
41,462 | Euro | 47,019 | Societe Generale | 06/03/16 | 499 | ||||||||||||||||||
26,912 | Euro | 30,095 | State Street Bank and Trust Company | 06/03/16 | 748 | ||||||||||||||||||
39,609 | Euro | 44,103 | State Street Bank and Trust Company | 06/03/16 | 1,292 | ||||||||||||||||||
13,095 | Euro | 14,914 | State Street Bank and Trust Company | 06/03/16 | 93 | ||||||||||||||||||
22,832 | Euro | 25,985 | State Street Bank and Trust Company | 06/03/16 | 182 | ||||||||||||||||||
106,273 | Euro | 120,197 | State Street Bank and Trust Company | 06/03/16 | 1,599 | ||||||||||||||||||
68,764 | Euro | 78,011 | State Street Bank and Trust Company | 06/03/16 | 798 | ||||||||||||||||||
2,831,462,375 | Indonesian Rupiah | 215,075 | Barclays Bank PLC | 05/12/16 | (465 | ) | |||||||||||||||||
1,538,736 | Japanese Yen | 13,657 | Deutsche Bank AG | 06/03/16 | 814 | ||||||||||||||||||
2,833,941 | Japanese Yen | 26,009 | Goldman Sachs International | 06/03/16 | 643 | ||||||||||||||||||
18,290,686 | Japanese Yen | 163,003 | Royal Bank of Canada | 06/03/16 | 9,011 | ||||||||||||||||||
7,603,814 | Japanese Yen | 68,345 | Royal Bank of Canada | 06/03/16 | 3,164 | ||||||||||||||||||
4,513,702 | Japanese Yen | 41,156 | Royal Bank of Canada | 06/03/16 | 1,292 | ||||||||||||||||||
9,520,860 | Japanese Yen | 84,883 | Royal Bank of Canada | 06/03/16 | 4,655 | ||||||||||||||||||
4,523,505 | Japanese Yen | 40,123 | Societe Generale | 06/03/16 | 2,418 | ||||||||||||||||||
2,289,520 | Japanese Yen | 20,402 | Societe Generale | 06/03/16 | 1,129 | ||||||||||||||||||
3,054,662 | Japanese Yen | 28,545 | Societe Generale | 06/03/16 | 182 | ||||||||||||||||||
7,615,973 | Japanese Yen | 68,600 | Societe Generale | 06/03/16 | 3,024 | ||||||||||||||||||
5,506,985 | Japanese Yen | 50,922 | Societe Generale | 06/03/16 | 868 | ||||||||||||||||||
4,962,973 | Japanese Yen | 45,479 | Societe Generale | 06/03/16 | 1,195 | ||||||||||||||||||
1,886,519 | Japanese Yen | 16,993 | State Street Bank and Trust Company | 06/03/16 | 748 | ||||||||||||||||||
6,240,102 | Japanese Yen | 55,173 | State Street Bank and Trust Company | 06/03/16 | 3,511 | ||||||||||||||||||
1,219,624 | Japanese Yen | 10,744 | State Street Bank and Trust Company | 06/03/16 | 726 | ||||||||||||||||||
1,733,323 | Japanese Yen | 15,586 | State Street Bank and Trust Company | 06/03/16 | 714 | ||||||||||||||||||
1,327,770 | New Taiwan Dollar | 41,082 | Barclays Bank PLC | 05/12/16 | 19 | ||||||||||||||||||
20,672 | New Zealand Dollar | 14,229 | Goldman Sachs International | 06/03/16 | 181 | ||||||||||||||||||
65,634 | New Zealand Dollar | 44,985 | Goldman Sachs International | 06/03/16 | 767 | ||||||||||||||||||
23,523 | New Zealand Dollar | 16,331 | Royal Bank of Canada | 06/03/16 | 66 | ||||||||||||||||||
358,169 | New Zealand Dollar | 241,574 | Royal Bank of Canada | 06/03/16 | 8,098 | ||||||||||||||||||
99,732 | New Zealand Dollar | 66,424 | Societe Generale | 06/03/16 | 3,097 | ||||||||||||||||||
25,050 | New Zealand Dollar | 16,982 | Societe Generale | 06/03/16 | 480 | ||||||||||||||||||
60,529 | New Zealand Dollar | 41,312 | Societe Generale | 06/03/16 | 881 | ||||||||||||||||||
66,720 | New Zealand Dollar | 45,082 | Societe Generale | 06/03/16 | 1,428 | ||||||||||||||||||
46,517 | New Zealand Dollar | 31,873 | Societe Generale | 06/03/16 | 553 | ||||||||||||||||||
23,870 | New Zealand Dollar | 16,653 | Societe Generale | 06/03/16 | (14 | ) | |||||||||||||||||
80,542 | New Zealand Dollar | 53,335 | State Street Bank and Trust Company | 06/03/16 | 2,809 | ||||||||||||||||||
54,251 | New Zealand Dollar | 36,800 | State Street Bank and Trust Company | 06/03/16 | 1,017 | ||||||||||||||||||
55,847 | New Zealand Dollar | 38,312 | State Street Bank and Trust Company | 06/03/16 | 618 |
See Notes to Schedule of Investments
35
Schedule of Investments Global Allocation Fund (Unaudited) (cont'd)
Contracts to Receive | In Exchange For | Counterparty | Settlement Date | Net Unrealized Appreciation (Depreciation) | |||||||||||||||||||
80,448 | New Zealand Dollar | $ | 56,311 | State Street Bank and Trust Company | 06/03/16 | $ | (233 | ) | |||||||||||||||
125,846 | New Zealand Dollar | 84,517 | State Street Bank and Trust Company | 06/03/16 | 3,208 | ||||||||||||||||||
88,285 | New Zealand Dollar | 59,654 | State Street Bank and Trust Company | 06/03/16 | 1,888 | ||||||||||||||||||
14,893 | New Zealand Dollar | 9,886 | State Street Bank and Trust Company | 06/03/16 | 496 | ||||||||||||||||||
100,400 | Norwegian Krone | 11,994 | Royal Bank of Canada | 06/03/16 | 473 | ||||||||||||||||||
111,986 | Norwegian Krone | 13,403 | Royal Bank of Canada | 06/03/16 | 504 | ||||||||||||||||||
1,520,916 | Norwegian Krone | 177,394 | Societe Generale | 06/03/16 | 11,472 | ||||||||||||||||||
176,358 | Norwegian Krone | 20,531 | Societe Generale | 06/03/16 | 1,369 | ||||||||||||||||||
260,305 | Norwegian Krone | 31,263 | Societe Generale | 06/03/16 | 1,061 | ||||||||||||||||||
112,280 | Norwegian Krone | 13,781 | Societe Generale | 06/03/16 | 162 | ||||||||||||||||||
631,299 | Norwegian Krone | 73,956 | State Street Bank and Trust Company | 06/03/16 | 4,439 | ||||||||||||||||||
469,077 | Norwegian Krone | 56,299 | State Street Bank and Trust Company | 06/03/16 | 1,950 | ||||||||||||||||||
375,141 | Norwegian Krone | 45,277 | State Street Bank and Trust Company | 06/03/16 | 1,308 | ||||||||||||||||||
775,843 | Norwegian Krone | 94,315 | State Street Bank and Trust Company | 06/03/16 | 2,028 | ||||||||||||||||||
313,949 | Norwegian Krone | 38,115 | State Street Bank and Trust Company | 06/03/16 | 870 | ||||||||||||||||||
2,228,996 | Norwegian Krone | 260,318 | State Street Bank and Trust Company | 06/03/16 | 16,477 | ||||||||||||||||||
109,581 | Norwegian Krone | 12,967 | State Street Bank and Trust Company | 06/03/16 | 641 | ||||||||||||||||||
16,367 | Pound Sterling | 23,298 | Goldman Sachs International | 06/03/16 | 618 | ||||||||||||||||||
30,610 | Pound Sterling | 44,162 | Goldman Sachs International | 06/03/16 | 567 | ||||||||||||||||||
21,086 | Pound Sterling | 30,354 | Royal Bank of Canada | 06/03/16 | 458 | ||||||||||||||||||
22,655 | Pound Sterling | 32,081 | Societe Generale | 06/03/16 | 1,024 | ||||||||||||||||||
158,250 | Pound Sterling | 225,269 | Societe Generale | 06/03/16 | 5,974 | ||||||||||||||||||
8,854 | Pound Sterling | 12,674 | Societe Generale | 06/03/16 | 264 | ||||||||||||||||||
10,175 | Pound Sterling | 14,642 | Societe Generale | 06/03/16 | 226 | ||||||||||||||||||
8,643 | Pound Sterling | 12,301 | Societe Generale | 06/03/16 | 329 | ||||||||||||||||||
32,287 | Pound Sterling | 46,273 | Societe Generale | 06/03/16 | 907 | ||||||||||||||||||
15,665 | Pound Sterling | 22,089 | Societe Generale | 06/03/16 | 801 | ||||||||||||||||||
50,470 | Pound Sterling | 72,648 | State Street Bank and Trust Company | 06/03/16 | 1,101 | ||||||||||||||||||
16,160 | Pound Sterling | 23,052 | State Street Bank and Trust Company | 06/03/16 | 562 | ||||||||||||||||||
28,237 | Pound Sterling | 40,103 | State Street Bank and Trust Company | 06/03/16 | 1,159 | ||||||||||||||||||
18,502 | Pound Sterling | 26,044 | State Street Bank and Trust Company | 06/03/16 | 992 | ||||||||||||||||||
25,354 | Pound Sterling | 36,450 | State Street Bank and Trust Company | 06/03/16 | 598 | ||||||||||||||||||
2,240,491 | South African Rand | 151,036 | Barclays Bank PLC | 05/12/16 | 6,105 | ||||||||||||||||||
385,087 | Swedish Krona | 47,537 | Goldman Sachs International | 06/03/16 | 468 | ||||||||||||||||||
634,144 | Swedish Krona | 78,025 | Goldman Sachs International | 06/03/16 | 1,028 | ||||||||||||||||||
167,033 | Swedish Krona | 20,478 | Royal Bank of Canada | 06/03/16 | 345 | ||||||||||||||||||
106,019 | Swedish Krona | 13,022 | Royal Bank of Canada | 06/03/16 | 195 | ||||||||||||||||||
106,183 | Swedish Krona | 12,955 | Royal Bank of Canada | 06/03/16 | 281 | ||||||||||||||||||
1,340,689 | Swedish Krona | 158,769 | Royal Bank of Canada | 06/03/16 | 8,362 | ||||||||||||||||||
350,950 | Swedish Krona | 43,114 | Societe Generale | 06/03/16 | 636 | ||||||||||||||||||
401,411 | Swedish Krona | 49,724 | Societe Generale | 06/03/16 | 316 | ||||||||||||||||||
422,352 | Swedish Krona | 49,768 | Societe Generale | 06/03/16 | 2,883 | ||||||||||||||||||
1,412,554 | Swedish Krona | 166,590 | Societe Generale | 06/03/16 | 9,500 |
See Notes to Schedule of Investments
36
Schedule of Investments Global Allocation Fund (Unaudited) (cont'd)
Contracts to Receive | In Exchange For | Counterparty | Settlement Date | Net Unrealized Appreciation (Depreciation) | |||||||||||||||||||||||
382,315 | Swedish Krona | $ | 46,741 | State Street Bank and Trust Company | 06/03/16 | $ | 919 | ||||||||||||||||||||
277,781 | Swedish Krona | 34,233 | State Street Bank and Trust Company | 06/03/16 | 396 | ||||||||||||||||||||||
550,197 | Swedish Krona | 67,463 | State Street Bank and Trust Company | 06/03/16 | 1,124 | ||||||||||||||||||||||
1,078,239 | Swedish Krona | 132,860 | State Street Bank and Trust Company | 06/03/16 | 1,554 | ||||||||||||||||||||||
210,627 | Swedish Krona | 25,971 | State Street Bank and Trust Company | 06/03/16 | 285 | ||||||||||||||||||||||
14,781 | Swiss Franc | 15,192 | Goldman Sachs International | 06/03/16 | 236 | ||||||||||||||||||||||
12,905 | Swiss Franc | 13,348 | Royal Bank of Canada | 06/03/16 | 122 | ||||||||||||||||||||||
64,843 | Swiss Franc | 67,131 | Royal Bank of Canada | 06/03/16 | 550 | ||||||||||||||||||||||
11,909 | Swiss Franc | 12,001 | Societe Generale | 06/03/16 | 429 | ||||||||||||||||||||||
23,099 | Swiss Franc | 23,939 | Societe Generale | 06/03/16 | 171 | ||||||||||||||||||||||
169,612 | Swiss Franc | 176,265 | Societe Generale | 06/03/16 | 770 | ||||||||||||||||||||||
50,858 | Swiss Franc | 52,599 | State Street Bank and Trust Company | 06/03/16 | 485 | ||||||||||||||||||||||
21,180 | Swiss Franc | 21,426 | State Street Bank and Trust Company | 06/03/16 | 681 | ||||||||||||||||||||||
31,043 | Swiss Franc | 32,507 | State Street Bank and Trust Company | 06/03/16 | (106 | ) | |||||||||||||||||||||
39,123 | Swiss Franc | 40,627 | State Street Bank and Trust Company | 06/03/16 | 208 | ||||||||||||||||||||||
48,200 | Swiss Franc | 50,264 | State Street Bank and Trust Company | 06/03/16 | 45 | ||||||||||||||||||||||
225,822 | Swiss Franc | 226,314 | State Street Bank and Trust Company | 06/03/16 | 9,391 | ||||||||||||||||||||||
Total | $ | 250,308 | |||||||||||||||||||||||||
Contracts to Deliver | In Exchange For | Counterparty | Settlement Date | Net Unrealized Appreciation (Depreciation) | |||||||||||||||||||||||
33,584 | Australian Dollar | $ | 25,700 | Goldman Sachs International | 06/03/16 | $ | 197 | ||||||||||||||||||||
86,817 | Australian Dollar | 67,156 | Goldman Sachs International | 06/03/16 | 1,229 | ||||||||||||||||||||||
43,379 | Australian Dollar | 32,920 | Royal Bank of Canada | 06/03/16 | (21 | ) | |||||||||||||||||||||
22,456 | Australian Dollar | 17,201 | Royal Bank of Canada | 06/03/16 | 148 | ||||||||||||||||||||||
17,642 | Australian Dollar | 13,294 | Royal Bank of Canada | 06/03/16 | (103 | ) | |||||||||||||||||||||
92,823 | Australian Dollar | 68,488 | Societe Generale | 06/03/16 | (2,000 | ) | |||||||||||||||||||||
331,117 | Australian Dollar | 245,207 | Societe Generale | 06/03/16 | (6,237 | ) | |||||||||||||||||||||
113,019 | Australian Dollar | 84,704 | Societe Generale | 06/03/16 | (1,121 | ) | |||||||||||||||||||||
120,299 | Australian Dollar | 89,995 | Societe Generale | 06/03/16 | (1,357 | ) | |||||||||||||||||||||
33,503 | Australian Dollar | 26,085 | Societe Generale | 06/03/16 | 644 | ||||||||||||||||||||||
24,214 | Australian Dollar | 17,949 | State Street Bank and Trust Company | 06/03/16 | (438 | ) | |||||||||||||||||||||
48,857 | Australian Dollar | 36,824 | State Street Bank and Trust Company | 06/03/16 | (277 | ) | |||||||||||||||||||||
22,508 | Australian Dollar | 16,751 | State Street Bank and Trust Company | 06/03/16 | (341 | ) | |||||||||||||||||||||
65,390 | Australian Dollar | 49,596 | State Street Bank and Trust Company | 06/03/16 | (59 | ) | |||||||||||||||||||||
36,977 | Australian Dollar | 27,750 | State Street Bank and Trust Company | 06/03/16 | (329 | ) | |||||||||||||||||||||
48,384 | Australian Dollar | 36,752 | State Street Bank and Trust Company | 06/03/16 | 10 | ||||||||||||||||||||||
14,961 | Australian Dollar | 11,251 | State Street Bank and Trust Company | 06/03/16 | (110 | ) | |||||||||||||||||||||
85,494 | Australian Dollar | 64,294 | State Street Bank and Trust Company | 06/03/16 | (629 | ) | |||||||||||||||||||||
161,389 | Australian Dollar | 123,157 | State Street Bank and Trust Company | 06/03/16 | 601 | ||||||||||||||||||||||
111,399 | Canadian Dollar | 85,563 | Goldman Sachs International | 06/03/16 | (3,223 | ) | |||||||||||||||||||||
50,690 | Canadian Dollar | 40,115 | Goldman Sachs International | 06/03/16 | (286 | ) |
See Notes to Schedule of Investments
37
Schedule of Investments Global Allocation Fund (Unaudited) (cont'd)
Contracts to Deliver | In Exchange For | Counterparty | Settlement Date | Net Unrealized Appreciation (Depreciation) | |||||||||||||||||||
855,551 | Canadian Dollar | $ | 638,883 | Royal Bank of Canada | 06/03/16 | $ | (42,999 | ) | |||||||||||||||
18,618 | Canadian Dollar | 14,261 | Royal Bank of Canada | 06/03/16 | (577 | ) | |||||||||||||||||
44,304 | Canadian Dollar | 34,973 | Royal Bank of Canada | 06/03/16 | (338 | ) | |||||||||||||||||
35,169 | Canadian Dollar | 26,343 | Societe Generale | 06/03/16 | (1,687 | ) | |||||||||||||||||
38,470 | Canadian Dollar | 29,048 | Societe Generale | 06/03/16 | (1,613 | ) | |||||||||||||||||
59,267 | Canadian Dollar | 44,375 | Societe Generale | 06/03/16 | (2,862 | ) | |||||||||||||||||
85,197 | Canadian Dollar | 66,236 | Societe Generale | 06/03/16 | (1,667 | ) | |||||||||||||||||
207,450 | Canadian Dollar | 163,283 | Societe Generale | 06/03/16 | (2,056 | ) | |||||||||||||||||
75,017 | Canadian Dollar | 59,613 | Societe Generale | 06/03/16 | (177 | ) | |||||||||||||||||
45,871 | Canadian Dollar | 34,255 | State Street Bank and Trust Company | 06/03/16 | (2,305 | ) | |||||||||||||||||
103,355 | Canadian Dollar | 78,435 | State Street Bank and Trust Company | 06/03/16 | (3,940 | ) | |||||||||||||||||
111,399 | Canadian Dollar | 85,527 | State Street Bank and Trust Company | 06/03/16 | (3,259 | ) | |||||||||||||||||
33,107 | Canadian Dollar | 25,345 | State Street Bank and Trust Company | 06/03/16 | (1,041 | ) | |||||||||||||||||
107,901 | Canadian Dollar | 82,464 | State Street Bank and Trust Company | 06/03/16 | (3,534 | ) | |||||||||||||||||
171,326 | Canadian Dollar | 134,051 | State Street Bank and Trust Company | 06/03/16 | (2,498 | ) | |||||||||||||||||
3,181,410 | Czech Koruna | 133,918 | Barclays Bank PLC | 05/12/16 | (803 | ) | |||||||||||||||||
19,874 | Euro | 21,966 | Deutsche Bank AG | 06/03/16 | (811 | ) | |||||||||||||||||
17,038 | Euro | 19,215 | Goldman Sachs International | 06/03/16 | (311 | ) | |||||||||||||||||
48,028 | Euro | 54,202 | Royal Bank of Canada | 06/03/16 | (842 | ) | |||||||||||||||||
25,183 | Euro | 28,697 | Royal Bank of Canada | 06/03/16 | (165 | ) | |||||||||||||||||
7,536 | Euro | 8,319 | Societe Generale | 06/03/16 | (318 | ) | |||||||||||||||||
14,380 | Euro | 15,997 | Societe Generale | 06/03/16 | (483 | ) | |||||||||||||||||
91,177 | Euro | 103,832 | Societe Generale | 06/03/16 | (663 | ) | |||||||||||||||||
57,511 | Euro | 63,693 | State Street Bank and Trust Company | 06/03/16 | (2,218 | ) | |||||||||||||||||
75,488 | Euro | 83,613 | State Street Bank and Trust Company | 06/03/16 | (2,902 | ) | |||||||||||||||||
35,959 | Euro | 40,931 | State Street Bank and Trust Company | 06/03/16 | (280 | ) | |||||||||||||||||
46,247 | Euro | 52,670 | State Street Bank and Trust Company | 06/03/16 | (332 | ) | |||||||||||||||||
38,412 | Euro | 43,279 | State Street Bank and Trust Company | 06/03/16 | (744 | ) | |||||||||||||||||
6,637,289 | Hungarian Forint | 24,166 | Barclays Bank PLC | 05/12/16 | (193 | ) | |||||||||||||||||
5,210,116 | Japanese Yen | 46,523 | Goldman Sachs International | 06/03/16 | (2,475 | ) | |||||||||||||||||
4,014,859 | Japanese Yen | 36,410 | Royal Bank of Canada | 06/03/16 | (1,347 | ) | |||||||||||||||||
3,130,638 | Japanese Yen | 29,009 | Royal Bank of Canada | 06/03/16 | (433 | ) | |||||||||||||||||
12,279,436 | Japanese Yen | 113,492 | Royal Bank of Canada | 06/03/16 | (1,989 | ) | |||||||||||||||||
4,981,340 | Japanese Yen | 43,968 | Societe Generale | 06/03/16 | (2,878 | ) | |||||||||||||||||
31,833,150 | Japanese Yen | 282,795 | Societe Generale | 06/03/16 | (16,577 | ) | |||||||||||||||||
4,983,767 | Japanese Yen | 43,920 | Societe Generale | 06/03/16 | (2,949 | ) | |||||||||||||||||
3,224,232 | Japanese Yen | 28,984 | Societe Generale | 06/03/16 | (1,338 | ) | |||||||||||||||||
5,627,383 | Japanese Yen | 52,168 | Societe Generale | 06/03/16 | (754 | ) | |||||||||||||||||
1,597,540 | Japanese Yen | 14,228 | State Street Bank and Trust Company | 06/03/16 | (796 | ) | |||||||||||||||||
6,496,284 | Japanese Yen | 58,300 | State Street Bank and Trust Company | 06/03/16 | (2,793 | ) | |||||||||||||||||
4,005,029 | Japanese Yen | 36,358 | State Street Bank and Trust Company | 06/03/16 | (1,307 | ) | |||||||||||||||||
1,764,606 | Japanese Yen | 16,192 | State Street Bank and Trust Company | 06/03/16 | (404 | ) | |||||||||||||||||
3,477,698 | Japanese Yen | 32,108 | State Street Bank and Trust Company | 06/03/16 | (598 | ) |
See Notes to Schedule of Investments
38
Schedule of Investments Global Allocation Fund (Unaudited) (cont'd)
Contracts to Deliver | In Exchange For | Counterparty | Settlement Date | Net Unrealized Appreciation (Depreciation) | |||||||||||||||||||
320,505 | Mexican Peso | $ | 18,326 | Barclays Bank PLC | 05/12/16 | $ | (287 | ) | |||||||||||||||
166,866 | New Zealand Dollar | 112,184 | Deutsche Bank AG | 06/03/16 | (4,135 | ) | |||||||||||||||||
89,293 | New Zealand Dollar | 61,723 | Goldman Sachs International | 06/03/16 | (521 | ) | |||||||||||||||||
51,069 | New Zealand Dollar | 34,508 | Royal Bank of Canada | 06/03/16 | (1,091 | ) | |||||||||||||||||
25,343 | New Zealand Dollar | 17,130 | Royal Bank of Canada | 06/03/16 | (536 | ) | |||||||||||||||||
32,831 | New Zealand Dollar | 22,350 | Royal Bank of Canada | 06/03/16 | (536 | ) | |||||||||||||||||
38,283 | New Zealand Dollar | 26,560 | Royal Bank of Canada | 06/03/16 | (127 | ) | |||||||||||||||||
49,646 | New Zealand Dollar | 33,409 | Societe Generale | 06/03/16 | (1,198 | ) | |||||||||||||||||
473,752 | New Zealand Dollar | 318,371 | Societe Generale | 06/03/16 | (11,872 | ) | |||||||||||||||||
24,890 | New Zealand Dollar | 16,842 | Societe Generale | 06/03/16 | (508 | ) | |||||||||||||||||
38,027 | New Zealand Dollar | 26,140 | Societe Generale | 06/03/16 | (368 | ) | |||||||||||||||||
111,897 | New Zealand Dollar | 78,513 | Societe Generale | 06/03/16 | 512 | ||||||||||||||||||
56,316 | New Zealand Dollar | 37,821 | State Street Bank and Trust Company | 06/03/16 | (1,436 | ) | |||||||||||||||||
99,133 | New Zealand Dollar | 67,800 | State Street Bank and Trust Company | 06/03/16 | (1,303 | ) | |||||||||||||||||
18,174 | New Zealand Dollar | 12,294 | State Street Bank and Trust Company | 06/03/16 | (374 | ) | |||||||||||||||||
100,679 | New Zealand Dollar | 69,443 | State Street Bank and Trust Company | 06/03/16 | (738 | ) | |||||||||||||||||
98,815 | New Zealand Dollar | 68,372 | State Street Bank and Trust Company | 06/03/16 | (510 | ) | |||||||||||||||||
388,086 | Norwegian Krone | 45,422 | Deutsche Bank AG | 06/03/16 | (2,770 | ) | |||||||||||||||||
134,011 | Norwegian Krone | 16,242 | Goldman Sachs International | 06/03/16 | (400 | ) | |||||||||||||||||
171,418 | Norwegian Krone | 20,935 | Goldman Sachs International | 06/03/16 | (352 | ) | |||||||||||||||||
93,623 | Norwegian Krone | 11,305 | Royal Bank of Canada | 06/03/16 | (321 | ) | |||||||||||||||||
258,481 | Norwegian Krone | 31,674 | Royal Bank of Canada | 06/03/16 | (424 | ) | |||||||||||||||||
333,894 | Norwegian Krone | 39,988 | Societe Generale | 06/03/16 | (1,474 | ) | |||||||||||||||||
399,961 | Norwegian Krone | 48,056 | Societe Generale | 06/03/16 | (1,611 | ) | |||||||||||||||||
299,276 | Norwegian Krone | 36,749 | Societe Generale | 06/03/16 | (414 | ) | |||||||||||||||||
893,794 | Norwegian Krone | 110,226 | Societe Generale | 06/03/16 | (764 | ) | |||||||||||||||||
460,072 | Norwegian Krone | 54,671 | State Street Bank and Trust Company | 06/03/16 | (2,460 | ) | |||||||||||||||||
266,617 | Norwegian Krone | 31,464 | State Street Bank and Trust Company | 06/03/16 | (1,644 | ) | |||||||||||||||||
251,570 | Norwegian Krone | 30,987 | State Street Bank and Trust Company | 06/03/16 | (253 | ) | |||||||||||||||||
234,799 | Polish Zloty | 63,032 | Barclays Bank PLC | 05/12/16 | 1,529 | ||||||||||||||||||
45,386 | Pound Sterling | 64,656 | Deutsche Bank AG | 06/03/16 | (1,664 | ) | |||||||||||||||||
18,782 | Pound Sterling | 27,367 | Goldman Sachs International | 06/03/16 | (78 | ) | |||||||||||||||||
8,122 | Pound Sterling | 11,647 | Royal Bank of Canada | 06/03/16 | (221 | ) | |||||||||||||||||
9,460 | Pound Sterling | 13,796 | Royal Bank of Canada | 06/03/16 | (27 | ) | |||||||||||||||||
19,681 | Pound Sterling | 28,480 | Societe Generale | 06/03/16 | (279 | ) | |||||||||||||||||
40,576 | Pound Sterling | 57,533 | Societe Generale | 06/03/16 | (1,759 | ) | |||||||||||||||||
19,327 | Pound Sterling | 28,179 | Societe Generale | 06/03/16 | (63 | ) | |||||||||||||||||
54,942 | Pound Sterling | 80,110 | Societe Generale | 06/03/16 | (174 | ) | |||||||||||||||||
11,838 | Pound Sterling | 16,830 | State Street Bank and Trust Company | 06/03/16 | (468 | ) | |||||||||||||||||
11,141 | Pound Sterling | 15,813 | State Street Bank and Trust Company | 06/03/16 | (467 | ) | |||||||||||||||||
13,557 | Pound Sterling | 19,263 | State Street Bank and Trust Company | 06/03/16 | (548 | ) | |||||||||||||||||
21,920 | Pound Sterling | 31,113 | State Street Bank and Trust Company | 06/03/16 | (917 | ) | |||||||||||||||||
21,320 | Pound Sterling | 30,705 | State Street Bank and Trust Company | 06/03/16 | (449 | ) |
See Notes to Schedule of Investments
39
Schedule of Investments Global Allocation Fund (Unaudited) (cont'd)
Contracts to Deliver | In Exchange For | Counterparty | Settlement Date | Net Unrealized Appreciation (Depreciation) | |||||||||||||||||||||||
10,951 | Pound Sterling | $ | 15,788 | State Street Bank and Trust Company | 06/03/16 | $ | (214 | ) | |||||||||||||||||||
280,349 | Singapore Dollar | 207,221 | Barclays Bank PLC | 05/12/16 | (1,198 | ) | |||||||||||||||||||||
293,827,570 | South Korean Won | 254,948 | Barclays Bank PLC | 05/12/16 | (1,327 | ) | |||||||||||||||||||||
648,720 | Swedish Krona | 76,867 | Deutsche Bank AG | 06/03/16 | (4,002 | ) | |||||||||||||||||||||
268,947 | Swedish Krona | 33,058 | Goldman Sachs International | 06/03/16 | (469 | ) | |||||||||||||||||||||
84,989 | Swedish Krona | 10,496 | Royal Bank of Canada | 06/03/16 | (99 | ) | |||||||||||||||||||||
286,767 | Swedish Krona | 35,407 | Royal Bank of Canada | 06/03/16 | (342 | ) | |||||||||||||||||||||
405,710 | Swedish Krona | 50,398 | Royal Bank of Canada | 06/03/16 | (178 | ) | |||||||||||||||||||||
280,956 | Swedish Krona | 33,463 | Societe Generale | 06/03/16 | (1,561 | ) | |||||||||||||||||||||
447,117 | Swedish Krona | 54,537 | Societe Generale | 06/03/16 | (1,201 | ) | |||||||||||||||||||||
619,115 | Swedish Krona | 76,130 | Societe Generale | 06/03/16 | (1,050 | ) | |||||||||||||||||||||
209,892 | Swedish Krona | 26,034 | Societe Generale | 06/03/16 | (132 | ) | |||||||||||||||||||||
631,561 | Swedish Krona | 77,982 | Societe Generale | 06/03/16 | (749 | ) | |||||||||||||||||||||
603,163 | Swedish Krona | 74,946 | Societe Generale | 06/03/16 | (244 | ) | |||||||||||||||||||||
103,798 | Swedish Krona | 12,290 | State Street Bank and Trust Company | 06/03/16 | (649 | ) | |||||||||||||||||||||
255,343 | Swedish Krona | 30,708 | State Street Bank and Trust Company | 06/03/16 | (1,124 | ) | |||||||||||||||||||||
667,049 | Swedish Krona | 80,383 | State Street Bank and Trust Company | 06/03/16 | (2,772 | ) | |||||||||||||||||||||
191,528 | Swedish Krona | 23,182 | State Street Bank and Trust Company | 06/03/16 | (694 | ) | |||||||||||||||||||||
183,612 | Swedish Krona | 22,573 | State Street Bank and Trust Company | 06/03/16 | (316 | ) | |||||||||||||||||||||
235,801 | Swedish Krona | 29,263 | State Street Bank and Trust Company | 06/03/16 | (131 | ) | |||||||||||||||||||||
624,068 | Swedish Krona | 76,744 | State Street Bank and Trust Company | 06/03/16 | (1,053 | ) | |||||||||||||||||||||
5,162 | Swiss Franc | 5,230 | Deutsche Bank AG | 06/03/16 | (158 | ) | |||||||||||||||||||||
16,160 | Swiss Franc | 16,810 | Goldman Sachs International | 06/03/16 | (58 | ) | |||||||||||||||||||||
17,624 | Swiss Franc | 18,272 | Goldman Sachs International | 06/03/16 | (123 | ) | |||||||||||||||||||||
17,755 | Swiss Franc | 18,359 | Royal Bank of Canada | 06/03/16 | (173 | ) | |||||||||||||||||||||
33,292 | Swiss Franc | 34,703 | Royal Bank of Canada | 06/03/16 | (46 | ) | |||||||||||||||||||||
20,101 | Swiss Franc | 20,186 | Societe Generale | 06/03/16 | (794 | ) | |||||||||||||||||||||
741,998 | Swiss Franc | 750,862 | Societe Generale | 06/03/16 | (23,610 | ) | |||||||||||||||||||||
41,202 | Swiss Franc | 41,878 | Societe Generale | 06/03/16 | (1,128 | ) | |||||||||||||||||||||
11,897 | Swiss Franc | 12,399 | Societe Generale | 06/03/16 | (19 | ) | |||||||||||||||||||||
61,439 | Swiss Franc | 64,473 | Societe Generale | 06/03/16 | 345 | ||||||||||||||||||||||
17,875 | Swiss Franc | 18,803 | Societe Generale | 06/03/16 | 145 | ||||||||||||||||||||||
22,193 | Swiss Franc | 22,632 | State Street Bank and Trust Company | 06/03/16 | (532 | ) | |||||||||||||||||||||
13,970 | Swiss Franc | 14,212 | State Street Bank and Trust Company | 06/03/16 | (370 | ) | |||||||||||||||||||||
75,658 | Swiss Franc | 77,840 | State Street Bank and Trust Company | 06/03/16 | (1,129 | ) | |||||||||||||||||||||
11,810 | Swiss Franc | 12,350 | State Street Bank and Trust Company | 06/03/16 | 23 | ||||||||||||||||||||||
Total | $ | (222,590 | ) |
For the six months ended April 30, 2016, the Fund's investments in forward contracts had an average notional value of $15,423,281.
See Notes to Schedule of Investments
40
LONG POSITIONS BY INDUSTRY GLOBAL ALLOCATION FUND (UNAUDITED)
Industry | Investments at Value† (000's omitted) | Percentage of Net Assets | |||||||||
Mutual Fund* | $ | 7,622 | 36.8 | % | |||||||
Foreign Government Securities** | 1,640 | 7.9 | % | ||||||||
Exchange Traded Funds | 952 | 4.6 | % | ||||||||
Banks | 950 | 4.5 | % | ||||||||
U.S. Treasury Securities-Backed by the Full Faith and Credit of the U.S. Government | 728 | 3.5 | % | ||||||||
Pharmaceuticals | 504 | 2.4 | % | ||||||||
Food & Staples Retailing | 495 | 2.4 | % | ||||||||
Oil, Gas & Consumable Fuels | 481 | 2.3 | % | ||||||||
Insurance | 440 | 2.1 | % | ||||||||
Media | 398 | 1.9 | % | ||||||||
Software | 386 | 1.9 | % | ||||||||
Health Care Providers & Services | 384 | 1.8 | % | ||||||||
Electronic Equipment, Instruments & Components | 345 | 1.7 | % | ||||||||
Food Products | 338 | 1.6 | % | ||||||||
Health Care Equipment & Suppliers | 281 | 1.4 | % | ||||||||
Airlines | 280 | 1.3 | % | ||||||||
Electric Utilities | 261 | 1.3 | % | ||||||||
Metals & Mining | 251 | 1.2 | % | ||||||||
Technology Hardware, Storage & Peripherals | 243 | 1.2 | % | ||||||||
Capital Markets | 242 | 1.2 | % | ||||||||
Diversified Telecommunication Services | 228 | 1.1 | % | ||||||||
IT Services | 223 | 1.1 | % | ||||||||
Specialty Retail | 199 | 1.0 | % | ||||||||
Chemicals | 193 | 0.9 | % | ||||||||
Life Sciences Tools & Services | 183 | 0.9 | % | ||||||||
Diversified Financial Services | 181 | 0.9 | % | ||||||||
Semiconductors & Semiconductor Equipment | 178 | 0.9 | % | ||||||||
Machinery | 175 | 0.8 | % | ||||||||
Automobiles | 166 | 0.8 | % | ||||||||
Commercial Services & Supplies | 160 | 0.8 | % | ||||||||
Mortgage-Backed Securities | 156 | 0.8 | % | ||||||||
Construction & Engineering | 151 | 0.7 | % | ||||||||
Internet Software & Services | 150 | 0.7 | % | ||||||||
Communications Equipment | 147 | 0.7 | % | ||||||||
Trading Companies & Distributors | 142 | 0.7 | % | ||||||||
Road & Rail | 138 | 0.7 | % | ||||||||
Hotels, Restaurants & Leisure | 136 | 0.7 | % | ||||||||
Aerospace & Defense | 130 | 0.6 | % | ||||||||
Gas Utilities | 127 | 0.6 | % | ||||||||
Professional Services | 124 | 0.6 | % | ||||||||
Household Durables | 123 | 0.6 | % | ||||||||
Tobacco | 122 | 0.6 | % | ||||||||
Containers & Packaging | 121 | 0.6 | % | ||||||||
Wireless Telecommunication Services | 121 | 0.6 | % | ||||||||
Real Estate Investment Trusts | 98 | 0.5 | % | ||||||||
Distributors | 96 | 0.4 | % | ||||||||
Biotechnology | 91 | 0.4 | % | ||||||||
Industrial Conglomerates | 91 | 0.4 | % | ||||||||
Multi-Utilities | 88 | 0.4 | % | ||||||||
Paper & Forest Products | 82 | 0.4 | % | ||||||||
Multiline Retail | 81 | 0.4 | % | ||||||||
Auto Components | 74 | 0.4 | % | ||||||||
Household Products | 73 | 0.3 | % |
See Notes to Schedule of Investments
41
LONG POSITIONS BY INDUSTRY GLOBAL ALLOCATION FUND (UNAUDITED) (cont'd)
Industry | Investments at Value† (000's omitted) | Percentage of Net Assets | |||||||||
Textiles, Apparel & Luxury Goods | $ | 66 | 0.3 | % | |||||||
Diversified Consumer Services | 60 | 0.3 | % | ||||||||
Consumer Finance | 59 | 0.3 | % | ||||||||
Electrical Equipment | 58 | 0.3 | % | ||||||||
Leisure Products | 57 | 0.3 | % | ||||||||
Marine | 50 | 0.2 | % | ||||||||
Independent Power and Renewable Electricity Producers | 45 | 0.2 | % | ||||||||
Energy Equipment & Services | 36 | 0.2 | % | ||||||||
Personal Products | 34 | 0.2 | % | ||||||||
U.S. Government Agency Securities | 34 | 0.2 | % | ||||||||
Health Care Technology | 27 | 0.1 | % | ||||||||
Beverages | 26 | 0.1 | % | ||||||||
Air Freight & Logistics | 22 | 0.1 | % | ||||||||
Building Products | 22 | 0.1 | % | ||||||||
Internet & Catalog Retail | 19 | 0.1 | % | ||||||||
Transportation Infrastructure | 11 | 0.1 | % | ||||||||
Short-Term Investments and Other Assets—Net | 1,786 | 8.6 | % | ||||||||
Short Positions (see summary on the next page) | (3,456 | ) | (16.7 | )% | |||||||
$ | 20,725 | 100.0 | % |
* Each Mutual Fund is an Investment Company under the 1940 Act and is not treated as an industry for purposes of the Fund's policy on industry concentration. This represents the aggregate of all mutual funds.
** Each foreign government is deemed its own industry. This represents the aggregate of all foreign governments.
See Notes to Schedule of Investments
42
SHORT POSITIONS BY INDUSTRY GLOBAL ALLOCATION FUND (UNAUDITED)
Industry | Investments at Value† (000's omitted) | Percentage of Net Assets | |||||||||
Machinery | $ | (175 | ) | (0.8 | )% | ||||||
Chemicals | (151 | ) | (0.7 | )% | |||||||
Health Care Equipment & Suppliers | (147 | ) | (0.7 | )% | |||||||
Food Products | (136 | ) | (0.7 | )% | |||||||
IT Services | (115 | ) | (0.6 | )% | |||||||
Textiles, Apparel & Luxury Goods | (115 | ) | (0.6 | )% | |||||||
Multi-Utilities | (110 | ) | (0.5 | )% | |||||||
Capital Markets | (107 | ) | (0.5 | )% | |||||||
Aerospace & Defense | (104 | ) | (0.5 | )% | |||||||
Oil, Gas & Consumable Fuels | (104 | ) | (0.5 | )% | |||||||
Diversified Financial Services | (103 | ) | (0.5 | )% | |||||||
Beverages | (101 | ) | (0.5 | )% | |||||||
Electric Utilities | (101 | ) | (0.5 | )% | |||||||
Industrial Conglomerates | (100 | ) | (0.5 | )% | |||||||
Metals & Mining | (98 | ) | (0.5 | )% | |||||||
Media | (93 | ) | (0.4 | )% | |||||||
Insurance | (89 | ) | (0.4 | )% | |||||||
Specialty Retail | (85 | ) | (0.4 | )% | |||||||
Pharmaceuticals | (83 | ) | (0.4 | )% | |||||||
Commercial Services & Supplies | (77 | ) | (0.4 | )% | |||||||
Semiconductors & Semiconductor Equipment | (76 | ) | (0.4 | )% | |||||||
Household Products | (76 | ) | (0.4 | )% | |||||||
Containers & Packaging | (73 | ) | (0.4 | )% | |||||||
Water Utilities | (70 | ) | (0.3 | )% | |||||||
Software | (69 | ) | (0.3 | )% | |||||||
Hotels, Restaurants & Leisure | (68 | ) | (0.3 | )% | |||||||
Health Care Providers & Services | (59 | ) | (0.3 | )% | |||||||
Professional Services | (56 | ) | (0.3 | )% | |||||||
Banks | (55 | ) | (0.3 | )% | |||||||
Road & Rail | (55 | ) | (0.3 | )% | |||||||
Trading Companies & Distributors | (55 | ) | (0.3 | )% | |||||||
Gas Utilities | (54 | ) | (0.3 | )% | |||||||
Building Products | (53 | ) | (0.3 | )% | |||||||
Construction Materials | (43 | ) | (0.2 | )% | |||||||
Personal Products | (43 | ) | (0.2 | )% | |||||||
Electrical Equipment | (40 | ) | (0.1 | )% | |||||||
Household Durables | (36 | ) | (0.1 | )% | |||||||
Electronic Equipment, Instruments & Components | (35 | ) | (0.1 | )% | |||||||
Food & Staples Retailing | (35 | ) | (0.1 | )% | |||||||
Automobiles | (31 | ) | (0.1 | )% | |||||||
Auto Components | (21 | ) | (0.1 | )% | |||||||
Air Freight & Logistics | (19 | ) | (0.1 | )% | |||||||
Communications Equipment | (19 | ) | (0.1 | )% | |||||||
Life Sciences Tools & Services | (18 | ) | (0.1 | )% | |||||||
Technology Hardware, Storage & Peripherals | (17 | ) | (0.1 | )% | |||||||
Multiline Retail | (16 | ) | (0.1 | )% | |||||||
Tobacco | (16 | ) | (0.1 | )% | |||||||
Wireless Telecommunication Services | (16 | ) | (0.1 | )% | |||||||
Internet Software & Services | (15 | ) | (0.1 | )% | |||||||
Diversified Telecommunication Services | (14 | ) | (0.1 | )% | |||||||
Real Estate Investment Trusts | (9 | ) | (0.0 | )% | |||||||
Total Common Stocks Sold Short | $ | (3,456 | ) | (16.7 | )% |
See Notes to Schedule of Investments
43
Schedule of Investments Inflation Managed Fund (Unaudited) 4/30/16
Number of Shares | Value† (000's omitted) | ||||||||||
Common Stocks (32.9%) | |||||||||||
Chemicals (8.3%) | |||||||||||
Air Products & Chemicals, Inc. | 284 | $ | 41 | ||||||||
Airgas, Inc. | 94 | 13 | |||||||||
CF Industries Holdings, Inc. | 322 | 11 | |||||||||
Chase Corp. | 47 | 3 | |||||||||
Core Molding Technologies, Inc. | 108 | 1 | * | ||||||||
Dow Chemical Co. | 1,687 | 89 | |||||||||
E.I. du Pont de Nemours & Co. | 1,283 | 85 | |||||||||
Eastman Chemical Co. | 198 | 15 | |||||||||
Ecolab, Inc. | 380 | 44 | |||||||||
FMC Corp. | 147 | 6 | |||||||||
Hawkins, Inc. | 78 | 3 | |||||||||
International Flavors & Fragrances, Inc. | 105 | 13 | |||||||||
Koppers Holdings, Inc. | 81 | 2 | * | ||||||||
Kraton Performance Polymers, Inc. | 109 | 2 | * | ||||||||
LyondellBasell Industries NV Class A | 502 | 42 | |||||||||
Monsanto Co. | 640 | 60 | |||||||||
Mosaic Co. | 466 | 13 | |||||||||
OMNOVA Solutions, Inc. | 421 | 3 | * | ||||||||
PPG Industries, Inc. | 357 | 39 | |||||||||
Praxair, Inc. | 365 | 43 | |||||||||
Rayonier Advanced Materials, Inc. | 126 | 1 | |||||||||
Sherwin- Williams Co. | 114 | 33 | |||||||||
Trecora | 187 | 2* Resources | |||||||||
Trinseo SA | 33 | 1 | * | ||||||||
565 | |||||||||||
Construction Materials (0.5%) | |||||||||||
Martin Marietta Materials, Inc. | 86 | 14 | |||||||||
Vulcan Materials Co. | 193 | 21 | |||||||||
35 |
Number of Shares | Value† (000's omitted) | ||||||||||
Containers & Packaging (1.2%) | |||||||||||
AEP Industries, Inc. | 30 | $ | 2 | ||||||||
Avery Dennison Corp. | 142 | 10 | |||||||||
Ball Corp. | 198 | 14 | |||||||||
International Paper Co. | 534 | 23 | |||||||||
Myers Industries, Inc. | 113 | 2 | |||||||||
Owens-Illinois, Inc. | 252 | 5 | * | ||||||||
Sealed Air Corp. | 284 | 13 | |||||||||
WestRock Co. | 382 | 16 | |||||||||
85 | |||||||||||
Energy Equipment & Services (1.7%) | |||||||||||
Baker Hughes, Inc. | 234 | 11 | |||||||||
Bristow Group, Inc. | 44 | 1 | |||||||||
Diamond Offshore Drilling, Inc. | 66 | 1 | |||||||||
Ensco PLC Class A | 160 | 2 | |||||||||
Era Group, Inc. | 92 | 1 | * | ||||||||
FMC Technologies, Inc. | 96 | 3 | * | ||||||||
Halliburton Co. | 379 | 16 | |||||||||
Helmerich & Payne, Inc. | 37 | 2 | |||||||||
National Oilwell Varco, Inc. | 172 | 6 | |||||||||
Newpark Resources, Inc. | 351 | 2 | * | ||||||||
PHI, Inc. | 144 | 3 | * | ||||||||
Schlumberger Ltd. | 743 | 60 | |||||||||
SEACOR Holdings, Inc. | 65 | 4 | * | ||||||||
Tesco Corp. | 195 | 2 | |||||||||
TETRA Technologies, Inc. | 119 | 1 | * | ||||||||
115 | |||||||||||
Hotels, Restaurants & Leisure (0.1%) | |||||||||||
Starwood Hotels & Resorts Worldwide, Inc. | 79 | 6 |
Number of Shares | Value† (000's omitted) | ||||||||||
Independent Power and Renewable Electricity Producers (0.7%) | |||||||||||
NextEra Energy Partners LP | 1,675 | $ | 48 | ||||||||
Metals & Mining (1.2%) | |||||||||||
Alcoa, Inc. | 1,857 | 21 | |||||||||
Freeport- McMoRan, Inc. | 1,308 | 18 | |||||||||
Haynes International, Inc. | 49 | 2 | |||||||||
Newmont Mining Corp. | 722 | 25 | |||||||||
Nucor Corp. | 375 | 19 | |||||||||
85 | |||||||||||
Multi-Utilities (0.5%) | |||||||||||
Sempra Energy | 300 | 31 | |||||||||
Oil, Gas & Consumable Fuels (10.4%) | |||||||||||
Adams Resources & Energy, Inc. | 32 | 1 | |||||||||
Anadarko Petroleum Corp. | 231 | 12 | |||||||||
Apache Corp. | 185 | 10 | |||||||||
Cabot Oil & Gas Corp. | 197 | 5 | |||||||||
California Resources Corp. | 85 | 0 | z | ||||||||
Chevron Corp. | 971 | 99 | |||||||||
Cimarex Energy Co. | 52 | 6 | |||||||||
ConocoPhillips | 595 | 28 | |||||||||
CONSOL Energy, Inc. | 149 | 2 | |||||||||
Devon Energy Corp. | 228 | 8 | |||||||||
DHT Holdings, Inc. | 137 | 1 | |||||||||
EOG Resources, Inc. | 269 | 22 | |||||||||
EQT Corp. | 74 | 5 | |||||||||
Exxon Mobil Corp. | 2,352 | 208 | |||||||||
Hallador Energy Co. | 203 | 1 | |||||||||
Hess Corp. | 135 | 8 | |||||||||
Kinder Morgan, Inc. | 987 | 17 | |||||||||
Marathon Oil Corp. | 263 | 4 | |||||||||
Marathon Petroleum Corp. | 277 | 11 |
See Notes to Schedule of Investments
44
Schedule of Investments Inflation Managed Fund (Unaudited) (cont'd)
Number of Shares | Value† (000's omitted) | ||||||||||
Navios Maritime Acquisition Corp. | 486 | $ | 1 | ||||||||
Newfield Exploration Co. | 108 | 4 | * | ||||||||
Noble Energy, Inc. | 192 | 7 | |||||||||
Occidental Petroleum Corp. | 425 | 33 | |||||||||
ONEOK, Inc. | 2,071 | 75 | |||||||||
Phillips 66 | 255 | 21 | |||||||||
Pioneer Natural Resources Co. | 77 | 13 | |||||||||
Range Resources Corp. | 62 | 3 | |||||||||
Renewable Energy Group, Inc. | 144 | 1 | * | ||||||||
REX American Resources Corp. | 38 | 2 | * | ||||||||
Southwestern Energy Co. | 123 | 2 | * | ||||||||
Spectra Energy Corp. | 2,265 | 71 | |||||||||
Tesoro Corp. | 66 | 5 | |||||||||
Valero Energy Corp. | 268 | 16 | |||||||||
Williams Cos., Inc. | 362 | 7 | |||||||||
709 | |||||||||||
Paper & Forest Products (0.1%) | |||||||||||
Domtar Corp. | 93 | 4 | |||||||||
Real Estate Investment Trusts (8.1%) | |||||||||||
American Homes 4 Rent Class A | 360 | 6 | |||||||||
American Tower Corp. | 305 | 32 | |||||||||
AvalonBay Communities, Inc. | 155 | 27 | |||||||||
Boston Properties, Inc. | 182 | 24 | |||||||||
CoreSite Realty Corp. | 152 | 11 | |||||||||
Crown Castle International Corp. | 270 | 24 | |||||||||
DCT Industrial Trust, Inc. | 151 | 6 |
Number of Shares | Value† (000's omitted) | ||||||||||
Douglas Emmett, Inc. | 188 | $ | 6 | ||||||||
Duke Realty Corp. | 412 | 9 | |||||||||
DuPont Fabros Technology, Inc. | 178 | 7 | |||||||||
Equinix, Inc. | 66 | 22 | |||||||||
Equity Commonwealth | 244 | 7 | * | ||||||||
Equity Lifestyle Properties, Inc. | 119 | 8 | |||||||||
Equity Residential | 414 | 28 | |||||||||
Essex Property Trust, Inc. | 97 | 21 | |||||||||
Extra Space Storage, Inc. | 202 | 17 | |||||||||
Federal Realty Investment Trust | 102 | 16 | |||||||||
General Growth Properties, Inc. | 503 | 14 | |||||||||
Healthcare Trust of America, Inc. Class A | 341 | 10 | |||||||||
Host Hotels & Resorts, Inc. | 695 | 11 | |||||||||
Kilroy Realty Corp. | 147 | 10 | |||||||||
Kimco Realty Corp. | 643 | 18 | |||||||||
Kite Realty Group Trust | 196 | 5 | |||||||||
National Retail Properties, Inc. | 216 | 9 | |||||||||
OMEGA Healthcare Investors, Inc. | 248 | 8 | |||||||||
Prologis, Inc. | 219 | 10 | |||||||||
Public Storage | 139 | 34 | |||||||||
Realty Income Corp. | 159 | 9 | |||||||||
Regency Centers Corp. | 174 | 13 | |||||||||
Simon Property Group, Inc. | 229 | 46 | |||||||||
SL Green Realty Corp. | 51 | 5 | |||||||||
Taubman Centers, Inc. | 98 | 7 | |||||||||
Ventas, Inc. | 268 | 17 |
Number of Shares | Value† (000's omitted) | ||||||||||
Vornado Realty Trust | 184 | $ | 18 | ||||||||
Welltower, Inc. | 214 | 15 | |||||||||
Weyerhaeuser Co. | 674 | 22 | |||||||||
552 | |||||||||||
Real Estate Management & Development (0.1%) | |||||||||||
Brookfield Asset Management, Inc. Class A | 271 | 9 | |||||||||
Total Common Stocks (Cost $2,236) | 2,244 | ||||||||||
Principal Amounta (000's omitted) | |||||||||||
Foreign Government Securities (14.1%) | |||||||||||
Sovereign (14.1%) | |||||||||||
Australia Government Bond, Senior Unsecured Notes, 2.00%, due 8/21/35 | AUD | 70 | 65 | r | |||||||
Australia Government Bond, Senior Unsecured Notes, 1.25%, due 8/21/40 | AUD | 25 | 20 | r | |||||||
Canadian Government Bond, Bonds, 1.50%, due 12/1/44 | CAD | 44 | 44 | ||||||||
Canadian Government Bond, Bonds, 1.25%, due 12/1/47 | CAD | 21 | 20 | ||||||||
France Government Bond OAT, Unsecured Notes, 0.70%, due 7/25/30 | EUR | 0 | 0 | ñrz |
See Notes to Schedule of Investments
45
Schedule of Investments Inflation Managed Fund (Unaudited) (cont'd)
Principal Amounta (000's omitted) | Value† (000's omitted) | ||||||||||
Italy Buoni Poliennali Del Tesoro, Bonds, 2.55%, due 9/15/41 | EUR | 64 | $ | 93 | r | ||||||
Mexican Bonos, Senior Unsecured Notes, Ser. M, 7.75%, due 11/13/42 | MXN | 555 | 37 | ||||||||
New Zealand Government Bond, Senior Unsecured Notes, 2.00%, due 9/20/25 | NZD | 84 | 62 | r | |||||||
New Zealand Government Bond, Senior Unsecured Notes, 2.50%, due 9/20/35 | NZD | 115 | 86 | r | |||||||
South Africa Government Bond, Bonds, 6.50%, due 2/28/41 | ZAR | 500 | 25 | ||||||||
Spain Government Inflation Linked Bond, Senior Unsecured Notes, 1.00%, due 11/30/30 | EUR | 10 | 11 | ñr | |||||||
United Kingdom Gilt Inflation Linked Bonds, Bonds, 0.13%, due 3/22/24 | GBP | 70 | 111 | r | |||||||
United Kingdom Gilt Inflation Linked Bonds, Senior Unsecured Notes, 0.13%, due 3/22/29 | GBP | 126 | 207 | r |
Principal Amounta (000's omitted) | Value† (000's omitted) | ||||||||||
United Kingdom Gilt Inflation Linked Bonds, Bonds, 0.13%, due 3/22/44 | GBP | 54 | $ | 100 | r | ||||||
United Kingdom Gilt Inflation Linked Bonds, Bonds, 0.25%, due 3/22/52 | GBP | 38 | 80 | r | |||||||
Total Government Securities (Cost $976) | 961 | ||||||||||
U.S. Treasury Securities-Backed by the Full Faith and Credit of the U.S. Government (13.2%) | |||||||||||
U.S. Treasury Inflation- Indexed Bonds, 0.13%, due 4/15/18 | $ | 10 | 10 | ||||||||
U.S. Treasury Inflation- Indexed Bonds, 0.13%, due 1/15/22 | 31 | 32 | |||||||||
U.S. Treasury Inflation- Indexed Bonds, 0.13%, due 7/15/22 | 10 | 10 | |||||||||
U.S. Treasury Inflation- Indexed Bonds, 0.13%, due 1/15/23 | 46 | 47 | |||||||||
U.S. Treasury Inflation- Indexed Bonds, 0.63%, due 1/15/24 | 97 | 101 | |||||||||
U.S. Treasury Inflation- Indexed Bonds, 0.13%, due 7/15/24 | 120 | 121 |
Principal Amounta (000's omitted) | Value† (000's omitted) | ||||||||||
U.S. Treasury | $ | 25 | $ | 30 | |||||||
Inflation- Indexed Bonds, 2.38%, due 1/15/25 | |||||||||||
U.S. Treasury Inflation- Indexed Bonds, 2.38%, due 1/15/27 | 59 | 72 | |||||||||
U.S. Treasury Inflation- Indexed Bonds, 1.75%, due 1/15/28 | 11 | 13 | |||||||||
U.S. Treasury Inflation- Indexed Bonds, 2.50%, due 1/15/29 | 77 | 97 | |||||||||
U.S. Treasury Inflation- Indexed Bonds, 3.88%, due 4/15/29 | 58 | 83 | |||||||||
U.S. Treasury Inflation- Indexed Bonds, 3.38%, due 4/15/32 | 27 | 39 | |||||||||
U.S. Treasury Inflation- Indexed Bonds, 2.13%, due 2/15/40 | 121 | 154 | |||||||||
U.S. Treasury Inflation- Indexed Bonds, 0.75%, due 2/15/45 | 96 | 93 | |||||||||
Total U.S. Treasury Securities-Backed by the Full Faith and Credit of the U.S. Government (Cost $875) | 902 |
See Notes to Schedule of Investments
46
Schedule of Investments Inflation Managed Fund (Unaudited) (cont'd)
Number of Shares | Value† (000's omitted) | ||||||||||
Master Limited Partnerships (9.4%) | |||||||||||
Gas Utilities (0.2%) | |||||||||||
Suburban Propane Partners LP | 550 | $ | 17 | ||||||||
Hotels, Restaurants & Leisure (0.9%) | |||||||||||
Cedar Fair LP | 1,100 | 64 | |||||||||
Oil, Gas & Consumable Fuels (8.3%) | |||||||||||
Alliance Holdings GP LP | 2,000 | 35 | |||||||||
Antero Midstream Partners LP | 1,450 | 37 | |||||||||
Energy Transfer Equity LP | 7,400 | 92 | |||||||||
Energy Transfer Partners LP | 2,550 | 90 | |||||||||
Enterprise Products Partners LP | 3,000 | 80 | |||||||||
EQT GP Holdings LP | 1,100 | 29 | |||||||||
EQT Midstream Partners LP | 700 | 56 | |||||||||
NuStar GP Holdings LLC | 1,700 | 43 | |||||||||
Teekay LNG Partners LP | 2,500 | 34 | |||||||||
Western Gas Partners LP | 1,400 | 69 | |||||||||
565 | |||||||||||
Total Master Limited Partnerships (Cost $874) | 646 | ||||||||||
Mutual Funds (27.0%) | |||||||||||
Neuberger Berman Emerging Markets Equity Fund Institutional Class | 24,472 | 359 | §§ | ||||||||
Neuberger Berman Floating Rate Income Fund Institutional Class | 8,232 | 80 | §§ | ||||||||
Neuberger Berman High Income Bond Fund Institutional Class | 89,733 | 754 | §§ |
Number of Shares | Value† (000's omitted) | ||||||||||
Neuberger Berman Risk Balanced Commodity Strategy Fund Institutional Class | 106,817 | $ | 648 | §§ | |||||||
Total Mutual Funds (Cost $2,112) | 1,841 | ||||||||||
Short-Term Investments (3.9%) | |||||||||||
State Street Institutional Liquid Reserves Fund Premier Class, 0.46% (Cost $269) | 269,205 | 269 | dØØ | ||||||||
Total Investments (100.5%) (Cost $7,342) | 6,863 | ## | |||||||||
Liabilities, less cash, receivables and other assets [(0.5%)] | (34 | )k | |||||||||
Total Net Assets (100.0%) | $ | 6,829 |
See Notes to Schedule of Investments
47
Schedule of Investments Inflation Managed Fund (Unaudited) (cont'd)
Derivative Instruments
Futures Contracts ("futures")
At April 30, 2016, open positions in futures were as follows:
Expiration | Open Contracts | Position | Unrealized Appreciation (Depreciation) | ||||||||||||
June 2016 | 1 Euro-OAT | Short | $ | (355 | ) | ||||||||||
June 2016 | 2 Euro-SCHATZ | Short | (106 | ) | |||||||||||
June 2016 | 2 NZD Currency | Short | (5,168 | ) | |||||||||||
June 2016 | 1 U.S. Treasury Bond, Long | Short | 2,084 | ||||||||||||
June 2016 | 1 ZAR Currency | Short | (2,888 | ) | |||||||||||
June 2016 | 1 U.S. Treasury Bond, Ultra Long | Short | (184 | ) | |||||||||||
June 2016 | 1 CAD Currency | Long | 4,682 | ||||||||||||
June 2016 | 2 EUR Currency | Long | 7,283 | ||||||||||||
June 2016 | 1 MXN Currency | Long | 372 | ||||||||||||
June 2017 | 1 Canadian Bankers' Acceptance, 90 Day | Long | (752 | ) | |||||||||||
Total | $ | 4,968 |
For the six months ended April 30, 2016, the average notional value of futures for the Fund was $2,067,119 for long positions and $(1,077,800) for short positions.
At April 30, 2016, the notional value of futures for the Fund was $592,449 for long positions and $(943,699) for short positions. The Fund had deposited $26,214 in segregated accounts to cover margin requirements on open futures.
See Notes to Schedule of Investments
48
Schedule of Investments Long Short Fund (Unaudited) 4/30/16
Number of Shares | Value† (000's omitted) | ||||||||||
Long Positions (97.5%) | |||||||||||
Common Stocks (71.5%) | |||||||||||
Airlines (1.0%) | |||||||||||
Delta Air Lines, Inc. | 671,266 | $ | 27,972 | g | |||||||
Banks (2.8%) | |||||||||||
JPMorgan Chase & Co. | 634,136 | 40,077 | ØØ | ||||||||
U.S. Bancorp | 828,400 | 35,365 | ØØ | ||||||||
75,442 | |||||||||||
Beverages (0.5%) | |||||||||||
PepsiCo, Inc. | 135,700 | 13,972 | |||||||||
Biotechnology (0.8%) | |||||||||||
Celgene Corp. | 213,700 | 22,099 | *ØØ | ||||||||
Capital Markets (0.9%) | |||||||||||
BlackRock, Inc. | 71,000 | 25,299 | g | ||||||||
Chemicals (1.4%) | |||||||||||
Ashland, Inc. | 342,150 | 38,184 | g | ||||||||
Commercial Services & Supplies (0.4%) | |||||||||||
Stericycle, Inc. | 102,000 | 9,806 | * | ||||||||
Construction & Engineering (1.3%) | |||||||||||
Valmont Industries, Inc. | 250,800 | 35,207 | |||||||||
Consumer Finance (1.4%) | |||||||||||
Synchrony Financial | 1,197,751 | 36,615 | *ØØ | ||||||||
Diversified Financial Services (3.3%) | |||||||||||
Bats Global Markets, Inc. | 243,600 | 5,776 | * | ||||||||
CME Group, Inc. | 310,000 | 28,492 | ØØ | ||||||||
Markit Ltd. | 1,610,219 | 56,180 | *g | ||||||||
90,448 | |||||||||||
Diversified Telecommunication Services (1.8%) | |||||||||||
Level 3 Communications, Inc. | 357,300 | 18,673 | *ØØ | ||||||||
SBA Communications Corp. Class A | 285,600 | 29,428 | *ØØ | ||||||||
48,101 | |||||||||||
Electric Utilities (2.6%) | |||||||||||
Brookfield Infrastructure Partners LP | 1,342,994 | 56,647 | |||||||||
Eversource Energy | 71,900 | 4,058 | |||||||||
Westar Energy, Inc. | 173,800 | 8,970 | |||||||||
69,675 |
Number of Shares | Value† (000's omitted) | ||||||||||
Electrical Equipment (0.5%) | |||||||||||
Sensata Technologies Holding NV | 375,774 | $ | 14,155 | * | |||||||
Electronic Equipment, Instruments & Components (2.8%) | |||||||||||
Amphenol Corp. Class A | 312,200 | 17,430 | ØØ | ||||||||
CDW Corp. | 888,400 | 34,204 | ØØ | ||||||||
Zebra Technologies Corp. Class A | 402,239 | 25,164 | *ØØ | ||||||||
76,798 | |||||||||||
Energy Equipment & Services (0.4%) | |||||||||||
Schlumberger Ltd. | 134,900 | 10,838 | |||||||||
Food & Staples Retailing (3.9%) | |||||||||||
Costco Wholesale Corp. | 115,100 | 17,049 | ØØ | ||||||||
CVS Health Corp. | 499,600 | 50,210 | g | ||||||||
Whole Foods Market, Inc. | 1,270,700 | 36,952 | ØØ | ||||||||
104,211 | |||||||||||
Food Products (2.0%) | |||||||||||
ConAgra Foods, Inc. | 1,234,000 | 54,987 | g | ||||||||
Health Care Equipment & Suppliers (1.0%) | |||||||||||
DENTSPLY SIRONA, Inc. | 453,369 | 27,021 | ØØ | ||||||||
Health Care Providers & Services (4.3%) | |||||||||||
Accretive Health | 1,278,675 | 3,031 | * | ||||||||
American Renal Associates Holding, Inc. | 44,000 | 1,237 | * | ||||||||
DaVita HealthCare Partners, Inc. | 1,163,804 | 86,005 | *g | ||||||||
UnitedHealth Group, Inc. | 189,400 | 24,940 | ØØ | ||||||||
115,213 | |||||||||||
Hotels, Restaurants & Leisure (3.7%) | |||||||||||
Darden Restaurants, Inc. | 322,600 | 20,082 | ØØ | ||||||||
McDonald's Corp. | 290,000 | 36,682 | ØØ | ||||||||
Starwood Hotels & Resorts Worldwide, Inc. | 322,000 | 26,365 | ØØ | ||||||||
Wyndham Worldwide Corp. | 238,500 | 16,922 | |||||||||
100,051 | |||||||||||
Household Durables (1.1%) | |||||||||||
Lennar Corp. Class A | 682,000 | 30,901 | ØØ |
Number of Shares | Value† (000's omitted) | ||||||||||
Internet & Catalog Retail (1.2%) | |||||||||||
Amazon.com, Inc. | 23,600 | $ | 15,566 | * | |||||||
Priceline Group, Inc. | 12,500 | 16,796 | * | ||||||||
32,362 | |||||||||||
Internet Software & Services (2.8%) | |||||||||||
Alphabet, Inc. Class A | 57,500 | 40,703 | *ØØ | ||||||||
Alphabet, Inc. Class C | 5,853 | 4,056 | * | ||||||||
eBay, Inc. | 1,271,200 | 31,056 | *ØØ | ||||||||
75,815 | |||||||||||
IT Services (2.4%) | |||||||||||
Visa, Inc. Class A | 505,200 | 39,022 | g | ||||||||
WEX, Inc. | 275,936 | 26,073 | *ØØ | ||||||||
65,095 | |||||||||||
Life Sciences Tools & Services (1.7%) | |||||||||||
Mettler-Toledo International, Inc. | 56,900 | 20,368 | *ØØ | ||||||||
Thermo Fisher Scientific, Inc. | 180,300 | 26,008 | ØØ | ||||||||
46,376 | |||||||||||
Machinery (1.6%) | |||||||||||
Allison Transmission Holdings, Inc. | 511,600 | 14,739 | |||||||||
Ingersoll-Rand PLC | 431,000 | 28,248 | |||||||||
42,987 | |||||||||||
Media (0.2%) | |||||||||||
Cablevision Systems Corp. Class A | 118,642 | 3,961 | |||||||||
Multi-Utilities (1.4%) | |||||||||||
NiSource, Inc. | 398,400 | 9,048 | |||||||||
WEC Energy Group, Inc. | 513,600 | 29,896 | g | ||||||||
38,944 | |||||||||||
Oil, Gas & Consumable Fuels (2.7%) | |||||||||||
Anadarko Petroleum Corp. | 136,200 | 7,186 | |||||||||
Devon Energy Corp. | 178,400 | 6,187 | |||||||||
Enbridge, Inc. | 1,116,400 | 46,375 | ØØ | ||||||||
Kinder Morgan, Inc. | 722,100 | 12,824 | |||||||||
72,572 | |||||||||||
Pharmaceuticals (1.2%) | |||||||||||
Bristol-Myers Squibb Co. | 432,400 | 31,211 | g |
See Notes to Schedule of Investments
49
Schedule of Investments Long Short Fund (Unaudited) (cont'd)
Number of Shares | Value† (000's omitted) | ||||||||||
Professional Services (2.3%) | |||||||||||
Nielsen Holdings PLC | 675,000 | $ | 35,195 | ØØ | |||||||
Verisk Analytics, Inc. | 335,000 | 25,989 | *g | ||||||||
61,184 | |||||||||||
Real Estate Investment Trusts (1.2%) | |||||||||||
Outfront Media, Inc. | 56,501 | 1,225 | |||||||||
Starwood Property Trust, Inc. | 723,200 | 14,001 | |||||||||
Weyerhaeuser Co. | 534,800 | 17,178 | |||||||||
32,404 | |||||||||||
Real Estate Management & Development (1.6%) | |||||||||||
Brookfield Asset Management, Inc. Class A | 1,294,000 | 43,763 | ØØ | ||||||||
Road & Rail (0.3%) | |||||||||||
Canadian Pacific Railway Ltd. | 54,800 | 7,905 | |||||||||
Semiconductors & Semiconductor Equipment (0.6%) | |||||||||||
ASML Holding NV | 176,000 | 17,002 | ØØ | ||||||||
Specialty Retail (5.6%) | |||||||||||
Asbury Automotive Group, Inc. | 248,900 | 15,088 | * | ||||||||
Five Below, Inc. | 546,462 | 22,788 | *g | ||||||||
Home Depot, Inc. | 434,400 | 58,162 | g | ||||||||
Party City Holdco, Inc. | 833,900 | 11,950 | * | ||||||||
TJX Cos., Inc. | 53,000 | 4,018 | |||||||||
Tractor Supply Co. | 427,000 | 40,420 | ØØ | ||||||||
152,426 | |||||||||||
Technology Hardware, Storage & Peripherals (1.8%) | |||||||||||
Apple, Inc. | 359,000 | 33,653 | ØØ | ||||||||
SanDisk Corp. | 133,400 | 10,022 | |||||||||
Western Digital Corp. | 102,500 | 4,189 | |||||||||
47,864 | |||||||||||
Textiles, Apparel & Luxury Goods (2.2%) | |||||||||||
lululemon athletica, Inc. | 168,500 | 11,045 | * | ||||||||
PVH Corp. | 510,700 | 48,823 | g | ||||||||
59,868 | |||||||||||
Tobacco (0.5%) | |||||||||||
Philip Morris International, Inc. | 149,131 | 14,633 |
Number of Shares | Value† (000's omitted) | ||||||||||
Transportation Infrastructure (1.5%) | |||||||||||
Wesco Aircraft Holdings, Inc. | 2,789,229 | $ | 40,249 | * | |||||||
Water Utilities (0.8%) | |||||||||||
American Water Works Co., Inc. | 289,700 | 21,079 | ØØ | ||||||||
Total Common Stocks (Cost $1,699,108) | 1,934,695 | ||||||||||
Principal Amount (000's omitted) | |||||||||||
Corporate Debt Securities (8.1%) | |||||||||||
Commercial Services & Supplies (0.4%) | |||||||||||
Prime Security Services Borrower LLC/Prime Finance, Inc., Secured Notes, 9.25%, due 5/15/23 | $ | 9,510 | 9,510 | ñ | |||||||
Food (1.0%) | |||||||||||
Fresh Market, Inc., Senior Secured Notes, 9.75%, due 5/1/23 | 28,400 | 27,974 | ñ | ||||||||
Healthcare-Services (0.6%) | |||||||||||
DaVita HealthCare Partners, Inc., Guaranteed Notes, 5.75%, due 8/15/22 | 4,535 | 4,751 | |||||||||
HCA, Inc., Senior Secured Notes, 5.88%, due 3/15/22 | 10,285 | 11,236 | |||||||||
15,987 | |||||||||||
Leisure Time (0.4%) | |||||||||||
Sabre GLBL, Inc., Senior Secured Notes, 5.25%, due 11/15/23 | 11,015 | 11,153 | ñ | ||||||||
Media (0.3%) | |||||||||||
Cablevision Systems Corp., Senior Unsecured Notes, 5.88%, due 9/15/22 | 10,082 | 8,771 |
Principal Amount (000's omitted) | Value† (000's omitted) | ||||||||||
Oil & Gas (1.1%) | |||||||||||
Anadarko Petroleum Corp., Senior Unsecured Notes, 5.95%, due 9/15/16 | $ | 275 | $ | 280 | |||||||
Diamondback Energy, Inc., Guaranteed Notes, 7.63%, due 10/1/21 | 2,875 | 3,065 | |||||||||
Southwestern Energy Co., Senior Unsecured Notes, 4.05%, due 1/23/20 | 3,455 | 3,110 | |||||||||
Southwestern Energy Co., Senior Unsecured Notes, 7.50%, due 2/1/18 | 21,963 | 21,579 | |||||||||
28,034 | |||||||||||
Packaging & Containers (0.2%) | |||||||||||
Ball Corp., Guaranteed Notes, 4.38%, due 12/15/20 | 5,685,000 | 5,912 | |||||||||
Pipelines (2.4%) | |||||||||||
Genesis Energy LP/Genesis Energy Finance Corp., Guaranteed Notes, 6.75%, due 8/1/22 | 12,155 | 11,669 | |||||||||
Kinder Morgan Energy Partners LP, Guaranteed Notes, 5.95%, due 2/15/18 | 10,320 | 10,841 | |||||||||
NGPL PipeCo LLC, Senior Secured Notes, Ser. B, 7.12%, due 12/15/17 | 24,550 | 25,348 | ñ | ||||||||
Niska Gas Storage Canada ULC/Niska Gas Storage Canada Finance Corp., Guaranteed Notes, 6.50%, due 4/1/19 | 15,211 | 12,891 |
See Notes to Schedule of Investments
50
Schedule of Investments Long Short Fund (Unaudited) (cont'd)
Principal Amount (000's omitted) | Value† (000's omitted) | ||||||||||
Western Gas Partners LP, Senior Unsecured Notes, 3.95%, due 6/1/25 | $ | 1,965 | $ | 1,766 | |||||||
Western Gas Partners LP, Senior Unsecured Notes, 4.00%, due 7/1/22 | 1,513 | 1,451 | |||||||||
63,966 | |||||||||||
Retail (0.8%) | |||||||||||
JC Penney Corp, Inc., Guaranteed Notes, 7.95%, due 4/1/17 | 5,480 | 5,658 | |||||||||
JC Penney Corp., Inc., Guaranteed Notes, 5.65%, due 6/1/20 | 3,542 | 3,338 | |||||||||
JC Penney Corp., Inc., Guaranteed Notes, 5.75%, due 2/15/18 | 743 | 754 | |||||||||
JC Penney Corp., Inc., Guaranteed Notes, 8.13%, due 10/1/19 | 6,885 | 7,092 | |||||||||
Rite Aid Corp., Guaranteed Notes, 9.25%, due 3/15/20 | 4,320 | 4,580 | |||||||||
21,422 | |||||||||||
Semiconductors (0.2%) | |||||||||||
Freescale Semiconductor, Inc., Senior Secured Notes, 6.00%, due 1/15/22 | 5,810 | 6,159 | ñ | ||||||||
Software (0.7%) | |||||||||||
First Data Corp., Senior Secured Notes, 6.75%, due 11/1/20 | 13,230 | 13,891 | ñ | ||||||||
First Data Corp., Secured Notes, 5.75%, due 1/15/24 | 5,330 | 5,410 | ñ | ||||||||
19,301 | |||||||||||
Total Corporate Debt Securities (Cost $214,264) | 218,189 |
Contracts | Value† (000's omitted) | ||||||||||
Purchased Options (0.2%) | |||||||||||
JC Penney Co., Inc. Call May 2016 @10 | 2,817 | $ | 93 | ||||||||
JC Penney Co., Inc. Call May 2016 @11 | 3,000 | 36 | |||||||||
Markit Ltd. Call May 2016 @40 | 650 | 0 | f | ||||||||
S&P 500 Index Put December 2016 @1950 | 67 | 516 | |||||||||
S&P 500 Index Put September 2016 @1900 | 130 | 527 | |||||||||
S&P 500 Index Put September 2016 @1910 | 130 | 543 | |||||||||
SPDR S&P Retail ETF Put January 2017 @55 | 4,050 | 4,293 | |||||||||
Westar Energy, Inc. Call June 2016 @55 | 3,000 | 210 | |||||||||
Total Purchased Options (Cost $7,510) | 6,218 | ||||||||||
Number of Shares | |||||||||||
Master Limited Partnerships (0.8%) | |||||||||||
Capital Markets (0.4%) | |||||||||||
KKR & Co. LP | 885,842 | 12,047 | |||||||||
Oil, Gas & Consumable Fuels (0.4%) | |||||||||||
Enbridge Energy Partners LP | 477,628 | 10,336 | |||||||||
Total Master Limited Partnerships (Cost $29,118) | 22,383 | ||||||||||
Short-Term Investments (16.9%) | |||||||||||
State Street Institutional Liquid Reserves Fund Premier Class, 0.46% (Cost $455,277) | 455,277,308 | 455,277 | dØØ | ||||||||
Total Long Positions (97.5%) (Cost $2,405,277) | 2,636,762 | ## |
Number of Shares | Value† (000's omitted) | ||||||||||
Cash, receivables and other assets, less liabilities (17.8%) | $ | 482,019 | k | ||||||||
Short Positions (see summary below) ((15.3)%) | (414,260 | ) | |||||||||
Total Net Assets (100.0%) | $ | 2,704,521 | |||||||||
Short Positions ((15.3)%)‡g | |||||||||||
Common Stocks Sold Short (10.2%) | |||||||||||
Aerospace & Defense (0.4%) | |||||||||||
Hexcel Corp. | (75,000 | ) | (3,396 | ) | |||||||
Spirit AeroSystems Holdings, Inc. Class A | (75,000 | ) | (3,536 | )* | |||||||
Triumph Group, Inc. | (90,000 | ) | (3,256 | ) | |||||||
(10,188 | ) | ||||||||||
Auto Components (0.2%) | |||||||||||
Dorman Products, Inc. | (93,100 | ) | (5,008 | )* | |||||||
Banks (0.3%) | |||||||||||
Cullen/Frost Bankers, Inc. | (148,100 | ) | (9,477 | ) | |||||||
Capital Markets (1.1%) | |||||||||||
Franklin Resources, Inc. | (378,100 | ) | (14,118 | ) | |||||||
Prospect Capital Corp. | (1,205,280 | ) | (9,016 | ) | |||||||
Waddell & Reed Financial, Inc. Class A | (366,174 | ) | (7,448 | ) | |||||||
(30,582 | ) | ||||||||||
Construction & Engineering (0.4%) | |||||||||||
Fluor Corp. | (178,400 | ) | (9,751 | ) | |||||||
Consumer Finance (0.3%) | |||||||||||
Capital One Financial Corp. | (56,400 | ) | (4,083 | ) | |||||||
OneMain Holdings, Inc. | (132,400 | ) | (4,213 | )* | |||||||
(8,296 | ) | ||||||||||
Electric Utilities (0.4%) | |||||||||||
Southern Co. | (190,000 | ) | (9,519 | ) | |||||||
Electrical Equipment (0.2%) | |||||||||||
Rockwell Automation, Inc. | (55,000 | ) | (6,241 | ) | |||||||
Energy Equipment & Services (0.7%) | |||||||||||
Core Laboratories NV | (134,600 | ) | (17,991 | ) |
See Notes to Schedule of Investments
51
Schedule of Investments Long Short Fund (Unaudited) (cont'd)
Number of Shares | Value† (000's omitted) | ||||||||||
Health Care Equipment & Suppliers (0.5%) | |||||||||||
Intuitive Surgical, Inc. | (4,500 | ) | $ | (2,818 | )* | ||||||
Medtronic PLC | (141,210 | ) | (11,177 | ) | |||||||
(13,995 | ) | ||||||||||
Hotels, Restaurants & Leisure (0.4%) | |||||||||||
BJ's Restaurants, Inc. | (59,000 | ) | (2,631 | )* | |||||||
Chuy's Holdings, Inc. | (300,000 | ) | (9,162 | )* | |||||||
(11,793 | ) | ||||||||||
IT Services (0.5%) | |||||||||||
CGI Group, Inc. Class A | (279,262 | ) | (12,760 | )* | |||||||
Machinery (0.1%) | |||||||||||
Schindler Holding AG | (16,000 | ) | (2,940 | ) | |||||||
Multi-Utilities (0.5%) | |||||||||||
Consolidated Edison, Inc. | (179,600 | ) | (13,398 | ) | |||||||
Multiline Retail (1.1%) | |||||||||||
Dollar General Corp. | (130,200 | ) | (10,664 | ) | |||||||
Nordstrom, Inc. | (396,200 | ) | (20,258 | ) | |||||||
(30,922 | ) | ||||||||||
Oil, Gas & Consumable Fuels (0.4%) | |||||||||||
Diamondback Energy, Inc. | (116,800 | ) | (10,113 | )* | |||||||
Specialty Retail (1.3%) | |||||||||||
Gap, Inc. | (509,400 | ) | (11,808 | ) | |||||||
Group 1 Automotive, Inc. | (65,000 | ) | (4,280 | ) | |||||||
Sally Beauty Holdings, Inc. | (389,600 | ) | (12,233 | )* | |||||||
Sonic Automotive, Inc. Class A | (423,000 | ) | (7,935 | ) | |||||||
(36,256 | ) | ||||||||||
Technology Hardware, Storage & Peripherals (0.1%) | |||||||||||
Seagate Technology PLC | (180,000 | ) | (3,919 | ) | |||||||
Textiles, Apparel & Luxury Goods (1.3%) | |||||||||||
Ralph Lauren Corp. | (158,000 | ) | (14,727 | ) | |||||||
Under Armour, Inc. Class A | (101,000 | ) | (4,438 | )* | |||||||
Under Armour, Inc. Class C | (101,000 | ) | (4,121 | )* | |||||||
VF Corp. | (169,000 | ) | (10,655 | ) | |||||||
(33,941 | ) | ||||||||||
Total Common Stocks Sold Short (Proceeds $(264,153)) | (277,090 | ) |
Number of Shares | Value† (000's omitted) | ||||||||||
Exchange Traded Funds Sold Short (4.7%) | |||||||||||
Consumer Discretionary Select Sector SPDR Fund | (373,000 | ) | $ | (29,523 | ) | ||||||
iShares Core S&P Small-Cap ETF | (77,000 | ) | (8,772 | ) | |||||||
iShares Russell 2000 ETF | (57,800 | ) | (6,494 | ) | |||||||
iShares Russell Mid-Cap ETF | (220,000 | ) | (36,208 | ) | |||||||
Utilities Select Sector SPDR Fund | (534,100 | ) | (25,861 | ) | |||||||
Vanguard REIT ETF | (250,000 | ) | (20,458 | ) | |||||||
Total Exchange Traded Funds Sold Short (Proceeds $(109,099)) | (127,316 | ) | |||||||||
Master Limited Partnerships Sold Short (0.4%) | |||||||||||
Oil, Gas & Consumable Fuels (0.4%) | |||||||||||
Dominion Midstream Partners LP | (204,384 | ) | (6,855 | ) | |||||||
Phillips 66 Partners LP | (52,399 | ) | (2,999 | ) | |||||||
Total Master Limited Partnerships Sold Short (Cost $(9,675)) | (9,854 | ) | |||||||||
Total Short Positions (Proceeds $(382,927)) | (414,260 | ) |
See Notes to Schedule of Investments
52
Schedule of Investments Long Short Fund (Unaudited) (cont'd)
Derivative Instruments
Total Return Basket Swap Contracts ("total return basket swaps")
At April 30, 2016, the Fund had outstanding total return basket swaps* as follows:
Counterparty | Description | Expiration Date(s) | Value | ||||||||||||
Goldman Sachs International | 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. | 4/3/2017- 8/14/2017 | $ | (7,327,448 | ) |
* The following table represents the individual short positions and related values of the total return basket swaps as of April 30, 2016.
Reference Entity | Shares | Notional Value(a) | Net Unrealized Appreciation (Depreciation) | ||||||||||||
Short Positions | |||||||||||||||
GSCBNBCD | |||||||||||||||
Restaurant Brands International Inc. | (35,032 | ) | $ | (3,422,236 | ) | $ | (526,594 | ) | |||||||
Jack in the Box Inc. | (19,433 | ) | (1,898,398 | ) | (292,114 | ) | |||||||||
Sonic Corp. | (17,871 | ) | (1,745,747 | ) | (268,625 | ) | |||||||||
(72,336 | ) | (7,066,381 | ) | (1,087,333 | ) | ||||||||||
GSCBNBCB | |||||||||||||||
Canadian Western Bank | (14,340 | ) | (1,002,963 | ) | (368,974 | ) | |||||||||
Boardwalk Real Estate Investment Trust | (14,257 | ) | (997,175 | ) | (366,845 | ) | |||||||||
National Bank of Canada | (13,582 | ) | (949,970 | ) | (349,479 | ) | |||||||||
Bank of Nova Scotia | (13,567 | ) | (948,871 | ) | (349,074 | ) | |||||||||
CIBC | (13,157 | ) | (920,221 | ) | (338,535 | ) | |||||||||
(68,903 | ) | (4,819,200 | ) | (1,772,907 | ) | ||||||||||
GSCBNBCB | |||||||||||||||
Canadian Western Bank | (5,916 | ) | (397,687 | ) | (168,287 | ) | |||||||||
Boardwalk Real Estate Investment Trust | (5,881 | ) | (395,392 | ) | (167,316 | ) | |||||||||
National Bank of Canada | (5,603 | ) | (376,674 | ) | (159,396 | ) | |||||||||
Bank of Nova Scotia | (5,597 | ) | (376,239 | ) | (159,211 | ) | |||||||||
CIBC | (5,428 | ) | (364,879 | ) | (154,404 | ) | |||||||||
(28,425 | ) | (1,910,871 | ) | (808,614 | ) | ||||||||||
GSCBNBCB | |||||||||||||||
Canadian Western Bank | (5,065 | ) | (388,375 | ) | (96,162 | ) | |||||||||
Boardwalk Real Estate Investment Trust | (5,035 | ) | (386,134 | ) | (95,607 | ) | |||||||||
National Bank of Canada | (4,797 | ) | (367,855 | ) | (91,081 | ) | |||||||||
Bank of Nova Scotia | (4,791 | ) | (367,430 | ) | (90,976 | ) | |||||||||
CIBC | (4,647 | ) | (356,335 | ) | (88,229 | ) | |||||||||
(24,335 | ) | (1,866,129 | ) | (462,055 | ) |
See Notes to Schedule of Investments
53
Schedule of Investments Long Short Fund (Unaudited) (cont'd)
Reference Entity | Shares | Notional Value(a) | Net Unrealized Appreciation (Depreciation) | ||||||||||||
GSCBNIN2 | |||||||||||||||
Prospect Capital Corp. | (6,717 | ) | $ | (599,925 | ) | $ | (77,348 | ) | |||||||
Triangle Capital Corp. | (5,283 | ) | (471,828 | ) | (60,832 | ) | |||||||||
Apollo Investment Corp. | (4,588 | ) | (409,753 | ) | (52,829 | ) | |||||||||
New Mountain Finance Corp. | (3,984 | ) | (355,879 | ) | (45,883 | ) | |||||||||
PennantPark Investment Corp. | (2,182 | ) | (194,879 | ) | (25,126 | ) | |||||||||
Medley Capital Corp. | (1,946 | ) | (173,808 | ) | (22,409 | ) | |||||||||
THL Credit Inc. | (1,762 | ) | (157,405 | ) | (20,294 | ) | |||||||||
Fifth Street Finance Corp. | (1,523 | ) | (135,995 | ) | (17,534 | ) | |||||||||
(27,985 | ) | (2,499,472 | ) | (322,255 | ) | ||||||||||
GSCBNIND | |||||||||||||||
Kansas City Southern. | (13,898 | ) | (1,366,399 | ) | (389,058 | ) | |||||||||
GSCBNINV | |||||||||||||||
FS Investment Corp. | (15,122 | ) | (1,498,054 | ) | 3,504 | ||||||||||
Prospect Capital Corp. | (11,957 | ) | (1,184,481 | ) | 2,770 | ||||||||||
Triangle Capital Corp. | (9,404 | ) | (931,575 | ) | 2,179 | ||||||||||
Apollo Investment Corp. | (8,167 | ) | (809,010 | ) | 1,892 | ||||||||||
New Mountain Finance Corp. | (7,093 | ) | (702,641 | ) | 1,643 | ||||||||||
Fifth Street Finance Corp. | (5,397 | ) | (534,629 | ) | 1,251 | ||||||||||
PennantPark Investment Corp. | (3,884 | ) | (384,767 | ) | 900 | ||||||||||
THL Credit Inc. | (3,640 | ) | (360,561 | ) | 843 | ||||||||||
Medley Capital Corp. | (3,464 | ) | (343,166 | ) | 803 | ||||||||||
Ares Capital Corp. | (2,372 | ) | (234,966 | ) | 550 | ||||||||||
(70,500 | ) | (6,983,850 | ) | 16,335 | |||||||||||
GSCBNINV | |||||||||||||||
FS Investment Corp. | (12,151 | ) | (1,189,042 | ) | (11,792 | ) | |||||||||
Prospect Capital Corp. | (9,607 | ) | (940,151 | ) | (9,324 | ) | |||||||||
Triangle Capital Corp. | (7,556 | ) | (739,414 | ) | (7,333 | ) | |||||||||
Apollo Investment Corp. | (6,562 | ) | (642,131 | ) | (6,368 | ) | |||||||||
New Mountain Finance Corp. | (5,699 | ) | (557,703 | ) | (5,531 | ) | |||||||||
Fifth Street Finance Corp. | (4,336 | ) | (424,348 | ) | (4,208 | ) | |||||||||
PennantPark Investment Corp. | (3,121 | ) | (305,399 | ) | (3,029 | ) | |||||||||
THL Credit Inc. | (2,924 | ) | (286,186 | ) | (2,838 | ) | |||||||||
Medley Capital Corp. | (2,783 | ) | (272,379 | ) | (2,701 | ) | |||||||||
Ares Capital Corp. | (1,906 | ) | (186,498 | ) | (1,850 | ) | |||||||||
(56,645 | ) | (5,543,251 | ) | (54,974 | ) |
See Notes to Schedule of Investments
54
Schedule of Investments Long Short Fund (Unaudited) (cont'd)
Reference Entity | Shares | Notional Value(a) | Net Unrealized Appreciation (Depreciation) | ||||||||||||
GSCBNML2 | |||||||||||||||
ONEOK Inc. | (2,380 | ) | $ | (219,499 | ) | $ | (65,230 | ) | |||||||
Summit Midstream Partners LP | (2,111 | ) | (194,658 | ) | (57,847 | ) | |||||||||
Enable Midstream Partners LP | (1,972 | ) | (181,828 | ) | (54,035 | ) | |||||||||
NuStar GP Holdings LLC | (1,806 | ) | (166,529 | ) | (49,488 | ) | |||||||||
TC PipeLines LP | (1,601 | ) | (147,678 | ) | (43,886 | ) | |||||||||
Tesoro Logistics LP | (1,391 | ) | (128,270 | ) | (38,118 | ) | |||||||||
MPLX LP | (1,366 | ) | (125,948 | ) | (37,428 | ) | |||||||||
(12,627 | ) | (1,164,410 | ) | (346,032 | ) | ||||||||||
GSCBNML2 | |||||||||||||||
ONEOK Inc. | (3,298 | ) | (265,244 | ) | (129,367 | ) | |||||||||
Summit Midstream Partners LP | (2,926 | ) | (235,226 | ) | (114,726 | ) | |||||||||
Enable Midstream Partners LP | (2,733 | ) | (219,723 | ) | (107,164 | ) | |||||||||
NuStar GP Holdings LLC | (2,503 | ) | (201,235 | ) | (98,147 | ) | |||||||||
TC PipeLines LP | (2,219 | ) | (178,455 | ) | (87,037 | ) | |||||||||
Tesoro Logistics LP | (1,928 | ) | (155,002 | ) | (75,598 | ) | |||||||||
MPLX LP | (1,893 | ) | (152,196 | ) | (74,230 | ) | |||||||||
(17,500 | ) | (1,407,081 | ) | (686,269 | ) | ||||||||||
GSCBNML2 | |||||||||||||||
ONEOK Inc. | (5,881 | ) | (509,367 | ) | (194,164 | ) | |||||||||
Summit Midstream Partners LP | (5,216 | ) | (451,724 | ) | (172,191 | ) | |||||||||
Enable Midstream Partners LP | (4,872 | ) | (421,951 | ) | (160,842 | ) | |||||||||
NuStar GP Holdings LLC | (4,462 | ) | (386,448 | ) | (147,309 | ) | |||||||||
TC PipeLines LP | (3,957 | ) | (342,701 | ) | (130,633 | ) | |||||||||
Tesoro Logistics LP | (3,437 | ) | (297,663 | ) | (113,465 | ) | |||||||||
MPLX LP | (3,375 | ) | (292,275 | ) | (111,411 | ) | |||||||||
(31,200 | ) | (2,702,129 | ) | (1,030,015 | ) | ||||||||||
GSCBNUTL | |||||||||||||||
8Point3 Energy Partners LP | (10,492 | ) | (999,279 | ) | (143,345 | ) | |||||||||
Pattern Energy Group Inc. | (8,040 | ) | (765,809 | ) | (109,854 | ) | |||||||||
Abengoa Yield PLC | (7,914 | ) | (753,814 | ) | (108,133 | ) | |||||||||
(26,446 | ) | (2,518,902 | ) | (361,332 | ) | ||||||||||
Total Short Positions of Total Return Basket Swaps | $ | (7,304,509 | ) | ||||||||||||
Net Cash and Other Receivables (Payables) | (22,939 | ) | |||||||||||||
Total Return Basket Swaps, at Value — Goldman Sachs International | $(7,327,448) |
(a) Notional value represents the value (including any fees or commissions) of the short positions when they were established.
See Notes to Schedule of Investments
55
Schedule of Investments Long Short Fund (Unaudited) (cont'd)
At April 30, 2016, there were no total return swap contracts outstanding for Long Short Fund.
For the six months ended April 30, 2016, the average notional value of total return swaps and total return basket swaps for the Fund was $52,806,180.
At April 30, 2016, the Fund deposited cash collateral of $7,840,000 in a segregated account for Goldman Sachs International.
Futures Contracts ("Futures")
At April 30, 2016, open positions in futures were as follows:
Expiration | Open Contracts | Position | Unrealized Appreciation (Depreciation) | ||||||||||||
June 2016 | 600 Russell 2000 Mini Index | Short | $ | (4,039,506 | ) | ||||||||||
June 2016 | 3,123 S&P 500 E-Mini Index | Short | (8,282,093 | ) | |||||||||||
June 2016 | 160 S&P MidCap 400 E-Mini Index | Short | (1,152,573 | ) | |||||||||||
Total | $ | (13,474,172 | ) |
For the six months ended April 30, 2016, the average notional value of futures was $(397,988,045) for short positions.
At April 30, 2016, the notional value of futures was $(412,517,265) for short positions. The Fund had deposited $20,096,450 in segregated accounts to cover margin requirements on open futures.
Written Option Contracts ("options written")
At April 30, 2016, the Fund had outstanding options written as follows:
Name of Issuer | Contracts | Exercise Price | Expiration Date | Market Value of Optionsµ | |||||||||||||||
Allison Transmission Holdings, Inc., Put | 3,653 | 22.5 | November 2016 | $ | (237,445 | ) | |||||||||||||
BlackRock, Inc., Call | 71 | 370 | October 2016 | (95,850 | ) | ||||||||||||||
BlackRock, Inc., Put | 92 | 300 | October 2016 | (79,120 | ) | ||||||||||||||
Delta Air Lines, Inc., Call | 819 | 50 | September 2016 | (64,701 | ) | ||||||||||||||
Delta Air Lines, Inc., Put | 819 | 40 | September 2016 | (238,329 | ) | ||||||||||||||
Five Below, Inc., Call | 800 | 43 | May 2016 | (48,800 | ) | ||||||||||||||
Five Below, Inc., Put | 800 | 36 | May 2016 | (16,000 | ) | ||||||||||||||
Fresh Market, Inc., Put | 1,200 | 17.5 | June 2016 | (288,000 | )f | ||||||||||||||
Ingersoll-Rand PLC, Call | 461 | 62.5 | June 2016 | (184,400 | ) | ||||||||||||||
JC Penney Co., Inc., Call | 3,000 | 14 | May 2016 | (36,000 | ) | ||||||||||||||
JC Penney Co., Inc., Put | 2,817 | 9 | May 2016 | (140,850 | ) | ||||||||||||||
JC Penney Co., Inc., Put | 3,000 | 10 | May 2016 | (324,000 | ) | ||||||||||||||
Lululemon athletica, Inc., Put | 500 | 55 | June 2016 | (37,000 | ) | ||||||||||||||
Markit Ltd., Put | 650 | 30 | May 2016 | (52,000 | ) | ||||||||||||||
Party City Holdco, Inc., Put | 1,000 | 12.5 | July 2016 | (70,000 | ) | ||||||||||||||
PVH Corp., Put | 350 | 90 | May 2016 | (32,710 | ) | ||||||||||||||
S&P 500 Index, Call | 130 | 2,100 | September 2016 | (637,000 | ) | ||||||||||||||
S&P 500 Index, Call | 130 | 2,125 | September 2016 | (503,750 | ) |
See Notes to Schedule of Investments
56
Schedule of Investments Long Short Fund (Unaudited) (cont'd)
Name of Issuer | Contracts | Exercise Price | Expiration Date | Market Value of Options | |||||||||||||||
S&P 500 Index, Call | 67 | 2,175 | December 2016 | $ | (264,650 | ) | |||||||||||||
S&P 500 Index, Put | 67 | 1,750 | December 2016 | (275,236 | ) | ||||||||||||||
Schlumberger Ltd., Put | 465 | 67.5 | January 2017 | (148,800 | ) | ||||||||||||||
SPDR S&P Retail ETF, Call | 4,050 | 55 | January 2017 | (89,100 | ) | ||||||||||||||
Starwood Property Trust, Inc., Put | 928 | 17.5 | September 2016 | (41,760 | ) | ||||||||||||||
The Fresh Market, Inc. (Flex), Call | 186 | 27.5 | June 2016 | (25,945 | ) | ||||||||||||||
Valmont Industries, Inc., Call | 274 | 125 | June 2016 | (484,980 | ) | ||||||||||||||
Visa, Inc., Call | 883 | 80 | May 2016 | (40,618 | ) | ||||||||||||||
Wesco Aircraft Holdings, Inc., Put | 2,667 | 12.5 | August 2016 | (133,350 | ) | ||||||||||||||
Wesco Aircraft Holdings, Inc., Put | 2,836 | 12.5 | December 2016 | (129,630 | )i | ||||||||||||||
Westar Energy, Inc., Put | 3,000 | 50 | May 2016 | (615,000 | ) | ||||||||||||||
Weyerhaeuser Co., Call | 2,671 | 34 | October 2016 | (240,390 | ) | ||||||||||||||
Whole Foods Market, Inc., Put | 2,000 | 28 | May 2016 | (176,000 | ) | ||||||||||||||
Whole Foods Market, Inc., Put | 1,000 | 26 | June 2016 | (51,000 | ) | ||||||||||||||
Total | $ | (5,802,414 | ) |
At April 30, 2016, the Fund had deposited $35,706,931 in a segregated account to cover requirements on options written.
Written option transactions for the Fund for the six months ended April 30, 2016 were:
Long Short | Number of Contracts | Premium Received | |||||||||
Outstanding 10/31/2015 | 9,404 | $ | 7,434,936 | ||||||||
Options written | 91,399 | 9,237,543 | |||||||||
Options expired | (36,843 | ) | (1,435,658 | ) | |||||||
Options exercised | (12,581 | ) | (5,553,270 | ) | |||||||
Options closed | (9,993 | ) | (4,259,666 | ) | |||||||
Outstanding 4/30/2016 | 41,386 | $ | 5,423,885 |
For the six months ended April 30, 2016, the Fund had an average market value of purchased options and written options of $1,216,218 and $(2,775,774), respectively.
See Notes to Schedule of Investments
57
Schedule of Investments Long Short Credit Fund (Unaudited) 4/30/16
Number of Shares | Value† (000's omitted) | ||||||||||
Long Positions (83.4%) | |||||||||||
Common Stocks (0.1%) | |||||||||||
Real Estate Investment Trusts (0.1%) | |||||||||||
Annaly Capital Management, Inc. (Cost $53) | 5,000 | $ | 52 | ||||||||
Preferred Stocks (0.7%) | |||||||||||
Banks (0.7%) | |||||||||||
GMAC Capital Trust I, Ser. 2, 8.13% (Cost $254) | 10,000 | 251 | µ | ||||||||
Principal Amounta (000's omitted) | |||||||||||
Corporate Debt Securities (42.5%) | |||||||||||
Banks (1.4%) | |||||||||||
JPMorgan Chase & Co., Junior Subordinated Notes, Ser. 1, 7.90%, due 12/29/49 | $ | 500 | 503 | µ | |||||||
Building Materials (4.5%) | |||||||||||
Cemex SAB de CV, Senior Secured Note, 9.50%, due 6/15/18 | 1,500 | 1,586 | ñ | ||||||||
Commercial Services (0.0%) | |||||||||||
United Rentals North America, Inc., Senior Unsecured Note, 5.88%, due 9/15/26 | 10 | 10 | |||||||||
Diversified Financial Services (0.8%) | |||||||||||
Nationstar Mortgage LLC/ Nationstar Capital Corp., Guaranteed Notes, 9.63%, due 5/1/19 | 250 | 261 | |||||||||
Iron—Steel (0.4%) | |||||||||||
BlueScope Steel Finance Ltd./ BlueScope Steel Finance USA LLC, Guaranteed Notes, 7.13%, due 5/1/18 | 125 | 128 | ñ |
Principal Amounta (000's omitted) | Value† (000's omitted) | ||||||||||
Media (7.6%) | |||||||||||
Altice Financing SA, Senior Secured Notes, 7.50%, due 5/15/26 | $ | 500 | $ | 501 | ñØ | ||||||
Altice US Finance I Corp., Senior Secured Notes, 5.50%, due 5/15/26 | 200 | 202 | ñ | ||||||||
Cablevision Systems Corp., Senior Unsecured Notes, 8.63%, due 9/15/17 | 800 | 848 | ØØ | ||||||||
CCO Holdings LLC/CCO Holdings Capital Corp., Guaranteed Notes, 5.88%, due 4/1/24 | 200 | 210 | ñ | ||||||||
Neptune Finco Corp., Senior Unsecured Notes, 10.88%, due 10/15/25 | 200 | 222 | ñ | ||||||||
Numericable- SFR SA, Senior Secured Notes, 4.88%, due 5/15/19 | 200 | 207 | ñ | ||||||||
Numericable- SFR SA, Senior Secured Notes, 7.38%, due 5/1/26 | 200 | 203 | ñ | ||||||||
WideOpenWest Finance LLC/ WideOpenWest Capital Corp., Guaranteed Notes, 13.38%, due 10/15/19 | 150 | 150 | |||||||||
WideOpenWest Finance LLC/ WideOpenWest Capital Corp., Guaranteed Notes, 10.25%, due 7/15/19 | 100 | 100 | |||||||||
2,643 | |||||||||||
Mining (1.4%) | |||||||||||
First Quantum Minerals Ltd., Guaranteed Notes, 7.25%, due 10/15/19 | 200 | 170 | ñ |
Principal Amounta (000's omitted) | Value† (000's omitted) | ||||||||||
HudBay Minerals, Inc., Guaranteed Notes, 9.50%, due 10/1/20 | $ | 200 | $ | 171 | |||||||
Teck Resources Ltd., Guaranteed Notes, 6.25%, due 7/15/41 | 200 | 148 | |||||||||
489 | |||||||||||
Oil & Gas (6.9%) | |||||||||||
Chesapeake Energy Corp., Guaranteed Notes, 6.50%, due 8/15/17 | 200 | 171 | |||||||||
Citgo Holding, Inc., Senior Secured Notes, 10.75%, due 2/15/20 | 500 | 489 | ñ | ||||||||
Drill Rigs Holdings, Inc., Senior Secured Notes, 6.50%, due 10/1/17 | 200 | 125 | ñ | ||||||||
Harvest Operations Corp., Guaranteed Notes, 6.88%, due 10/1/17 | 250 | 213 | |||||||||
PBF Holding Co. LLC/PBF Finance Corp., Senior Secured Notes, 8.25%, due 2/15/20 | 415 | 433 | |||||||||
Seadrill Ltd., Senior Unsecured Notes, 6.13%, due 9/15/17 | 500 | 239 | ñ** | ||||||||
YPF SA, Senior Unsecured Notes, 8.50%, due 3/23/21 | 700 | 731 | ñ | ||||||||
2,401 | |||||||||||
Packaging (4.7%) | |||||||||||
Ardagh Packaging Finance PLC, Guaranteed Notes, 9.13%, due 10/15/20 | 200 | 211 | ñ |
See Notes to Schedule of Investments
58
Schedule of Investments Long Short Credit Fund (Unaudited) (cont'd)
Principal Amounta (000's omitted) | Value† (000's omitted) | ||||||||||
Ardagh Packaging Finance PLC, Guaranteed Notes, 9.25%, due 10/15/20 | EUR | 375 | $ | 451 | r | ||||||
Beverage Packaging Holdings Luxembourg II SA/Beverage Packaging Holdings II Issuer, Inc., Guaranteed Notes, 6.00%, due 6/15/17 | $ | 1,000 | 997 | ñ | |||||||
1,659 | |||||||||||
Pharmaceuticals (0.7%) | |||||||||||
NBTY, Inc., Guaranteed Notes, 9.00%, due 10/1/18 | 250 | 255 | |||||||||
Pipelines (0.7%) | |||||||||||
DCP Midstream Operating L.P., Guaranteed Notes, 2.50%, due 12/1/17 | 250 | 242 | |||||||||
Telecommunications (13.4%) | |||||||||||
CenturyLink, Inc., Senior Unsecured Notes, Ser. V, 5.63%, due 4/1/20 | 800 | 822 | ØØ | ||||||||
DigitalGlobe, Inc., Guaranteed Notes, 5.25%, due 2/1/21 | 300 | 272 | ñ | ||||||||
EarthLink Holdings Corp., Senior Secured Notes, 7.38%, due 6/1/20 | 1,000 | 1,045 | ØØ | ||||||||
EarthLink, Inc., Guaranteed Notes, 8.88%, due 5/15/19 | 150 | 153 | |||||||||
Frontier Communications Corp., Senior Unsecured Notes, 11.00%, due 9/15/25 | 700 | 707 | ñØØ |
Principal Amounta (000's omitted) | Value† (000's omitted) | ||||||||||
Intelsat Jackson Holdings SA, Guaranteed Notes, 7.25%, due 4/1/19 | $ | 525 | $ | 430 | |||||||
Intelsat Luxembourg SA, Guaranteed Notes, 7.75%, due 6/1/21 | 350 | 117 | |||||||||
Intelsat Luxembourg SA, Guaranteed Notes, 8.13%, due 6/1/23 | 200 | 66 | |||||||||
Sprint Communications, Inc., Senior Unsecured Notes, 8.38%, due 8/15/17 | 650 | 663 | |||||||||
Sprint Corp., Guaranteed Notes, 7.13%, due 6/15/24 | 250 | 188 | |||||||||
Sprint Nextel Corp., Guaranteed Notes, 9.00%, due 11/15/18 | 200 | 212 | ñ | ||||||||
4,675 | |||||||||||
Total Corporate Debt Securities (Cost $15,294) | 14,852 | ||||||||||
Foreign Government Securities (3.1%) | |||||||||||
Sovereign (3.1%) | |||||||||||
Argentine Republic Government International Bond, Senior Unsecured Notes, 2.50%, due 12/31/38, | 400 | 255 | **c | ||||||||
Argentine Republic Government International Bond, Senior Unsecured Notes, 6.25%, due 4/22/19, | 350 | 363 | ñ |
Principal Amounta (000's omitted) | Value† (000's omitted) | ||||||||||
Argentine Republic Government International Bond, Senior Unsecured Notes, 6.88%, due 4/22/21, | $ | 450 | $ | 464 | ñ | ||||||
Total Foreign Government Securities (Cost $1,085) | 1,082 | ||||||||||
Units of Currency | |||||||||||
Purchased Options (0.0%) | |||||||||||
CNH Call, expiring June 7, 2016 @ 7.06 (Cost $61) | 10,000,000 | 4 | i | ||||||||
Principal Amounta (000's omitted) | |||||||||||
Short-Term Investments (37.0%) | |||||||||||
U.S. Treasury Securities-Backed by the Full Faith and Credit of the U.S. Governmente (28.6%) | |||||||||||
U.S. Treasury Bill, Disc. Notes, 0.09%, due 5/26/16, | $ | 2,500 | 2,500 | ||||||||
U.S. Treasury Bill, Disc. Notes, 0.24%, due 8/11/16 | 2,500 | 2,498 | |||||||||
U.S. Treasury Bill, Disc. Notes, 0.27%, due 8/18/16 | 2,500 | 2,498 | |||||||||
U.S. Treasury Bill, Disc. Notes, 0.28%, due 8/25/16 | 2,500 | 2,498 | |||||||||
9,994 |
See Notes to Schedule of Investments
59
Schedule of Investments Long Short Credit Fund (Unaudited) (cont'd)
Number of Shares | Value† (000's omitted) | ||||||||||
Money Market Fund (8.4%) | |||||||||||
State Street Institutional U.S. Government Money Market Fund Premier Class, 0.23% | 2,944,308 | $ | 2,944 | dØØ | |||||||
Total Short-Term Investments (Cost $12,934) | 12,938 | ||||||||||
Total Long Positions (83.4%) (Cost $29,681) | 29,179 | ## | |||||||||
Cash, receivables and other assets, less liabilities (32.0%) | 11,174 | k | |||||||||
Short Positions (see summary below) ((15.4)%) | (5,387 | ) | |||||||||
Total Net Assets (100.0%) | $ | 34,966 | |||||||||
Principal Amounta (000's omitted) | |||||||||||
Short Positions ((15.4)%)‡ | |||||||||||
Corporate Debt Securities Sold Short (14.8%) | |||||||||||
Chemicals (0.5%) | |||||||||||
Hexion, Inc., Senior Secured Notes, 10.00%, due 4/15/20 | $ | (200 | ) | (187 | ) | ||||||
Engineering & Construction (0.7%) | |||||||||||
SBA Communications Corp., Senior Unsecured Notes, 4.88%, due 7/15/22 | (250 | ) | (254 | ) | |||||||
Healthcare-Services (2.2%) | |||||||||||
HCA, Inc., Guaranteed Notes, 5.38%, due 2/1/25 | (200 | ) | (205 | ) | |||||||
Tenet Healthcare Corp., Senior Unsecured Notes, 6.75%, due 6/15/23 | (550 | ) | (550 | ) | |||||||
(755 | ) |
Principal Amounta (000's omitted) | Value† (000's omitted) | ||||||||||
Lodging (0.6%) | |||||||||||
MGM Resorts Int'l, Guaranteed Notes, 6.00%, due 3/15/23 | $ | (200 | ) | $ | (209 | ) | |||||
Mining (0.7%) | |||||||||||
Teck Resources Ltd., Guaranteed Notes, 3.75%, due 2/1/23 | (300 | ) | (234 | ) | |||||||
Oil & Gas (1.3%) | |||||||||||
California Resources Corp., Secured Notes, 8.00%, due 12/15/23 | (300 | ) | (207 | )ñ | |||||||
Petroleos Mexi canos, Guaranteed Notes, 5.50%, due 1/21/21 | (250 | ) | (263 | ) | |||||||
(470 | ) | ||||||||||
Packaging & Containers (1.5%) | |||||||||||
Berry Plastics Corp., Secured Notes, 5.50%, due 5/15/22 | (500 | ) | (516 | ) | |||||||
Pipelines (4.3%) | |||||||||||
Kinder Morgan, Inc., Guaranteed Notes, 4.30%, due 6/1/25 | (1,000 | ) | (994 | ) | |||||||
Sabine Pass LNG L.P., Senior Secured Notes, 7.50%, due 11/30/16 | (500 | ) | (512 | ) | |||||||
(1,506 | ) | ||||||||||
Retail (1.5%) | |||||||||||
Michaels Stores, Inc., Guaranteed Notes, 5.88%, due 12/15/20 | (500 | ) | (525 | )ñ |
Principal Amounta (000's omitted) | Value† (000's omitted) | ||||||||||
Telecommunications (1.5%) | |||||||||||
T-Mobile USA, Inc., Guaranteed Notes, 6.38%, due 3/1/25 | $ | (500 | ) | $ | (529 | ) | |||||
Total Corporate Debt Securities Sold Short (Cost $(4,775)) | (5,185 | ) | |||||||||
Foreign Government Securities Sold Short (0.6%) | |||||||||||
Sovereign (0.6%) | |||||||||||
South Africa Government International Bond, Senior Unsecured Notes, 4.67%, due 1/17/24 (Cost $202)) | ZAR | (200 | ) | (202 | ) | ||||||
Total Short Positions (Proceeds $(4,977)) | (5,387 | ) |
See Notes to Schedule of Investments
60
Schedule of Investments Long Short Credit Fund (Unaudited) (cont'd)
Derivative Instruments
Total Return Swap Contracts ("total return swaps")
At April 30, 2016, the Fund had outstanding over the counter ("OTC") total return swaps as follows:
Long Total Return Swaps
Swap Counterparty | Reference Entity | Notional Value(1) | Termination Date | Fixed-rate | Unrealized Appreciation (Depreciation) | Accrued Net Interest Receivable/ (Payable) | Total Fair Value | ||||||||||||||||||||||||||||
Goldman Sachs International | Markit iBoxx USD Liquid Leveraged Loans Total Return Index | $ | 1,500,00 | September 21, 2016 | 0.62 | %(2) | $ | (73 | ) | $ | (857 | ) | $ | (930 | ) | ||||||||||||||||||||
Goldman Sachs International | Markit iBoxx USD Liquid Leveraged Loans Total Return Index | 1,500,000 | June 20, 2016 | 0.62 | 64,754 | (942 | ) | 63,812 | |||||||||||||||||||||||||||
Goldman Sachs International | Markit iBoxx USD Liquid Leveraged Loans Total Return Index | 2,500,000 | June 20, 2016 | 0.62 | 83,837 | (142 | ) | 83,695 | |||||||||||||||||||||||||||
JPMorgan Chase Bank, N.A. | Markit iBoxx USD Liquid Leveraged Loans Total Return Index | 2,500,000 | June 20, 2016 | 0.62 | 73,035 | (1,418 | ) | 71,617 | |||||||||||||||||||||||||||
Goldman Sachs International | Markit iBoxx USD Liquid Leveraged Loans Total Return Index | 1,500,000 | June 20, 2016 | 0.62 | 76,780 | (994 | ) | 75,786 | |||||||||||||||||||||||||||
Total | $ | 298,333 | $ | (4,353 | ) | $ | 293,980 |
(1) Notional value represents the value (including any fees or commissions) of the long positions when they were established.
(2) Variable-rate. 3-month LIBOR as of 3/17/2016.
Short Total Return Swaps
Swap Counterparty | Reference Entity | Notional Value(1) | Termination Date | Fixed-rate | Unrealized Appreciation (Depreciation) | Accrued Net Interest Receivable/ (Payable) | Total Fair Value | ||||||||||||||||||||||||||||
Goldman Sachs International | Markit iBoxx USD Liquid High Yield Oil & Gas Index | $ | (250,000 | ) | June 20, 2016 | 0.62 | %(2) | $ | (8,143 | ) | $ | 177 | $ | (7,966 | ) | ||||||||||||||||||||
Goldman Sachs International | Markit iBoxx USD Liquid High Yield Oil & Gas Index | (250,000 | ) | June 20, 2016 | 0.62 | (34,647 | ) | 147 | (34,500 | ) | |||||||||||||||||||||||||
Total | $ | (42,790 | ) | $ | 324 | $ | (42,466 | ) |
(1) Notional value represents the value (including any fees or commissions) of the short positions when they were established.
(2) Variable-rate. 3-month LIBOR as of 3/17/2016.
At April 30, 2016, the Fund had no outstanding total return basket swaps or equity swaps.
For the six months ended April 30, 2016, the average notional value of total return swaps, total return basket swaps and equity swaps was $3,994,345.
See Notes to Schedule of Investments
61
Schedule of Investments Long Short Credit Fund (Unaudited) (cont'd)
Credit Default Swap Contracts ("Credit Default Swaps")
At April 30, 2016, the Fund had outstanding OTC credit default swaps as follows:
OTC Credit Default Swaps—Buy Protection
Swap Counterparty | Reference Entity | Notional Amount | Contract Annual Fixed Rate* | Termination Date | Unamortized Upfront Payments (Received) Paid | Unrealized Appreciation (Depreciation) | Accrued Net Interest Receivable/ (Payable) | Total Fair Value | |||||||||||||||||||||||||||||||
Goldman Sachs International | South Africa (Republic of), Senior Unsecured Notes, 5.50%, due 3/9/20 | $ | 500,000 | 1.00 | % | June 20, 2021 | $ | 48,168 | $ | (5,777 | ) | $ | (569 | ) | $ | 41,822 | |||||||||||||||||||||||
Goldman Sachs International | Turkey (Republic of), Senior Unsecured Notes, 11.88%, due 1/15/30 | 750,000 | 1.00 | June 20, 2021 | 54,839 | (5,849 | ) | (854 | ) | 48,136 | |||||||||||||||||||||||||||||
Goldman Sachs International | Chile (Republic of), Senior Unsecured Notes, 3.88%, due 8/5/20 | 500,000 | 1.00 | June 20, 2021 | (734 | ) | 73 | (569 | ) | (1,230 | ) | ||||||||||||||||||||||||||||
Goldman Sachs International | KB Home, Senior Unsecured Notes, 9.10%, due 9/15/17 | 250,000 | 5.00 | June 20, 2021 | (15,806 | ) | 2,392 | (1,424 | ) | (14,838 | ) | ||||||||||||||||||||||||||||
Total | $ | 86,467 | $ | (9,161 | ) | $ | (3,416 | ) | $ | 73,890 |
* 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 swaps.
OTC Credit Default Swaps—Sell Protection
Swap Counterparty | Reference Entity | Notional Amount | Contract Annual Fixed Rate* | Termination Date | Unamortized Upfront Payments (Received) Paid | Unrealized Appreciation (Depreciation) | Accrued Net Interest Receivable/ (Payable) | Total Fair Value | |||||||||||||||||||||||||||||||
Goldman Sachs International | CDX.NA.HY.25 0-15% | $ | 2,500,000 | 5.00 | % | December 20, 2020 | $ | (1,517,948 | ) | $ | (39,334 | ) | $ | 14,236 | $ | (1,543,046 | ) | ||||||||||||||||||||||
Goldman Sachs International | United Mexican States, Senior Unsecured Medium Term Notes, 5.95%, due 3/19/19 | 500,000 | 1.00 | June 20, 2021 | (13,416 | ) | (1,278 | ) | 569 | (14,125 | ) | ||||||||||||||||||||||||||||
Goldman Sachs International | Brazil, Federative Republic of (Government), 4.25%, due 1/7/25 | 500,000 | 1.00 | June 20, 2021 | (59,556 | ) | 5,470 | 569 | (53,517 | ) | |||||||||||||||||||||||||||||
Total | $ | (1,590,920 | ) | $ | (35,142 | ) | $ | 15,374 | $ | (1,610,688 | ) |
See Notes to Schedule of Investments
62
Schedule of Investments Long Short Credit Fund (Unaudited) (cont'd)
* 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 swaps.
At April 30, 2016, the Fund had outstanding centrally cleared credit default swaps as follows:
Centrally Cleared Credit Default Swap Contracts—Buy Protection
Clearing house | Reference Entity | Notional Amount | Contract Annual Fixed Rate* | Termination Date | Unamortized Upfront Payments (Received) Paid | Unrealized Appreciation (Depreciation) | Accrued Net Interest Receivable/ (Payable) | Total Fair Value | |||||||||||||||||||
ICE ClearCredit LLC | CDX.NA.IG.25. V1 | $ | 5,000,000 | 1.00 | % | December 20, 2020 | $ | (41,764 | ) | $ | 2,126 | $ | (5,694 | ) | $ | (45,332 | ) | ||||||||||
ICE ClearCredit LLC | CDX.NA.HY.26. V1 | 4,000,000 | 5.00 | June 20, 2021 | (130,954 | ) | 17,412 | (22,778 | ) | (136,320 | ) | ||||||||||||||||
Total | $ | (172,718 | ) | $ | 19,538 | $ | (28,472 | ) | $ | (181,652 | ) |
* The contract annual fixed rate represents the annual fixed rate of interest received by the Fund (as a buyer of protection) on the notional amount of the credit default swaps.
At April 30, 2016, the Fund had deposited $184,855 in segregated accounts to cover margin requirements on centrally cleared swaps. At April 30, 2016, the Fund deposited cash collateral of $1,610,000 in a segregated account for Goldman Sachs International. At April 30, 2016, the Fund deposited $151,647 for Goldman Sachs & Co.
During the six months ended April 30, 2016, the average notional value of credit default swaps was $3,648,056.
Futures Contracts ("futures")
For the six months ended April 30, 2016, the average notional value of futures for the Fund was $2,228,013 for long positions and $(332,611) for short positions.
At April 30, 2016, the Fund had no outstanding futures.
Forward Foreign Currency Contracts ("forward contracts")
At April 30, 2016, open forward contracts for the Fund were as follows:
Contracts to Deliver | In Exchange For | Counterparty | Settlement Date | Net Unrealized Appreciation (Depreciation) | |||||||||||||
428,000 | Euro | $ | 470,749 | Goldman Sachs International | 06/03/16 | $ | (19,769 | ) | |||||||||
Total | $ | (19,769 | ) |
For the six months ended April 30, 2016, the Fund's investments in forward contracts had an average notional value of $560,390.
See Notes to Schedule of Investments
63
Schedule of Investments Long Short Credit Fund (Unaudited) (cont'd)
Written Option Contracts ("options written")
Written option transactions for the Fund for the six months ended April 30, 2016 were:
Number of Contracts | Premium Received | ||||||||||
Outstanding 10/31/2015 | 150 | $ | 13,362 | ||||||||
Options written | 23,000,110 | 86,008 | |||||||||
Options expired | (8,000,010 | ) | (43,391 | ) | |||||||
Options exercised | (12,500,000 | ) | (12,394 | ) | |||||||
Options closed | (2,500,250 | ) | (43,585 | ) | |||||||
Outstanding 4/30/2016 | — | $ | — |
At April 30, 2016, the Fund had deposited $606,734 in a segregated account to cover requirements on options.
For the six months ended April 30, 2016, the Fund had an average market value of purchased options and written options of $31,841 and $(3,680), respectively.
See Notes to Schedule of Investments
64
Schedule of Investments Multi-Asset Income Fund (Unaudited) 4/30/16
Number of Shares | Value† (000's omitted) | ||||||||||
Common Stocks (39.2%) | |||||||||||
Aerospace & Defense (0.6%) | |||||||||||
BAE Systems PLC | 1,439 | $ | 10 | ||||||||
L-3 Communications Holdings, Inc. | 38 | 5 | |||||||||
Lockheed Martin Corp. | 323 | 75 | ØØ | ||||||||
Orbital ATK, Inc. | 27 | 2 | |||||||||
Raytheon Co. | 44 | 6 | |||||||||
98 | |||||||||||
Air Freight & Logistics (0.4%) | |||||||||||
United Parcel Service, Inc. Class B | 587 | 62 | ØØ | ||||||||
Airlines (0.2%) | |||||||||||
Air New Zealand Ltd. | 3,449 | 6 | |||||||||
Cathay Pacific Airways Ltd. | 2,000 | 3 | |||||||||
Deutsche Lufthansa AG | 390 | 6 | |||||||||
easyJet PLC | 195 | 5 | |||||||||
Singapore Airlines Ltd. | 600 | 5 | |||||||||
25 | |||||||||||
Auto Components (0.0%) | |||||||||||
GKN PLC | 627 | 3 | |||||||||
Nokian Renkaat OYJ | 84 | 3 | |||||||||
Xinyi Glass Holdings | 2,000 | 1 | |||||||||
7 | |||||||||||
Automobiles (0.1%) | |||||||||||
Renault SA | 37 | 3 | |||||||||
Volkswagen AG | 18 | 3 | |||||||||
Volkswagen AG, Preference Shares | 21 | 3 | |||||||||
9 | |||||||||||
Banks (1.5%) | |||||||||||
Australia & New Zealand Banking Group Ltd. | 2,279 | 42 | |||||||||
Barclays PLC | 1,373 | 3 | |||||||||
Bendigo & Adelaide Bank Ltd. | 582 | 4 | |||||||||
BOC Hong Kong Holdings Ltd. | 3,000 | 9 | |||||||||
Credit Agricole SA | 240 | 3 | |||||||||
Danske Bank A/S | 110 | 3 | |||||||||
Fulton Financial Corp. | 201 | 3 | |||||||||
Hang Seng Bank Ltd. | 300 | 5 | |||||||||
HSBC Holdings PLC | 1,261 | 8 |
Number of Shares | Value† (000's omitted) | ||||||||||
JPMorgan Chase & Co. | 900 | $ | 57 | ØØ | |||||||
M&T Bank Corp. | 29 | 3 | |||||||||
Nordea Bank AB | 566 | 6 | |||||||||
PNC Financial Services Group, Inc. | 112 | 10 | |||||||||
Regions Financial Corp. | 404 | 4 | |||||||||
Resona Holdings, Inc. | 800 | 3 | |||||||||
Skandinaviska Enskilda Banken AB, Class A | 461 | 4 | |||||||||
Societe Generale SA | 70 | 3 | |||||||||
SunTrust Banks, Inc. | 309 | 13 | |||||||||
Sydbank A/S | 115 | 3 | |||||||||
UniCredit SpA | 745 | 3 | |||||||||
United Bankshares, Inc. | 60 | 2 | |||||||||
Valley National Bancorp | 236 | 2 | |||||||||
Wells Fargo & Co. | 650 | 33 | ØØ | ||||||||
226 | |||||||||||
Beverages (0.7%) | |||||||||||
Coca-Cola Co. | 1,569 | 70 | ØØ | ||||||||
PepsiCo, Inc. | 302 | 31 | |||||||||
101 | |||||||||||
Biotechnology (0.0%) | |||||||||||
CSL Ltd. | 37 | 3 | |||||||||
Capital Markets (0.4%) | |||||||||||
3i Group PLC | 830 | 6 | |||||||||
UBS Group AG | 2,800 | 48 | |||||||||
54 | |||||||||||
Chemicals (0.7%) | |||||||||||
Air Products & Chemicals, Inc. | 22 | 3 | |||||||||
BASF SE | 560 | 46 | |||||||||
Dow Chemical Co. | 297 | 16 | |||||||||
E.I. du Pont de Nemours & Co. | 234 | 16 | ØØ | ||||||||
LyondellBasell Industries NV Class A | 331 | 27 | ØØ | ||||||||
108 | |||||||||||
Commercial Services & Supplies (0.2%) | |||||||||||
R.R. Donnelley & Sons Co. | 352 | 6 | |||||||||
Rentokil Initial PLC | 1,580 | 4 | |||||||||
Republic Services, Inc. | 153 | 8 | |||||||||
Rollins, Inc. | 81 | 2 | |||||||||
Waste Management, Inc. | 70 | 4 | |||||||||
24 |
Number of Shares | Value† (000's omitted) | ||||||||||
Communications Equipment (0.6%) | |||||||||||
Cisco Systems, Inc. | 3,319 | $ | 91 | ØØ | |||||||
Telefonaktiebolaget LM Ericsson, B Shares | 253 | 2 | |||||||||
93 | |||||||||||
Construction & Engineering (0.2%) | |||||||||||
Bouygues SA | 75 | 2 | |||||||||
CIMIC Group Ltd. | 95 | 3 | |||||||||
Skanska AB, B Shares | 189 | 4 | |||||||||
Vinci SA | 364 | 27 | |||||||||
36 | |||||||||||
Containers & Packaging (0.3%) | |||||||||||
Amcor Ltd. | 451 | 5 | |||||||||
Avery Dennison Corp. | 77 | 6 | |||||||||
DS Smith PLC | 1,155 | 6 | |||||||||
International Paper Co. | 662 | 29 | |||||||||
46 | |||||||||||
Distributors (0.1%) | |||||||||||
D'ieteren SA | 62 | 3 | |||||||||
Genuine Parts Co. | 37 | 3 | |||||||||
Jardine Cycle & Carriage Ltd. | 100 | 3 | |||||||||
9 | |||||||||||
Diversified Financial Services (0.1%) | |||||||||||
CME Group, Inc. | 250 | 23 | ØØ | ||||||||
Diversified Telecommunication Services (1.3%) | |||||||||||
AT&T, Inc. | 1,456 | 56 | |||||||||
BT Group PLC ADR | 1,000 | 33 | ØØ | ||||||||
CenturyLink, Inc. | 251 | 8 | |||||||||
Elisa OYJ | 69 | 3 | |||||||||
Frontier Communications Corp. | 5,400 | 30 | |||||||||
HKT Trust & HKT Ltd. | 8,000 | 11 | |||||||||
PCCW Ltd. | 8,003 | 5 | |||||||||
Singapore Telecommunications Ltd. | 5,900 | 17 | |||||||||
Spark New Zealand Ltd. | 1,058 | 3 | |||||||||
TDC A/S | 938 | 5 | |||||||||
Telenor ASA | 469 | 8 | |||||||||
Telia Co. AB | 2,146 | 10 | |||||||||
Telstra Corp. Ltd. | 3,589 | 15 | |||||||||
204 | |||||||||||
Electric Utilities (2.1%) | |||||||||||
Alliant Energy Corp. | 30 | 2 | |||||||||
American Electric Power Co., Inc. | 95 | 6 |
See Notes to Schedule of Investments
65
Schedule of Investments Multi-Asset Income Fund (Unaudited) (cont'd)
Number of Shares | Value† (000's omitted) | ||||||||||
BKW AG | 175 | $ | 8 | ||||||||
CLP Holdings Ltd. | 1,500 | 14 | |||||||||
Duke Energy Corp. | 177 | 14 | |||||||||
Edison International | 325 | 23 | |||||||||
EDP - Energias de Portugal SA | 1,839 | 7 | |||||||||
Enel SpA | 1,208 | 5 | |||||||||
Entergy Corp. | 829 | 62 | |||||||||
EVN AG | 646 | 8 | |||||||||
Exelon Corp. | 1,377 | 48 | ØØ | ||||||||
FirstEnergy Corp. | 91 | 3 | |||||||||
Fortum OYJ | 402 | 6 | |||||||||
Hawaiian Electric Industries, Inc. | 103 | 3 | |||||||||
HK Electric Investments & HK Electric Investments Ltd. | 7,907 | 7 | ñ | ||||||||
NextEra Energy, Inc. | 469 | 55 | ØØ | ||||||||
OGE Energy Corp. | 75 | 2 | |||||||||
Pinnacle West Capital Corp. | 97 | 7 | |||||||||
Power Assets Holdings Ltd. | 1,000 | 10 | |||||||||
PPL Corp. | 138 | 5 | |||||||||
Southern Co. | 233 | 12 | |||||||||
SSE PLC | 601 | 13 | |||||||||
Terna Rete Elettrica Nazionale SpA | 1,528 | 9 | |||||||||
329 | |||||||||||
Electrical Equipment (0.0%) | |||||||||||
Eaton Corp. PLC | 44 | 3 | |||||||||
Emerson Electric Co. | 58 | 3 | |||||||||
6 | |||||||||||
Electronic Equipment, Instruments & Components (0.1%) | |||||||||||
Avnet, Inc. | 206 | 9 | |||||||||
AVX Corp. | 705 | 9 | |||||||||
18 | |||||||||||
Energy Equipment & Services (0.4%) | |||||||||||
Noble Corp. PLC | 949 | 11 | |||||||||
Petrofac Ltd. | 252 | 3 | |||||||||
Schlumberger Ltd. | 600 | 48 | ØØ | ||||||||
62 | |||||||||||
Food & Staples Retailing (0.6%) | |||||||||||
Casino Guichard Perrachon SA | 45 | 3 | |||||||||
J Sainsbury PLC | 2,691 | 11 | |||||||||
Kesko OYJ, B Shares | 62 | 2 | |||||||||
Sysco Corp. | 126 | 6 | |||||||||
Wal-Mart Stores, Inc. | 341 | 23 | |||||||||
Wesfarmers Ltd. | 983 | 32 |
Number of Shares | Value† (000's omitted) | ||||||||||
WM Morrison Supermarkets PLC | 1,490 | $ | 4 | ||||||||
Woolworths Ltd. | 949 | 16 | |||||||||
97 | |||||||||||
Food Products (0.7%) | |||||||||||
Archer-Daniels- Midland Co. | 203 | 8 | |||||||||
Cal-Maine Foods, Inc. | 42 | 2 | |||||||||
Campbell Soup Co. | 190 | 12 | |||||||||
ConAgra Foods, Inc. | 1,048 | 47 | |||||||||
General Mills, Inc. | 157 | 9 | |||||||||
Hormel Foods Corp. | 97 | 4 | |||||||||
Ingredion, Inc. | 46 | 5 | |||||||||
Kellogg Co. | 79 | 6 | |||||||||
Leroy Seafood Group ASA | 54 | 3 | |||||||||
Orkla ASA | 370 | 3 | |||||||||
Salmar ASA | 117 | 3 | |||||||||
Tate & Lyle PLC | 312 | 3 | |||||||||
WH Group Ltd. | 3,000 | 2 | ñ* | ||||||||
Wilmar International Ltd. | 1,100 | 3 | |||||||||
110 | |||||||||||
Gas Utilities (0.2%) | |||||||||||
AGL Resources, Inc. | 161 | 11 | |||||||||
Atmos Energy Corp. | 41 | 3 | |||||||||
Snam SpA | 1,950 | 12 | |||||||||
26 | |||||||||||
Health Care Providers & Services (0.1%) | |||||||||||
Anthem, Inc. | 25 | 3 | |||||||||
Owens & Minor, Inc. | 53 | 2 | |||||||||
Quest Diagnostics, Inc. | 78 | 6 | |||||||||
Sonic Healthcare Ltd. | 457 | 7 | |||||||||
18 | |||||||||||
Hotels, Restaurants & Leisure (0.5%) | |||||||||||
Carnival Corp. | 344 | 17 | |||||||||
Carnival PLC | 51 | 3 | |||||||||
Darden Restaurants, Inc. | 103 | 6 | |||||||||
Greene King PLC | 207 | 2 | |||||||||
Las Vegas Sands Corp. | 212 | 10 | |||||||||
McDonald's Corp. | 206 | 26 | |||||||||
Sands China Ltd. | 1,200 | 4 | |||||||||
Six Flags Entertainment Corp. | 99 | 6 | |||||||||
SKYCITY Entertainment Group Ltd. | 731 | 2 |
Number of Shares | Value† (000's omitted) | ||||||||||
Star Entertainment Grp Ltd | 583 | $ | 2 | ||||||||
Tatts Group Ltd. | 903 | 3 | |||||||||
William Hill PLC | 587 | 3 | |||||||||
84 | |||||||||||
Household Durables (0.1%) | |||||||||||
Berkeley Group Holdings PLC | 88 | 4 | |||||||||
Persimmon PLC | 201 | 6 | |||||||||
10 | |||||||||||
Household Products (0.7%) | |||||||||||
Kimberly-Clark Corp. | 58 | 7 | ØØ | ||||||||
Procter & Gamble Co. | 1,334 | 107 | ØØ | ||||||||
114 | |||||||||||
Independent Power and Renewable Electricity Producers (0.2%) | |||||||||||
NextEra Energy Partners LP | 1,225 | 35 | |||||||||
Industrial Conglomerates (0.6%) | |||||||||||
General Electric Co. | 1,450 | 45 | ØØ | ||||||||
Keppel Corp. Ltd. | 600 | 2 | |||||||||
Koninklijke Philips NV | 650 | 18 | |||||||||
NWS Holdings Ltd. | 2,000 | 3 | |||||||||
Siemens AG ADR | 250 | 26 | |||||||||
94 | |||||||||||
Insurance (2.1%) | |||||||||||
Admiral Group PLC | 93 | 2 | |||||||||
Aegon NV | 473 | 3 | |||||||||
Aflac, Inc. | 90 | 6 | |||||||||
Ageas | 160 | 6 | |||||||||
Allianz SE | 338 | 57 | |||||||||
Assicurazioni Generali SpA | 178 | 3 | |||||||||
AXA SA | 1,500 | 38 | |||||||||
Baloise Holding AG | 20 | 2 | |||||||||
Cincinnati Financial Corp. | 123 | 8 | |||||||||
CNA Financial Corp. | 130 | 4 | |||||||||
CNP Assurances | 406 | 7 | |||||||||
Direct Line Insurance Group PLC | 1,274 | 7 | |||||||||
Hannover Rueck SE | 36 | 4 | |||||||||
Insurance Australia Group Ltd. | 1,651 | 7 | |||||||||
Legal & General Group PLC | 2,683 | 9 | |||||||||
MetLife, Inc. | 850 | 38 | ØØ | ||||||||
Muenchener Rueckversicherungs- Gesellschaft AG in Muenchen | 133 | 25 |
See Notes to Schedule of Investments
66
Schedule of Investments Multi-Asset Income Fund (Unaudited) (cont'd)
Number of Shares | Value† (000's omitted) | ||||||||||
NN Group NV | 241 | $ | 8 | ||||||||
Old Mutual PLC | 3,628 | 10 | |||||||||
Sampo OYJ, A Shares | 120 | 5 | |||||||||
SCOR SE | 107 | 4 | |||||||||
Standard Life PLC | 1,026 | 5 | |||||||||
Suncorp Group Ltd. | 283 | 3 | |||||||||
Swiss Life Holding AG | 28 | 7 | * | ||||||||
Swiss Re AG | 281 | 25 | |||||||||
Travelers Cos., Inc. | 65 | 7 | |||||||||
Unipol Gruppo Finanziario SpA | 642 | 3 | |||||||||
UNIQA Insurance Group AG | 358 | 3 | |||||||||
Zurich Insurance Group AG | 94 | 21 | * | ||||||||
327 | |||||||||||
Internet Software & Services (0.0%) | |||||||||||
Moneysuper market.com Group PLC | 550 | 3 | |||||||||
IT Services (0.6%) | |||||||||||
Amdocs Ltd. | 163 | 9 | |||||||||
Automatic Data Processing, Inc. | 456 | 40 | |||||||||
IBM Corp. | 159 | 23 | |||||||||
Paychex, Inc. | 55 | 3 | |||||||||
Western Union Co. | 295 | 6 | |||||||||
Xerox Corp. | 372 | 4 | |||||||||
85 | |||||||||||
Leisure Products (0.1%) | |||||||||||
Mattel, Inc. | 257 | 8 | |||||||||
Marine (0.0%) | |||||||||||
Dfds A/S | 68 | 3 | |||||||||
Media (0.7%) | |||||||||||
Fuji Media Holdings, Inc. | 300 | 3 | |||||||||
Informa PLC | 465 | 4 | |||||||||
Lagardere SCA | 900 | 24 | |||||||||
Pearson PLC | 842 | 10 | |||||||||
Regal Entertainment Group Class A | 2,400 | 50 | |||||||||
Viacom, Inc. Class B | 98 | 4 | |||||||||
Vivendi SA | 396 | 8 | |||||||||
103 | |||||||||||
Metals & Mining (1.4%) | |||||||||||
Anglo American PLC | 1,600 | 18 | |||||||||
Bekaert NV | 63 | 3 | |||||||||
BHP Billiton Ltd. | 2,169 | 34 | |||||||||
BHP Billiton PLC | 977 | 13 | |||||||||
BlueScope Steel Ltd. | 814 | 4 |
Number of Shares | Value† (000's omitted) | ||||||||||
Franco-Nevada Corp. | 650 | $ | 45 | ||||||||
Rio Tinto Ltd. | 380 | 15 | |||||||||
Rio Tinto PLC | 1,088 | 36 | |||||||||
Southern Copper Corp. | 1,200 | 36 | |||||||||
voestalpine AG | 132 | 5 | |||||||||
209 | |||||||||||
Multi-Utilities (1.1%) | |||||||||||
AGL Energy Ltd. | 287 | 4 | |||||||||
Ameren Corp. | 950 | 46 | |||||||||
Black Hills Corp. | 375 | 23 | |||||||||
Centrica PLC | 3,319 | 12 | |||||||||
Consolidated Edison, Inc. | 119 | 9 | |||||||||
National Grid PLC | 2,628 | 37 | |||||||||
NiSource, Inc. | 445 | 10 | |||||||||
Public Service Enterprise Group, Inc. | 67 | 3 | |||||||||
RWE AG | 270 | 4 | * | ||||||||
SCANA Corp | 80 | 5 | |||||||||
WEC Energy Group, Inc. | 400 | 23 | |||||||||
176 | |||||||||||
Multiline Retail (0.4%) | |||||||||||
Harvey Norman Holdings Ltd. | 727 | 2 | |||||||||
Kohl's Corp. | 113 | 5 | |||||||||
Marks & Spencer Group PLC | 1,065 | 7 | |||||||||
Target Corp. | 616 | 49 | ØØ | ||||||||
63 | |||||||||||
Oil, Gas & Consumable Fuels (4.7%) | |||||||||||
Chevron Corp. | 410 | 42 | |||||||||
Columbia Pipeline Group, Inc. | 1,700 | 44 | |||||||||
EQT GP Holdings LP | 1,050 | 28 | |||||||||
Exxon Mobil Corp. | 1,386 | 123 | ØØ | ||||||||
HollyFrontier Corp. | 98 | 3 | |||||||||
JX Holdings, Inc. | 600 | 3 | |||||||||
Neste OYJ | 75 | 2 | |||||||||
Occidental Petroleum Corp. | 735 | 56 | |||||||||
OMV AG | 241 | 7 | |||||||||
ONEOK, Inc. | 2,525 | 91 | ØØ | ||||||||
Phillips 66 | 145 | 12 | |||||||||
Repsol SA | 1,124 | 15 | |||||||||
Royal Dutch Shell PLC, A Shares | 2,239 | 58 | |||||||||
Royal Dutch Shell PLC, B Shares | 1,324 | 35 | |||||||||
Spectra Energy Corp. | 1,970 | 62 | ØØ | ||||||||
Statoil ASA | 794 | 14 | |||||||||
Suncor Energy, Inc. | 800 | 23 | |||||||||
Teekay Corp. | 1,550 | 17 | |||||||||
Tesoro Corp. | 26 | 2 |
Number of Shares | Value† (000's omitted) | ||||||||||
TOTAL SA | 1,519 | $ | 76 | ||||||||
Valero Energy Corp. | 185 | 11 | |||||||||
Woodside Petroleum Ltd. | 3 | 0 | |||||||||
724 | |||||||||||
Paper & Forest Products (0.2%) | |||||||||||
Domtar Corp. | 83 | 3 | |||||||||
Mondi PLC | 200 | 4 | |||||||||
Navigator Co. SA | 710 | 2 | |||||||||
Nippon Paper Industries Co. Ltd. | 200 | 4 | |||||||||
Stora Enso OYJ, R Shares | 443 | 4 | |||||||||
UPM-Kymmene OYJ | 606 | 12 | |||||||||
29 | |||||||||||
Personal Products (0.2%) | |||||||||||
Avon Products | 446 | 2 | |||||||||
Unilever NV | 500 | 22 | ØØ | ||||||||
24 | |||||||||||
Pharmaceuticals (4.1%) | |||||||||||
AstraZeneca PLC | 986 | 57 | |||||||||
Bristol-Myers Squibb Co. | 1,022 | 74 | ØØ | ||||||||
Daiichi Sankyo Co. Ltd. | 100 | 2 | |||||||||
Eli Lilly & Co. | 655 | 50 | ØØ | ||||||||
GlaxoSmithKline PLC | 4,129 | 88 | |||||||||
GlaxoSmithKline PLC ADR | 1,150 | 49 | ØØ | ||||||||
Johnson & Johnson | 1,082 | 121 | ØØ | ||||||||
Merck & Co., Inc. | 796 | 44 | |||||||||
Pfizer, Inc. | 1,377 | 45 | ØØ | ||||||||
Recordati SpA | 215 | 5 | |||||||||
Sanofi | 906 | 75 | |||||||||
Takeda Pharmaceutical Co. Ltd. | 400 | 19 | |||||||||
629 | |||||||||||
Professional Services (0.0%) | |||||||||||
Nielsen Holdings PLC | 40 | 2 | |||||||||
Real Estate Investment Trusts (4.7%) | |||||||||||
American Campus Communities, Inc. | 320 | 14 | |||||||||
Annaly Capital Management, Inc. | 1,045 | 11 | |||||||||
AvalonBay Communities, Inc. | 200 | 35 | ØØ | ||||||||
Blackstone Mortgage Trust, Inc. Class A | 410 | 11 | |||||||||
Brandywine Realty Trust | 827 | 12 |
See Notes to Schedule of Investments
67
Schedule of Investments Multi-Asset Income Fund (Unaudited) (cont'd)
Number of Shares | Value† (000's omitted) | ||||||||||
Care Capital Properties, Inc. | 240 | $ | 6 | ||||||||
CBL & Associates Properties, Inc. | 975 | 11 | |||||||||
Corporate Office Properties Trust | 574 | 15 | |||||||||
Crown Castle International Corp. | 725 | 63 | ØØ | ||||||||
Digital Realty Trust, Inc. | 275 | 24 | |||||||||
EPR Properties | 240 | 16 | |||||||||
Equinix, Inc. | 205 | 68 | ØØ | ||||||||
HCP, Inc. | 275 | 9 | |||||||||
Highwoods Properties, Inc. | 340 | 16 | |||||||||
Kimco Realty Corp. | 880 | 25 | |||||||||
LaSalle Hotel Properties | 290 | 7 | |||||||||
Liberty Property Trust | 390 | 14 | |||||||||
Mid-America Apartment Communities, Inc. | 180 | 17 | |||||||||
National Retail Properties, Inc. | 293 | 13 | |||||||||
NorthStar Realty Finance Corp. | 431 | 6 | |||||||||
OMEGA Healthcare Investors, Inc. | 385 | 13 | |||||||||
Prologis, Inc. | 1,215 | 55 | ØØ | ||||||||
Public Storage | 101 | 25 | |||||||||
Retail Opportunity Investments Corp. | 430 | 8 | |||||||||
RLJ Lodging Trust | 240 | 5 | |||||||||
Simon Property Group, Inc. | 273 | 55 | ØØ | ||||||||
Sovran Self Storage, Inc. | 90 | 10 | |||||||||
Spirit Realty Capital, Inc. | 1,100 | 13 | |||||||||
STAG Industrial, Inc. | 655 | 13 | |||||||||
Starwood Property Trust, Inc. | 1,740 | 34 | ØØ | ||||||||
Sun Communities, Inc. | 115 | 8 | |||||||||
Ventas, Inc. | 368 | 23 | |||||||||
Welltower, Inc. | 214 | 15 | |||||||||
Weyerhaeuser Co. | 1,625 | 52 | ØØ | ||||||||
WP GLIMCHER, Inc. | 1,000 | 10 | |||||||||
732 | |||||||||||
Road & Rail (0.0%) | |||||||||||
AMERCO | 10 | 4 | |||||||||
Semiconductors & Semiconductor Equipment (1.3%) | |||||||||||
Analog Devices, Inc. | 37 | 2 | |||||||||
Intel Corp. | 1,062 | 32 | |||||||||
KLA-Tencor Corp. | 34 | 2 |
Number of Shares | Value† (000's omitted) | ||||||||||
Linear Technology Corp. | 500 | $ | 22 | ||||||||
Marvell Technology Group Ltd. | 470 | 5 | |||||||||
Maxim Integrated Products, Inc. | 1,358 | 49 | |||||||||
MKS Instruments, Inc. | 57 | 2 | |||||||||
QUALCOMM, Inc. | 962 | 49 | |||||||||
Texas Instruments, Inc. | 752 | 43 | ØØ | ||||||||
206 | |||||||||||
Software (0.9%) | |||||||||||
CA, Inc. | 71 | 2 | |||||||||
Microsoft Corp. | 2,224 | 111 | ØØ | ||||||||
Oracle Corp. | 750 | 30 | |||||||||
143 | |||||||||||
Specialty Retail (0.4%) | �� | ||||||||||
Best Buy Co., Inc. | 1,469 | 47 | |||||||||
Hennes & Mauritz AB, B Shares | 259 | 9 | * | ||||||||
Staples, Inc. | 244 | 3 | |||||||||
59 | |||||||||||
Technology Hardware, Storage & Peripherals (0.5%) | |||||||||||
Apple, Inc. | 499 | 47 | |||||||||
Canon, Inc. | 600 | 17 | |||||||||
HP, Inc. | 468 | 5 | |||||||||
69 | |||||||||||
Textiles, Apparel & Luxury Goods (0.0%) | |||||||||||
Yue Yuen Industrial Holdings Ltd. | 1,000 | 4 | |||||||||
Thrifts & Mortgage Finance (0.1%) | |||||||||||
New York Community Bancorp, Inc. | 535 | 8 | |||||||||
Tobacco (1.5%) | |||||||||||
Altria Group, Inc. | 748 | 47 | |||||||||
British American Tobacco PLC | 1,230 | 75 | |||||||||
Imperial Brands PLC | 553 | 30 | |||||||||
Philip Morris International, Inc. | 757 | 74 | |||||||||
226 | |||||||||||
Transportation Infrastructure (0.0%) | |||||||||||
Atlantia SpA | 155 | 4 | |||||||||
Wireless Telecommunication Services (0.5%) | |||||||||||
Vodafone Group PLC | 21,779 | 70 | |||||||||
Total Common Stocks (Cost $6,032) | 6,041 |
Number of Shares | Value† (000's omitted) | ||||||||||
Convertible Preferred Stocks (0.1%) | |||||||||||
Oil, Gas & Consumable Fuels (0.1%) | |||||||||||
El Paso Energy Capital Trust I, 4.75%, due 3/31/28 (Cost $21) | 500 | $ | 22 | ||||||||
Preferred Stocks (1.8%) | |||||||||||
Real Estate Investment Trusts (1.8%) | |||||||||||
Alexandria Real Estate Equities, Inc., Ser. E, 6.45% | 600 | 16 | |||||||||
Apartment Investment & Management Co., Ser. A, 6.88% | 600 | 17 | |||||||||
Ashford Hospitality Trust, Inc., Ser. D, 8.45% | 600 | 15 | |||||||||
Cedar Realty Trust, Inc., Ser. B, 7.25% | 600 | 15 | |||||||||
CubeSmart, Ser. A, 7.75% | 600 | 16 | |||||||||
DuPont Fabros Technology, Inc., Ser. B, 7.63% | 600 | 15 | |||||||||
Equity Commonwealth, Ser. E, 7.25% | 600 | 15 | |||||||||
First Potomac Realty Trust, Ser. A, 7.75% | 56 | 1 | |||||||||
General Growth Properties, Inc., Ser. A, 6.38% | 900 | 25 | |||||||||
Hersha Hospitality Trust, Ser. C, 6.88% | 600 | 16 | |||||||||
Kilroy Realty Corp., Ser. G, 6.88% | 600 | 15 | |||||||||
PS Business Parks, Inc., Ser. S, 6.45% | 600 | 16 | |||||||||
Regency Centers Corp., Ser. 6, 6.63% | 900 | 24 | |||||||||
Retail Properties of America, Inc., Ser. A, 7.00% | 600 | 16 | |||||||||
Sabra Health Care REIT, Inc., Ser. A, 7.13% | 600 | 16 | |||||||||
SL Green Realty Corp., Ser. I, 6.50% | 900 | 24 | |||||||||
VEREIT, Inc., Ser. F, 6.70% | 600 | 15 | |||||||||
Total Preferred Stocks (Cost $273) | 277 |
See Notes to Schedule of Investments
68
Schedule of Investments Multi-Asset Income Fund (Unaudited) (cont'd)
Principal Amount (000's omitted) | Value† (000's omitted) | ||||||||||
Convertible Bonds (0.3%) | |||||||||||
Real Estate Investment Trusts (0.3%) | |||||||||||
Extra Space Storage LP, Guaranteed Notes, 3.13%, due 10/1/35 (Cost $40) | $ | 40 | $ | 44 | ñ | ||||||
U.S. Treasury Securities-Backed by the Full Faith and Credit of the U.S. Government (5.4%) | |||||||||||
U.S. Treasury Bonds, 3.00%, due 11/15/44 | 420 | 449 | g | ||||||||
U.S. Treasury Bonds, 2.50%, due 2/15/46 | 25 | 24 | |||||||||
U.S. Treasury Inflation-Indexed Bonds, 1.75%, due 1/15/28 | 34 | 40 | |||||||||
U.S. Treasury Inflation-Indexed Bonds, 3.88%, due 4/15/29 | 14 | 21 | |||||||||
U.S. Treasury Inflation-Indexed Bonds, 3.38%, due 4/15/32 | 200 | 291 | |||||||||
U.S. Treasury Inflation-Indexed Bonds, 0.75%, due 2/15/42 | 16 | 15 | |||||||||
Total U.S. Treasury Securities-Backed by the Full Faith and Credit of the U.S. Government (Cost $846) | 840 | ||||||||||
U.S. Government Agency Securities (0.8%) | |||||||||||
Federal Home Loan Bank, Bonds, 5.50%, due 7/15/36 (Cost $127) | 90 | 123 | |||||||||
Number of Shares | |||||||||||
Exchange Traded Funds (10.7%) | |||||||||||
iShares 10+ Year Credit Bond ETF | 11,300 | 682 | |||||||||
iShares Core U.S. Aggregate Bond ETF | 430 | 48 |
Number of Shares | Value† (000's omitted) | ||||||||||
SPDR Barclays International Treasury Bond ETF | 847 | $ | 48 | * | |||||||
SPDR Barclays Long Term Corporate Bond ETF | 19,700 | 806 | |||||||||
Vanguard S&P 500 ETF | 338 | 64 | |||||||||
Total Exchange Traded Funds (Cost $1,608) | 1,648 | ||||||||||
Master Limited Partnerships (4.2%) | |||||||||||
Hotels, Restaurants & Leisure (0.4%) | |||||||||||
Cedar Fair LP | 1,000 | 58 | |||||||||
Oil, Gas & Consumable Fuels (3.7%) | |||||||||||
Alliance Holdings GP LP | 1,325 | 23 | |||||||||
American Midstream Partners LP | 1,500 | 18 | |||||||||
Energy Transfer Equity LP | 9,000 | 112 | |||||||||
Energy Transfer Partners LP | 2,199 | 78 | ØØ | ||||||||
Enterprise Products Partners LP | 2,700 | 72 | ØØ | ||||||||
EQT Midstream Partners LP | 675 | 54 | |||||||||
NuStar Energy LP | 1,500 | 76 | |||||||||
Teekay LNG Partners LP | 1,725 | 24 | |||||||||
Western Gas Equity Partners LP | 2,775 | 112 | |||||||||
569 | |||||||||||
Real Estate Management & Development (0.1%) | |||||||||||
Brookfield Property Partners LP | 590 | 14 | |||||||||
Total Master Limited Partnerships (Cost $736) | 641 | ||||||||||
Mutual Funds (36.7%) | |||||||||||
Neuberger Berman Emerging Markets Debt Fund Institutional Class | 141,449 | 1,242 | §§ | ||||||||
Neuberger Berman Floating Rate Income Fund Institutional Class | 87,999 | 860 | §§ |
Number of Shares | Value† (000's omitted) | ||||||||||
Neuberger Berman Global Long Short Fund Institutional Class | 17,801 | $ | 146 | §§ | |||||||
Neuberger Berman High Income Bond Fund Institutional Class | 347,057 | 2,918 | §§ | ||||||||
Neuberger Berman Long Short Credit Fund Institutional Class | 53,636 | 504 | §§ | ||||||||
Total Mutual Funds (Cost $5,940) | 5,670 | ||||||||||
Short-Term Investments (0.7%) | |||||||||||
State Street Institutional Liquid Reserves Fund Premier Class, 0.46% (Cost $110) | 110,234 | 110 | dØØ | ||||||||
Total Investments (99.9%) (Cost $15,733) | 15,416 | ## | |||||||||
Cash, receivables and other assets, less liabilities (0.1%) | 15 | k | |||||||||
Total Net Assets (100.0%) | $ | 15,431 |
See Notes to Schedule of Investments
69
Schedule of Investments Multi-Asset Income Fund (Unaudited) (cont'd)
Derivative Instruments
Futures Contracts ("futures")
At April 30, 2016, open positions in futures were as follows:
Expiration | Open Contracts | Position | Unrealized Appreciation (Depreciation) | ||||||||||||
May 2016 | 1 H-Shares Index | Short | $ | 448 | |||||||||||
June 2016 | 5 Euro STOXX 50 Index | Short | (5,321 | ) | |||||||||||
June 2016 | 1 TOPIX Index | Short | (7,195 | ) | |||||||||||
June 2016 | 1 U.S. Treasury Note, 5 Year | Short | (986 | ) | |||||||||||
June 2016 | 2 Canadian Treasury Bond, 10 Year | Long | (3,121 | ) | |||||||||||
June 2016 | 1 Euro-BOBL | Long | (608 | ) | |||||||||||
June 2016 | 1 Euro-BTP | Long | (36 | ) | |||||||||||
June 2016 | 1 Euro-OAT | Long | (3,047 | ) | |||||||||||
June 2016 | 1 FTSE 100 Index | Long | 1,759 | ||||||||||||
June 2016 | 11 Mini MSCI Emerging Markets Index | Long | 18,097 | ||||||||||||
June 2016 | 2 Nikkei 225 Index | Long | 4,444 | ||||||||||||
June 2016 | 1 S&P 500 E-Mini Index | Long | 878 | ||||||||||||
June 2016 | 1 U.K. Long Gilt Bond | Long | (1,316 | ) | |||||||||||
June 2016 | 1 U.S. Treasury Bond, Long | Long | (3,220 | ) | |||||||||||
June 2016 | 1 U.S. Treasury Note, 2 Year | Long | 702 | ||||||||||||
June 2016 | 1 U.S. Treasury Note, 10 Year | Long | 1,139 | ||||||||||||
Total | $ | 2,617 |
For the six months ended April 30, 2016, the average notional value of futures for the Fund was $1,562,070 for long positions and $(284,911) for short positions.
At April 30, 2016, the notional value of futures for the Fund was $2,209,417 for long positions and $(473,368) for short positions. The Fund had deposited $23,884 in segregated accounts to cover margin requirements on open futures.
Forward Foreign Currency Contracts ("forward contracts")
At April 30, 2016, open forward contracts for the Fund were as follows:
Contracts to Receive | In Exchange For | Counterparty | Settlement Date | Net Unrealized Appreciation (Depreciation) | |||||||||||||||||||
67,391 | Australian Dollar | $ | 49,890 | Deutsche Bank AG | 06/03/16 | $ | 1,286 | ||||||||||||||||
14,744 | Australian Dollar | 11,006 | Goldman Sachs International | 06/03/16 | 190 | ||||||||||||||||||
35,110 | Australian Dollar | 26,919 | Goldman Sachs International | 06/03/16 | (257 | ) | |||||||||||||||||
131,375 | Australian Dollar | 100,230 | Royal Bank of Canada | 06/03/16 | (466 | ) | |||||||||||||||||
20,818 | Australian Dollar | 15,649 | Royal Bank of Canada | 06/03/16 | 160 | ||||||||||||||||||
12,755 | Australian Dollar | 9,456 | Societe Generale | 06/03/16 | 230 |
See Notes to Schedule of Investments
70
Schedule of Investments Multi-Asset Income Fund (Unaudited) (cont'd)
Contracts to Receive | In Exchange For | Counterparty | Settlement Date | Net Unrealized Appreciation (Depreciation) | |||||||||||||||||||
46,791 | Australian Dollar | $ | 35,581 | Societe Generale | 06/03/16 | $ | (49 | ) | |||||||||||||||
38,504 | Australian Dollar | 29,269 | Societe Generale | 06/03/16 | (30 | ) | |||||||||||||||||
58,335 | Australian Dollar | 43,705 | Societe Generale | 06/03/16 | 593 | ||||||||||||||||||
61,728 | Australian Dollar | 47,019 | Societe Generale | 06/03/16 | (144 | ) | |||||||||||||||||
165,465 | Australian Dollar | 126,155 | Societe Generale | 06/03/16 | (504 | ) | |||||||||||||||||
13,082 | Australian Dollar | 10,053 | State Street Bank and Trust Company | 06/03/16 | (119 | ) | |||||||||||||||||
18,559 | Australian Dollar | 14,492 | State Street Bank and Trust Company | 06/03/16 | (398 | ) | |||||||||||||||||
233,829 | Canadian Dollar | 175,249 | Deutsche Bank AG | 06/03/16 | 11,115 | ||||||||||||||||||
12,797 | Canadian Dollar | 9,959 | Goldman Sachs International | 06/03/16 | 241 | ||||||||||||||||||
58,250 | Canadian Dollar | 44,720 | Royal Bank of Canada | 06/03/16 | 1,706 | ||||||||||||||||||
15,723 | Canadian Dollar | 12,139 | Royal Bank of Canada | 06/03/16 | 393 | ||||||||||||||||||
10,260 | Canadian Dollar | 8,172 | Royal Bank of Canada | 06/03/16 | 5 | ||||||||||||||||||
57,254 | Canadian Dollar | 44,061 | Royal Bank of Canada | 06/03/16 | 1,571 | ||||||||||||||||||
333,320 | Canadian Dollar | 249,751 | Societe Generale | 06/03/16 | 15,908 | ||||||||||||||||||
45,924 | Canadian Dollar | 34,579 | Societe Generale | 06/03/16 | 2,023 | ||||||||||||||||||
13,401 | Canadian Dollar | 10,331 | Societe Generale | 06/03/16 | 350 | ||||||||||||||||||
126,344 | Canadian Dollar | 96,210 | Societe Generale | 06/03/16 | 4,487 | ||||||||||||||||||
99,832 | Canadian Dollar | 79,790 | Societe Generale | 06/03/16 | (223 | ) | |||||||||||||||||
73,585 | Canadian Dollar | 55,835 | State Street Bank and Trust Company | 06/03/16 | 2,813 | ||||||||||||||||||
31,722 | Canadian Dollar | 24,128 | State Street Bank and Trust Company | 06/03/16 | 1,155 | ||||||||||||||||||
51,680 | Canadian Dollar | 40,057 | State Street Bank and Trust Company | 06/03/16 | 1,132 | ||||||||||||||||||
32,505 | Canadian Dollar | 25,657 | State Street Bank and Trust Company | 06/03/16 | 250 | ||||||||||||||||||
95,166 | Canadian Dollar | 74,993 | State Street Bank and Trust Company | 06/03/16 | 855 | ||||||||||||||||||
17,480 | Euro | 19,754 | Goldman Sachs International | 06/03/16 | 279 | ||||||||||||||||||
7,805 | Euro | 8,588 | Goldman Sachs International | 06/03/16 | 357 | ||||||||||||||||||
30,092 | Euro | 34,155 | Goldman Sachs International | 06/03/16 | 332 | ||||||||||||||||||
14,035 | Euro | 15,869 | Royal Bank of Canada | 06/03/16 | 216 | ||||||||||||||||||
9,385 | Euro | 10,663 | Royal Bank of Canada | 06/03/16 | 93 | ||||||||||||||||||
7,231 | Euro | 7,943 | Societe Generale | 06/03/16 | 344 | ||||||||||||||||||
7,377 | Euro | 8,144 | Societe Generale | 06/03/16 | 311 | ||||||||||||||||||
37,512 | Euro | 41,443 | Societe Generale | 06/03/16 | 1,548 | ||||||||||||||||||
20,830 | Euro | 23,541 | Societe Generale | 06/03/16 | 332 | ||||||||||||||||||
37,713 | Euro | 42,892 | Societe Generale | 06/03/16 | 330 | ||||||||||||||||||
17,684 | Euro | 20,230 | Societe Generale | 06/03/16 | 37 | ||||||||||||||||||
30,308 | Euro | 34,370 | Societe Generale | 06/03/16 | 365 | ||||||||||||||||||
20,199 | Euro | 22,588 | State Street Bank and Trust Company | 06/03/16 | 561 | ||||||||||||||||||
29,450 | Euro | 32,791 | State Street Bank and Trust Company | 06/03/16 | 961 | ||||||||||||||||||
51,619 | Euro | 58,560 | State Street Bank and Trust Company | 06/03/16 | 599 | ||||||||||||||||||
9,883 | Euro | 11,256 | State Street Bank and Trust Company | 06/03/16 | 70 | ||||||||||||||||||
17,081 | Euro | 19,440 | State Street Bank and Trust Company | 06/03/16 | 136 | ||||||||||||||||||
79,115 | Euro | 89,481 | State Street Bank and Trust Company | 06/03/16 | 1,191 | ||||||||||||||||||
943,525 | Japanese Yen | 8,374 | Deutsche Bank AG | 06/03/16 | 499 | ||||||||||||||||||
2,151,633 | Japanese Yen | 19,747 | Goldman Sachs International | 06/03/16 | 488 | ||||||||||||||||||
3,328,072 | Japanese Yen | 30,346 | Royal Bank of Canada | 06/03/16 | 953 |
See Notes to Schedule of Investments
71
Schedule of Investments Multi-Asset Income Fund (Unaudited) (cont'd)
Contracts to Receive | In Exchange For | Counterparty | Settlement Date | Net Unrealized Appreciation (Depreciation) | |||||||||||||||||||
5,716,762 | Japanese Yen | $ | 51,384 | Royal Bank of Canada | 06/03/16 | $ | 2,379 | ||||||||||||||||
7,179,173 | Japanese Yen | 64,006 | Royal Bank of Canada | 06/03/16 | 3,510 | ||||||||||||||||||
12,948,735 | Japanese Yen | 115,396 | Royal Bank of Canada | 06/03/16 | 6,379 | ||||||||||||||||||
1,720,243 | Japanese Yen | �� | 15,329 | Societe Generale | 06/03/16 | 848 | |||||||||||||||||
5,638,360 | Japanese Yen | 50,787 | Societe Generale | 06/03/16 | 2,239 | ||||||||||||||||||
2,234,847 | Japanese Yen | 20,884 | Societe Generale | 06/03/16 | 133 | ||||||||||||||||||
4,167,883 | Japanese Yen | 38,540 | Societe Generale | 06/03/16 | 657 | ||||||||||||||||||
3,652,398 | Japanese Yen | 33,470 | Societe Generale | 06/03/16 | 879 | ||||||||||||||||||
3,328,043 | Japanese Yen | 29,520 | Societe Generale | 06/03/16 | 1,778 | ||||||||||||||||||
4,697,181 | Japanese Yen | 41,531 | State Street Bank and Trust Company | 06/03/16 | 2,643 | ||||||||||||||||||
1,284,554 | Japanese Yen | 11,551 | State Street Bank and Trust Company | 06/03/16 | 529 | ||||||||||||||||||
883,609 | Japanese Yen | 7,784 | State Street Bank and Trust Company | 06/03/16 | 526 | ||||||||||||||||||
1,391,104 | Japanese Yen | 12,531 | State Street Bank and Trust Company | 06/03/16 | 552 | ||||||||||||||||||
49,379 | New Zealand Dollar | 33,844 | Goldman Sachs International | 06/03/16 | 577 | ||||||||||||||||||
15,405 | New Zealand Dollar | 10,604 | Goldman Sachs International | 06/03/16 | 135 | ||||||||||||||||||
216,775 | New Zealand Dollar | 146,208 | Royal Bank of Canada | 06/03/16 | 4,901 | ||||||||||||||||||
17,462 | New Zealand Dollar | 12,123 | Royal Bank of Canada | 06/03/16 | 49 | ||||||||||||||||||
50,263 | New Zealand Dollar | 33,962 | Societe Generale | 06/03/16 | 1,075 | ||||||||||||||||||
34,713 | New Zealand Dollar | 23,785 | Societe Generale | 06/03/16 | 413 | ||||||||||||||||||
17,199 | New Zealand Dollar | 11,999 | Societe Generale | 06/03/16 | (10 | ) | |||||||||||||||||
75,788 | New Zealand Dollar | 50,477 | Societe Generale | 06/03/16 | 2,354 | ||||||||||||||||||
45,771 | New Zealand Dollar | 31,240 | Societe Generale | 06/03/16 | 666 | ||||||||||||||||||
18,896 | New Zealand Dollar | 12,810 | Societe Generale | 06/03/16 | 362 | ||||||||||||||||||
11,491 | New Zealand Dollar | 7,628 | State Street Bank and Trust Company | 06/03/16 | 382 | ||||||||||||||||||
59,192 | New Zealand Dollar | 39,197 | State Street Bank and Trust Company | 06/03/16 | 2,065 | ||||||||||||||||||
40,255 | New Zealand Dollar | 27,306 | State Street Bank and Trust Company | 06/03/16 | 755 | ||||||||||||||||||
93,957 | New Zealand Dollar | 63,101 | State Street Bank and Trust Company | 06/03/16 | 2,395 | ||||||||||||||||||
66,451 | New Zealand Dollar | 44,901 | State Street Bank and Trust Company | 06/03/16 | 1,421 | ||||||||||||||||||
59,142 | New Zealand Dollar | 41,398 | State Street Bank and Trust Company | 06/03/16 | (171 | ) | |||||||||||||||||
41,175 | New Zealand Dollar | 28,247 | State Street Bank and Trust Company | 06/03/16 | 456 | ||||||||||||||||||
85,513 | Norwegian Krone | 10,234 | Royal Bank of Canada | 06/03/16 | 385 | ||||||||||||||||||
70,034 | Norwegian Krone | 8,367 | Royal Bank of Canada | 06/03/16 | 330 | ||||||||||||||||||
136,449 | Norwegian Krone | 15,885 | Societe Generale | 06/03/16 | 1,059 | ||||||||||||||||||
193,285 | Norwegian Krone | 23,214 | Societe Generale | 06/03/16 | 788 | ||||||||||||||||||
1,182,690 | Norwegian Krone | 137,944 | Societe Generale | 06/03/16 | 8,921 | ||||||||||||||||||
86,925 | Norwegian Krone | 10,669 | Societe Generale | 06/03/16 | 125 | ||||||||||||||||||
514,879 | Norwegian Krone | 60,317 | State Street Bank and Trust Company | 06/03/16 | 3,620 | ||||||||||||||||||
1,662,840 | Norwegian Krone | 194,198 | State Street Bank and Trust Company | 06/03/16 | 12,292 | ||||||||||||||||||
90,164 | Norwegian Krone | 10,669 | State Street Bank and Trust Company | 06/03/16 | 527 | ||||||||||||||||||
350,851 | Norwegian Krone | 42,110 | State Street Bank and Trust Company | 06/03/16 | 1,459 | ||||||||||||||||||
273,313 | Norwegian Krone | 32,987 | State Street Bank and Trust Company | 06/03/16 | 953 | ||||||||||||||||||
564,487 | Norwegian Krone | 68,622 | State Street Bank and Trust Company | 06/03/16 | 1,476 | ||||||||||||||||||
212,168 | Norwegian Krone | 25,759 | State Street Bank and Trust Company | 06/03/16 | 588 | ||||||||||||||||||
22,733 | Pound Sterling | 32,797 | Goldman Sachs International | 06/03/16 | 421 |
See Notes to Schedule of Investments
72
Schedule of Investments Multi-Asset Income Fund (Unaudited) (cont'd)
Contracts to Receive | In Exchange For | Counterparty | Settlement Date | Net Unrealized Appreciation (Depreciation) | |||||||||||||||||||
14,956 | Pound Sterling | $ | 21,529 | Royal Bank of Canada | 06/03/16 | $ | 325 | ||||||||||||||||
16,823 | Pound Sterling | 23,822 | Societe Generale | 06/03/16 | 760 | ||||||||||||||||||
150,240 | Pound Sterling | 213,867 | Societe Generale | 06/03/16 | 5,672 | ||||||||||||||||||
7,078 | Pound Sterling | 10,073 | Societe Generale | 06/03/16 | 269 | ||||||||||||||||||
23,417 | Pound Sterling | 33,560 | Societe Generale | 06/03/16 | 658 | ||||||||||||||||||
11,927 | Pound Sterling | 16,818 | Societe Generale | 06/03/16 | 610 | ||||||||||||||||||
5,828 | Pound Sterling | 8,342 | Societe Generale | 06/03/16 | 174 | ||||||||||||||||||
7,748 | Pound Sterling | 11,150 | Societe Generale | 06/03/16 | 172 | ||||||||||||||||||
18,670 | Pound Sterling | 26,841 | State Street Bank and Trust Company | 06/03/16 | 440 | ||||||||||||||||||
38,207 | Pound Sterling | 54,996 | State Street Bank and Trust Company | 06/03/16 | 834 | ||||||||||||||||||
13,237 | Pound Sterling | 18,882 | State Street Bank and Trust Company | 06/03/16 | 461 | ||||||||||||||||||
21,092 | Pound Sterling | 29,955 | State Street Bank and Trust Company | 06/03/16 | 865 | ||||||||||||||||||
13,193 | Pound Sterling | 18,571 | State Street Bank and Trust Company | 06/03/16 | 707 | ||||||||||||||||||
476,542 | Swedish Krona | 58,633 | Goldman Sachs International | 06/03/16 | 772 | ||||||||||||||||||
283,827 | Swedish Krona | 35,037 | Goldman Sachs International | 06/03/16 | 345 | ||||||||||||||||||
127,008 | Swedish Krona | 15,571 | Royal Bank of Canada | 06/03/16 | 262 | ||||||||||||||||||
895,078 | Swedish Krona | 105,998 | Royal Bank of Canada | 06/03/16 | 5,583 | ||||||||||||||||||
79,780 | Swedish Krona | 9,799 | Royal Bank of Canada | 06/03/16 | 147 | ||||||||||||||||||
78,102 | Swedish Krona | 9,529 | Royal Bank of Canada | 06/03/16 | 207 | ||||||||||||||||||
305,012 | Swedish Krona | 35,941 | Societe Generale | 06/03/16 | 2,082 | ||||||||||||||||||
299,063 | Swedish Krona | 37,046 | Societe Generale | 06/03/16 | 236 | ||||||||||||||||||
1,081,262 | Swedish Krona | 127,519 | Societe Generale | 06/03/16 | 7,271 | ||||||||||||||||||
261,334 | Swedish Krona | 32,104 | Societe Generale | 06/03/16 | 474 | ||||||||||||||||||
290,019 | Swedish Krona | 35,457 | State Street Bank and Trust Company | 06/03/16 | 697 | ||||||||||||||||||
208,285 | Swedish Krona | 25,668 | State Street Bank and Trust Company | 06/03/16 | 297 | ||||||||||||||||||
408,454 | Swedish Krona | 50,083 | State Street Bank and Trust Company | 06/03/16 | 835 | ||||||||||||||||||
801,656 | Swedish Krona | 98,780 | State Street Bank and Trust Company | 06/03/16 | 1,155 | ||||||||||||||||||
143,491 | Swedish Krona | 17,693 | State Street Bank and Trust Company | 06/03/16 | 194 | ||||||||||||||||||
10,988 | Swiss Franc | 11,293 | Goldman Sachs International | 06/03/16 | 176 | ||||||||||||||||||
8,684 | Swiss Franc | 8,982 | Royal Bank of Canada | 06/03/16 | 82 | ||||||||||||||||||
48,553 | Swiss Franc | 50,266 | Royal Bank of Canada | 06/03/16 | 412 | ||||||||||||||||||
124,378 | Swiss Franc | 129,257 | Societe Generale | 06/03/16 | 565 | ||||||||||||||||||
17,638 | Swiss Franc | 18,279 | Societe Generale | 06/03/16 | 131 | ||||||||||||||||||
9,445 | Swiss Franc | 9,555 | State Street Bank and Trust Company | 06/03/16 | 303 | ||||||||||||||||||
157,176 | Swiss Franc | 157,519 | State Street Bank and Trust Company | 06/03/16 | 6,536 | ||||||||||||||||||
36,861 | Swiss Franc | 38,123 | State Street Bank and Trust Company | 06/03/16 | 351 | ||||||||||||||||||
24,697 | Swiss Franc | 25,862 | State Street Bank and Trust Company | 06/03/16 | (84 | ) | |||||||||||||||||
31,937 | Swiss Franc | 33,165 | State Street Bank and Trust Company | 06/03/16 | 170 | ||||||||||||||||||
34,448 | Swiss Franc | 35,923 | State Street Bank and Trust Company | 06/03/16 | 32 | ||||||||||||||||||
Total | $ | 169,274 |
See Notes to Schedule of Investments
73
Schedule of Investments Multi-Asset Income Fund (Unaudited) (cont'd)
Contracts to Deliver | In Exchange For | Counterparty | Settlement Date | Net Unrealized Appreciation (Depreciation) | |||||||||||||||||||
24,416 | Australian Dollar | $ | 18,684 | Goldman Sachs International | 06/03/16 | $ | 143 | ||||||||||||||||
64,162 | Australian Dollar | 49,632 | Goldman Sachs International | 06/03/16 | 909 | ||||||||||||||||||
31,740 | Australian Dollar | 24,088 | Royal Bank of Canada | 06/03/16 | (15 | ) | |||||||||||||||||
14,692 | Australian Dollar | 11,254 | Royal Bank of Canada | 06/03/16 | 97 | ||||||||||||||||||
13,349 | Australian Dollar | 10,059 | Royal Bank of Canada | 06/03/16 | (78 | ) | |||||||||||||||||
68,507 | Australian Dollar | 50,547 | Societe Generale | 06/03/16 | (1,476 | ) | |||||||||||||||||
225,358 | Australian Dollar | 166,888 | Societe Generale | 06/03/16 | (4,245 | ) | |||||||||||||||||
86,058 | Australian Dollar | 64,497 | Societe Generale | 06/03/16 | (853 | ) | |||||||||||||||||
87,892 | Australian Dollar | 65,752 | Societe Generale | 06/03/16 | (992 | ) | |||||||||||||||||
34,909 | Australian Dollar | 27,180 | Societe Generale | 06/03/16 | 671 | ||||||||||||||||||
21,373 | Australian Dollar | 15,843 | State Street Bank and Trust Company | 06/03/16 | (387 | ) | |||||||||||||||||
35,847 | Australian Dollar | 27,018 | State Street Bank and Trust Company | 06/03/16 | (203 | ) | |||||||||||||||||
19,110 | Australian Dollar | 14,222 | State Street Bank and Trust Company | 06/03/16 | (290 | ) | |||||||||||||||||
49,951 | Australian Dollar | 37,886 | State Street Bank and Trust Company | 06/03/16 | (45 | ) | |||||||||||||||||
31,512 | Australian Dollar | 23,649 | State Street Bank and Trust Company | 06/03/16 | (281 | ) | |||||||||||||||||
36,031 | Australian Dollar | 27,369 | State Street Bank and Trust Company | 06/03/16 | 8 | ||||||||||||||||||
10,521 | Australian Dollar | 7,912 | State Street Bank and Trust Company | 06/03/16 | (77 | ) | |||||||||||||||||
62,673 | Australian Dollar | 47,132 | State Street Bank and Trust Company | 06/03/16 | (461 | ) | |||||||||||||||||
117,586 | Australian Dollar | 89,730 | State Street Bank and Trust Company | 06/03/16 | 438 | ||||||||||||||||||
83,774 | Canadian Dollar | 64,345 | Goldman Sachs International | 06/03/16 | (2,424 | ) | |||||||||||||||||
37,347 | Canadian Dollar | 29,555 | Goldman Sachs International | 06/03/16 | (211 | ) | |||||||||||||||||
555,041 | Canadian Dollar | 414,477 | Royal Bank of Canada | 06/03/16 | (27,896 | ) | |||||||||||||||||
14,411 | Canadian Dollar | 11,039 | Royal Bank of Canada | 06/03/16 | (447 | ) | |||||||||||||||||
32,691 | Canadian Dollar | 25,806 | Royal Bank of Canada | 06/03/16 | (250 | ) | |||||||||||||||||
25,864 | Canadian Dollar | 19,373 | Societe Generale | 06/03/16 | (1,241 | ) | |||||||||||||||||
29,219 | Canadian Dollar | 22,063 | Societe Generale | 06/03/16 | (1,225 | ) | |||||||||||||||||
45,129 | Canadian Dollar | 33,789 | Societe Generale | 06/03/16 | (2,179 | ) | |||||||||||||||||
63,293 | Canadian Dollar | 49,207 | Societe Generale | 06/03/16 | (1,239 | ) | |||||||||||||||||
153,504 | Canadian Dollar | 120,822 | Societe Generale | 06/03/16 | (1,522 | ) | |||||||||||||||||
54,692 | Canadian Dollar | 43,461 | Societe Generale | 06/03/16 | (129 | ) | |||||||||||||||||
34,472 | Canadian Dollar | 25,742 | State Street Bank and Trust Company | 06/03/16 | (1,732 | ) | |||||||||||||||||
77,095 | Canadian Dollar | 58,507 | State Street Bank and Trust Company | 06/03/16 | (2,939 | ) | |||||||||||||||||
83,974 | Canadian Dollar | 64,471 | State Street Bank and Trust Company | 06/03/16 | (2,457 | ) | |||||||||||||||||
24,850 | Canadian Dollar | 19,024 | State Street Bank and Trust Company | 06/03/16 | (781 | ) | |||||||||||||||||
80,613 | Canadian Dollar | 61,609 | State Street Bank and Trust Company | 06/03/16 | (2,641 | ) | |||||||||||||||||
127,498 | Canadian Dollar | 99,758 | State Street Bank and Trust Company | 06/03/16 | (1,859 | ) | |||||||||||||||||
12,710 | Euro | 14,048 | Deutsche Bank AG | 06/03/16 | (519 | ) | |||||||||||||||||
13,105 | Euro | 14,780 | Goldman Sachs International | 06/03/16 | (239 | ) | |||||||||||||||||
36,094 | Euro | 40,734 | Royal Bank of Canada | 06/03/16 | (633 | ) | |||||||||||||||||
19,118 | Euro | 21,785 | Royal Bank of Canada | 06/03/16 | (125 | ) | |||||||||||||||||
10,558 | Euro | 11,745 | Societe Generale | 06/03/16 | (355 | ) | |||||||||||||||||
67,052 | Euro | 76,359 | Societe Generale | 06/03/16 | (487 | ) | |||||||||||||||||
42,832 | Euro | 47,436 | State Street Bank and Trust Company | 06/03/16 | (1,652 | ) | |||||||||||||||||
56,608 | Euro | 62,701 | State Street Bank and Trust Company | 06/03/16 | (2,176 | ) |
See Notes to Schedule of Investments
74
Schedule of Investments Multi-Asset Income Fund (Unaudited) (cont'd)
Contracts to Deliver | In Exchange For | Counterparty | Settlement Date | Net Unrealized Appreciation (Depreciation) | |||||||||||||||||||
27,095 | Euro | $ | 30,842 | State Street Bank and Trust Company | 06/03/16 | $ | (211 | ) | |||||||||||||||
34,016 | Euro | 38,740 | State Street Bank and Trust Company | 06/03/16 | (244 | ) | |||||||||||||||||
28,331 | Euro | 31,920 | State Street Bank and Trust Company | 06/03/16 | (549 | ) | |||||||||||||||||
3,919,605 | Japanese Yen | 34,999 | Goldman Sachs International | 06/03/16 | (1,862 | ) | |||||||||||||||||
3,030,865 | Japanese Yen | 27,486 | Royal Bank of Canada | 06/03/16 | (1,017 | ) | |||||||||||||||||
2,308,615 | Japanese Yen | 21,392 | Royal Bank of Canada | 06/03/16 | (319 | ) | |||||||||||||||||
9,072,399 | Japanese Yen | 83,851 | Royal Bank of Canada | 06/03/16 | (1,470 | ) | |||||||||||||||||
3,677,427 | Japanese Yen | 32,459 | Societe Generale | 06/03/16 | (2,125 | ) | |||||||||||||||||
22,702,089 | Japanese Yen | 201,678 | Societe Generale | 06/03/16 | (11,822 | ) | |||||||||||||||||
3,745,213 | Japanese Yen | 33,005 | Societe Generale | 06/03/16 | (2,216 | ) | |||||||||||||||||
2,414,285 | Japanese Yen | 21,703 | Societe Generale | 06/03/16 | (1,002 | ) | |||||||||||||||||
4,201,186 | Japanese Yen | 38,947 | Societe Generale | 06/03/16 | (563 | ) | |||||||||||||||||
1,393,383 | Japanese Yen | 12,410 | State Street Bank and Trust Company | 06/03/16 | (694 | ) | |||||||||||||||||
4,882,847 | Japanese Yen | 43,821 | State Street Bank and Trust Company | 06/03/16 | (2,100 | ) | |||||||||||||||||
3,000,945 | Japanese Yen | 27,243 | State Street Bank and Trust Company | 06/03/16 | (979 | ) | |||||||||||||||||
1,301,750 | Japanese Yen | 11,944 | State Street Bank and Trust Company | 06/03/16 | (298 | ) | |||||||||||||||||
2,502,060 | Japanese Yen | 23,101 | State Street Bank and Trust Company | 06/03/16 | (430 | ) | |||||||||||||||||
105,958 | New Zealand Dollar | 71,236 | Deutsche Bank AG | 06/03/16 | (2,626 | ) | |||||||||||||||||
67,215 | New Zealand Dollar | 46,462 | Goldman Sachs International | 06/03/16 | (393 | ) | |||||||||||||||||
38,095 | New Zealand Dollar | 25,741 | Royal Bank of Canada | 06/03/16 | (814 | ) | |||||||||||||||||
19,189 | New Zealand Dollar | 12,970 | Royal Bank of Canada | 06/03/16 | (406 | ) | |||||||||||||||||
24,590 | New Zealand Dollar | 16,740 | Royal Bank of Canada | 06/03/16 | (401 | ) | |||||||||||||||||
28,408 | New Zealand Dollar | 19,709 | Royal Bank of Canada | 06/03/16 | (94 | ) | |||||||||||||||||
36,766 | New Zealand Dollar | 24,741 | Societe Generale | 06/03/16 | (887 | ) | |||||||||||||||||
318,112 | New Zealand Dollar | 213,778 | Societe Generale | 06/03/16 | (7,972 | ) | |||||||||||||||||
23,835 | New Zealand Dollar | 16,128 | Societe Generale | 06/03/16 | (487 | ) | |||||||||||||||||
28,044 | New Zealand Dollar | 19,278 | Societe Generale | 06/03/16 | (271 | ) | |||||||||||||||||
82,914 | New Zealand Dollar | 58,177 | Societe Generale | 06/03/16 | 379 | ||||||||||||||||||
41,949 | New Zealand Dollar | 28,172 | State Street Bank and Trust Company | 06/03/16 | (1,070 | ) | |||||||||||||||||
74,458 | New Zealand Dollar | 50,924 | State Street Bank and Trust Company | 06/03/16 | (979 | ) | |||||||||||||||||
13,473 | New Zealand Dollar | 9,114 | State Street Bank and Trust Company | 06/03/16 | (278 | ) | |||||||||||||||||
74,885 | New Zealand Dollar | 51,652 | State Street Bank and Trust Company | 06/03/16 | (549 | ) | |||||||||||||||||
72,163 | New Zealand Dollar | 49,931 | State Street Bank and Trust Company | 06/03/16 | (372 | ) | |||||||||||||||||
378,210 | Norwegian Krone | 44,266 | Deutsche Bank AG | 06/03/16 | (2,699 | ) | |||||||||||||||||
112,010 | Norwegian Krone | 13,575 | Goldman Sachs International | 06/03/16 | (334 | ) | |||||||||||||||||
127,215 | Norwegian Krone | 15,537 | Goldman Sachs International | 06/03/16 | (261 | ) | |||||||||||||||||
87,223 | Norwegian Krone | 10,532 | Royal Bank of Canada | 06/03/16 | (299 | ) | |||||||||||||||||
187,805 | Norwegian Krone | 23,014 | Royal Bank of Canada | 06/03/16 | (308 | ) | |||||||||||||||||
245,858 | Norwegian Krone | 29,445 | Societe Generale | 06/03/16 | (1,086 | ) | |||||||||||||||||
306,501 | Norwegian Krone | 36,826 | Societe Generale | 06/03/16 | (1,235 | ) | |||||||||||||||||
229,091 | Norwegian Krone | 28,131 | Societe Generale | 06/03/16 | (317 | ) | |||||||||||||||||
652,691 | Norwegian Krone | 80,492 | Societe Generale | 06/03/16 | (558 | ) | |||||||||||||||||
339,741 | Norwegian Krone | 40,372 | State Street Bank and Trust Company | 06/03/16 | (1,817 | ) | |||||||||||||||||
178,041 | Norwegian Krone | 21,011 | State Street Bank and Trust Company | 06/03/16 | (1,098 | ) |
See Notes to Schedule of Investments
75
Schedule of Investments Multi-Asset Income Fund (Unaudited) (cont'd)
Contracts to Deliver | In Exchange For | Counterparty | Settlement Date | Net Unrealized Appreciation (Depreciation) | |||||||||||||||||||
181,205 | Norwegian Krone | $ | 22,320 | State Street Bank and Trust Company | 06/03/16 | $ | (182 | ) | |||||||||||||||
31,214 | Pound Sterling | 44,467 | Deutsche Bank AG | 06/03/16 | (1,144 | ) | |||||||||||||||||
24,180 | Pound Sterling | 34,420 | Goldman Sachs International | 06/03/16 | (913 | ) | |||||||||||||||||
14,016 | Pound Sterling | 20,423 | Goldman Sachs International | 06/03/16 | (58 | ) | |||||||||||||||||
6,063 | Pound Sterling | 8,694 | Royal Bank of Canada | 06/03/16 | (165 | ) | |||||||||||||||||
6,830 | Pound Sterling | 9,961 | Royal Bank of Canada | 06/03/16 | (20 | ) | |||||||||||||||||
14,921 | Pound Sterling | 21,592 | Societe Generale | 06/03/16 | (212 | ) | |||||||||||||||||
30,089 | Pound Sterling | 42,663 | Societe Generale | 06/03/16 | (1,304 | ) | |||||||||||||||||
14,685 | Pound Sterling | 21,411 | Societe Generale | 06/03/16 | (48 | ) | |||||||||||||||||
40,222 | Pound Sterling | 58,647 | Societe Generale | 06/03/16 | (127 | ) | |||||||||||||||||
7,080 | Pound Sterling | 10,066 | State Street Bank and Trust Company | 06/03/16 | (280 | ) | |||||||||||||||||
7,563 | Pound Sterling | 10,735 | State Street Bank and Trust Company | 06/03/16 | (317 | ) | |||||||||||||||||
10,463 | Pound Sterling | 14,866 | State Street Bank and Trust Company | 06/03/16 | (423 | ) | |||||||||||||||||
18,529 | Pound Sterling | 26,300 | State Street Bank and Trust Company | 06/03/16 | (775 | ) | |||||||||||||||||
15,485 | Pound Sterling | 22,302 | State Street Bank and Trust Company | 06/03/16 | (326 | ) | |||||||||||||||||
7,951 | Pound Sterling | 11,463 | State Street Bank and Trust Company | 06/03/16 | (155 | ) | |||||||||||||||||
423,655 | Swedish Krona | 50,199 | Deutsche Bank AG | 06/03/16 | (2,614 | ) | |||||||||||||||||
207,808 | Swedish Krona | 25,543 | Goldman Sachs International | 06/03/16 | (362 | ) | |||||||||||||||||
68,944 | Swedish Krona | 8,515 | Royal Bank of Canada | 06/03/16 | (80 | ) | |||||||||||||||||
212,761 | Swedish Krona | 26,269 | Royal Bank of Canada | 06/03/16 | (254 | ) | |||||||||||||||||
298,243 | Swedish Krona | 37,048 | Royal Bank of Canada | 06/03/16 | (131 | ) | |||||||||||||||||
249,464 | Swedish Krona | 29,712 | Societe Generale | 06/03/16 | (1,386 | ) | |||||||||||||||||
336,545 | Swedish Krona | 41,050 | Societe Generale | 06/03/16 | (904 | ) | |||||||||||||||||
463,373 | Swedish Krona | 56,979 | Societe Generale | 06/03/16 | (786 | ) | |||||||||||||||||
162,788 | Swedish Krona | 20,191 | Societe Generale | 06/03/16 | (102 | ) | |||||||||||||||||
470,908 | Swedish Krona | 58,145 | Societe Generale | 06/03/16 | (558 | ) | |||||||||||||||||
443,079 | Swedish Krona | 55,055 | Societe Generale | 06/03/16 | (179 | ) | |||||||||||||||||
195,284 | Swedish Krona | 23,485 | State Street Bank and Trust Company | 06/03/16 | (859 | ) | |||||||||||||||||
499,411 | Swedish Krona | 60,182 | State Street Bank and Trust Company | 06/03/16 | (2,075 | ) | |||||||||||||||||
137,588 | Swedish Krona | 16,653 | State Street Bank and Trust Company | 06/03/16 | (498 | ) | |||||||||||||||||
139,050 | Swedish Krona | 17,095 | State Street Bank and Trust Company | 06/03/16 | (239 | ) | |||||||||||||||||
171,113 | Swedish Krona | 21,235 | State Street Bank and Trust Company | 06/03/16 | (95 | ) | |||||||||||||||||
460,303 | Swedish Krona | 56,605 | State Street Bank and Trust Company | 06/03/16 | (776 | ) | |||||||||||||||||
7,916 | Swiss Franc | 8,020 | Deutsche Bank AG | 06/03/16 | (243 | ) | |||||||||||||||||
11,402 | Swiss Franc | 11,860 | Goldman Sachs International | 06/03/16 | (41 | ) | |||||||||||||||||
10,679 | Swiss Franc | 11,072 | Goldman Sachs International | 06/03/16 | (75 | ) | |||||||||||||||||
12,653 | Swiss Franc | 13,084 | Royal Bank of Canada | 06/03/16 | (123 | ) | |||||||||||||||||
23,153 | Swiss Franc | 24,134 | Royal Bank of Canada | 06/03/16 | (32 | ) | |||||||||||||||||
7,585 | Swiss Franc | 7,918 | Royal Bank of Canada | 06/03/16 | 1 | ||||||||||||||||||
15,434 | Swiss Franc | 15,499 | Societe Generale | 06/03/16 | (610 | ) | |||||||||||||||||
531,882 | Swiss Franc | 538,236 | Societe Generale | 06/03/16 | (16,924 | ) | |||||||||||||||||
28,733 | Swiss Franc | 29,204 | Societe Generale | 06/03/16 | (786 | ) | |||||||||||||||||
9,829 | Swiss Franc | 10,244 | Societe Generale | 06/03/16 | (16 | ) | |||||||||||||||||
38,329 | Swiss Franc | 40,222 | Societe Generale | 06/03/16 | 215 |
See Notes to Schedule of Investments
76
Schedule of Investments Multi-Asset Income Fund (Unaudited) (cont'd)
Contracts to Deliver | In Exchange For | Counterparty | Settlement Date | Net Unrealized Appreciation (Depreciation) | |||||||||||||||||||
11,544 | Swiss Franc | $ | 12,143 | Societe Generale | 06/03/16 | $ | 94 | ||||||||||||||||
8,706 | Swiss Franc | 8,878 | State Street Bank and Trust Company | 06/03/16 | (209 | ) | |||||||||||||||||
12,629 | Swiss Franc | 12,848 | State Street Bank and Trust Company | 06/03/16 | (334 | ) | |||||||||||||||||
59,009 | Swiss Franc | 60,711 | State Street Bank and Trust Company | 06/03/16 | (881 | ) | |||||||||||||||||
7,917 | Swiss Franc | 8,279 | State Street Bank and Trust Company | 06/03/16 | 16 | ||||||||||||||||||
Total | $ | (157,923 | ) |
For the six months ended April 30, 2016, the Fund's investments in forward contracts had an average notional value of $9,059,883.
Written Option Contracts ("options written")
Written option transactions for the Fund for the six months ended April 30, 2016 were:
Number of Contracts | Premium Received | ||||||||||
Outstanding 10/31/2015 | 126 | $ | 5,860 | ||||||||
Options written | 188 | 7,905 | |||||||||
Options expired | (238 | ) | (9,322 | ) | |||||||
Options exercised | 18 | (1,378 | ) | ||||||||
Options closed | (58 | ) | (3,065 | ) | |||||||
Outstanding 4/30/2016 | — | $ | — |
For the six months ended April 30, 2016, the Fund had an average market value of options written of $(4,234).
See Notes to Schedule of Investments
77
Consolidated Schedule of Investments Risk Balanced Commodity Strategy Fund (Unaudited) 4/30/16
PRINCIPAL AMOUNT | VALUE† | ||||||||||
(000's omitted) | (000's omitted) |
U.S. Government Agency Securities (1.3%) | |||||||||||
$ | 1,000 | Federal Home Loan Banks, Bonds, 0.50%, due 6/30/16 (Cost $1,000) | $ | 1,000 | |||||||
Asset-Backed Securities (10.6%) | |||||||||||
264 | Ally Auto Receivables Trust, Ser. 2012-4, Class A4, 0.80%, due 10/16/17 | 264 | |||||||||
423 | Ally Auto Receivables Trust, Ser. 2015-1, Class A2, 0.92%, due 2/15/18 | 423 | |||||||||
375 | Bank of America Credit Card Trust, Ser. 2014-A2, Class A, 0.70%, due 9/16/19 | 375 | µ | ||||||||
990 | Capital One Multi-Asset Execution Trust, Ser. 2007-A2, Class A2, 0.51%, due 12/16/19 | 989 | µ | ||||||||
97 | CarMax Auto Owner Trust, Ser. 2013-1, Class A3, 0.60%, due 10/16/17 | 97 | |||||||||
28 | Ford Credit Auto Owner Trust, Ser. 2013-B, Class A3, 0.57%, due 10/15/17 | 28 | |||||||||
106 | Ford Credit Auto Owner Trust, Ser. 2013-C, Class A3, 0.82%, due 12/15/17 | 106 | |||||||||
635 | Honda Auto Receivables Owner Trust, Ser. 2016-1, Class A2, 1.01%, due 6/18/18 | 635 | |||||||||
306 | Huntington Auto Trust, Ser. 2015-1, Class A2, 0.76%, due 10/16/17 | 307 | |||||||||
171 | Hyundai Auto Receivables Trust, Ser. 2015-A, Class A2, 0.68%, due 10/16/17 | 171 | |||||||||
420 | Hyundai Auto Receivables Trust, Ser. 2016-A, Class A2A, 1.21%, due 6/17/19 | 421 | |||||||||
210 | Navient Student Loan Trust, Ser. 2014-8, Class A1, 0.72%, due 8/25/20 | 209 | µ | ||||||||
6 | Nelnet Student Loan Trust, Ser. 2006-1, Class A4, 0.71%, due 11/23/22 | 6 | µ | ||||||||
757 | Nissan Auto Receivables Owner Trust, Ser. 2015-A, Class A2, 0.67%, due 9/15/17 | 757 | |||||||||
209 | Nissan Auto Receivables Owner Trust, Ser. 2013-B, Class A3, 0.84%, due 11/15/17 | 209 | |||||||||
300 | Nissan Auto Receivables Owner Trust, Ser. 2016-B, Class A2A, 1.05%, due 4/15/19 | 300 | |||||||||
590 | Penarth Master Issuer PLC, Ser. 2015-2A, Class A1, 0.84%, due 5/18/19 | 588 | ñµ | ||||||||
7 | SLM Student Loan Trust, Ser. 2014-2, Class A1, 0.69%, due 7/25/19 | 7 | µ | ||||||||
282 | SLM Student Loan Trust, Ser. 2005-9, Class A5, 0.76%, due 1/27/25 | 281 | µ | ||||||||
334 | Toyota Auto Receivables Owner Trust, Ser. 2015-A, Class A2, 0.71%, due 7/17/17 | 334 | |||||||||
495 | Toyota Auto Receivables Owner Trust, Ser. 2016-A, Class A2A, 1.03%, due 7/16/18 | 495 | |||||||||
350 | Toyota Auto Receivables Owner Trust, Ser. 2015-A, Class A3, 1.12%, due 2/15/19 | 350 | |||||||||
982 | USAA Auto Owner Trust, Ser. 2015-1, Class A2, 0.82%, due 3/15/18 | 981 | |||||||||
Total Asset-Backed Securities (Cost $8,334) | 8,333 | ||||||||||
Corporate Debt Securities (45.5%) | |||||||||||
Aerospace & Defense (1.0%) | |||||||||||
805 | Rockwell Collins, Inc., Senior Unsecured Notes, 0.98%, due 12/15/16 | 806 | µ | ||||||||
Auto Manufacturers (4.0%) | |||||||||||
965 | American Honda Finance Corp., Senior Unsecured Notes, 1.13%, due 10/7/16 | 967 | µ | ||||||||
1,100 | Daimler Finance N.A. LLC, Guaranteed Notes, 0.98%, due 8/1/17 | 1,094 | ñµ | ||||||||
785 | Toyota Motor Credit Corp., Senior Unsecured Medium-Term Notes, 1.01%, due 4/6/18 | 785 | µ | ||||||||
335 | Toyota Motor Credit Corp., Senior Unsecured Medium-Term Notes, 1.44%, due 2/19/19 | 338 | µ | ||||||||
3,184 | |||||||||||
Banks (15.3%) | |||||||||||
960 | Bank of America N.A., Senior Unsecured Notes, 1.09%, due 11/14/16 | 961 | µ | ||||||||
490 | Bank of Montreal, Senior Unsecured Medium-Term Notes, 1.15%, due 7/15/16 | 490 | µ | ||||||||
700 | Capital One Financial Corp., Senior Unsecured Notes, 3.15%, due 7/15/16 | 703 | |||||||||
800 | Citigroup, Inc., Senior Unsecured Notes, 1.60%, due 7/25/16 | 801 | µ | ||||||||
885 | Goldman Sachs Group, Inc., Senior Unsecured Notes, 5.75%, due 10/1/16 | 902 | |||||||||
965 | HSBC USA, Inc., Senior Unsecured Notes, 0.92%, due 6/23/17 | 962 | µ | ||||||||
1,605 | JPMorgan Chase & Co., Senior Unsecured Notes, 1.14%, due 2/15/17 | 1,605 | µ | ||||||||
530 | Mizuho Bank Ltd., Guaranteed Notes, 1.06%, due 4/16/17 | 528 | ñµ | ||||||||
825 | Morgan Stanley, Senior Unsecured Medium-Term Notes, 5.75%, due 10/18/16 | 843 | |||||||||
395 | National Australia Bank Ltd., Senior Unsecured Notes, 1.19%, due 7/25/16 | 395 | µ |
See Notes to Schedule of Investments
78
Consolidated Schedule of Investments Risk Balanced Commodity Strategy Fund (Unaudited) (cont'd)
PRINCIPAL AMOUNT | VALUE† | ||||||||||
(000's omitted) | (000's omitted) |
$ | 485 | Royal Bank of Canada, Senior Unsecured Global Medium-Term Notes, 1.10%, due 9/9/16 | $ | 486 | µ | ||||||
450 | Svenska Handelsbanken AB, Senior Unsecured Notes, 1.09%, due 9/23/16 | 451 | µ | ||||||||
920 | U.S. Bank N.A., Senior Unsecured Bank Notes, 0.87%, due 1/30/17 | 920 | µ | ||||||||
675 | UBS AG/Stamford CT, Senior Unsecured Global Medium-Term Notes, 1.13%, due 9/26/16 | 676 | µ | ||||||||
1,340 | Wells Fargo & Co., Senior Unsecured Medium-Term Notes, 0.89%, due 9/8/17 | 1,335 | µ | ||||||||
12,058 | |||||||||||
Beverages (1.0%) | |||||||||||
494 | Anheuser-Busch Cos., LLC, Guaranteed Unsecured Notes, 5.05%, due 10/15/16 | 504 | |||||||||
300 | Anheuser-Busch InBev Finance, Inc., Guaranteed Notes, 0.82%, due 1/27/17 | 300 | µ | ||||||||
804 | |||||||||||
Commercial Services (0.6%) | |||||||||||
430 | ERAC USA Finance LLC, Guaranteed Notes, 6.20%, due 11/1/16 | 440 | ñ** | ||||||||
Computers (1.2%) | |||||||||||
900 | Apple, Inc., Senior Unsecured Notes, 1.44%, due 2/22/19 | 911 | µ | ||||||||
Diversified Financial Services (0.8%) | |||||||||||
640 | American Express Credit Corp., Senior Unsecured Notes, 1.15%, due 7/29/16 | 641 | µ | ||||||||
Electric (2.1%) | |||||||||||
600 | Commonwealth Edison Co., First Mortgage, 5.95%, due 8/15/16 | 608 | |||||||||
600 | Duke Energy Indiana LLC, Senior Unsecured Notes, 6.05%, due 6/15/16 | 604 | |||||||||
460 | Electricite de France, Senior Unsecured Notes, 1.09%, due 1/20/17 | 459 | ñµ | ||||||||
1,671 | |||||||||||
Healthcare - Products (1.9%) | |||||||||||
1,470 | Medtronic, Inc., Guaranteed Notes, 0.73%, due 2/27/17 | 1,468 | µ | ||||||||
Healthcare - Services (0.5%) | |||||||||||
370 | UnitedHealth Group, Inc., Senior Unsecured Notes, 1.08%, due 1/17/17 | 371 | µ | ||||||||
Insurance (1.6%) | |||||||||||
470 | Berkshire Hathaway Finance Corp., Guaranteed Notes, 1.32%, due 3/15/19 | 474 | µ | ||||||||
270 | Metropolitan Life Global Funding I, Secured Notes, 1.16%, due 7/15/16 | 270 | ñµ | ||||||||
495 | Principal Life Global Funding II, Senior Secured Notes, 1.01%, due 5/27/16 | 495 | ñµ | ||||||||
1,239 | |||||||||||
Machinery - Construction & Mining (1.0%) | |||||||||||
800 | Caterpillar Financial Services Corp., Senior Unsecured Global Medium-Term Notes, 0.81%, due 6/9/17 | 800 | µ | ||||||||
Machinery Diversified (0.3%) | |||||||||||
210 | John Deere Capital Corp., Senior Unsecured Notes, 0.92%, due 10/11/16 | 210 | µ |
See Notes to Schedule of Investments
79
Consolidated Schedule of Investments Risk Balanced Commodity Strategy Fund (Unaudited) (cont'd)
PRINCIPAL AMOUNT | VALUE† | ||||||||||
(000's omitted) | (000's omitted) |
Mining (0.9%) | |||||||||||
$ | 690 | BHP Billiton Finance USA Ltd., Guaranteed Notes, 0.88%, due 9/30/16 | $ | 689 | µ | ||||||
Oil & Gas (4.1%) | |||||||||||
535 | BP Capital Markets PLC, Guaranteed Notes, 1.04%, due 11/7/16 | 535 | µ | ||||||||
1,350 | Chevron Corp., Senior Unsecured Notes, 0.80%, due 3/2/18 | 1,341 | µ | ||||||||
530 | Exxon Mobil Corp., Senior Unsecured Notes, 1.23%, due 2/28/18 | 535 | µ | ||||||||
810 | Shell Int'l Finance BV, Guaranteed Notes, 0.94%, due 5/10/17 | 810 | µ | ||||||||
3,221 | |||||||||||
Pharmaceuticals (1.2%) | |||||||||||
335 | Bayer US Finance LLC, Guaranteed Notes, 0.88%, due 10/7/16 | 335 | ñµ | ||||||||
305 | Johnson & Johnson, Senior Unsecured Notes, 0.91%, due 3/1/19 | 306 | µ | ||||||||
290 | Merck & Co., Inc., Senior Unsecured Notes, 0.81%, due 5/18/16 | 290 | µ | ||||||||
931 | |||||||||||
Pipelines (1.5%) | |||||||||||
1,165 | TransCanada PipeLines Ltd., Senior Unsecured Notes, 1.31%, due 6/30/16 | 1,166 | µ | ||||||||
Real Estate Investment Trusts (0.8%) | |||||||||||
656 | Simon Property Group L.P., Senior Unsecured Notes, 5.25%, due 12/1/16 | 666 | |||||||||
Retail (1.0%) | |||||||||||
750 | Home Depot, Inc., Senior Unsecured Notes, 1.00%, due 9/15/17 | 753 | µ | ||||||||
Software (1.0%) | |||||||||||
825 | Oracle Corp., Senior Unsecured Notes, 0.83%, due 7/7/17 | 826 | µ | ||||||||
Telecommunications (3.7%) | |||||||||||
750 | AT&T, Inc., Senior Unsecured Notes, 2.40%, due 8/15/16 | 754 | |||||||||
1,450 | Cisco Systems, Inc., Senior Unsecured Notes, 0.91%, due 3/3/17 | 1,452 | µ | ||||||||
730 | Verizon Communications, Inc., Senior Unsecured Notes, 2.16%, due 9/15/16 | 733 | µ | ||||||||
2,939 | |||||||||||
Total Corporate Debt Securities (Cost $35,792) | 35,794 | ||||||||||
Certificates of Deposit (1.2%) | |||||||||||
950 | Nordea Bank Finland PLC, Yankee CD1, 0.68%, due 6/13/16 (Cost $950) | 950 | µ | ||||||||
Short-Term Investments (37.5%) | |||||||||||
U.S. Treasury Securities-Backed by the Full Faith and Credit of the U.S. Governmente (15.6%) | |||||||||||
5,750 | U.S. Treasury Bill, Disc. Notes, 0.12%, due 6/9/16 | 5,749 | |||||||||
1,000 | U.S. Treasury Bill, Disc. Notes, 0.09%, due 5/26/16 | 1,000 | |||||||||
3,000 | U.S. Treasury Bill, Disc. Notes, 0.17%, due 6/23/16 | 3,000 | |||||||||
2,500 | U.S. Treasury Bill, Disc. Notes, 0.16%, due 7/14/16 | 2,499 | |||||||||
12,248 |
See Notes to Schedule of Investments
80
Consolidated Schedule of Investments Risk Balanced Commodity Strategy Fund (Unaudited) (cont'd)
NUMBER OF SHARES | VALUE† | ||||||||||
(000's omitted) |
Money Market Fund (21.9%) | |||||||||||
17,239,885 | State Street Institutional U.S. Government Money Market Fund Premier Class, 0.23% | $ | 17,240 | ††dØØ | |||||||
Total Short-Term Investments (Cost $29,486) | 29,488 | ||||||||||
Total Investments (96.1%) (Cost $75,562) | 75,565 | ## | |||||||||
Cash, receivables and other assets, less liabilities (3.9%) | 3,033 | k | |||||||||
Total Net Assets (100.0%) | $ | 78,598 |
See Notes to Schedule of Investments
81
Consolidated Schedule of Investments Risk Balanced Commodity Strategy Fund (Unaudited) (cont'd)
Derivative Instruments Risk Balanced Commodity Strategy Fund:
Futures Contracts ("futures")
At April 30, 2016, open positions in futures(1) were as follows:
Expiration | Open Contracts | Position | Unrealized Appreciation (Depreciation) | ||||||||||||
June 2016 | 52 Lead | Long | $ | 138,489 | |||||||||||
June 2016 | 43 Nickel | Long | 228,453 | ||||||||||||
June 2016 | 42 Primary Aluminum | Long | 109,849 | ||||||||||||
June 2016 | 53 Zinc | Long | 228,540 | ||||||||||||
July 2016 | 56 Cocoa | Long | 152,453 | ||||||||||||
July 2016 | 19 Coffee 'C' | Long | 10,114 | ||||||||||||
July 2016 | 59 High Grade Copper | Long | 227,316 | ||||||||||||
July 2016 | 326 Corn | Long | 240,477 | ||||||||||||
July 2016 | 68 Cotton No. 2 | Long | 213,132 | ||||||||||||
July 2016 | 100 Hard Red Winter Wheat | Long | (40,830 | ) | |||||||||||
July 2016 | 62 Lead | Long | 107,902 | ||||||||||||
July 2016 | 82 Lean Hogs | Long | 27,675 | ||||||||||||
July 2016 | 60 Low Sulphur Gasoil | Long | 290,899 | ||||||||||||
July 2016 | 76 Natural Gas | Long | 85,002 | ||||||||||||
July 2016 | 80 Heating Oil | Long | 570,408 | ||||||||||||
July 2016 | 45 Nickel | Long | 248,148 | ||||||||||||
July 2016 | 75 Platinum | Long | 489,747 | ||||||||||||
July 2016 | 49 Primary Aluminum | Long | 127,979 | ||||||||||||
July 2016 | 72 New York Harbor RBOB Gasoline | Long | 348,333 | ||||||||||||
July 2016 | 32 Silver | Long | 421,676 | ||||||||||||
July 2016 | 52 Soybeans | Long | 360,083 | ||||||||||||
July 2016 | 99 Soybean Meal | Long | 556,279 | ||||||||||||
July 2016 | 60 Soybean Oil | Long | 68,584 | ||||||||||||
July 2016 | 48 Sugar 11 | Long | 120,200 | ||||||||||||
July 2016 | 100 Wheat | Long | 28,961 | ||||||||||||
July 2016 | 93 WTI Crude Oil | Long | 525,290 | ||||||||||||
July 2016 | 59 Zinc | Long | 176,363 | ||||||||||||
August 2016 | 96 Brent Crude Oil | Long | 549,663 | ||||||||||||
August 2016 | 19 Feeder Cattle | Long | (104,691 | ) | |||||||||||
August 2016 | 43 Gold 100 Oz. | Long | 253,709 | ||||||||||||
August 2016 | 38 Live Cattle | Long | (106,621 | ) | |||||||||||
June 2016 | 52 Lead | Short | (101,257 | ) | |||||||||||
June 2016 | 43 Primary Nickel | Short | (243,831 | ) |
See Notes to Schedule of Investments
82
Consolidated Schedule of Investments Risk Balanced Commodity Strategy Fund (Unaudited) (cont'd)
Expiration | Open Contracts | Position | Unrealized Appreciation (Depreciation) | ||||||||||||
June 2016 | 42 | Primary Aluminum | Short | $ | (188,359 | ) | |||||||||
June 2016 | 53 | Zinc | Short | (168,460 | ) | ||||||||||
$ | 5,951,675 |
(1) Commodity futures are 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 Financial Statements.
For the six months ended April 30, 2016, the average notional value of futures was $91,609,072 for long positions and $(22,384,418) for short positions.
At April 30, 2016, the notional value of futures was $87,784,997 for long positions and $(9,105,691) for short positions. The Fund had deposited $5,182,275 in a segregated account to cover margin requirements on open futures.
See Notes to Schedule of Investments
83
Notes to Schedule of Investmentsß (Unaudited)
† In accordance with Accounting Standards Codification ("ASC") 820 "Fair Value Measurement" ("ASC 820"), all investments held by each of Neuberger Berman Flexible Select Fund ("Flexible Select"), Neuberger Berman Global Allocation Fund ("Global Allocation") Neuberger Berman Inflation Managed Fund ("Inflation Managed"), Neuberger Berman Long Short Fund ("Long Short"), Neuberger Berman Long Short Credit Fund ("Long Short Credit"), Neuberger Berman Multi-Asset Income Fund ("Multi-Asset Income") and Neuberger Berman Risk Balanced Commodity Strategy Fund ("Risk Balanced Commodity Strategy"), (each individually a "Fund," and collectively, the "Funds") are carried at the value that Neuberger Berman Investment Advisers LLC ("NBIA" or "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 sale of a security on a particular day, the independent pricing services may value the security based on 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
84
Notes to Schedule of Investmentsß (Unaudited) (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.
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.
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 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 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 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 total return swaps and total return basket swaps is determined by Management by obtaining valuations from independent pricing services using the underlying asset and stated London Interbank Offered Rate ("LIBOR") or Federal Funds floating rate (Level 2 inputs).
Option contracts that are traded OTC are generally valued on the basis of quotations provided by broker-dealers or prices provided by independent pricing services 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 (Level 2 inputs).
The value of currency options is determined by Management by obtaining valuations from independent pricing services using a model that considers a number of factors, which may include volatility skews and curves (Level 2 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 respective fund's daily calculated net asset value per share (Level 2 inputs).
See Notes to Financial Statements
85
Notes to Schedule of Investmentsß (Unaudited) (cont'd)
If a valuation is not available from an independent pricing service, or if Management has reason to believe that the valuation received does not represent the amount a Fund might reasonably expect to receive on a current sale in an orderly transaction, Management seeks to obtain quotations from brokers or dealers (generally considered Level 2 or Level 3 inputs depending on the number of quotes available). If such quotations are not readily available, the security is valued using methods the Neuberger Berman Alternative Funds' Board of Trustees (the "Board") has approved in the good-faith belief that the resulting valuation will reflect the fair value of the security. Numerous factors may be considered when determining the fair value of a security based on Level 2 or Level 3 inputs, including available analyst, media or other reports, trading in futures or American Depositary Receipts ("ADRs") and whether the issuer of the security being fair valued has other securities outstanding.
The value of the Funds' investments in foreign securities is generally determined using the same valuation methods and inputs as other Fund investments, as discussed above. Foreign security prices expressed in local currency values are translated from the local currency into U.S. dollars using the exchange rates as of the end of regular trading on the New York Stock Exchange ("NYSE") on business days, usually 4:00 p.m., Eastern Time. The Board has approved the use of Interactive Data Pricing and Reference Data, Inc. ("Interactive") to assist in determining the fair value of foreign equity securities when changes in the value of a certain index suggest that the closing prices on the foreign exchanges may no longer represent the amount that a Fund could expect to receive for those securities or on days when foreign markets are closed and U.S. markets are open. In each of these events, Interactive will provide adjusted prices for certain foreign equity securities using a statistical analysis of historical correlations of multiple factors (Level 2 inputs). The Board has also approved the use of Interactive to evaluate the prices of foreign income securities as of the close of the NYSE. Interactive utilizes benchmark spread and yield curves and evaluates available market activity from the local close to the close of the NYSE (Level 2 inputs) to assist in determining prices for certain foreign income securities. In the case of both foreign equity and foreign income securities, in the absence of precise information about the market values of these foreign securities as of the close of the NYSE, the Board has determined on the basis of available data that prices adjusted or evaluated in this way are likely to be closer to the prices a Fund could realize on a current sale than are the prices of those securities established at the close of the foreign markets in which the securities primarily trade.
Fair value prices are necessarily estimates, and there is no assurance that such a price will be at or close to the price at which the security is next quoted or next trades.
The following is a summary, categorized by Level, of inputs used to value the Funds' investments as of April 30, 2016:
Asset Valuation Inputs (000's omitted) | Level 1 | Level 2 | Level 3 | Total | |||||||||||||||
Flexible Select | |||||||||||||||||||
Investments: | |||||||||||||||||||
Common Stocks^ | $ | 80,008 | $ | — | $ | — | $ | 80,008 | |||||||||||
Mutual Funds | — | 14,962 | — | 14,962 | |||||||||||||||
Short-Term Investments | — | 1,447 | — | 1,447 | |||||||||||||||
Total Investments | 80,008 | 16,409 | — | 96,417 |
See Notes to Financial Statements
86
Notes to Schedule of Investmentsß (Unaudited) (cont'd)
Asset Valuation Inputs (000's omitted) | Level 1 | Level 2 | Level 3 | Total | |||||||||||||||
Global Allocation | |||||||||||||||||||
Investments: | |||||||||||||||||||
Common Stocks | |||||||||||||||||||
Australia | $ | — | $ | 166 | $ | — | $ | 166 | |||||||||||
Hong Kong | 9 | 41 | — | 50 | |||||||||||||||
Japan | — | 463 | — | 463 | |||||||||||||||
Singapore | — | 38 | — | 38 | |||||||||||||||
Other Common Stocks^ | 10,546 | — | — | 10,546 | |||||||||||||||
Total Common Stocks | 10,555 | 708 | — | 11,263 | |||||||||||||||
U.S. Treasury Securities-Backed by the Full Faith and Credit of the U.S. Government | — | 728 | — | 728 | |||||||||||||||
U.S. Government Agency Securities | — | 34 | — | 34 | |||||||||||||||
Mortgage-Backed Securities^ | — | 156 | — | 156 | |||||||||||||||
Foreign Government Securities^ | — | 1,640 | — | 1,640 | |||||||||||||||
Exchange Traded Funds | 952 | — | — | 952 | |||||||||||||||
Mutual Funds | — | 7,622 | — | 7,622 | |||||||||||||||
Short-Term Investments | — | 644 | — | 644 | |||||||||||||||
Total Long Positions | 11,507 | 11,532 | — | 23,039 | |||||||||||||||
Inflation Managed | |||||||||||||||||||
Investments: | |||||||||||||||||||
Common Stocks^ | 2,244 | — | — | 2,244 | |||||||||||||||
Foreign Government Securities^ | — | 961 | — | 961 | |||||||||||||||
U.S. Treasury Securities-Backed by the Full Faith and Credit of the U.S. Government | — | 902 | — | 902 | |||||||||||||||
Master Limited Partnerships^ | 646 | — | — | 646 | |||||||||||||||
Mutual Funds | — | 1,841 | — | 1,841 | |||||||||||||||
Short-Term Investments | �� | — | 269 | — | 269 | ||||||||||||||
Total Investments | 2,890 | 3,973 | — | 6,863 | |||||||||||||||
Long Short | |||||||||||||||||||
Investments: | |||||||||||||||||||
Common Stocks^ | 1,934,695 | — | — | 1,934,695 | |||||||||||||||
Corporate Debt Securities^ | — | 218,189 | — | 218,189 | |||||||||||||||
Purchased Options | 6,218 | — | 0 | z | 6,218 | ||||||||||||||
Master Limited Partnerships^ | 22,383 | — | — | 22,383 | |||||||||||||||
Short-Term Investments | — | 455,277 | — | 455,277 | |||||||||||||||
Total Long Positions | 1,963,296 | 673,466 | 0 | z | 2,636,762 |
See Notes to Financial Statements
87
Notes to Schedule of Investmentsß (Unaudited) (cont'd)
Asset Valuation Inputs (000's omitted) | Level 1 | Level 2 | Level 3 | Total | |||||||||||||||
Long Short Credit | |||||||||||||||||||
Investments: | |||||||||||||||||||
Common Stocks^ | $ | 52 | $ | — | $ | — | $ | 52 | |||||||||||
Preferred Stocks^ | 251 | — | — | 251 | |||||||||||||||
Corporate Debt Securities^ | — | 14,852 | — | 14,852 | |||||||||||||||
Foreign Government Securities^ | — | 1,082 | — | 1,082 | |||||||||||||||
Purchased Options | — | 4 | — | 4 | |||||||||||||||
Short Term Investments | — | 12,938 | — | 12,938 | |||||||||||||||
Total Long Positions | 303 | 28,876 | — | 29,179 | |||||||||||||||
Multi-Asset Income | |||||||||||||||||||
Investments: | |||||||||||||||||||
Common Stocks | |||||||||||||||||||
Airlines | 11 | 14 | — | 25 | |||||||||||||||
Auto Components | 6 | 1 | — | 7 | |||||||||||||||
Banks | 163 | 63 | — | 226 | |||||||||||||||
Biotechnology | — | 3 | — | 3 | |||||||||||||||
Construction & Engineering | 33 | 3 | — | 36 | |||||||||||||||
Containers & Packaging | 41 | 5 | — | 46 | |||||||||||||||
Distributors | 6 | 3 | — | 9 | |||||||||||||||
Diversified Telecommunication Services | 164 | 40 | — | 204 | |||||||||||||||
Electric Utilities | 298 | 31 | — | 329 | |||||||||||||||
Food & Staples Retailing | 49 | 48 | — | 97 | |||||||||||||||
Food Products | 105 | 5 | — | 110 | |||||||||||||||
Health Care Providers & Services | 11 | 7 | — | 18 | |||||||||||||||
Hotels, Restaurants & Leisure | 73 | 11 | — | 84 | |||||||||||||||
Industrial Conglomerates | 89 | 5 | — | 94 | |||||||||||||||
Insurance | 317 | 10 | — | 327 | |||||||||||||||
Media | 100 | 3 | — | 103 | |||||||||||||||
Metals & Mining | 156 | 53 | — | 209 | |||||||||||||||
Multi-Utilities | 172 | 4 | — | 176 | |||||||||||||||
Multiline Retail | 61 | 2 | — | 63 | |||||||||||||||
Oil, Gas & Consumable Fuels | 721 | 3 | — | 724 | |||||||||||||||
Paper & Forest Products | 25 | 4 | — | 29 | |||||||||||||||
Pharmaceuticals | 608 | 21 | — | 629 | |||||||||||||||
Technology Hardware, Storage & Peripherals | 52 | 17 | — | 69 | |||||||||||||||
Textiles, Apparel & Luxury Goods | — | 4 | — | 4 | |||||||||||||||
Other Common Stocks^ | 2,420 | — | — | 2,420 | |||||||||||||||
Total Common Stocks | 5,681 | 360 | — | 6,041 |
See Notes to Financial Statements
88
Notes to Schedule of Investmentsß (Unaudited) (cont'd)
Asset Valuation Inputs (000's omitted) | Level 1 | Level 2 | Level 3 | Total | |||||||||||||||
Convertible Preferred Stocks^ | $ | 22 | $ | — | $ | — | $ | 22 | |||||||||||
Preferred Stocks^ | 277 | — | — | 277 | |||||||||||||||
Convertible Bonds^ | — | 44 | — | 44 | |||||||||||||||
U.S. Treasury Securities-Backed by the Full Faith and Credit of the U.S. Government | — | 840 | — | 840 | |||||||||||||||
U.S. Government Agency Securities | — | 123 | — | 123 | |||||||||||||||
Exchange Traded Funds | 1,648 | — | — | 1,648 | |||||||||||||||
Master Limited Partnerships^ | 641 | — | — | 641 | |||||||||||||||
Mutual Funds | — | 5,670 | — | 5,670 | |||||||||||||||
Short-Term Investments | — | 110 | — | 110 | |||||||||||||||
Total Investments | 8,269 | 7,147 | — | 15,416 | |||||||||||||||
Risk Balanced Commodity Strategy | |||||||||||||||||||
Investments: | |||||||||||||||||||
U.S. Government Agency Securities | — | 1,000 | — | 1,000 | |||||||||||||||
Asset-Backed Securities | — | 8,333 | — | 8,333 | |||||||||||||||
Corporate Debt Securities^ | — | 35,794 | — | 35,794 | |||||||||||||||
Certificates of Deposit | — | 950 | — | 950 | |||||||||||||||
Short-Term Investments | — | 29,488 | — | 29,488 | |||||||||||||||
Total Investments | — | 75,565 | — | 75,565 |
^ The Schedule of Investments (Consolidated Schedule of Investments for Risk Balanced Commodity Strategy) provides information on the industry or sector categorization for the portfolio. For global/international funds, the Schedule of Investments provides a geographic categorization as well as a Long Positions by Industry summary.
The following is a summary, categorized by Level, of inputs used to value the Funds' derivatives as of April 30, 2016:
Asset Valuation Inputs (000's omitted) | Level 1 | Level 2 | Level 3 | Total | |||||||||||||||
Global Allocation | |||||||||||||||||||
Futures contracts (unrealized appreciation) | $ | 88 | $ | — | $ | — | $ | 88 | |||||||||||
Forward contracts (unrealized appreciation) | — | 259 | — | 259 | |||||||||||||||
Total | $ | 88 | $ | 259 | $ | — | $ | 347 | |||||||||||
Inflation Managed | |||||||||||||||||||
Futures contracts (unrealized appreciation) | $ | 14 | $ | — | $ | — | $ | 14 | |||||||||||
Total | $ | 14 | $ | — | $ | — | $ | 14 | |||||||||||
Long Short | |||||||||||||||||||
Swap contracts | $ | — | $ | 18 | $ | — | $ | 18 | |||||||||||
Total | $ | — | $ | 18 | $ | — | $ | 18 | |||||||||||
Long Short Credit | |||||||||||||||||||
Swap contracts | $ | — | $ | 385 | $ | — | $ | 385 | |||||||||||
Total | $ | — | $ | 385 | $ | — | $ | 385 |
See Notes to Financial Statements
89
Notes to Schedule of Investmentsß (Unaudited) (cont'd)
Asset Valuation Inputs (000's omitted) | Level 1 | Level 2 | Level 3 | Total | |||||||||||||||
Multi-Asset Income | |||||||||||||||||||
Futures contracts (unrealized appreciation) | $ | 27 | $ | — | $ | — | $ | 27 | |||||||||||
Forward contracts (unrealized appreciation) | — | 174 | — | 174 | |||||||||||||||
Total | $ | 27 | $ | 174 | $ | — | $ | 201 | |||||||||||
Risk Balanced Commodity Strategy | |||||||||||||||||||
Futures contracts (unrealized appreciation) | $ | 6,906 | $ | — | $ | — | $ | 6,906 | |||||||||||
Total | $ | 6,906 | $ | — | $ | — | $ | 6,906 |
The following is a summary, categorized by Level, of inputs used to value the Funds' short investments as of April 30, 2016:
Liability Valuation Inputs (000's omitted) | Level 1 | Level 2 | Level 3§ | Total | |||||||||||||||
Global Allocation | |||||||||||||||||||
Common Stocks Sold Short | |||||||||||||||||||
Australia | $ | (19 | ) | $ | (57 | ) | $ | — | $ | (76 | ) | ||||||||
Hong Kong | — | (24 | ) | — | (24 | ) | |||||||||||||
Japan | — | (113 | ) | — | (113 | ) | |||||||||||||
Singapore | — | (28 | ) | — | (28 | ) | |||||||||||||
Other Common Stocks Sold Short^ | (3,215 | ) | — | — | (3,215 | ) | |||||||||||||
Total Common Stocks Sold Short | (3,234 | ) | (222 | ) | — | (3,456 | ) | ||||||||||||
Total Short Positions | $ | (3,234 | ) | $ | (222 | ) | $ | — | $ | (3,456 | ) | ||||||||
Long Short | |||||||||||||||||||
Common Stocks Sold Short^ | $ | (277,090 | ) | $ | — | $ | — | $ | (277,090 | ) | |||||||||
Exchange Traded Funds Sold Short | (127,316 | ) | — | — | (127,316 | ) | |||||||||||||
Master Limited Partnerships Sold Short^ | (9,854 | ) | — | — | (9,854 | ) | |||||||||||||
Total Short Positions | $ | (414,260 | ) | $ | — | $ | — | $ | (414,260 | ) | |||||||||
Long Short Credit | |||||||||||||||||||
Corporate Debt Securities Sold Short^ | $ | — | $ | (5,185 | ) | $ | — | $ | (5,185 | ) | |||||||||
Foreign Government Securities Sold Short^ | — | (202 | ) | — | (202 | ) | |||||||||||||
Total Short Positions | $ | — | $ | (5,387 | ) | $ | — | $ | (5,387 | ) |
^ The Schedule of Investments provides information on the industry or sector categorization for the portfolio. For global/international funds, the Schedule of Investments provides a geographic categorization as well as a Short Positions by Industry summary.
See Notes to Financial Statements
90
Notes to Schedule of Investmentsß (Unaudited) (cont'd)
§ The following is a reconciliation between the beginning and ending balances of investments in which unobservable inputs (Level 3) were used in determining value:
Beginning balance, as of 11/1/15 | 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 4/30/16 | Net change in unrealized appreciation/ (depreciation) from investments still held as of 4/30/16 | ||||||||||||||||||||||||||||||||||
Investments in Securities: | |||||||||||||||||||||||||||||||||||||||||||
Global Allocation | |||||||||||||||||||||||||||||||||||||||||||
Rights Sold Short‡‡ | |||||||||||||||||||||||||||||||||||||||||||
United States | $ | (18 | ) | $ | — | $ | — | $ | — | $ | 18 | $ | — | $ | — | $ | — | $ | — | $ | — | ||||||||||||||||||||||
Total | $ | (18 | ) | $ | — | $ | — | $ | — | $ | 18 | $ | — | $ | — | $ | — | $ | — | $ | — | ||||||||||||||||||||||
Long Short | |||||||||||||||||||||||||||||||||||||||||||
Purchased Optionsz‡‡ | $ | — | $ | — | $ | — | $ | (40 | ) | $ | 40 | $ | — | $ | — | $ | — | $ | 0 | $ | (40 | ) | |||||||||||||||||||||
Written Options‡‡ | — | — | — | (105 | ) | (183 | ) | — | — | (288 | ) | (105 | ) | ||||||||||||||||||||||||||||||
Total | $ | — | $ | — | $ | — | $ | (145 | ) | $ | 40 | $ | (183 | ) | $ | — | $ | — | $ | (288 | ) | $ | (145 | ) |
z Amount less than one thousand.
‡‡ For the six months ended April 30, 2016, Level 3 investments for Global Allocation and Long Short 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 six months ended April 30, 2016, no securities were transferred from one level (as of October 31, 2015) to another.
The following is a summary, categorized by Level, of inputs used to value the Funds' derivatives as of April 30, 2016:
Liability Valuation Inputs (000's omitted) | Level 1 | Level 2 | Level 3 | Total | |||||||||||||||
Global Allocation | |||||||||||||||||||
Futures contracts (unrealized depreciation) | $ | (95 | ) | $ | — | $ | — | $ | (95 | ) | |||||||||
Forward contracts (unrealized depreciation) | — | (231 | ) | — | (231 | ) | |||||||||||||
Total | $ | (95 | ) | $ | (231 | ) | $ | — | $ | (326 | ) | ||||||||
Inflation Managed | |||||||||||||||||||
Futures contracts (unrealized depreciation) | $ | (9 | ) | $ | — | $ | — | $ | (9 | ) | |||||||||
Total | $ | (9 | ) | $ | — | $ | — | $ | (9 | ) | |||||||||
Long Short | |||||||||||||||||||
Futures contracts (unrealized depreciation) | $ | (13,474 | ) | $ | — | $ | — | $ | (13,474 | ) | |||||||||
Swap contracts | — | (7,345 | ) | — | (7,345 | ) | |||||||||||||
Option contracts | (5,384 | ) | (130 | ) | (288 | ) | (5,802 | ) | |||||||||||
Total | $ | (18,858 | ) | $ | (7,475 | ) | $ | (288 | ) | $ | (26,621 | ) |
See Notes to Financial Statements
91
Notes to Schedule of Investmentsß (Unaudited) (cont'd)
Liability Valuation Inputs (000's omitted) | Level 1 | Level 2 | Level 3 | Total | |||||||||||||||
Long Short Credit | |||||||||||||||||||
Swap contracts | $ | — | $ | (1,670 | ) | $ | — | $ | (1,670 | ) | |||||||||
Forward contracts (unrealized depreciation) | — | (20 | ) | — | (20 | ) | |||||||||||||
Total | $ | — | $ | (1,690 | ) | $ | — | $ | (1,690 | ) | |||||||||
Multi-Asset Income | |||||||||||||||||||
Futures contracts (unrealized depreciation) | $ | (24 | ) | $ | — | $ | — | $ | (24 | ) | |||||||||
Forward contracts (unrealized depreciation) | — | (163 | ) | — | (163 | ) | |||||||||||||
Total | $ | (24 | ) | $ | (163 | ) | $ | — | $ | (187 | ) | ||||||||
Risk Balanced Commodity Strategy | |||||||||||||||||||
Futures contracts (unrealized depreciation) | $ | (954 | ) | $ | — | $ | — | $ | (954 | ) | |||||||||
Total | $ | (954 | ) | $ | — | $ | — | $ | (954 | ) |
## As of April 30, 2016, the gross unrealized appreciation (depreciation) of investments based on the aggregate cost of investments for federal income tax purposes was as follows:
(000's omitted) | Federal Income Tax Cost of Investments | Aggregate Gross Unrealized Appreciation | Aggregate Gross Unrealized Depreciation | Net Unrealized Appreciation (Depreciation) | |||||||||||||||
Flexible Select | $ | 92,419 | $ | 5,977 | $ | 1,979 | $ | 3,998 | |||||||||||
Global Allocation | 23,119 | 807 | 887 | (80 | ) | ||||||||||||||
Inflation Managed | 7,302 | 357 | 796 | (443 | ) | ||||||||||||||
Long Short | 2,418,010 | 287,164 | 68,412 | 218,752 | |||||||||||||||
Long Short Credit | 29,680 | 259 | 760 | (501 | ) | ||||||||||||||
Multi-Asset Income | 15,689 | 496 | 769 | (273 | ) | ||||||||||||||
Risk Balanced Commodity Strategy | 75,562 | 39 | 36 | 3 |
* Non-income producing security.
µµ Rounded to the nearest thousand.
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 or may have other restrictions on resale. At 4/30/2016, these securities amounted to approximately $129,000 or 0.6% of net assets for Global Allocation, approximately $11,000 or 0.2% of net assets for Inflation Managed, approximately $99,445,000 or 3.7% of net assets for Long Short, approximately $8,239,000 of long positions and $(732,000) of short positions or 23.6% and (2.1)%, respectively, of net assets for Long Short Credit, approximately $53,000 or 0.3% of net assets for Multi-Asset Income, and approximately $4,209,000 or 5.4% of net assets for Risk Balanced Commodity Strategy. These securities have been deemed by the investment manager to be liquid.
r Security exempt from registration pursuant to Regulation S under the Securities Act of 1933. Regulation S applies to securities offerings that are made outside of the United States and do not involve direct selling efforts in the United States and as such may have restrictions on resale. Total value of all such securities at 4/30/2016, amounted to approximately $1,256,000, which represents 6.1% of net assets of Global Allocation, approximately $835,000, which represents 12.2% of net assets of Inflation Managed and approximately $451,000, which represents 1.3% of net assets of Long Short Credit.
See Notes to Financial Statements
92
Notes to Schedule of Investmentsß (Unaudited) (cont'd)
f Security fair valued as of 4/30/2016 in accordance with procedures approved by the Board. Total value of all such securities at 4/30/2016, amounted to approximately $0, which represents approximately 0.0% of net assets of Long Short for long securities. Total value of all such securities at 4/30/2016, amounted to approximately $(288,000) which represents approximately (0.0)% of net assets of Long Short for written options.
Ø When issued security. Total value of all such securities at 4/30/2016, amounted to $501,000, which represents 1.4% of net assets of Long Short Credit.
t TBA (To Be Announced) Securities are purchased/sold on a forward commitment basis with an approximate principal amount and no defined maturity date. The actual principal and maturity date will be determined upon settlement when the specific mortgage pools are assigned. Total value of all such securities (excluding forward sales contracts, if any) at 4/30/2016, amounted to approximately $156,000, which represents 0.8% of net assets of Global Allocation.
ØØ All or a portion of this security is segregated in connection with obligations for TBAs and/or when-issued securities and/or for common stocks sold short and/or options written and/or forward contracts and/or swaps futures with a total value of approximately $5,778,000, $169,000, $1,333,001,000, $6,366,000, $2,079,000 and $11,908,000 of net assets for Global Allocation, Inflation Managed, Long Short, Long Short Credit, Multi-Asset Income and Risk Balanced Commodity Strategy, respectively.
È The security or a portion of this security is on loan at 4/30/2016. Total value of all such securities at 4/30/2016 amounted to approximately $226,000 for Global Allocation.
** 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 company as defined under the Investment Company Act of 1940. (see Note F of Notes to Financial Statements).
µ Variable or floating rate security—The interest rate shown was the current rate as of 4/30/2016 and changes periodically.
‡ At 4/30/2016 Global Allocation, Long Short and Long Short Credit had deposited $1,381,000, $427,041,000 and $5,055,000, respectively, in one or more accounts to satisfy 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.
†† All or a portion represents positions held by the Subsidiary.
a Principal amount is stated in the currency in which the security is denominated.
AUD = Australian Dollar
CAD = Canadian Dollar
EUR = Euro
GBP = Pound Sterling
MXN = Mexican Peso
NZD = New Zealand Dollar
ZAR = South African Rand
c Defaulted securities.
See Notes to Financial Statements
93
Notes to Schedule of Investmentsß (Unaudited) (cont'd)
d Represents 7-day effective yield as of 4/30/2016.
e Rate shown was the discount rate at the date of purchase.
g All or a portion of the security is pledged as collateral for securities sold short for Global Allocation. All or a portion of the security is pledged as collateral for securities sold short and written options for Long Short. All or a portion of the security was used to cover the margin requirement for futures contacts.
i Counterparty is Goldman Sachs International.
z Amount less than one thousand.
k Includes the impact of the Fund's open positions in derivatives at 4/30/2016.
ß Consolidated Schedule of Investments for Risk Balanced Commodity Strategy.
See Notes to Financial Statements
94
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95
Statements of Assets and Liabilities (Unaudited)
Neuberger Berman Alternative Funds
(000's omitted except per share amounts)
FLEXIBLE SELECT FUND | GLOBAL ALLOCATION FUND | INFLATION MANAGED FUND | |||||||||||||
April 30, 2016 | April 30, 2016 | April 30, 2016 | |||||||||||||
Assets | |||||||||||||||
Investments in securities, at value*† (Notes A & F)—see Schedule of Investments: | |||||||||||||||
Unaffiliated issuers | $ | 81,455 | $ | 15,417 | $ | 5,022 | |||||||||
Affiliated issuers | 14,962 | 7,622 | 1,841 | ||||||||||||
96,417 | 23,039 | 6,863 | |||||||||||||
Cash | — | — | — | ||||||||||||
Foreign currency* | — | 68 | — | ||||||||||||
Cash collateral segregated for short sales (Note A) | — | 1,150 | — | ||||||||||||
Cash collateral segregated for futures contracts (Note A) | — | 193 | 26 | ||||||||||||
Cash collateral segregated for option contracts (Note A) | — | — | — | ||||||||||||
Cash collateral segregated for swap contracts (Note A) | — | — | — | ||||||||||||
Cash collateral for securities loaned (Note A) | — | 231 | — | ||||||||||||
Dividends and interest receivable | 133 | 55 | 14 | ||||||||||||
Receivable for securities sold | — | 7 | 82 | ||||||||||||
Receivable for variation margin on futures contracts (Note A) | — | — | — | ||||||||||||
Receivable from broker | — | — | — | ||||||||||||
Receivable for Fund shares sold | — | 5 | 4 | ||||||||||||
Receivable from Management—net (Note B) | 8 | 34 | 33 | ||||||||||||
Receivable for variation margin on centrally cleared swap contracts | — | — | — | ||||||||||||
OTC swap contracts, at value (Note A) | — | — | — | ||||||||||||
Receivable for forward foreign currency contracts (Note A) | — | 259 | — | ||||||||||||
Prepaid expenses and other assets | 31 | 35 | 29 | ||||||||||||
Total Assets | 96,589 | 25,076 | 7,051 | ||||||||||||
Liabilities | |||||||||||||||
Investments sold short, at value** (Note A) | — | 3,456 | — | ||||||||||||
OTC swap contracts, at value (Note A) | — | — | — | ||||||||||||
Due to custodian | — | — | 1 | ||||||||||||
Interest payable for short sales | — | 12 | — | ||||||||||||
Payable for collateral on securities loaned (Note A) | — | 231 | — | ||||||||||||
Payable to investment manager—net (Notes A & B) | 43 | 6 | 3 | ||||||||||||
Option contracts written, at value*** (Note A) | — | — | — | ||||||||||||
Payable for variation margin on futures contracts (Note A) | — | 2 | — | ||||||||||||
Payable for securities purchased | 37 | 179 | 102 | ||||||||||||
Payable for Fund shares redeemed | — | 71 | — | ||||||||||||
Payable to administrator—net (Note B) | — | — | — | ||||||||||||
Payable to trustees | 1 | 1 | 1 | ||||||||||||
Payable for forward foreign currency contracts (Note A) | — | 231 | — | ||||||||||||
Accrued expenses and other payables | 88 | 162 | 115 | ||||||||||||
Total Liabilities | 169 | 4,351 | 222 | ||||||||||||
Net Assets | $ | 96,420 | $ | 20,725 | $ | 6,829 | |||||||||
Net Assets consist of: | |||||||||||||||
Paid-in capital | $ | 91,429 | $ | 21,438 | $ | 10,055 | |||||||||
Undistributed net investment income (loss) | 178 | (171 | ) | 14 | |||||||||||
Distributions in excess of net investment income | — | — | — | ||||||||||||
Accumulated net realized gains (losses) on investments | 734 | (539 | ) | (2,765 | ) | ||||||||||
Net unrealized appreciation (depreciation) in value of investments | 4,079 | (3 | ) | (475 | ) | ||||||||||
Net Assets | $ | 96,420 | $ | 20,725 | $ | 6,829 |
See Notes to Financial Statements
96
Statements of Assets and Liabilities (Unaudited) (cont'd)
Neuberger Berman Alternative Funds (cont'd)
(000's omitted except per share amounts)
FLEXIBLE SELECT FUND | GLOBAL ALLOCATION FUND | INFLATION MANAGED FUND | |||||||||||||
April 30, 2016 | April 30, 2016 | April 30, 2016 | |||||||||||||
Net Assets | |||||||||||||||
Institutional Class | $ | 96,006 | $ | 8,398 | $ | 4,226 | |||||||||
Class A | 265 | 6,707 | 270 | ||||||||||||
Class C | 149 | 5,620 | 185 | ||||||||||||
Class R6 | — | — | 2,148 | ||||||||||||
Shares Outstanding ($.001 par value; unlimited shares authorized) | |||||||||||||||
Institutional Class | 8,756 | 814 | 457 | ||||||||||||
Class A | 24 | 655 | 29 | ||||||||||||
Class C | 14 | 560 | 20 | ||||||||||||
Class R6 | — | — | 232 | ||||||||||||
Net Asset Value, offering and redemption price per share | |||||||||||||||
Institutional Class | $ | 10.96 | $ | 10.31 | $ | 9.25 | |||||||||
Class R6 | — | — | 9.27 | ||||||||||||
Net Asset Value and redemption price per share | |||||||||||||||
Class A | $ | 10.95 | $ | 10.24 | $ | 9.26 | |||||||||
Offering Price per share | |||||||||||||||
Class A‡ | $ | 11.62 | $ | 10.86 | $ | 9.82 | |||||||||
Net Asset Value and offering price per share | |||||||||||||||
Class C^ | $ | 10.82 | $ | 10.03 | $ | 9.09 | |||||||||
†Securities on loan, at value: | |||||||||||||||
Unaffiliated issuers | $ | — | $ | 226 | $ | — | |||||||||
*Cost of Investments: | |||||||||||||||
Unaffiliated issuers | $ | 77,409 | $ | 15,089 | $ | 5,230 | |||||||||
Affiliated issuers | 14,929 | 7,906 | 2,112 | ||||||||||||
Total cost of investments | $ | 92,338 | $ | 22,995 | $ | 7,342 | |||||||||
Total cost of foreign currency | $ | — | $ | 66 | $ | — | |||||||||
**Proceeds from investments sold short | $ | — | $ | 3,385 | $ | — | |||||||||
***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.
See Notes to Financial Statements
97
Statements of Assets and Liabilities (Unaudited) (cont'd)
Neuberger Berman Alternative Funds
(000's omitted except per share amounts)
LONG SHORT FUND | LONG SHORT CREDIT FUND | MULTI-ASSET INCOME FUND | |||||||||||||
April 30, 2016 | April 30, 2016 | April 30, 2016 | |||||||||||||
Assets | |||||||||||||||
Investments in securities, at value*† (Notes A & F)—see Schedule of Investments: | |||||||||||||||
Unaffiliated issuers | $ | 2,636,762 | $ | 29,179 | $ | 9,746 | |||||||||
Affiliated issuers | — | — | 5,670 | ||||||||||||
2,636,762 | 29,179 | 15,416 | |||||||||||||
Cash | — | — | 18 | ||||||||||||
Foreign currency* | 51 | 56 | — | ||||||||||||
Cash collateral segregated for short sales (Note A) | 427,041 | 10,777 | — | ||||||||||||
Cash collateral segregated for futures contracts (Note A) | 20,096 | — | 29 | ||||||||||||
Cash collateral segregated for option contracts (Note A) | 35,707 | — | 18 | ||||||||||||
Cash collateral segregated for swap contracts (Note A) | 7,840 | 1,974 | — | ||||||||||||
Cash collateral for securities loaned (Note A) | — | — | — | ||||||||||||
Dividends and interest receivable | 4,753 | 314 | 55 | ||||||||||||
Receivable for securities sold | 49,335 | 151 | 13 | ||||||||||||
Receivable for variation margin on futures contracts (Note A) | 3,055 | — | — | ||||||||||||
Receivable for Fund shares sold | 4,551 | — | — | ||||||||||||
Receivable from broker | — | 152 | — | ||||||||||||
Receivable from Management—net (Note B) | — | 24 | 41 | ||||||||||||
Receivable for variation margin on centrally cleared swap contracts | — | 107 | — | ||||||||||||
OTC swap contracts, at value (Note A) | 18 | 385 | — | ||||||||||||
Receivable for forward foreign currency contracts (Note A) | — | — | 175 | ||||||||||||
Prepaid expenses and other assets | 118 | 51 | 41 | ||||||||||||
Total Assets | 3,189,327 | 43,170 | 15,806 | ||||||||||||
Liabilities | |||||||||||||||
Investments sold short, at value** (Note A) | 414,260 | 5,387 | — | ||||||||||||
OTC swap contracts, at value (Note A) | 7,345 | 1,670 | — | ||||||||||||
Due to custodian | — | — | 17 | ||||||||||||
Dividends payable for short sales | 375 | 104 | — | ||||||||||||
Payable for collateral on securities loaned (Note A) | — | — | — | ||||||||||||
Payable to investment manager—net (Notes A & B) | 2,486 | 22 | 3 | ||||||||||||
Option contracts written, at value*** (Note A) | 5,802 | — | — | ||||||||||||
Payable for variation margin on futures contracts (Note A) | — | — | 2 | ||||||||||||
Payable for securities purchased | 49,790 | 868 | 38 | ||||||||||||
Payable for Fund shares redeemed | 3,648 | 38 | 30 | ||||||||||||
Payable to administrator—net (Note B) | 556 | — | — | ||||||||||||
Payable to trustees | — | — | 1 | ||||||||||||
Payable for forward foreign currency contracts (Note A) | — | 20 | 163 | ||||||||||||
Accrued expenses and other payables | 544 | 95 | 121 | ||||||||||||
Total Liabilities | 484,806 | 8,204 | 375 | ||||||||||||
Net Assets | $ | 2,704,521 | $ | 34,966 | $ | 15,431 | |||||||||
Net Assets consist of: | |||||||||||||||
Paid-in capital | $ | 2,623,007 | $ | 36,697 | $ | 16,381 | |||||||||
Undistributed net investment income (loss) | — | — | — | ||||||||||||
Distributions in excess of net investment income | (13,071 | ) | (174 | ) | (43 | ) | |||||||||
Accumulated net realized gains (losses) on investments | (84,395 | ) | (834 | ) | (604 | ) | |||||||||
Net unrealized appreciation (depreciation) in value of investments | 178,980 | (723 | ) | (303 | ) | ||||||||||
Net Assets | $ | 2,704,521 | $ | 34,966 | $ | 15,431 |
See Notes to Financial Statements
98
Statements of Assets and Liabilities (Unaudited) (cont'd)
Neuberger Berman Alternative Funds (cont'd)
(000's omitted except per share amounts)
LONG SHORT FUND | LONG SHORT CREDIT FUND | MULTI-ASSET INCOME FUND | |||||||||||||
April 30, 2016 | April 30, 2016 | April 30, 2016 | |||||||||||||
Net Assets | |||||||||||||||
Institutional Class | $ | 2,282,742 | $ | 28,019 | $ | 10,654 | |||||||||
Class A | 275,006 | 1,298 | 516 | ||||||||||||
Class C | 146,773 | 941 | 473 | ||||||||||||
Class R6 | — | 4,708 | 3,788 | ||||||||||||
Shares Outstanding ($.001 par value; unlimited shares authorized) | |||||||||||||||
Institutional Class | 180,043 | 2,982 | 1,132 | ||||||||||||
Class A | 21,957 | 138 | 55 | ||||||||||||
Class C | 12,087 | 100 | 50 | ||||||||||||
Class R6 | — | 501 | 403 | ||||||||||||
Net Asset Value, offering and redemption price per share | |||||||||||||||
Institutional Class | $ | 12.68 | $ | 9.40 | $ | 9.41 | |||||||||
Class R6 | — | 9.40 | 9.41 | ||||||||||||
Net Asset Value and redemption price per share | |||||||||||||||
Class A | $ | 12.52 | $ | 9.40 | $ | 9.41 | |||||||||
Offering Price per share | |||||||||||||||
Class A‡ | $ | 13.29 | $ | 9.82 | $ | 9.83 | |||||||||
Net Asset Value and offering price per share | |||||||||||||||
Class C^ | $ | 12.14 | $ | 9.40 | $ | 9.41 | |||||||||
†Securities on loan, at value: | |||||||||||||||
Unaffiliated issuers | $ | — | $ | — | $ | — | |||||||||
*Cost of Investments: | |||||||||||||||
Unaffiliated issuers | $ | 2,405,277 | $ | 29,681 | $ | 9,793 | |||||||||
Affiliated issuers | — | ��� | 5,940 | ||||||||||||
Total cost of investments | $ | 2,405,277 | $ | 29,681 | $ | 15,733 | |||||||||
Total cost of foreign currency | $ | 51 | $ | 56 | $ | 1 | |||||||||
**Proceeds from investments sold short | $ | 382,927 | $ | 4,977 | $ | — | |||||||||
***Premium received from option contracts written | $ | 5,424 | $ | — | $ | — |
‡ 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
99
Statements of Assets and Liabilities (Unaudited) (cont'd)
Neuberger Berman Alternative Funds
(000's omitted except per share amounts)
RISK BALANCED COMMODITY STRATEGY FUNDa | |||||||
April 30, 2016 | |||||||
Assets | |||||||
Investments in securities, at value*† (Notes A & F)—see Schedule of Investments: | |||||||
Unaffiliated issuers | $ | 75,565 | |||||
Affiliated issuers | — | ||||||
75,565 | |||||||
Cash | 2 | ||||||
Foreign currency* | — | ||||||
Cash collateral segregated for short sales (Note A) | — | ||||||
Cash collateral segregated for futures contracts (Note A) | 5,182 | ||||||
Cash collateral segregated for option contracts (Note A) | — | ||||||
Cash collateral segregated for swap contracts (Note A) | — | ||||||
Cash collateral for securities loaned (Note A) | — | ||||||
Dividends and interest receivable | 115 | ||||||
Receivable for securities sold | — | ||||||
Receivable for variation margin on futures contracts (Note A) | 466 | ||||||
Receivable for Fund shares sold | 31 | ||||||
Receivable from broker | — | ||||||
Receivable from Management—net (Note B) | 40 | ||||||
Receivable for variation margin on centrally cleared swap contracts | — | ||||||
OTC swap contracts, at value (Note A) | — | ||||||
Receivable for forward foreign currency contracts (Note A) | — | ||||||
Prepaid expenses and other assets | 17 | ||||||
Total Assets | 81,418 | ||||||
Liabilities | |||||||
Investments sold short, at value** (Note A) | — | ||||||
OTC swap contracts, at value (Note A) | — | ||||||
Interest payable for short sales | — | ||||||
Payable for collateral on securities loaned (Note A) | — | ||||||
Payable to investment manager—net (Notes A & B) | 50 | ||||||
Option contracts written, at value*** (Note A) | — | ||||||
Payable for securities purchased | 2,499 | ||||||
Payable for Fund shares redeemed | 139 | ||||||
Payable to administrator—net (Note B) | — | ||||||
Payable to trustees | — | ||||||
Payable for forward foreign currency contracts (Note A) | — | ||||||
Accrued expenses and other payables | 132 | ||||||
Total Liabilities | 2,820 | ||||||
Net Assets | $ | 78,598 | |||||
Net Assets consist of: | |||||||
Paid-in capital | $ | 79,242 | |||||
Undistributed net investment income (loss) | (813 | ) | |||||
Distributions in excess of net investment income | — | ||||||
Accumulated net realized gains (losses) on investments | (5,785 | ) | |||||
Net unrealized appreciation (depreciation) in value of investments | 5,954 | ||||||
Net Assets | $ | 78,598 |
See Notes to Financial Statements
100
Statements of Assets and Liabilities (Unaudited) (cont'd)
Neuberger Berman Alternative Funds (cont'd)
(000's omitted except per share amounts)
RISK BALANCED COMMODITY STRATEGY FUNDa | |||||||
April 30, 2016 | |||||||
Net Assets | |||||||
Institutional Class | $ | 42,808 | |||||
Class A | 34,960 | ||||||
Class C | 830 | ||||||
Class R6 | — | ||||||
Shares Outstanding ($.001 par value; unlimited shares authorized) | |||||||
Institutional Class | 7,059 | ||||||
Class A | 5,844 | ||||||
Class C | 143 | ||||||
Class R6 | — | ||||||
Net Asset Value, offering and redemption price per share | |||||||
Institutional Class | $ | 6.06 | |||||
Class R6 | — | ||||||
Net Asset Value and redemption price per share | |||||||
Class A | $ | 5.98 | |||||
Offering Price per share | |||||||
Class A‡ | $ | 6.34 | |||||
Net Asset Value and offering price per share | |||||||
Class C^ | $ | 5.82 | |||||
†Securities on loan, at value: | |||||||
Unaffiliated issuers | $ | — | |||||
*Cost of Investments: | |||||||
Unaffiliated issuers | $ | 75,562 | |||||
Affiliated issuers | — | ||||||
Total cost of investments | $ | 75,562 | |||||
Total cost of foreign currency | $ | — | |||||
**Proceeds from investments sold short | $ | — | |||||
***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 Consolidated financial statement, see Note A in the Notes to Financial Statements for additional information.
See Notes to Financial Statements
101
Statements of Operations (Unaudited)
Neuberger Berman Alternative Funds
(000's omitted)
FLEXIBLE SELECT FUND | GLOBAL ALLOCATION FUND | INFLATION MANAGED FUND | |||||||||||||
For the Six Months Ended April 30, 2016 | For the Six Months Ended April 30, 2016 | For the Six Months Ended April 30, 2016 | |||||||||||||
Investment Income: | |||||||||||||||
Income (Note A): | |||||||||||||||
Dividend income—unaffiliated issuers | $ | 590 | $ | 134 | $ | 86 | |||||||||
Dividend income—affiliated issuers (Notes A & F) | 196 | 101 | 40 | ||||||||||||
Interest and other income—unaffiliated issuers | 1 | 16 | 2 | ||||||||||||
Income from securities loaned—net (Note A) | — | 1 | — | ||||||||||||
Foreign taxes withheld (Note A) | (6 | ) | (5 | ) | — | ||||||||||
Total income | $ | 781 | $ | 247 | $ | 128 | |||||||||
Expenses: | |||||||||||||||
Investment management fees (Note B) | 280 | 68 | 31 | ||||||||||||
Administration fees (Note B) | 28 | 6 | 3 | ||||||||||||
Administration fees (Note B): | |||||||||||||||
Institutional Class | 42 | 4 | 4 | ||||||||||||
Class A | — | 7 | — | ||||||||||||
Class C | — | 6 | — | ||||||||||||
Class R6 | — | — | — | ||||||||||||
Distribution fees (Note B): | |||||||||||||||
Class A | — | 9 | — | ||||||||||||
Class C | 1 | 29 | 1 | ||||||||||||
Shareholder servicing agent fees: | |||||||||||||||
Institutional Class | — | — | — | ||||||||||||
Class A | — | 1 | — | ||||||||||||
Class C | — | 1 | — | ||||||||||||
Class R6 | — | — | — | ||||||||||||
Subsidiary Administration Fees | — | — | — | ||||||||||||
Audit fees | 26 | 32 | 33 | ||||||||||||
Custodian and accounting fees | 38 | 124 | 52 | ||||||||||||
Insurance expense | 2 | — | — | ||||||||||||
Legal fees | 66 | 68 | 61 | ||||||||||||
Registration and filing fees | 25 | 32 | 35 | ||||||||||||
Shareholder reports | 3 | 2 | 2 | ||||||||||||
Trustees' fees and expenses | 20 | 20 | 20 | ||||||||||||
Dividend and interest expense on securities sold short (Note A) | — | 59 | — | ||||||||||||
Interest expense | 1 | — | 1 | ||||||||||||
Miscellaneous | 5 | 13 | 13 | ||||||||||||
Total expenses | 537 | 481 | 256 | ||||||||||||
Expenses reimbursed by Management (Note B) | (138 | ) | (284 | ) | (211 | ) | |||||||||
Investment management fees waived (Note A) | (22 | ) | (29 | ) | (8 | ) | |||||||||
Total net expenses | 377 | 168 | 37 | ||||||||||||
Net investment income (loss) | $ | 404 | $ | 79 | $ | 91 |
See Notes to Financial Statements
102
Statements of Operations (Unaudited) (cont'd)
Neuberger Berman Alternative Funds (cont'd)
(000's omitted)
FLEXIBLE SELECT FUND | GLOBAL ALLOCATION FUND | INFLATION MANAGED FUND | |||||||||||||
For the Six Months Ended April 30, 2016 | For the Six Months Ended April 30, 2016 | For the Six Months Ended April 30, 2016 | |||||||||||||
Realized and Unrealized Gain (Loss) on Investments (Note A): | |||||||||||||||
Net realized gain (loss) on: | |||||||||||||||
Sales of investment securities of unaffiliated issuers | 869 | (197 | ) | (1,834 | ) | ||||||||||
Sales of investment securities of affiliated issuers | (8 | ) | (168 | ) | (514 | ) | |||||||||
Sales of investment securities of unaffiliated issuers sold short | — | (39 | ) | — | |||||||||||
Realized gain distributions from affiliated issuers | 8 | — | — | ||||||||||||
Forward foreign currency contracts | — | 32 | — | ||||||||||||
Foreign currency | (1 | ) | — | (9 | ) | ||||||||||
Futures contracts | — | (8 | ) | (87 | ) | ||||||||||
Option contracts and swaptions written | — | — | — | ||||||||||||
Swap contracts | — | — | — | ||||||||||||
Change in net unrealized appreciation (depreciation) in value of: | |||||||||||||||
Unaffiliated investment securities | (2,182 | ) | (69 | ) | 436 | ||||||||||
Affiliated investment securities | — | 34 | 546 | ||||||||||||
Unaffiliated investment securities sold short | — | 15 | — | ||||||||||||
Forward foreign currency contracts | — | 14 | — | ||||||||||||
Foreign currency | 1 | 2 | (1 | ) | |||||||||||
Futures contracts | — | (31 | ) | 49 | |||||||||||
Option contracts and swaptions written | — | — | — | ||||||||||||
Swap contracts | — | — | — | ||||||||||||
Net gain (loss) on investments | (1,313 | ) | (415 | ) | (1,414 | ) | |||||||||
Net increase (decrease) in net assets resulting from operations | $ | (909 | ) | $ | (336 | ) | $ | (1,323 | ) |
See Notes to Financial Statements
103
Statements of Operations (Unaudited) (cont'd)
Neuberger Berman Alternative Funds
(000's omitted)
LONG SHORT FUND | LONG SHORT CREDIT FUND | MULTI-ASSET INCOME FUND | |||||||||||||
For the Six Months Ended April 30, 2016 | For the Six Months Ended April 30, 2016 | For the Six Months Ended April 30, 2016 | |||||||||||||
Investment Income: | |||||||||||||||
Income (Note A): | |||||||||||||||
Dividend income—unaffiliated issuers | $ | 16,991 | $ | 8 | $ | 157 | |||||||||
Dividend income—affiliated issuers (Notes A & F) | — | — | 148 | ||||||||||||
Interest and other income—unaffiliated issuers | 5,758 | 465 | 15 | ||||||||||||
Income from securities loaned—net (Note A) | — | — | — | ||||||||||||
Foreign taxes withheld (Note A) | (261 | ) | — | (2 | ) | ||||||||||
Total income | $ | 22,488 | $ | 473 | $ | 318 | |||||||||
Expenses: | |||||||||||||||
Investment management fees (Note B) | 15,826 | 125 | 33 | ||||||||||||
Administration fees (Note B) | 856 | 9 | 4 | ||||||||||||
Administration fees (Note B): | |||||||||||||||
Institutional Class | 1,072 | 11 | 5 | ||||||||||||
Class A | 306 | 1 | 1 | ||||||||||||
Class C | 163 | 1 | — | ||||||||||||
Class R6 | — | — | — | ||||||||||||
Distribution fees (Note B): | |||||||||||||||
Class A | 382 | 2 | 1 | ||||||||||||
Class C | 817 | 5 | 2 | ||||||||||||
Shareholder servicing agent fees: | |||||||||||||||
Institutional Class | 58 | — | — | ||||||||||||
Class A | 29 | — | — | ||||||||||||
Class C | 7 | — | — | ||||||||||||
Class R6 | — | — | — | ||||||||||||
Subsidiary Administration Fees | — | — | — | ||||||||||||
Audit fees | 17 | 21 | 24 | ||||||||||||
Custodian and accounting fees | 240 | 39 | 90 | ||||||||||||
Insurance expense | 51 | — | — | ||||||||||||
Legal fees | 79 | 74 | 51 | ||||||||||||
Registration and filing fees | 97 | 51 | 49 | ||||||||||||
Shareholder reports | 120 | 3 | 7 | ||||||||||||
Trustees' fees and expenses | 19 | 19 | 20 | ||||||||||||
Dividend and interest expense on securities sold short (Note A) | 8,527 | 187 | — | ||||||||||||
Interest expense | 19 | �� | 1 | — | |||||||||||
Miscellaneous | 113 | 3 | 2 | ||||||||||||
Total expenses | 28,798 | 552 | 289 | ||||||||||||
Expenses reimbursed by Management (Note B) | — | (172 | ) | (239 | ) | ||||||||||
Investment management fees waived (Note A) | — | (29 | ) | (17 | ) | ||||||||||
Total net expenses | 28,798 | 351 | 33 | ||||||||||||
Net investment income (loss) | $ | (6,310 | ) | $ | 122 | $ | 285 |
See Notes to Financial Statements
104
Statements of Operations (Unaudited) (cont'd)
Neuberger Berman Alternative Funds (cont'd)
(000's omitted)
LONG SHORT FUND | LONG SHORT CREDIT FUND | MULTI-ASSET INCOME FUND | |||||||||||||
For the Six Months Ended April 30, 2016 | For the Six Months Ended April 30, 2016 | For the Six Months Ended April 30, 2016 | |||||||||||||
Realized and Unrealized Gain (Loss) on Investments (Note A): | |||||||||||||||
Net realized gain (loss) on: | |||||||||||||||
Sales of investment securities of unaffiliated issuers | (94,974 | ) | (601 | ) | (367 | ) | |||||||||
Sales of investment securities of affiliated issuers | — | — | (61 | ) | |||||||||||
Sales of investment securities of unaffiliated issuers sold short | 8,625 | 159 | — | ||||||||||||
Realized gain distributions from affiliated issuers | — | — | — | ||||||||||||
Forward foreign currency contracts | — | 18 | 13 | ||||||||||||
Foreign currency | 9 | (7 | ) | 4 | |||||||||||
Futures contracts | (44 | ) | (40 | ) | (37 | ) | |||||||||
Option contracts and swaptions written | 2,283 | — | 7 | ||||||||||||
Swap contracts | 3,196 | (62 | ) | — | |||||||||||
Change in net unrealized appreciation (depreciation) in value of: | |||||||||||||||
Unaffiliated investment securities | 74,778 | (105 | ) | 369 | |||||||||||
Affiliated investment securities | — | — | 78 | ||||||||||||
Unaffiliated investment securities sold short | (20,569 | ) | (400 | ) | — | ||||||||||
Forward foreign currency contracts | — | (30 | ) | 9 | |||||||||||
Foreign currency | 3 | 1 | (1 | ) | |||||||||||
Futures contracts | 1,382 | 25 | (16 | ) | |||||||||||
Option contracts and swaptions written | (426 | ) | 5 | 7 | |||||||||||
Swap contracts | (5,046 | ) | 117 | — | |||||||||||
Net gain (loss) on investments | (30,783 | ) | (920 | ) | 5 | ||||||||||
Net increase (decrease) in net assets resulting from operations | $ | (37,093 | ) | $ | (798 | ) | $ | 290 |
See Notes to Financial Statements
105
Statements of Operations (Unaudited) (cont'd)
Neuberger Berman Alternative Funds
(000's omitted)
RISK BALANCED COMMODITY STRATEGY FUNDa | |||||||
For the Six Months Ended April 30, 2016 | |||||||
Investment Income: | |||||||
Income (Note A): | |||||||
Dividend income—unaffiliated issuers | $ | — | |||||
Dividend income—affiliated issuers (Notes A & F) | — | ||||||
Interest and other income—unaffiliated issuers | 189 | ||||||
Income from securities loaned—net (Note A) | — | ||||||
Foreign taxes withheld (Note A) | — | ||||||
Total income | $ | 189 | |||||
Expenses: | |||||||
Investment management fees (Note B) | 235 | ||||||
Administration fees (Note B) | 20 | ||||||
Administration fees (Note B): | |||||||
Institutional Class | 15 | ||||||
Class A | 32 | ||||||
Class C | 2 | ||||||
Class R6 | — | ||||||
Distribution fees (Note B): | |||||||
Class A | 40 | ||||||
Class C | 8 | ||||||
Shareholder servicing agent fees: | |||||||
Institutional Class | — | ||||||
Class A | 5 | ||||||
Class C | 2 | ||||||
Class R6 | — | ||||||
Subsidiary Administration Fees | 25 | ||||||
Audit fees | 40 | ||||||
Custodian and accounting fees | 36 | ||||||
Insurance expense | 2 | ||||||
Legal fees | 53 | ||||||
Registration and filing fees | 25 | ||||||
Shareholder reports | 23 | ||||||
Trustees' fees and expenses | 19 | ||||||
Dividend and interest expense on securities sold short (Note A) | — | ||||||
Interest expense | — | ||||||
Miscellaneous | 15 | ||||||
Total expenses | 597 | ||||||
Expenses reimbursed by Management (Note B) | (161 | ) | |||||
Investment management fees waived (Note A) | — | ||||||
Total net expenses | 436 | ||||||
Net investment income (loss) | $ | (247 | ) |
See Notes to Financial Statements
106
Statements of Operations (Unaudited) (cont'd)
Neuberger Berman Alternative Funds (cont'd)
(000's omitted)
RISK BALANCED COMMODITY STRATEGY FUNDa | |||||||
For the Six Months Ended April 30, 2016 | |||||||
Realized and Unrealized Gain (Loss) on Investments (Note A): | |||||||
Net realized gain (loss) on: | |||||||
Sales of investment securities of unaffiliated issuers | (88 | ) | |||||
Sales of investment securities of affiliated issuers | — | ||||||
Sales of investment securities of unaffiliated issuers sold short | — | ||||||
Realized gain distributions from affiliated issuers | — | ||||||
Forward foreign currency contracts | — | ||||||
Foreign currency | — | ||||||
Futures contracts | (5,694 | ) | |||||
Option contracts and swaptions written | — | ||||||
Swap contracts | — | ||||||
Change in net unrealized appreciation (depreciation) in value of: | |||||||
Unaffiliated investment securities | 145 | ||||||
Affiliated investment securities | — | ||||||
Unaffiliated investment securities sold short | — | ||||||
Forward foreign currency contracts | — | ||||||
Foreign currency | — | ||||||
Futures contracts | 5,292 | ||||||
Option contracts and swaptions written | — | ||||||
Swap contracts | — | ||||||
Net gain (loss) on investments | (345 | ) | |||||
Net increase (decrease) in net assets resulting from operations | $ | (592 | ) |
a Consolidated financial statement, see Note A in the Notes to Financial Statements for additional information.
See Notes to Financial Statements
107
Statements of Changes in Net Assets
Neuberger Berman Alternative Funds
(000's omitted)
FLEXIBLE SELECT FUND | GLOBAL ALLOCATION FUND | INFLATION MANAGED FUND | LONG SHORT FUND | LONG SHORT CREDIT FUND | MULTI-ASSET INCOME FUND | ||||||||||||||||||||||||||||||||||||||||||||||
Six Months Ended April 30, 2016 (Unaudited) | Year Ended October 31, 2015 | Six Months Ended April 30, 2016 (Unaudited) | Year Ended October 31, 2015 | Six Months Ended April 30, 2016 (Unaudited) | Year Ended October 31, 2015 | Six Months Ended April 30, 2016 (Unaudited) | Year Ended October 31, 2015 | Six Months Ended April 30, 2016 (Unaudited) | Period from June 29, 2015 (Commencement of Operations) to October 31, 2015 | Six Months Ended April 30, 2016 (Unaudited) | 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) | $ | 404 | $ | 757 | $ | 79 | $ | 31 | $ | 91 | $ | 370 | $ | (6,310 | ) | $ | 1,761 | $ | 122 | $ | 52 | $ | 285 | $ | 361 | ||||||||||||||||||||||||||
Net realized gain (loss) on investments | 868 | 4,147 | (380 | ) | 297 | (2,444 | ) | (459 | ) | (80,905 | ) | (16,597 | ) | (533 | ) | (264 | ) | (441 | ) | (164 | ) | ||||||||||||||||||||||||||||||
Change in net unrealized appreciation (depreciation) of investments | (2,181 | ) | (4,729 | ) | (35 | ) | (609 | ) | 1,030 | (2,493 | ) | 50,122 | (42,736 | ) | (387 | ) | (336 | ) | 446 | (749 | ) | ||||||||||||||||||||||||||||||
Net increase (decrease) in net assets resulting from operations | (909 | ) | 175 | (336 | ) | (281 | ) | (1,323 | ) | (2,582 | ) | (37,093 | ) | (57,572 | ) | (798 | ) | (548 | ) | 290 | (552 | ) | |||||||||||||||||||||||||||||
Distributions to Shareholders From (Note A): | |||||||||||||||||||||||||||||||||||||||||||||||||||
Net investment income: | |||||||||||||||||||||||||||||||||||||||||||||||||||
Institutional Class | (724 | ) | (929 | ) | — | (291 | ) | (68 | ) | (160 | ) | (361 | ) | (4,410 | ) | (217 | ) | (85 | ) | (223 | ) | (255 | ) | ||||||||||||||||||||||||||||
Class A | (1 | ) | (6 | ) | — | (213 | ) | — | (18 | ) | — | — | (10 | ) | (3 | ) | (10 | ) | (11 | ) | |||||||||||||||||||||||||||||||
Class C | — | (0 | ) | — | (120 | ) | — | (2 | ) | — | — | (5 | ) | (1 | ) | (7 | ) | (8 | ) | ||||||||||||||||||||||||||||||||
Class R6 | — | — | — | — | (8 | ) | — | — | — | (43 | ) | (24 | ) | (81 | ) | (94 | ) | ||||||||||||||||||||||||||||||||||
Net realized gain on investments: | |||||||||||||||||||||||||||||||||||||||||||||||||||
Institutional Class | (4,028 | ) | (1,840 | ) | (16 | ) | — | — | — | — | (10,560 | ) | — | — | — | — | |||||||||||||||||||||||||||||||||||
Class A | (15 | ) | (13 | ) | (14 | ) | — | — | — | — | (1,445 | ) | — | — | — | — | |||||||||||||||||||||||||||||||||||
Class C | (6 | ) | (3 | ) | (13 | ) | — | — | — | — | (780 | ) | — | — | — | — | |||||||||||||||||||||||||||||||||||
Total distributions to shareholders | (4,774 | ) | (2,791 | ) | (43 | ) | (624 | ) | (76 | ) | (180 | ) | (361 | ) | (17,195 | ) | (275 | ) | (113 | ) | (321 | ) | (368 | ) | |||||||||||||||||||||||||||
From Fund Share Transactions (Note D): | |||||||||||||||||||||||||||||||||||||||||||||||||||
Proceeds from shares sold: | |||||||||||||||||||||||||||||||||||||||||||||||||||
Institutional Class | 31 | 1,157 | 536 | 2,516 | 9 | 9,825 | 430,851 | 1,207,864 | 6,458 | 23,254 | 33 | 11,175 | |||||||||||||||||||||||||||||||||||||||
Class A | 19 | 146 | 1,113 | 2,375 | 7 | 452 | 22,975 | 153,230 | 84 | 1,342 | 86 | 505 | |||||||||||||||||||||||||||||||||||||||
Class C | — | 31 | 559 | 2,006 | 9 | 110 | 6,463 | 44,433 | — | 1,032 | 45 | 503 | |||||||||||||||||||||||||||||||||||||||
Class R6 | — | — | — | — | 1,312 | 2,124 | — | — | — | 5,000 | — | 4,000 | |||||||||||||||||||||||||||||||||||||||
Proceeds from reinvestment of dividends and distributions: | |||||||||||||||||||||||||||||||||||||||||||||||||||
Institutional Class | 4,752 | 2,770 | 16 | 288 | 6 | 160 | 185 | 9,520 | 120 | 4 | 81 | 57 | |||||||||||||||||||||||||||||||||||||||
Class A | 15 | 18 | 14 | 196 | — | 18 | — | 1,289 | 4 | — | 2 | 2 | |||||||||||||||||||||||||||||||||||||||
Class C | 6 | 3 | 12 | 112 | — | 2 | — | 570 | 1 | — | 1 | 1 | |||||||||||||||||||||||||||||||||||||||
Class R6 | — | — | — | — | 7 | — | — | — | 10 | — | 12 | 13 | |||||||||||||||||||||||||||||||||||||||
Payments for shares redeemed: | |||||||||||||||||||||||||||||||||||||||||||||||||||
Institutional Class | (1,223 | ) | — | (992 | ) | (5,994 | ) | (8,622 | ) | (10,219 | ) | (839,308 | ) | (1,066,159 | ) | (515 | ) | (5 | ) | (36 | ) | (2 | ) | ||||||||||||||||||||||||||||
Class A | (103 | ) | (427 | ) | (2,337 | ) | (3,761 | ) | (87 | ) | (2,055 | ) | (104,107 | ) | (172,179 | ) | (58 | ) | — | (49 | ) | — | |||||||||||||||||||||||||||||
Class C | — | (15 | ) | (1,375 | ) | (2,298 | ) | (79 | ) | (110 | ) | (47,160 | ) | (59,121 | ) | (31 | ) | — | (44 | ) | (3 | ) | |||||||||||||||||||||||||||||
Class R6 | — | — | — | — | (447 | ) | (813 | ) | — | — | — | — | — | — | |||||||||||||||||||||||||||||||||||||
Net increase (decrease) from Fund share transactions | 3,497 | 3,683 | (2,454 | ) | (4,560 | ) | (7,885 | ) | (506 | ) | (530,101 | ) | 119,447 | 6,073 | 30,627 | 131 | 16,251 | ||||||||||||||||||||||||||||||||||
Net Increase (Decrease) in Net Assets | (2,186 | ) | 1,067 | (2,833 | ) | (5,465 | ) | (9,284 | ) | (3,268 | ) | (567,555 | ) | 44,680 | 5,000 | 29,966 | 100 | 15,331 | |||||||||||||||||||||||||||||||||
Net Assets: | |||||||||||||||||||||||||||||||||||||||||||||||||||
Beginning of period | 98,606 | 97,539 | 23,558 | 29,023 | 16,113 | 19,381 | 3,272,076 | 3,227,396 | 29,966 | — | 15,331 | — | |||||||||||||||||||||||||||||||||||||||
End of period | $ | 96,420 | $ | 98,606 | $ | 20,725 | $ | 23,558 | $ | 6,829 | $ | 16,113 | $ | 2,704,521 | $ | 3,272,076 | $ | 34,966 | $ | 29,966 | $ | 15,431 | $ | 15,331 | |||||||||||||||||||||||||||
Undistributed net investment income (loss) at end of period | $ | 178 | $ | 499 | $ | (171 | ) | $ | — | $ | 14 | $ | — | $ | — | $ | — | $ | — | $ | — | $ | — | $ | — | ||||||||||||||||||||||||||
Distributions in excess of net investment income at end of period | $ | — | $ | — | $ | — | $ | (250 | ) | $ | — | $ | (1 | ) | $ | (13,071 | ) | $ | (6,400 | ) | $ | (174 | ) | $ | (21 | ) | $ | (43 | ) | $ | (7 | ) |
See Notes to Financial Statements
108
109
Statements of Changes in Net Assets (cont'd)
Neuberger Berman Alternative Funds
(000's omitted)
RISK BALANCED COMMODITY STRATEGY FUNDa | |||||||||||
Six Months Ended April 30, 2016 (Unaudited) | Year Ended October 31, 2015 | ||||||||||
Increase (Decrease) in Net Assets: | |||||||||||
From Operations (Note A): | |||||||||||
Net investment income (loss) | $ | (247 | ) | $ | (822 | ) | |||||
Net realized gain (loss) on investments | (5,782 | ) | (27,882 | ) | |||||||
Change in net unrealized appreciation (depreciation) of investments | 5,437 | 4,679 | |||||||||
Net increase (decrease) in net assets resulting from operations | (592 | ) | (24,025 | ) | |||||||
Distributions to Shareholders From (Note A): | |||||||||||
Net investment income: | |||||||||||
Institutional Class | — | — | |||||||||
Class A | — | — | |||||||||
Class C | — | — | |||||||||
Class R6 | — | — | |||||||||
Net realized gain on investments: | |||||||||||
Institutional Class | — | (2 | ) | ||||||||
Class A | — | (5 | ) | ||||||||
Class C | — | (0 | ) | ||||||||
Total distributions to shareholders | — | (7 | ) | ||||||||
From Fund Share Transactions (Note D): | |||||||||||
Proceeds from shares sold: | |||||||||||
Institutional Class | 14,269 | 26,234 | |||||||||
Class A | 13,875 | 43,996 | |||||||||
Class C | 123 | 1,946 | |||||||||
Class R6 | — | — | |||||||||
Proceeds from reinvestment of dividends and distributions: | |||||||||||
Institutional Class | — | 2 | |||||||||
Class A | — | 5 | |||||||||
Class C | — | — | |||||||||
Class R6 | — | — | |||||||||
Payments for shares redeemed: | |||||||||||
Institutional Class | (3,683 | ) | (7,817 | ) | |||||||
Class A | (13,651 | ) | (59,467 | ) | |||||||
Class C | (2,149 | ) | (1,943 | ) | |||||||
Class R6 | — | — | |||||||||
Net increase (decrease) from Fund share transactions | 8,784 | 2,956 | |||||||||
Net Increase (Decrease) in Net Assets | 8,192 | (21,076 | ) | ||||||||
Net Assets: | |||||||||||
Beginning of period | 70,406 | 91,482 | |||||||||
End of period | $ | 78,598 | $ | 70,406 | |||||||
Undistributed net investment income (loss) at end of period | $ | (813 | ) | $ | (566 | ) | |||||
Distributions in excess of net investment income at end of period | $ | — | $ | — |
a Consolidated financial statement, see Note A in the Notes to Financial Statements for additional information.
See Notes to Financial Statements
110
Notes to Financial Statements Alternative Funds (Unaudited)
Note A—Summary of Significant Accounting Policies:
1 General: Neuberger Berman Alternative Funds (the "Trust") is a Delaware statutory trust organized pursuant to an Amended and Restated Trust Instrument dated March 27, 2014. The Trust is registered as an open-end management investment company under the Investment Company Act of 1940, as amended (the "1940 Act"), and its shares are registered under the Securities Act of 1933, as amended (the "1933 Act"). Each Fund is a separate operating series of the Trust. Under the 1940 Act, the status of a Fund that was registered as non-diversified may, under certain circumstances, change to that of a diversified Fund (Global Allocation, Long Short and Risk Balanced Commodity Strategy became diversified in December 2013, December 2014 and August 2015, respectively). Flexible Select, Inflation Managed, Long Short Credit and Multi-Asset Income are each diversified. 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.
A zero balance, if any, reflects an actual amount rounding to less than $1,000.
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.
Risk Balanced Commodity Strategy 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 Risk Balanced Commodity Strategy will remain the sole shareholder of the Subsidiary. The Subsidiary is governed by its own Board of Directors.
As of April 30, 2016, the value of Risk Balanced Commodity Strategy's investment in the Subsidiary was as follows:
Investment in Subsidiary | Percentage of Net Assets | ||||||
$ | 15,271,370 | 19.4 | % |
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 Consolidation: The accompanying financial statements of Risk Balanced Commodity Strategy present the consolidated accounts of Risk Balanced Commodity Strategy 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 Funds' Schedule of Investments.
4 Foreign currency translation: The accounting records of the Funds 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 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
111
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.
5 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.
6 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 a regulated investment company by complying with the requirements of the U.S. Internal Revenue Code applicable to regulated investment companies and to distribute substantially all of its net investment income and net realized capital gains to its shareholders. To the extent a Fund distributes substantially all of its net investment income and net realized capital gains to shareholders, no federal income or excise tax provision is required.
The Funds have adopted the provisions of ASC 740 "Income Taxes" ("ASC 740"). ASC 740 sets forth a minimum threshold for financial statement recognition of a tax position taken, or expected to be taken, in a tax return. The Funds recognize interest and penalties, if any, related to unrecognized tax positions as an income tax expense in the Statements of Operations. The Funds are subject to examination by U.S. federal and state tax authorities for returns filed for the tax years for which the applicable statutes of limitations have not yet expired. As of April 30, 2016, the Funds 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, Risk Balanced Commodity Strategy 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 Risk Balanced Commodity Strategy'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 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, net operating losses, return of capital distributions, non-taxable distributions from real estate investment trusts ("REITs") and other underlying investments, paydown losses on mortgage backed and asset backed securities, Subsidiary income and gain (loss), gains and losses on swap contracts and 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 | ) |
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Paid-in Capital | Undistributed Net Investment Income (Loss) | Accumulated Net Realized Gains (Losses) on Investments | |||||||||||||
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 | |||||||||||
Risk Balanced Commodity Strategy | (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 | 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) | — | ||||||||||||||||||||||||||||
Risk Balanced Commodity Strategy | 5,572 | — | — | — | 1,857 | — | — | — | 7,429 | — |
(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 | ) | |||||||||||||||||
Risk Balanced Commodity Strategy | — | — | (141,909 | ) | (568,695 | ) | 658,771 | (51,833 | ) |
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.
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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. 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 | |||||||||||
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 | |||||||||
Risk Balanced Commodity Strategy | — | 3,237 |
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, Global Allocation, Long Short and Risk Balanced Commodity Strategy elected to defer the following late-year ordinary losses:
Late-Year Ordinary Loss Deferral | |||||||
Global Allocation | $ | 226,599 | |||||
Long Short | 8,646,467 | ||||||
Risk Balanced Commodity Strategy | 565,458 |
7 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 April 30, 2016, there were no outstanding balances of accrued capital gains taxes for any Fund.
8 Distributions to shareholders: Each Fund may earn income, net of expenses, daily on its investments. Distributions from net investment income, if any, are generally distributed once a year (usually in December) for Flexible Select, Global Allocation, Inflation Managed, Long Short and Risk Balanced Commodity Strategy and monthly for Long Short Credit and Multi-Asset Income and are recorded on the ex-date. Distributions from 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 are generally composed of income, capital gains, and/or return of REIT capital, but the REITs do not report this information to these Funds until the following calendar year. At October 31, 2015, these Funds estimated these amounts within the financial statements because the information is not available from the REITs until after each Fund's fiscal year-end. At April 30, 2016, these Funds estimated these amounts for the period January 1, 2016 to April 30, 2016 within the financial statements because the 2016 information is not available from the REITs until after each Fund's fiscal period. All estimates are based upon REIT information sources available to these Funds together with actual IRS Forms 1099-DIV received to date. For the
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year ended October 31, 2015, the character of distributions paid to shareholders of these Funds 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 these Funds' 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 these Funds 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 these Funds of the actual breakdown of distributions paid to these Funds during their fiscal year, estimates previously recorded are adjusted on the books of these Funds to reflect actual results. As a result, the composition of these Funds' distributions as reported herein may differ from the final composition determined after calendar year-end and reported to these Funds shareholders on IRS Form 1099-DIV.
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
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an amount of cash or liquid securities in an amount at least equal to the current market value of the securities sold short (less any additional collateral pledged to 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 remit to the lender any dividends and interest payable on securities while those securities are being borrowed by the Fund. The Funds may receive or pay the net of the interest charged by the prime broker on the borrowed securities and a financing charge for the difference in the market value of the short position and the cash collateral deposited with the broker. This income or fee is calculated daily based upon the market value of each borrowed security and a variable rate that is dependent on the availability of the security. These costs related to short sales (i.e., dividend and interest remitted to the lender and interest charged by the prime broker) are recorded as an expense of the Funds and are excluded from the contractual expense limitation. The net amount of fees incurred are included in the "Dividend and interest expense on securities sold short" on the Statements of Operations and are as follows:
Global Allocation | $ | 17,655 | |||||
Long Short | 1,558,429 | ||||||
Long Short Credit | 14,147 |
At April 30, 2016, Global Allocation had pledged cash in the amount of $1,150,000 to State Street Bank and Trust Company ("State Street"), as collateral for short sales, in addition to cash collateral received from securities lending activities for the Fund. In addition, State Street has a perfected security interest in these Global Allocation assets. At April 30, 2016, Long Short and Long Short Credit had pledged cash in the amount of $427,040,734 and $10,776,990 to State Street to cover collateral requirements for borrowing in connection with securities sold short, respectively.
At April 30, 2016, Global Allocation and Long Short had pledged securities in the amount of $2,614,707 and $52,804,083, respectively, to State Street to cover collateral requirements for borrowing in connection with securities sold short.
13 Security lending: Each Fund using State Street as its lending agent, may loan securities to qualified brokers and dealers in exchange for negotiated lender's fees. These fees disclosed within the Statements of Operations under the caption, "Income from securities loaned—net" are net of expenses retained by State Street as compensation for its services as lending agent. For the six months ended April 30, 2016, Global Allocation received net income under the securities lending arrangement of $1,059. The Funds receive cash collateral at the beginning of each transaction equal to at least 102% of the prior day's market value of the loaned securities (105% in the case of international securities). Some or all of the cash collateral may be used to finance short sales. As of April 30, 2016, approximately 100% of the cash collateral received by Global Allocation was used to finance short sales.
As of April 30, 2016, 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 | $ | 226,343 | $ | 231,357 |
All securities on loan are classified as Common Stocks in the Portfolio's Schedule of Investments as of April 30, 2016 with a contractual maturity of overnight and continuous.
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-17 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
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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: Certain of the Funds' use of derivatives during the six months ended April 30, 2016, is described below. Please see the Schedule of Investments for each Fund's open positions in derivatives, if any, at April 30, 2016. 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 six months ended April 30, 2016, Long Short used total return swaps in an attempt to increase returns, reduce risks and for hedging purposes. During the six months ended April 30, 2016, 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.
Total return basket swap contracts: During the six months ended April 30, 2016, Long Short used total return basket swaps in an attempt to increase returns, reduce risks and for hedging purposes. During the six months ended April 30, 2016, Long Short Credit used total return basket swaps to replace more traditional direct investments and to hedge risk. Certain Funds may enter into a 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 an 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.
Equity swap contracts: During the six months ended April 30, 2016, 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
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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.
Credit default swap contracts: During the six months ended April 30, 2016, 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 notional amount of the swap 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.
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. For financial reporting purposes, unamortized upfront payments, if any, are netted with unrealized appreciation or depreciation and net interest received or paid on swap contracts to determine the fair value of swaps.
Futures contracts: During the six months ended April 30, 2016, Global Allocation used 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 futures to provide investment exposure to certain indices and markets other than the benchmark indices. During the six months ended April 30, 2016, Inflation Managed used futures for economic hedging purposes, including as a maturity or duration management device. During the six months ended April 30, 2016, Long Short used futures on broader market indices 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 six months ended April 30, 2016, Long Short Credit used futures in an effort 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
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the six months ended April 30, 2016, Multi-Asset Income used 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. During the six months ended April 30, 2016, Risk Balanced Commodity Strategy used futures (through investments in the Subsidiary) to provide investment exposure to individual commodities, as well as in an effort to manage and/or adjust the risk profile of the Fund.
At the time a Fund or Subsidiary enters into a 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 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 futures contract fluctuates. Daily variation margin adjustments, arising from this "mark to market," are recorded by a Fund or Subsidiary as unrealized gains or losses.
Although some 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 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 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, a 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.
Forward foreign currency contracts: During the six months ended April 30, 2016, Global Allocation used forward contracts to manage or adjust the risk profile and investment exposure of the Fund. During the six months ended April 30, 2016, Long Short Credit used forward contracts to alter the Fund's exposure to currencies, interest rates, sectors and individual issuers. During the six months ended April 30, 2016, Multi-Asset Income used 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) 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 Statement of Assets and Liabilities. In addition, a Fund could be exposed to risks associated with fluctuations in foreign currency and the risk the counterparty will fail to fulfill its obligation.
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Options: During the six months ended April 30, 2016, Long Short used written option contracts in an attempt to generate incremental returns. During the six months ended April 30, 2016, Long Short Credit used option contracts (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 six months ended April 30, 2016 Multi-Asset Income used written option contracts primarily to seek to enhance yield.
Premiums received by a Fund upon writing a 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 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, 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.
A Fund may write or purchase options on exchange-traded 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 futures contract.
Premiums paid by a Fund upon purchasing a call or put option are recorded in the asset section of the Fund's Statement of Assets and Liabilities and are subsequently adjusted to the current market value. When an option is exercised, closed, or expired, a Fund realizes a gain or loss and the asset is eliminated.
For purchased call options, a Fund's loss is limited to the amount of the option premium paid.
Purchased option transactions were used either for hedging purposes or in an attempt to generate incremental returns for Long Short and Long Short Credit for the six months ended April 30, 2016.
At April 30, 2016, the Funds (except Flexible Select) had the following derivatives (which did not qualify as hedging instruments under ASC 815), grouped by primary risk exposure:
Derivative Type | Statements of Assets and Liabilities Location | Interest Rate Risk | Currency Risk | Equity Risk | Credit Risk | Commodity Risk | Total | |||||||||||||||||||
Global Allocation | ||||||||||||||||||||||||||
Futures | Receivable/Payable for variation margin on futures contracts(1) | $ | 4,397 | $ | 68,734 | $ | 14,462 | $ | — | $ | — | $ | 87,593 | |||||||||||||
Forward contracts | Receivable for forward foreign currency contracts | — | 259,316 | — | — | — | 259,316 | |||||||||||||||||||
Total Value—Assets | $ | 4,397 | $ | 328,050 | $ | 14,462 | $ | — | $ | — | $ | 346,909 |
120
Derivative Type | Statements of Assets and Liabilities Location | Interest Rate Risk | Currency Risk | Equity Risk | Credit Risk | Commodity Risk | Total | |||||||||||||||||||
Inflation Managed | ||||||||||||||||||||||||||
Futures | Receivable/Payable for variation margin on futures contracts(1) | $ | 2,084 | $ | 12,337 | $ | — | $ | — | $ | — | $ | 14,421 | |||||||||||||
Total Value—Assets | $ | 2,084 | $ | 12,337 | $ | — | $ | — | $ | — | $ | 14,421 |
Long Short
OTC swaps | OTC swap contracts, at value(2) | $ | — | $ | — | $ | 17,656 | $ | — | $ | — | $ | 17,656 | |||||||||||||
Option contracts purchased | Investments in securities, at value | — | — | 6,217,761 | — | — | 6,217,761 | |||||||||||||||||||
Total Value—Assets | $ | — | $ | — | $ | 6,235,417 | $ | — | $ | — | $ | 6,235,417 |
Long Short Credit
OTC swaps | OTC swap contracts, at value(2) | $ | — | $ | — | $ | — | $ | 384,868 | $ | — | $ | 384,868 | |||||||||||||
Option contracts purchased | Investments in securities, at value | — | 4,460 | — | — | — | 4,460 | |||||||||||||||||||
Total Value—Assets | $ | — | $ | 4,460 | $ | — | $ | 384,868 | $ | — | $ | 389,328 |
Multi-Asset Income
Futures | Receivable/Payable for variation margin on futures contracts(1) | $ | 1,841 | $ | — | $ | 25,626 | $ | — | $ | — | $ | 27,467 | |||||||||||||
Forward contracts | Receivable for forward foreign currency contracts | — | 174,700 | — | — | — | 174,700 | |||||||||||||||||||
Total Value—Assets | $ | 1,841 | $ | 174,700 | $ | 25,626 | $ | — | $ | — | $ | 202,167 |
Risk Balanced Commodity Strategy
Futures | Receivable/Payable for variation margin on futures contracts(1) | $ | — | $ | — | $ | — | $ | — | $ | 6,905,724 | $ | 6,905,724 | |||||||||||||
Total Value—Assets | $ | — | $ | — | $ | — | $ | — | $ | 6,905,724 | $ | 6,905,724 |
121
Derivative Type | Statements of Assets and Liabilities Location | Interest Rate Risk | Currency Risk | Equity Risk | Credit Risk | Commodity Risk | Total | |||||||||||||||||||
Liability Derivatives | ||||||||||||||||||||||||||
Global Allocation | ||||||||||||||||||||||||||
Futures | Receivable/Payable for variation margin on futures contracts(1) | $ | (17,789 | ) | $ | (52,836 | ) | $ | (24,257 | ) | $ | — | $ | — | $ | (94,882 | ) | |||||||||
Forward contracts | Payable for forward foreign currency contracts | — | (231,598 | ) | — | — | — | (231,598 | ) | |||||||||||||||||
Total Value—Liabilities | $ | (17,789 | ) | $ | (284,434 | ) | $ | (24,257 | ) | $ | — | $ | — | $ | (326,480 | ) |
Inflation Managed
Futures | Receivable/Payable for variation margin on futures contracts(1) | $ | (1,397 | ) | $ | (8,056 | ) | $ | — | $ | — | $ | — | $ | (9,453 | ) | ||||||||||
Total Value—Liabilities | $ | (1,397 | ) | $ | (8,056 | ) | $ | — | $ | — | $ | — | $ | (9,453 | ) |
Long Short
Futures | Receivable/Payable for variation margin on futures contracts(1) | $ | — | $ | — | $ | (13,474,172 | ) | $ | — | $ | — | $ | (13,474,172 | ) | |||||||||||
OTC swaps | OTC swap contracts, at value(2) | — | — | (7,345,104 | ) | — | — | (7,345,104 | ) | |||||||||||||||||
Options written | Option contracts written, at value | — | — | (5,802,414 | ) | — | — | (5,802,414 | ) | |||||||||||||||||
Total Value—Liabilities | $ | — | $ | — | $ | (26,621,690 | ) | $ | — | $ | — | $ | (26,621,690 | ) |
Long Short Credit
OTC swaps | OTC swap contracts, at value(2) | $ | — | $ | — | $ | — | $ | (1,670,152 | ) | $ | — | $ | (1,670,152 | ) | |||||||||||
Centrally cleared swaps | Receivable/Payable for variation margin on centrally cleared swap contracts(3) | — | — | — | (8,934 | ) | — | (8,934 | ) | |||||||||||||||||
Forward contracts | Payable for forward foreign currency contracts | — | (19,769 | ) | — | — | — | (19,769 | ) | |||||||||||||||||
Total Value—Liabilities | $ | — | $ | (19,769 | ) | $ | — | $ | (1,679,086 | ) | $ | — | $ | (1,698,855 | ) |
122
Derivative Type | Statements of Assets and Liabilities Location | Interest Rate Risk | Currency Risk | Equity Risk | Credit Risk | Commodity Risk | Total | |||||||||||||||||||
Multi-Asset Income | ||||||||||||||||||||||||||
Futures | Receivable/Payable for variation margin on futures contracts(1) | $ | (12,334 | ) | $ | — | $ | (12,516 | ) | $ | — | $ | — | $ | (24,850 | ) | ||||||||||
Forward contracts | Payable for open forward foreign currency contracts | — | (163,349 | ) | — | — | — | (163,349 | ) | |||||||||||||||||
Total Value—Liabilities | $ | (12,334 | ) | $ | (163,349 | ) | $ | (12,516 | ) | $ | — | $ | — | $ | (188,199 | ) |
Risk Balanced Commodity Strategy
Futures | Receivable/Payable for variation margin on futures contracts(1) | $ | — | $ | — | $ | — | $ | — | $ | (954,049 | ) | $ | (954,049 | ) | |||||||||||
Total Value—Liabilities | $ | — | $ | — | $ | — | $ | — | $ | (954,049 | ) | $ | (954,049 | ) |
(1) "Futures" reflects the cumulative appreciation (depreciation) of futures contracts as of April 30, 2016, which is reflected in the Statements of Assets and Liabilities under the caption "Net unrealized appreciation (depreciation) in value of investments." The current day's variation margin as of April 30, 2016, if any, is reflected in the Statements of Assets and Liabilities under the caption "Receivable/Payable for variation margin on futures contracts."
(2) "OTC swaps" reflects the appreciation (depreciation) of the OTC swap contracts plus accrued interest as of April 30, 2016 which is reflected in the Statements of Assets and Liabilities under the caption "OTC swap contracts, at value."
(3) "Centrally Cleared swaps" reflects cumulative unrealized appreciation or (depreciation). Variation margin on centrally cleared swaps is reported within the Statements 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 six months ended April 30, 2016, was as follows:
Realized Gain (Loss)
Derivative Type | Statements of Operations Location | Interest Rate Risk | Currency Risk | Equity Risk | Credit Risk | Commodity Risk | Total | ||||||||||||||||||||
Global Allocation | |||||||||||||||||||||||||||
Futures | Net realized gain (loss) on: futures contracts | $ | (28,596 | ) | $ | 10,905 | $ | 9,900 | $ | — | $ | — | $ | (7,791 | ) | ||||||||||||
Forward contracts | Net realized gain (loss) on: forward foreign currency contracts | — | 32,462 | — | — | — | 32,462 | ||||||||||||||||||||
Total Realized Gain (Loss) | $ | (28,596 | ) | $ | 43,367 | $ | 9,900 | $ | — | $ | — | $ | 24,671 |
123
Derivative Type | Statements of Operations Location | Interest Rate Risk | Currency Risk | Equity Risk | Credit Risk | Commodity Risk | Total | ||||||||||||||||||||
Inflation Managed | |||||||||||||||||||||||||||
Futures | Net realized gain (loss) on: futures contracts | $ | (17,369 | ) | $ | (70,111 | ) | $ | — | $ | — | $ | — | $ | (87,480 | ) | |||||||||||
Total Realized Gain (Loss) | $ | (17,369 | ) | $ | (70,111 | ) | $ | — | $ | — | $ | — | $ | (87,480 | ) | ||||||||||||
Long Short | |||||||||||||||||||||||||||
Futures | Net realized gain (loss) on: futures contracts | $ | — | $ | — | $ | (44,232 | ) | $ | — | $ | — | $ | (44,232 | ) | ||||||||||||
Option contracts purchased | Net realized gain (loss) on: sales of investment securities of unaffiliated issuers | — | — | (1,695,145 | ) | — | — | (1,695,145 | ) | ||||||||||||||||||
Options written | Net realized gain (loss) on: option contracts and swaptions written | — | — | 2,283,292 | — | — | 2,283,292 | ||||||||||||||||||||
Swaps | Net realized gain (loss) on: swap contracts | — | — | 3,196,052 | — | — | 3,196,052 | ||||||||||||||||||||
Total Realized Gain (Loss) | $ | — | $ | — | $ | 3,739,967 | $ | — | $ | — | $ | 3,739,967 | |||||||||||||||
Long Short Credit | |||||||||||||||||||||||||||
Swaps | Net realized gain (loss) on: swap contracts | $ | (56,711 | ) | $ | — | $ | 140,716 | $ | (146,073 | ) | $ | — | $ | (62,068 | ) | |||||||||||
Futures | Net realized gain (loss) on: futures contracts | 20,544 | — | (60,877 | ) | — | — | (40,333 | ) | ||||||||||||||||||
Forward contracts | Net realized gain (loss) on: forward foreign currency contracts | — | 18,312 | — | — | — | 18,312 | ||||||||||||||||||||
Option contracts purchased | Net realized gain (loss) on: sales of investment securities of unaffiliated issuers | — | — | (3,278 | ) | (24,900 | ) | — | (28,178 | ) | |||||||||||||||||
Options and swaptions written | Net realized gain (loss) on: option contracts and swaptions written | 1,241 | — | (64,479 | ) | 62,900 | — | (338 | ) | ||||||||||||||||||
Total Realized Gain (Loss) | $ | (34,926 | ) | $ | 18,312 | $ | 12,082 | $ | (108,073 | ) | $ | — | $ | (112,605 | ) |
124
Derivative Type | Statements of Operations Location | Interest Rate Risk | Currency Risk | Equity Risk | Credit Risk | Commodity Risk | Total | ||||||||||||||||||||
Multi-Asset Income | |||||||||||||||||||||||||||
Futures | Net realized gain (loss) on: futures contracts | $ | (7,914 | ) | $ | — | $ | (28,820 | ) | $ | — | $ | — | $ | (36,734 | ) | |||||||||||
Forward contracts | Net realized gain (loss) on: forward foreign currency contracts | — | 13,189 | — | — | — | 13,189 | ||||||||||||||||||||
Option contracts written | Net realized gain (loss) on: option contracts and swaptions written | — | — | 7,341 | — | — | 7,341 | ||||||||||||||||||||
Total Realized Gain (Loss) | $ | (7,914 | ) | $ | 13,189 | $ | (21,479 | ) | $ | — | $ | — | $ | (16,204 | ) | ||||||||||||
Risk Balanced Commodity Strategy | |||||||||||||||||||||||||||
Futures | Net realized gain (loss) on: futures contracts | $ | — | $ | — | $ | — | $ | — | $ | (5,693,611 | ) | $ | (5,693,611 | ) | ||||||||||||
Total Realized Gain (Loss) | $ | — | $ | — | $ | — | $ | — | $ | (5,693,611 | ) | $ | (5,693,611 | ) | |||||||||||||
Change in Appreciation (Depreciation) | |||||||||||||||||||||||||||
Global Allocation | |||||||||||||||||||||||||||
Futures | Change in net unrealized appreciation (depreciation) in value of: futures contracts | $ | (18,051 | ) | $ | 38,111 | $ | (51,555 | ) | $ | — | $ | — | $ | (31,495 | ) | |||||||||||
Forward contracts | Change in net unrealized appreciation (depreciation) in value of: forward foreign currency contracts | — | 13,870 | — | — | — | 13,870 | ||||||||||||||||||||
Total Change in Appreciation (Depreciation) | $ | (18,051 | ) | $ | 51,981 | $ | (51,555 | ) | $ | — | $ | — | $ | (17,625 | ) | ||||||||||||
Inflation Managed | |||||||||||||||||||||||||||
Futures | Change in net unrealized appreciation (depreciation) in value of: futures contracts | $ | 8,414 | $ | 40,122 | $ | — | $ | — | $ | — | $ | 48,536 | ||||||||||||||
Total Change in Appreciation (Depreciation) | $ | 8,414 | $ | 40,122 | $ | — | $ | — | $ | — | $ | 48,536 |
125
Derivative Type | Statements of Operations Location | Interest Rate Risk | Currency Risk | Equity Risk | Credit Risk | Commodity Risk | Total | ||||||||||||||||||||
Long Short | |||||||||||||||||||||||||||
Futures | Change in net unrealized appreciation (depreciation) in value of: futures contracts | $ | — | $ | — | $ | 1,381,773 | $ | — | $ | — | $ | 1,381,773 | ||||||||||||||
Option contracts purchased | Change in net unrealized appreciation (depreciation) in value of: unaffiliated investment securities | — | — | (634,944 | ) | — | — | (634,944 | ) | ||||||||||||||||||
Options written | Change in net unrealized appreciation (depreciation) in value of: option contracts written and swaptions written | — | — | (425,525 | ) | — | — | (425,525 | ) | ||||||||||||||||||
Swaps | Change in net unrealized appreciation (depreciation) in value of: swap contracts | — | — | (5,045,321 | ) | — | — | (5,045,321 | ) | ||||||||||||||||||
Total Change in Appreciation (Depreciation) | $ | — | $ | — | (4,724,017 | ) | $ | — | $ | — | (4,724,017 | ) | |||||||||||||||
Long Short Credit | |||||||||||||||||||||||||||
Swaps | Change in net unrealized appreciation (depreciation) in value of: swap contracts | $ | (65,208 | ) | $ | — | $ | — | $ | 182,762 | $ | — | $ | 117,554 | |||||||||||||
Futures | Change in net unrealized appreciation (depreciation) in value of: futures contracts | (4,613 | ) | — | 29,688 | — | — | 25,075 | |||||||||||||||||||
Forward contracts | Change in net unrealized appreciation (depreciation) in value of: forward foreign currency contracts | — | (29,445 | ) | — | — | — | (29,445 | ) | ||||||||||||||||||
Options written | Change in net unrealized appreciation (depreciation) in value of: option contracts written | — | — | 4,988 | — | — | 4,988 | ||||||||||||||||||||
Option contracts purchased | Change in net unrealized appreciation (depreciation) in value of: unaffiliated investment securities | — | (56,540 | ) | — | — | — | (56,540 | ) | ||||||||||||||||||
Total Change in Appreciation (Depreciation) | $ | (69,821 | ) | $ | (85,985 | ) | $ | 34,676 | $ | 182,762 | $ | — | $ | 61,632 |
126
Derivative Type | Statements of Operations Location | Interest Rate Risk | Currency Risk | Equity Risk | Credit Risk | Commodity Risk | Total | ||||||||||||||||||||
Multi-Asset Income | |||||||||||||||||||||||||||
Futures | Change in net unrealized appreciation (depreciation) in value of: futures contracts | $ | (11,676 | ) | $ | — | $ | (4,987 | ) | $ | — | $ | — | $ | (16,663 | ) | |||||||||||
Forward contracts | Change in net unrealized appreciation (depreciation) in value of: forward foreign currency contracts | — | 8,759 | — | — | — | 8,759 | ||||||||||||||||||||
Options written | Change in net unrealized appreciation (depreciation) in value of: option contracts written | — | — | 7,449 | — | — | 7,449 | ||||||||||||||||||||
Total Change in Appreciation (Depreciation) | $ | (11,676 | ) | $ | 8,759 | $ | 2,462 | $ | — | $ | — | $ | (455 | ) | |||||||||||||
Risk Balanced Commodity Strategy | |||||||||||||||||||||||||||
Futures | Change in net unrealized appreciation (depreciation) in value of: futures contracts | $ | — | $ | — | $ | — | $ | — | $ | 5,292,285 | $ | 5,292,285 | ||||||||||||||
Total Change in Appreciation (Depreciation) | $ | — | $ | — | $ | — | $ | — | $ | 5,292,285 | $ | 5,292,285 |
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 six months ended April 30, 2016 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, Inflation Managed and Risk Balanced Commodity Strategy at April 30, 2016. 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 under a master netting agreement and net of the related collateral received by a Fund for assets and pledged by a Fund for liabilities as of April 30, 2016.
127
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 | $ | 259,316 | $ | — | $ | 259,316 | |||||||||
Securities lending | 226,343 | — | 226,343 | ||||||||||||
Total | $ | 485,659 | $ | — | $ | 485,659 | |||||||||
Long Short | |||||||||||||||
Swap contracts | $ | 17,656 | $ | — | $ | 17,656 | |||||||||
Total | $ | 17,656 | $ | — | $ | 17,656 | |||||||||
Long Short Credit | |||||||||||||||
OTC Swap contracts | $ | 384,868 | $ | — | $ | 384,868 | |||||||||
Forward contracts | — | — | — | ||||||||||||
Total | $ | 384,868 | $ | — | $ | 384,868 | |||||||||
Multi-Asset Income | |||||||||||||||
Forward contracts | $ | 174,700 | $ | — | $ | 174,700 | |||||||||
Total | $ | 174,700 | $ | — | $ | 174,700 |
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 | $ | 16,941 | $ | (4,273 | ) | $ | — | $ | 12,668 | ||||||||||
Deutsche Bank AG | 19,183 | (13,540 | ) | — | 5,643 | ||||||||||||||
Goldman Sachs International | 8,992 | (8,619 | ) | — | 373 | ||||||||||||||
Royal Bank of Canada | 43,230 | (43,230 | ) | — | — | ||||||||||||||
Societe Generale | 94,377 | (94,377 | ) | — | — | ||||||||||||||
State Street Bank and Trust Company | 302,936 | (52,587 | ) | (226,343 | ) | 24,006 | |||||||||||||
Total | $ | 485,659 | $ | (216,626 | ) | $ | (226,343 | ) | $ | 42,690 | |||||||||
Long Short | |||||||||||||||||||
Goldman Sachs International | $ | 17,656 | $ | (17,656 | ) | $ | — | $ | — | ||||||||||
Total | $ | 17,656 | $ | (17,656 | ) | $ | — | $ | — | ||||||||||
Long Short Credit | |||||||||||||||||||
Goldman Sachs International | $ | 313,251 | $ | (313,251 | ) | — | $ | — | |||||||||||
J.P. Morgan Chase Bank N.A. | 71,617 | — | — | 71,617 | |||||||||||||||
Total | $ | 384,868 | $ | (313,251 | ) | $ | — | $ | 71,617 | ||||||||||
Multi-Asset Income | |||||||||||||||||||
Deutsche Bank AG | $ | 12,900 | $ | (9,845 | ) | $ | — | $ | 3,055 | ||||||||||
Goldman Sachs International | 5,365 | (5,365 | ) | — | — | ||||||||||||||
Royal Bank of Canada | 30,146 | (30,146 | ) | — | — | ||||||||||||||
Societe Generale | 69,588 | (69,588 | ) | — | — | ||||||||||||||
State Street Bank and Trust Company | 56,701 | (38,845 | ) | — | 17,856 | ||||||||||||||
Total | $ | 174,700 | $ | (153,789 | ) | $ | — | $ | 20,911 |
128
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 | $ | (231,598 | ) | $ | — | $ | (231,598 | ) | |||||||
Total | $ | (231,598 | ) | $ | — | $ | (231,598 | ) | |||||||
Long Short | |||||||||||||||
OTC swaps | $ | (7,345,104 | ) | $ | — | $ | (7,345,104 | ) | |||||||
OTC options written | (129,630 | ) | — | (129,630 | ) | ||||||||||
Total | $ | (7,474,734 | ) | $ | — | $ | (7,474,734 | ) | |||||||
Long Short Credit | |||||||||||||||
OTC swaps | $ | (1,670,152 | ) | $ | — | $ | (1,670,152 | ) | |||||||
Forward contracts | (19,769 | ) | — | (19,769 | ) | ||||||||||
Total | $ | (1,689,921 | ) | $ | — | $ | (1,689,921 | ) | |||||||
Multi-Asset Income | |||||||||||||||
Forward contracts | $ | (163,349 | ) | $ | — | $ | (163,349 | ) | |||||||
Total | $ | (163,349 | ) | $ | — | $ | (163,349 | ) |
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 | $ | (4,273 | ) | $ | 4,273 | $ | — | $ | — | ||||||||||
Deutsche Bank AG | (13,540 | ) | 13,540 | — | — | ||||||||||||||
Goldman Sachs International | (8,619 | ) | 8,619 | — | — | ||||||||||||||
Royal Bank of Canada | (53,569 | ) | 43,230 | — | (10,339 | ) | |||||||||||||
Societe Generale | (99,010 | ) | 94,377 | — | (4,633 | ) | |||||||||||||
State Street Bank and Trust Company | (52,587 | ) | 52,587 | — | — | ||||||||||||||
Total | $ | (231,598 | ) | $ | 216,626 | $ | — | $ | (14,972 | ) | |||||||||
Long Short | |||||||||||||||||||
Goldman Sachs International | $ | (7,474,734 | ) | $ | 17,656 | $ | 7,840,000 | $ | 382,922 | ||||||||||
Total | $ | (7,474,734 | ) | $ | 17,656 | $ | 7,840,000 | $ | 382,922 | ||||||||||
Long Short Credit | |||||||||||||||||||
Goldman Sachs International | $ | (1,689,921 | ) | $ | 313,251 | $ | 1,376,670 | $ | — | ||||||||||
Total | $ | (1,689,921 | ) | $ | 313,251 | $ | 1,376,670 | $ | — | ||||||||||
Multi-Asset Income | |||||||||||||||||||
Deutsche Bank AG | $ | (9,845 | ) | $ | 9,845 | $ | — | $ | — | ||||||||||
Goldman Sachs International | (7,430 | ) | 5,365 | — | (2,065 | ) | |||||||||||||
Royal Bank of Canada | (35,843 | ) | 30,146 | — | (5,697 | ) | |||||||||||||
Societe Generale | (71,386 | ) | 69,588 | — | (1,798 | ) | |||||||||||||
State Street Bank and Trust Company | (38,845 | ) | 38,845 | — | — | ||||||||||||||
Total | $ | (163,349 | ) | $ | 153,789 | $ | — | $ | (9,560 | ) |
(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.
129
(b) Net Amount represents amounts subject to loss as of April 30, 2016, 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 April 30, 2016.
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 SEC that permits the Funds to invest in both affiliated and unaffiliated investment companies, including exchange-traded funds, in excess of the limits in Section 12(d)(1)(A) of the 1940 Act, as amended, subject to the terms and conditions of such order. Through April 30, 2016, Flexible Select invested in Neuberger Berman Core Bond Fund and Neuberger Berman Unconstrained Bond Fund (collectively the "Underlying Funds"). Through April 30, 2016, 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, Long Short Credit and Risk Balanced Commodity Strategy (collectively the "Underlying Funds"). Through April 30, 2016, Inflation Managed invested in Neuberger Berman Emerging Markets Equity Fund, Neuberger Berman Floating Rate Income Fund, Neuberger Berman High Income Bond Fund and Risk Balanced Commodity Strategy (collectively the "Underlying Funds"). Through April 30, 2016, Multi-Asset Income invested in Neuberger Berman Emerging Markets Debt Fund, Neuberger Berman Floating Rate Income Fund, Neuberger Berman Global Long Short Fund, Long Short Credit and Neuberger Berman High Income Bond Fund (collectively the "Underlying Funds") (See Note F).
For the Funds' investments in the Underlying Funds, Management waived a portion of its management fee equal to the management fee it received from the Underlying Funds on those assets (the "Arrangement"). For the fiscal period ended April 30, 2016, management fees waived under this Arrangement are reflected in the Statements of Operations under the caption "Investment management fees waived." For the fiscal period ended April 30, 2016, income earned under this Arrangement on Flexible Select's, Global Allocation's, Inflation Managed's and Multi-Asset Income's investments is reflected in the Statements of Operations under the caption "Dividend income-affiliated issuers." For the fiscal period ended April 30, 2016, 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 | $ | 21,516 | $ | 195,823 | |||||||
Global Allocation | 29,175 | 100,750 | |||||||||
Inflation Managed | 8,147 | 40,306 | |||||||||
Multi-Asset Income | 17,067 | 147,627 |
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.
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Note B—Investment Management Fees, Administration Fees, Distribution Arrangements, and Other Transactions with Affiliates:
Each Fund retains Management as its investment manager under a Management Agreement. For such investment management services, each Fund pays Management a fee according to the following table:
Investment Management Fee as a Percentage of Average Daily Net Assets(1):
First $250 million | Next $250 million | Next $250 million | Next $250 million | Next $500 million | Next $500 million | Next $500 million | Next $1.5 billion | Thereafter | |||||||||||||||||||||||||||||||
For Flexible Select: | |||||||||||||||||||||||||||||||||||||||
0.60 | % | 0.575 | % | 0.55 | % | 0.525 | % | 0.50 | % | 0.475 | % | 0.475 | % | 0.475 | % | 0.45 | % | ||||||||||||||||||||||
For Global Allocation: | |||||||||||||||||||||||||||||||||||||||
0.65 | % | 0.65 | % | 0.65 | % | 0.65 | % | 0.625 | % | 0.625 | % | 0.60 | % | 0.60 | % | 0.60 | % | ||||||||||||||||||||||
For Inflation Managed: | |||||||||||||||||||||||||||||||||||||||
0.65 | % | 0.625 | % | 0.60 | % | 0.575 | % | 0.55 | % | 0.525 | % | 0.525 | % | 0.525 | % | 0.50 | % | ||||||||||||||||||||||
For Long Short: | |||||||||||||||||||||||||||||||||||||||
1.20 | % | 1.175 | % | 1.15 | % | 1.125 | % | 1.10 | % | 1.075 | % | 1.075 | % | 1.075 | % | 1.05 | % | ||||||||||||||||||||||
For Long Short Credit: | |||||||||||||||||||||||||||||||||||||||
0.80 | % | 0.80 | % | 0.80 | % | 0.80 | % | 0.80 | % | 0.80 | % | 0.80 | % | 0.80 | % | 0.80 | % | ||||||||||||||||||||||
For Multi-Asset Income: | |||||||||||||||||||||||||||||||||||||||
0.45 | % | 0.425 | % | 0.40 | % | 0.375 | % | 0.350 | % | 0.325 | % | 0.325 | % | 0.325 | % | 0.30 | % | ||||||||||||||||||||||
For Risk Balanced Commodity Strategy and Subsidiary: | |||||||||||||||||||||||||||||||||||||||
0.70 | % | 0.675 | % | 0.65 | % | 0.625 | % | 0.60 | % | 0.575 | % | 0.575 | % | 0.575 | % | 0.55 | % |
Accordingly, for the six months ended April 30, 2016, the investment management fee pursuant to the Management Agreement was equivalent to an annual effective rate of each Fund's average daily net assets(1), as follows:
Effective Rate | |||||||
Flexible Select | 0.55 | % | |||||
Global Allocation | 0.37 | % | |||||
Inflation Managed | 0.48 | % | |||||
Long Short | 1.11 | % | |||||
Multi-Asset Income | 0.22 | % | |||||
Risk Balanced Commodity Strategy | 0.70 | % | |||||
Subsidiary | 0.70 | % |
(1) Less the net asset value of the Subsidiary for Risk Balanced Commodity Strategy Fund.
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.
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Management pays State Street a fee for all services received under the 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, 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 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. The expenses of the Subsidiary are included in the total expenses used to calculate the reimbursement, which the Fund has agreed to share with the Subsidiary. For the six months ended April 30, 2016, these Subsidiary expenses amounted to $92,805.
During the six months ended April 30, 2016, there was no repayment to Management under these agreements.
At April 30, 2016, contingent liabilities to Management under the agreements were as follows:
Expenses Reimbursed in Fiscal Period Ending October 31, | |||||||||||||||||||||||||||
2013 | 2014 | 2015 | 2016 | ||||||||||||||||||||||||
Subject to Repayment Until October 31, | |||||||||||||||||||||||||||
Class | Contractual Expense Limitation(1) | Expiration | 2016 | 2017 | 2018 | 2019 | |||||||||||||||||||||
Flexible Select Institutional Class | 0.85 | % | 10/31/19 | $ | 216,729 | (4) | $ | 281,744 | $ | 300,067 | $ | 137,333 | |||||||||||||||
Flexible Select Class A | 1.21 | % | 10/31/19 | 2,426 | (4) | 1,301 | 2,093 | 634 | |||||||||||||||||||
Flexible Select Class C | 1.96 | % | 10/31/19 | 2,202 | (4) | 480 | 604 | 230 | |||||||||||||||||||
Global Allocation Institutional Class | 0.90 | %(3) | 10/31/19 | 253,136 | 297,504 | 219,561 | 111,516 | ||||||||||||||||||||
Global Allocation Class A | 1.26 | %(3) | 10/31/19 | 141,365 | 168,872 | 187,516 | 93,353 | ||||||||||||||||||||
Global Allocation Class C | 2.01 | %(3) | 10/31/19 | 71,481 | 105,371 | 142,390 | 78,582 | ||||||||||||||||||||
Inflation Managed Institutional Class | 0.90 | % | 10/31/19 | 438,126 | (2) | 374,332 | 352,679 | 166,855 | |||||||||||||||||||
Inflation Managed Class A | 1.26 | % | 10/31/19 | 5,378 | (2) | 9,441 | 36,856 | 6,758 | |||||||||||||||||||
Inflation Managed Class C | 2.01 | % | 10/31/19 | 5,378 | (2) | 3,221 | 7,233 | 4,121 | |||||||||||||||||||
Inflation Managed Class R6 | 0.83 | % | 10/31/19 | — | — | 9,636 | (7) | 33,256 | |||||||||||||||||||
Long Short Institutional Class | 1.70 | % | 10/31/19 | — | — | — | — | ||||||||||||||||||||
Long Short Class A | 2.06 | % | 10/31/19 | — | — | — | — | ||||||||||||||||||||
Long Short Class C | 2.81 | % | 10/31/19 | — | — | — | — | ||||||||||||||||||||
Long Short Credit Institutional Class | 1.20 | %(9) | 10/31/19 | — | — | 189,748 | (8) | 133,647 | |||||||||||||||||||
Long Short Credit Class A | 1.57 | %(9) | 10/31/19 | — | — | 11,947 | (8) | 7,085 | |||||||||||||||||||
Long Short Credit Class C | 2.32 | %(9) | 10/31/19 | — | — | 11,656 | (8) | 5,199 | |||||||||||||||||||
Long Short Credit Class R6 | 1.13 | %(9) | 10/31/19 | — | — | 51,840 | (8) | 25,685 | |||||||||||||||||||
Multi-Asset Income Institutional Class | 0.65 | %(6) | 10/31/19 | — | — | 212,134 | (5) | 165,097 | |||||||||||||||||||
Multi-Asset Income Class A | 1.02 | %(6) | 10/31/19 | — | — | 11,192 | (5) | 7,994 | |||||||||||||||||||
Multi-Asset Income Class C | 1.77 | %(6) | 10/31/19 | — | — | 11,081 | (5) | 7,480 |
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Expenses Reimbursed in Fiscal Period Ending October 31, | |||||||||||||||||||||||||||
2013 | 2014 | 2015 | 2016 | ||||||||||||||||||||||||
Subject to Repayment Until October 31, | |||||||||||||||||||||||||||
Class | Contractual Expense Limitation(1) | Expiration | 2016 | 2017 | 2018 | 2019 | |||||||||||||||||||||
Multi-Asset Income Class R6 | 0.58 | %(6) | 10/31/19 | $ | — | $ | — | $ | 77,638 | (5) | $ | 58,797 | |||||||||||||||
Risk Balanced Commodity Strategy Institutional Class | 1.10 | % | 10/31/19 | 190,694 | 79,267 | 94,559 | 77,484 | ||||||||||||||||||||
Risk Balanced Commodity Strategy Class A | 1.46 | % | 10/31/19 | 236,827 | 260,968 | 210,384 | 77,691 | ||||||||||||||||||||
Risk Balanced Commodity Strategy Class C | 2.21 | % | 10/31/19 | 29,935 | 27,833 | 17,570 | 5,989 |
(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 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. In addition, Management voluntarily waived its fees as necessary to maintain a minimum yield for Long Short Credit on several days in 2016, for Institutional Class, Class A, Class C and Class R6. For the six months ended April 30, 2016, voluntary reimbursements for Institutional Class, Class A, Class C and Class R6 of Long Short Credit amounted to $20,929, $1,856, $2,576 and $3,564, respectively.
Until December 31, 2015, Neuberger Berman Fixed Income LLC ("NBFI"), as the sub-adviser to Global Allocation, Inflation Managed, Long Short Credit, Multi-Asset Income and Risk Balanced Commodity Strategy, was retained by Neuberger Berman Management LLC ("NBM") to provide day-to-day investment management services and received a monthly fee paid by NBM. As investment manager, NBM was responsible for overseeing the investment activities of NBFI. Until December 31, 2015, Neuberger Berman LLC ("Neuberger"), was the sub-adviser to Flexible Select and Long Short and was retained by NBM to furnish it with investment recommendations and research information without added cost to the Funds. Several individuals who are Officers and/or Trustees of the Trust are also employees of NBFI, Neuberger and/or NBM. As a result of the entity consolidation described on page 16 of this Semi-Annual Report, the services previously provided by NBFI and Neuberger under the respective sub-advisory agreements are being provided by NBIA as of January 1, 2016.
133
Each Fund also has a distribution agreement with NBM with respect to each class of shares. NBM 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. As part of the entity consolidation noted above, it is expected that effective July 1, 2016, NBM will merge with and into Neuberger and, as a result, the distribution agreement will be transferred to Neuberger.
However, NBM 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, NBM's activities and expenses related to the sale and distribution of these classes, and ongoing services provided to investors in these classes, NBM 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. NBM 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 six months ended April 30, 2016, NBM, 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 | $ | 84 | $ | — | $ | — | $ | — | |||||||||||
Flexible Select Class C | — | — | — | — | |||||||||||||||
Global Allocation Class A | 576 | — | — | — | |||||||||||||||
Global Allocation Class C | — | 767 | — | — | |||||||||||||||
Inflation Managed Class A | — | — | — | — | |||||||||||||||
Inflation Managed Class C | — | 87 | — | — | |||||||||||||||
Long Short Class A | 32,566 | — | — | — | |||||||||||||||
Long Short Class C | — | 28,593 | — | — | |||||||||||||||
Long Short Credit Class A | — | — | — | — | |||||||||||||||
Long Short Credit Class C | — | 32 | — | — | |||||||||||||||
Multi-Asset Income Class A | — | — | — | — | |||||||||||||||
Multi-Asset Income Class C | — | — | — | — | |||||||||||||||
Risk Balanced Commodity Strategy Class A | — | — | — | — | |||||||||||||||
Risk Balanced Commodity Strategy Class C | — | 1,099 | — | — |
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Note C—Securities Transactions:
During the six months ended April 30, 2016, there were purchase and sale transactions of long-term securities (excluding swaps, futures, forward contracts and option contracts) as follows:
(000's omitted) | 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 | $ | — | $ | 59,837 | $ | — | $ | — | $ | 59,223 | $ | — | |||||||||||||||
Global Allocation | 1,313 | 11,025 | 2,550 | 1,499 | 13,082 | 2,770 | |||||||||||||||||||||
Inflation Managed | 1,463 | 1,029 | — | 3,844 | 6,507 | — | |||||||||||||||||||||
Long Short | — | 882,220 | 371,718 | — | 1,171,360 | 364,589 | |||||||||||||||||||||
Long Short Credit | 19,979 | 10,540 | 5,004 | 10,000 | 1,919 | 854 | |||||||||||||||||||||
Multi-Asset Income | 653 | 3,945 | 835 | 3,845 | 4,680 | — | |||||||||||||||||||||
Risk Balanced Commodity Strategy | — | 7,090 | — | — | 18,511 | — |
During the six months ended April 30, 2016, no brokerage commissions on securities transactions were paid to affiliated brokers.
Note D—Fund Share Transactions:
Share activity for the six months ended April 30, 2016 and for the year ended October 31, 2015 was as follows:
For the Six Months Ended April 30, 2016 | For the Year Ended October 31, 2015 | ||||||||||||||||||||||||||||||||||
(000's omitted) | 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 | 3 | 438 | (113 | ) | 328 | 101 | �� | 234 | — | 335 | |||||||||||||||||||||||||
Class A | 2 | 1 | (10 | ) | (7 | ) | 12 | 1 | (36 | ) | (23 | ) | |||||||||||||||||||||||
Class C | — | 1 | — | 1 | 3 | 0 | z | (1 | ) | 2 | |||||||||||||||||||||||||
Global Allocation | |||||||||||||||||||||||||||||||||||
Institutional Class | 54 | 2 | (98 | ) | (42 | ) | 238 | 27 | (560 | ) | (295 | ) | |||||||||||||||||||||||
Class A | 110 | 1 | (236 | ) | (125 | ) | 222 | 18 | (350 | ) | (110 | ) | |||||||||||||||||||||||
Class C | 56 | 1 | (142 | ) | (85 | ) | 190 | 11 | (217 | ) | (16 | ) | |||||||||||||||||||||||
Inflation Managed | |||||||||||||||||||||||||||||||||||
Institutional Class | 1 | 1 | (1,026 | ) | (1,024 | ) | 935 | 16 | (1,042 | ) | (91 | ) | |||||||||||||||||||||||
Class A | 1 | — | (10 | ) | (9 | ) | 43 | 2 | (211 | ) | (166 | ) | |||||||||||||||||||||||
Class C | 1 | — | (9 | ) | (8 | ) | 11 | 0 | z | (12 | ) | (1 | ) | ||||||||||||||||||||||
Class R6 | 148 | 1 | (51 | ) | 98 | 220 | — | (86 | ) | 134 | (2) |
135
For the Six Months Ended April 30, 2016 | For the Year Ended October 31, 2015 | ||||||||||||||||||||||||||||||||||
(000's omitted) | 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 | |||||||||||||||||||||||||||
Long Short | |||||||||||||||||||||||||||||||||||
Institutional Class | 34,883 | 15 | (68,032 | ) | (33,134 | ) | 93,007 | 735 | (82,335 | ) | 11,407 | ||||||||||||||||||||||||
Class A | 1,885 | — | (8,575 | ) | (6,690 | ) | 11,849 | 100 | (13,400 | ) | (1,451 | ) | |||||||||||||||||||||||
Class C | 540 | — | (3,968 | ) | (3,428 | ) | 3,514 | 45 | (4,714 | ) | (1,155 | ) | |||||||||||||||||||||||
Long Short Credit | |||||||||||||||||||||||||||||||||||
Institutional Class | 687 | 13 | (55 | ) | 645 | 2,337 | 0 | z | (0 | )z | 2,337 | (3) | |||||||||||||||||||||||
Class A | 9 | 0 | z | (6 | ) | 3 | 135 | 0 | z | — | 135 | (3) | |||||||||||||||||||||||
Class C | — | 0 | z | (3 | ) | (3 | ) | 103,245 | 0 | z | — | 103 | (3) | ||||||||||||||||||||||
Class R6 | — | 1 | — | 1 | 500 | — | — | 500 | (3) | ||||||||||||||||||||||||||
Multi-Asset Income | |||||||||||||||||||||||||||||||||||
Institutional Class | 4 | 9 | (4 | ) | 9 | 1,117 | 6 | (0 | )z | 1,123 | (1) | ||||||||||||||||||||||||
Class A | 10 | 0 | z | (6 | ) | 4 | 51 | 0 | z | — | 51 | (1) | |||||||||||||||||||||||
Class C | 5 | 0 | z | (5 | ) | 0 | z | 50 | 0 | z | (0 | )z | 50 | (1) | |||||||||||||||||||||
Class R6 | — | 2 | — | 2 | 400 | 1 | — | 401,294 | (1) | ||||||||||||||||||||||||||
Risk Balanced Commodity Strategy | |||||||||||||||||||||||||||||||||||
Institutional Class | 2,602 | — | (668 | ) | 1,934 | 3,787 | 0 | z | (1,104 | ) | 2,683 | ||||||||||||||||||||||||
Class A | 2,544 | — | (2,499 | ) | 45 | 6,256 | 1 | (8,483 | ) | (2,226 | ) | ||||||||||||||||||||||||
Class C | 22 | — | (404 | ) | (382 | ) | 279 | 0 | z | (268 | ) | 11 |
(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.
z Amount less than one thousand.
Note E—Lines of Credit:
At April 30, 2016, 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 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 April 30, 2016. During the period ended April 30, 2016, none of the Funds utilized the line of credit.
136
Note F—Investments in Affiliates(1):
Balance of Shares Held October 31, 2015 | Gross Purchases and Additions | Gross Sales and Reductions | Balance of Shares Held April 30, 2016 | Value April 30, 2016 | 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 | 840,510 | 11,796 | 77,594 | 774,712 | $ | 8,142,017 | $ | 122,269 | $ | (7,713 | ) | ||||||||||||||||||||
Neuberger Berman Unconstrained Bond Fund Institutional Class | 313,065 | 434,539 | — | 747,604 | 6,820,097 | 81,978 | — | ||||||||||||||||||||||||
Total | $ | 14,962,114 | $ | 204,247 | $ | (7,713 | ) | ||||||||||||||||||||||||
Global Allocation | |||||||||||||||||||||||||||||||
Neuberger Berman Emerging Markets Debt Fund Institutional Class | 76,021 | 1,307 | 50,679 | 26,649 | $ | 234,002 | $ | 10,869 | $ | (58,786 | ) | ||||||||||||||||||||
Neuberger Berman Emerging Markets Equity Fund Institutional Class | 156,647 | 28,743 | 40,338 | 145,052 | 2,125,202 | 12,512 | (66,626 | ) | |||||||||||||||||||||||
Neuberger Berman High Income Bond Fund Institutional Class | 134,797 | 21,530 | 17,418 | 138,909 | 1,167,749 | 32,441 | (18,160 | ) | |||||||||||||||||||||||
Neuberger Berman International Equity Fund Institutional Class | 265,492 | 3,409 | 19,462 | 249,439 | 2,736,747 | 36,956 | (2,116 | ) | |||||||||||||||||||||||
Neuberger Berman Long Short Credit Fund Institutional Class | 105,628 | 846 | 24,591 | 81,883 | 769,452 | 7,972 | (13,695 | ) | |||||||||||||||||||||||
Neuberger Berman Risk Balanced Commodity Strategy Fund Institutional Class | 101,752 | — | 4,613 | 97,139 | 588,799 | — | (8,395 | ) | |||||||||||||||||||||||
Total | $ | 7,621,951 | $ | 100,750 | $ | (167,778 | ) |
137
Balance of Shares Held October 31, 2015 | Gross Purchases and Additions | Gross Sales and Reductions | Balance of Shares Held April 30, 2016 | Value April 30, 2016 | Distributions from Investments in Affiliated Issuers(2) | Net Realized Gain (Loss) from Investments in Affiliated Issuers | |||||||||||||||||||||||||
Inflation Managed | |||||||||||||||||||||||||||||||
Neuberger Berman Emerging Markets Equity Fund Institutional Class | 57,674 | 11,462 | 44,664 | 24,472 | $ | 358,544 | $ | 5,090 | $ | (165,807 | ) | ||||||||||||||||||||
Neuberger Berman Floating Rate Income Fund Institutional Class | 61,229 | 1,010 | 54,007 | 8,232 | 80,410 | 4,806 | (32,871 | ) | |||||||||||||||||||||||
Neuberger Berman High Income Bond Fund Institutional Class | 193,868 | 25,088 | 129,223 | 89,733 | 754,347 | 30,410 | (156,114 | ) | |||||||||||||||||||||||
Neuberger Berman Risk Balanced Commodity Strategy Fund Institutional Class | 235,026 | 27,905 | 156,114 | 106,817 | 647,461 | — | * | (514,280 | ) | ||||||||||||||||||||||
Total | $ | 1,840,762 | $ | 40,306 | $ | (869,072 | ) | ||||||||||||||||||||||||
Multi-Asset Income | |||||||||||||||||||||||||||||||
Neuberger Berman Emerging Markets Debt Fund Institutional Class | 182,438 | 4,729 | 45,718 | 141,449 | $ | 1,242,066 | $ | 39,558 | $ | (48,072 | ) | ||||||||||||||||||||
Neuberger Berman Floating Rate Income Fund Institutional Class | 193,562 | 2,961 | 108,524 | 87,999 | 859,614 | 28,441 | (67,444 | ) | |||||||||||||||||||||||
Neuberger Berman Global Long Short Fund Institutional Class | 43,732 | 385 | 26,316 | 17,801 | 146,279 | 3,918 | (45,764 | ) | |||||||||||||||||||||||
Neuberger Berman High Income Bond Fund Institutional Class | 272,506 | 74,551 | — | 347,057 | 2,917,569 | 71,818 | — | ||||||||||||||||||||||||
Neuberger Berman Long Short Credit Fund Institutional Class | 45,159 | 8,477 | — | 53,636 | 504,020 | 3,892 | — | ||||||||||||||||||||||||
Total | $ | 5,669,548 | $ | 147,627 | $ | (61,280 | ) |
(1) Affiliated issuers, as defined in the 1940 Act.
(2) Distributions received include distributions from net investment income and net realized capital gains, if any, from the Underlying Fund.
* Security did not produce income during the period.
138
Other: At April 30, 2016, Global Allocation and Inflation Managed, which are also managed by Management, held 0.74% and 0.82% of the outstanding shares of Risk Balanced Commodity Strategy, respectively. Global Allocation and Multi-Asset Income, which are also managed by Management, held 2.20% and 1.44%, respectively, of the outstanding shares of Long Short Credit.
In addition, at April 30, 2016, there were affiliated investors owning 24.9%, 7.5%, 52.6%, 67.3% and 91.9% of Flexible Select's, Global Allocation's, Inflation Managed's, Long Short Credit's and Multi-Asset Income's outstanding shares, respectively.
Note G—Unaudited Financial Information:
The financial information included in this interim report is taken from the records of each Fund without audit by an independent registered public accounting firm. Annual reports contain audited financial statements.
139
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 do not round to $0.01 or $(0.01) per share are presented as $0.00 or $(0.00), respectively. Ratios that do not round to 0.01% or (0.01)% are presented as 0.00% or (0.00)%, respectively. Net Asset amounts with a zero balance, if any, may reflect actual amounts rounding to less than $0.1 million. A "—" indicates that the line item was not applicable in the corresponding period.
Net Asset Value, Beginning of Period | Net Investment Income (Loss)@ | Net Gains or Losses on Securities (both realized and unrealized) | Total From Investment Operations | Dividends from Net Investment Income | Distributions from Net Realized Capital Gains | Total Distributions | Voluntary Contributions from Management | Net Asset Value, End of Period | Total Return†† | Net Assets, End of Period (in millions) | Ratio of Gross Expenses to Average Net Assets# | Ratio of Gross Expenses to Average Net Assets (excluding dividend and interest expense relating to short sales)# | Ratio of Net Expenses to Average Net Assets | Ratio of Net Expenses to Average Net Assets (excluding dividend and interest expense relating to short sales) | Ratio of Net Investment Income/ (Loss) to Average Net Assets | Portfolio Turnover Rate (including securities sold short) | Portfolio Turnover Rate (excluding securities sold short) | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Flexible Select Fund | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Institutional Class | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
4/30/2016 (Unaudited) | $ | 11.64 | $ | 0.05 | $ | (0.17 | ) | $ | (0.12 | ) | $ | (0.08 | ) | $ | (0.48 | ) | $ | (0.56 | ) | $ | — | $ | 10.96 | (0.95 | )%** | $ | 96.0 | 1.15 | %* | 1.15 | %Ø* | 0.81 | %* | 0.81 | %Ø* | 0.87 | %* | 64 | %** | 64 | %Ø** | ||||||||||||||||||||||||||||||||||
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 | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
4/30/2016 (Unaudited) | $ | 11.58 | $ | 0.03 | $ | (0.16 | ) | $ | (0.13 | ) | $ | (0.02 | ) | $ | (0.48 | ) | $ | (0.50 | ) | $ | — | $ | 10.95 | (1.09 | )%** | $ | 0.3 | 1.61 | %* | 1.61 | %Ø* | 1.17 | %* | 1.17 | %Ø* | 0.51 | %* | 64 | %** | 64 | %Ø** | ||||||||||||||||||||||||||||||||||
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 | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
4/30/2016 (Unaudited) | $ | 11.46 | $ | (0.01 | ) | $ | (0.15 | ) | $ | (0.16 | ) | $ | — | $ | (0.48 | ) | $ | (0.48 | ) | $ | — | $ | 10.82 | (1.38 | )%** | $ | 0.1 | 2.28 | %* | 2.28 | %Ø* | 1.92 | %* | 1.92 | %Ø* | (0.24 | )%* | 64 | %** | 64 | %Ø** | ||||||||||||||||||||||||||||||||||
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** |
See Notes to Financial Highlights
140
141
Financial Highlights (cont'd)
Net Asset Value, Beginning of Period | Net Investment Income (Loss)@ | Net Gains or Losses on Securities (both realized and unrealized) | Total From Investment Operations | Dividends from Net Investment Income | Distributions from Net Realized Capital Gains | Total Distributions | Voluntary Contributions from Management | Net Asset Value, End of Period | Total Return†† | Net Assets, End of Period (in millions) | Ratio of Gross Expenses to Average Net Assets# | Ratio of Gross Expenses to Average Net Assets (excluding dividend and interest expense relating to short sales)# | Ratio of Net Expenses to Average Net Assets | Ratio of Net Expenses to Average Net Assets (excluding dividend and interest expense relating to short sales) | Ratio of Net Investment Income/ (Loss) to Average Net Assets | Portfolio Turnover Rate (including securities sold short) | Portfolio Turnover Rate (excluding securities sold short) | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Global Allocation Fund | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Institutional Class | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
4/30/2016 (Unaudited) | $ | 10.42 | $ | 0.06 | $ | (0.15 | ) | $ | (0.09 | ) | $ | — | $ | (0.02 | ) | $ | (0.02 | ) | $ | — | $ | 10.31 | (0.86 | )%** | $ | 8.4 | 4.17 | %* | 3.61 | %* | 1.19 | %* | 0.63 | %* | 1.17 | %* | 58 | %**a | 55 | %**a | |||||||||||||||||||||||||||||||||||
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 | %a | 189 | %a | ||||||||||||||||||||||||||||||||||
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 | %** | ||||||||||||||||||||||||||||||||||||||
Class A | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
4/30/2016 (Unaudited) | $ | 10.36 | $ | 0.04 | $ | (0.14 | ) | $ | (0.10 | ) | $ | — | $ | (0.02 | ) | $ | (0.02 | ) | $ | — | $ | 10.24 | (0.96 | )%** | $ | 6.7 | 4.55 | %* | 4.00 | %* | 1.54 | %* | 0.99 | %* | 0.82 | %* | 58 | %**a | 55 | %**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 | %a | 189 | %a | ||||||||||||||||||||||||||||||||||
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 | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
4/30/2016 (Unaudited) | $ | 10.18 | $ | 0.00 | $ | (0.13 | ) | $ | (0.13 | ) | $ | — | $ | (0.02 | ) | $ | (0.02 | ) | $ | — | $ | 10.03 | (1.27 | )%** | $ | 5.6 | 5.30 | %* | 4.74 | %* | 2.29 | %* | 1.74 | %* | 0.09 | %* | 58 | %**a | 55 | %**a | |||||||||||||||||||||||||||||||||||
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 | %a | 189 | %a | |||||||||||||||||||||||||||||||||
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 | %** |
See Notes to Financial Highlights
142
143
Financial Highlights (cont'd)
Net Asset Value, Beginning of Period | Net Investment Income (Loss)@ | Net Gains or Losses on Securities (both realized and unrealized) | Total From Investment Operations | Dividends from Net Investment Income | Distributions from Net Realized Capital Gains | Total Distributions | Voluntary Contributions from Management | Net Asset Value, End of Period | Total Return†† | Net Assets, End of Period (in millions) | Ratio of Gross Expenses to Average Net Assets# | Ratio of Gross Expenses to Average Net Assets (excluding dividend and interest expense relating to short sales)# | Ratio of Net Expenses to Average Net Assets | Ratio of Net Expenses to Average Net Assets (excluding dividend and interest expense relating to short sales) | Ratio of Net Investment Income/ (Loss) to Average Net Assets | Portfolio Turnover Rate (including securities sold short) | Portfolio Turnover Rate (excluding securities sold short) | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Inflation Managed Fund | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Institutional Class | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
4/30/2016 (Unaudited) | $ | 9.58 | $ | 0.09 | $ | (0.37 | ) | $ | (0.28 | ) | $ | (0.05 | ) | $ | — | $ | (0.05 | ) | $ | — | $ | 9.25 | (2.86 | )%** | $ | 4.2 | 5.29 | %* | 5.29 | %Ø* | 0.75 | %* | 0.75 | %Ø* | 1.93 | %* | 26 | %** | 26 | %Ø** | |||||||||||||||||||||||||||||||||||
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 | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
4/30/2016 (Unaudited) | $ | 9.54 | $ | 0.07 | $ | (0.35 | ) | $ | (0.28 | ) | $ | — | $ | — | $ | — | $ | — | $ | 9.26 | (2.94 | )%** | $ | 0.3 | 5.99 | %* | 5.99 | %Ø* | 1.13 | %* | 1.13 | %Ø* | 1.55 | %* | 26 | %** | 26 | %Ø** | |||||||||||||||||||||||||||||||||||||
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** | |||||||||||||||||||||||||||||||||||||||
Class C | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
4/30/2016 (Unaudited) | $ | 9.41 | $ | 0.03 | $ | (0.35 | ) | $ | (0.32 | ) | $ | — | $ | — | $ | — | $ | — | $ | 9.09 | (3.40 | )%** | $ | 0.2 | 6.63 | %* | 6.63 | %Ø* | 1.88 | %* | 1.88 | %Ø* | 0.79 | %* | 26 | %** | 26 | %Ø** | |||||||||||||||||||||||||||||||||||||
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 | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
4/30/2016 (Unaudited) | $ | 9.59 | $ | 0.09 | $ | (0.36 | ) | $ | (0.27 | ) | $ | (0.05 | ) | $ | — | $ | (0.05 | ) | $ | — | $ | 9.27 | (2.79 | )%** | $ | 2.1 | 5.53 | %* | 5.53 | %Ø* | 0.70 | %* | 0.70 | %Ø* | 1.94 | %* | 26 | %** | 26 | %Ø** | |||||||||||||||||||||||||||||||||||
Period from 5/11/2015^ to 10/31/2015 | $ | 10.57 | $ | 0.09 | $ | (1.07 | ) | $ | (0.98 | ) | $ | — | $ | — | $ | — | $ | — | $ | 9.59 | (9.27 | )%** | $ | 1.3 | 3.62 | %* | 3.62 | %Ø* | 0.65 | %* | 0.65 | %Ø* | 2.08 | %* | 100 | %cØ | 100 | %cØ | |||||||||||||||||||||||||||||||||||||
Long Short Fund | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Institutional Class | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
4/30/2016 (Unaudited) | $ | 12.76 | $ | (0.02 | ) | $ | (0.06 | ) | $ | (0.08 | ) | $ | (0.00 | ) | $ | — | $ | (0.00 | ) | $ | — | $ | 12.68 | (0.61 | )%** | $ | 2,282.7 | 1.92 | %* | 1.32 | %* | 1.92 | %* | 1.32 | %* | (0.34 | )%* | 47 | %** | 39 | %** | ||||||||||||||||||||||||||||||||||
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 | %** |
See Notes to Financial Highlights
144
145
Financial Highlights (cont'd)
Net Asset Value, Beginning of Period | Net Investment Income (Loss)@ | Net Gains or Losses on Securities (both realized and unrealized) | Total From Investment Operations | Dividends from Net Investment Income | Distributions from Net Realized Capital Gains | Total Distributions | Voluntary Contributions from Management | Net Asset Value, End of Period | Total Return†† | Net Assets, End of Period (in millions) | Ratio of Gross Expenses to Average Net Assets# | Ratio of Gross Expenses to Average Net Assets (excluding dividend and interest expense relating to short sales)# | Ratio of Net Expenses to Average Net Assets | Ratio of Net Expenses to Average Net Assets (excluding dividend and interest expense relating to short sales) | Ratio of Net Investment Income/ (Loss) to Average Net Assets | Portfolio Turnover Rate (including securities sold short) | Portfolio Turnover Rate (excluding securities sold short) | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Long Short Fund (cont'd) | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Class A | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
4/30/2016 (Unaudited) | $ | 12.62 | $ | (0.04 | ) | $ | (0.06 | ) | $ | (0.10 | ) | $ | — | $ | — | $ | — | $ | — | $ | 12.52 | (0.79 | )%** | $ | 275.0 | 2.29 | %* | 1.69 | %* | 2.29 | %* | 1.69 | %* | (0.71 | )%* | 47 | %** | 39 | %** | ||||||||||||||||||||||||||||||||||||
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 | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
4/30/2016 (Unaudited) | $ | 12.29 | $ | (0.09 | ) | $ | (0.06 | ) | $ | (0.15 | ) | $ | — | $ | — | $ | — | $ | — | $ | 12.14 | (1.22 | )%** | $ | 146.8 | 3.03 | %* | 2.43 | %* | 3.03 | %* | 2.43 | %* | (1.45 | )%* | 47 | %** | 39 | %** | ||||||||||||||||||||||||||||||||||||
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 | %** | ||||||||||||||||||||||||||||||||||||||
Long Short Credit Fund | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Institutional Class | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
4/30/2016 (Unaudited) | $ | 9.75 | $ | 0.04 | $ | (0.31 | ) | $ | (0.27 | ) | $ | (0.08 | ) | $ | — | $ | (0.08 | ) | $ | — | $ | 9.40 | (2.73 | )%** | $ | 28.0 | 3.50 | %* | 2.30 | %* | 2.23 | %* | 1.03 | %* | 0.81 | %* | 72 | %** | 62 | %** | |||||||||||||||||||||||||||||||||||
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 | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
4/30/2016 (Unaudited) | $ | 9.75 | $ | 0.02 | $ | (0.30 | ) | $ | (0.28 | ) | $ | (0.07 | ) | $ | — | $ | (0.07 | ) | $ | — | $ | 9.40 | (2.86 | )%** | $ | 1.3 | 3.86 | %* | 2.67 | %* | 2.47 | %* | 1.28 | %* | 0.52 | %* | 72 | %** | 62 | %** | |||||||||||||||||||||||||||||||||||
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 | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
4/30/2016 (Unaudited) | $ | 9.75 | $ | 0.00 | $ | (0.30 | ) | $ | (0.30 | ) | $ | (0.05 | ) | $ | — | $ | (0.03 | ) | $ | — | $ | 9.40 | (3.09 | )%** | $ | 0.9 | 4.60 | %* | 3.42 | %* | 2.96 | % | 1.78 | %* | 0.03 | %* | 72 | %** | 62 | %** | |||||||||||||||||||||||||||||||||||
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 | %** |
See Notes to Financial Highlights
146
147
Financial Highlights (cont'd)
Net Asset Value, Beginning of Period | Net Investment Income (Loss)@ | Net Gains or Losses on Securities (both realized and unrealized) | Total From Investment Operations | Dividends from Net Investment Income | Distributions from Net Realized Capital Gains | Total Distributions | Voluntary Contributions from Management | Net Asset Value, End of Period | Total Return†† | Net Assets, End of Period (in millions) | Ratio of Gross Expenses to Average Net Assets# | Ratio of Gross Expenses to Average Net Assets (excluding dividend and interest expense relating to short sales)# | Ratio of Net Expenses to Average Net Assets | Ratio of Net Expenses to Average Net Assets (excluding dividend and interest expense relating to short sales) | Ratio of Net Investment Income/ (Loss) to Average Net Assets | Portfolio Turnover Rate (including securities sold short) | Portfolio Turnover Rate (excluding securities sold short) | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Long Short Credit Fund (cont'd) | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Class R6 | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
4/30/2016 (Unaudited) | $ | 9.75 | $ | 0.04 | $ | (0.30 | ) | $ | (0.26 | ) | $ | (0.04 | ) | $ | — | $ | (0.09 | ) | $ | — | $ | 9.40 | (2.71 | )%** | $ | 4.7 | 3.41 | %* | 2.23 | %* | 2.16 | %* | 0.98 | %* | 0.83 | %* | 72 | %** | 62 | %** | |||||||||||||||||||||||||||||||||||
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 | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
4/30/2016 (Unaudited) | $ | 9.43 | $ | 0.18 | $ | 0.00 | $ | 0.18 | $ | (0.20 | ) | $ | — | $ | (0.20 | ) | $ | — | $ | 9.41 | 1.99 | %** | $ | 10.7 | 3.92 | %* | 3.92 | %Ø* | 0.42 | %* | 0.42 | %Ø* | 3.92 | %* | 31 | %** | 31 | %Ø** | |||||||||||||||||||||||||||||||||||||
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 | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
4/30/2016 (Unaudited) | $ | 9.43 | $ | 0.16 | $ | 0.00 | $ | 0.16 | $ | (0.18 | ) | $ | — | $ | (0.18 | ) | $ | — | $ | 9.41 | 1.80 | %** | $ | 0.5 | 4.34 | %* | 4.34 | %Ø* | 0.79 | %* | 0.79 | %Ø* | 3.56 | %* | 31 | %** | 31 | %Ø** | |||||||||||||||||||||||||||||||||||||
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 | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
4/30/2016 (Unaudited) | $ | 9.43 | $ | 0.13 | $ | 0.00 | $ | 0.13 | $ | (0.15 | ) | $ | — | $ | (0.15 | ) | $ | — | $ | 9.41 | 1.43 | %** | $ | 0.5 | 5.05 | %* | 5.05 | %Ø* | 1.54 | %* | 1.54 | %Ø* | 2.80 | %* | 31 | %** | 31 | %Ø** | |||||||||||||||||||||||||||||||||||||
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 | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
4/30/2016 (Unaudited) | $ | 9.43 | $ | 0.18 | $ | 0.00 | $ | 0.18 | $ | (0.20 | ) | $ | — | $ | (0.20 | ) | $ | — | $ | 9.41 | 2.02 | %** | $ | 3.8 | 3.85 | %* | 3.85 | %Ø* | 0.35 | %* | 0.35 | %Ø* | 3.99 | %* | 31 | %** | 31 | %Ø** | |||||||||||||||||||||||||||||||||||||
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** | |||||||||||||||||||||||||||||||||||
Risk Balanced Commodity Strategy Fundd | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Institutional Class | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
4/30/2016 (Unaudited) | $ | 6.20 | $ | (0.01 | ) | $ | (0.13 | ) | $ | (0.14 | ) | $ | — | $ | — | $ | — | $ | — | $ | 6.06 | (2.26 | )%** | $ | 42.8 | 1.56 | %* | 1.56 | %Ø* | 1.10 | %* | 1.10 | %Ø* | (0.53 | )%* | 15 | %** | 15 | %**Ø | ||||||||||||||||||||||||||||||||||||
10/31/2015 | $ | 8.39 | $ | (0.05 | ) | $ | (2.14 | ) | $ | (2.19 | ) | $ | — | $ | (0.00 | ) | $ | (0.00 | ) | $ | — | $ | 6.20 | (26.09 | )% | $ | 31.8 | 1.47 | % | 1.47 | %Ø* | 1.10 | % | 1.10 | %Ø* | (0.67 | )% | 35 | % | 35 | %Ø | ||||||||||||||||||||||||||||||||||
10/31/2014 | $ | 9.01 | $ | (0.07 | ) | $ | (0.55 | ) | $ | (0.62 | ) | $ | — | $ | — | $ | — | $ | — | $ | 8.39 | (6.88 | )% | $ | 20.5 | 1.62 | % | 1.62 | %Ø* | 1.10 | % | 1.10 | %Ø* | (0.73 | )% | 21 | % | 21 | %Ø | ||||||||||||||||||||||||||||||||||||
10/31/2013 | $ | 9.84 | $ | (0.09 | ) | $ | (0.74 | ) | $ | (0.83 | ) | $ | — | $ | — | $ | — | $ | — | $ | 9.01 | (8.43 | )% | $ | 9.6 | 3.69 | % | 3.69 | %Ø* | 1.10 | % | 0.10 | %Ø* | (0.94 | )% | 5 | % | 5 | %Ø | ||||||||||||||||||||||||||||||||||||
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 | %‡* | 25.60 | %؇* | 1.10 | %‡* | 1.10 | %؇* | (0.99 | )%‡* | 0 | %** | 0 | %**Ø |
See Notes to Financial Highlights
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149
Financial Highlights (cont'd)
Net Asset Value, Beginning of Period | Net Investment Income (Loss)@ | Net Gains or Losses on Securities (both realized and unrealized) | Total From Investment Operations | Dividends from Net Investment Income | Distributions from Net Realized Capital Gains | Total Distributions | Voluntary Contributions from Management | Net Asset Value, End of Period | Total Return†† | Net Assets, End of Period (in millions) | Ratio of Gross Expenses to Average Net Assets# | Ratio of Gross Expenses to Average Net Assets (excluding dividend and interest expense relating to short sales)# | Ratio of Net Expenses to Average Net Assets | Ratio of Net Expenses to Average Net Assets (excluding dividend and interest expense relating to short sales) | Ratio of Net Investment Income/ (Loss) to Average Net Assets | Portfolio Turnover Rate (including securities sold short) | Portfolio Turnover Rate (excluding securities sold short) | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Risk Balanced Commodity Strategy Fundd (cont'd) | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Class A | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
4/30/2016 (Unaudited) | $ | 6.12 | $ | (0.02 | ) | $ | (0.12 | ) | $ | (0.14 | ) | $ | — | $ | — | $ | — | $ | — | $ | 5.98 | (2.29 | )%** | $ | 35.0 | 1.95 | %* | 1.95 | %Ø* | 1.46 | %* | 1.46 | %Ø* | (0.90 | )%* | 15 | %** | 15 | %**Ø | ||||||||||||||||||||||||||||||||||||
10/31/2015 | $ | 8.32 | $ | (0.07 | ) | $ | (2.13 | ) | $ | (2.20 | ) | $ | — | $ | (0.00 | ) | $ | (0.00 | ) | $ | — | $ | 6.12 | (26.43 | )% | $ | 35.5 | 1.84 | % | 1.84 | %Ø* | 1.46 | % | 1.46 | %Ø* | (1.05 | )% | 35 | % | 35 | %Ø | ||||||||||||||||||||||||||||||||||
10/31/2014 | $ | 8.97 | $ | (0.10 | ) | $ | (0.55 | ) | $ | (0.65 | ) | $ | — | $ | — | $ | — | $ | — | $ | 8.32 | (7.25 | )% | $ | 66.8 | 1.98 | % | 1.98 | %Ø* | 1.46 | % | 1.46 | %Ø* | (1.09 | )% | 21 | % | 21 | %Ø | ||||||||||||||||||||||||||||||||||||
10/31/2013 | $ | 9.84 | $ | (0.12 | ) | $ | (0.75 | ) | $ | (0.87 | ) | $ | — | $ | — | $ | — | $ | — | $ | 8.97 | (8.84 | )% | $ | 35.0 | 3.81 | % | 3.81 | %Ø* | 1.46 | % | 1.46 | %Ø* | (1.27 | )% | 5 | % | 5 | %Ø | ||||||||||||||||||||||||||||||||||||
Period from 8/27/2012^ to 10/31/2012 | $ | 10.00 | $ | (0.03 | ) | $ | (0.13 | ) | $ | (0.16 | ) | $ | — | $ | — | $ | — | $ | — | $ | 9.84 | (1.60 | )%** | $ | 0.1 | 33.04 | %‡* | 33.04 | %؇* | 1.46 | %‡* | 1.46 | %؇* | (1.36 | )%‡* | 0 | %** | 0 | %**Ø | ||||||||||||||||||||||||||||||||||||
Class C | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
4/30/2016 (Unaudited) | $ | 5.98 | $ | (0.05 | ) | $ | (0.11 | ) | $ | (0.16 | ) | $ | — | $ | — | $ | — | $ | — | $ | 5.82 | (2.68 | )%** | $ | 0.8 | 2.97 | %* | 2.97 | %Ø* | 2.21 | %* | 2.21 | %Ø* | (1.69 | )%* | 15 | %** | 15 | %**Ø | ||||||||||||||||||||||||||||||||||||
10/31/2015 | $ | 8.19 | $ | (0.12 | ) | $ | (2.09 | ) | $ | (2.21 | ) | $ | — | $ | (0.00 | ) | $ | (0.00 | ) | $ | — | $ | 5.98 | (26.98 | )% | $ | 3.1 | 2.70 | % | 2.70 | %Ø* | 2.21 | % | 2.21 | %Ø* | (1.79 | )% | 35 | % | 35 | %Ø | ||||||||||||||||||||||||||||||||||
10/31/2014 | $ | 8.88 | $ | (0.16 | ) | $ | (0.53 | ) | $ | (0.69 | ) | $ | — | $ | — | $ | — | $ | — | $ | 8.19 | (7.77 | )% | $ | 4.2 | 2.84 | % | 2.84 | %Ø* | 2.21 | % | 2.21 | %Ø* | (1.84 | )% | 21 | % | 21 | %Ø | ||||||||||||||||||||||||||||||||||||
10/31/2013 | $ | 9.83 | $ | (0.18 | ) | $ | (0.77 | ) | $ | (0.95 | ) | $ | — | $ | — | $ | — | $ | — | $ | 8.88 | (9.66 | )% | $ | 3.6 | 4.69 | % | 4.69 | %Ø* | 2.21 | % | 2.21 | %Ø* | (2.03 | )% | 5 | % | 5 | %Ø | ||||||||||||||||||||||||||||||||||||
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 | %‡* | 35.12 | %؇* | 2.21 | %‡* | 2.21 | %؇* | (2.11 | )%‡* | 0 | %** | 0 | %**Ø |
See Notes to Financial Highlights
150
151
Notes to Financial Highlights (Unaudited)
†† Total return based on per share NAV reflects the effects of changes in NAV on the performance of each Fund during each fiscal period. Returns assume income dividends and other distributions, if any, were reinvested, but do not reflect the effect of sales charges. Results represent past performance and do not indicate future results. Current returns may be lower or higher than the performance data quoted. Investment returns and principal may fluctuate and shares when redeemed may be worth more or less than original cost. Total return would have been lower if Management had not reimbursed and/or waived certain expenses. Total return would have been higher if Management had not recouped previously reimbursed and/or waived expenses.
^ The 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 Institutional Class | 1.69 | % | 1.54 | % | |||||||
Long Short Class A | 2.06 | % | 1.92 | % | |||||||
Long Short 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, Multi-Asset Income and Risk Balanced Commodity Strategy did not engage in short sales.
a The portfolio turnover rates not including mortgage dollar roll transactions, including and excluding securities sold short, were 55% and 50%, respectively, for the six months ended April 30, 2016 and 195% and 185%, respectively, for the year ended October 31, 2015, for Global Allocation.
b The voluntary contributions received in 2014 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.
d Consolidated financial highlights, see Note A in the Notes to Financial Statements.
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Directory
Investment Manager and Administrator
Neuberger Berman Investment Advisers LLC
605 Third Avenue, 2nd Floor
New York, NY 10158-0180
212.476.8800
Intermediary Client Services 800.366.6264
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 (prior to January 1, 2016)
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 Investment Advisers LLC
605 Third Avenue, 2nd Floor
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
153
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).
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Neuberger Berman Long Short Credit Fund: Initial Consideration of the Management and Sub-Advisory Agreements
At a meeting held on December 17-18, 2014, 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"), evaluated and approved the management agreement with Management (the "Management Agreement") and the sub-advisory agreement between Management and Neuberger Berman LLC ("Neuberger") (the "Sub-Advisory Agreement" and collectively with the Management Agreement, the "Agreements") with respect to Neuberger Berman Long Short Credit Fund (the "Fund"). The Independent Fund Trustees were advised by counsel that is experienced in Investment Company Act of 1940 matters and that is independent of Management ("Independent Counsel").
In evaluating the Agreements, the Board, including the Independent Fund Trustees, reviewed extensive materials provided by Management and met with senior representatives of Management regarding its personnel, operations and financial condition as they relate to the Fund.
In connection with its deliberations, the Board also considered the broad range of information relevant to the annual contract review that is provided to the Board (including its various standing committees) at meetings throughout the year and for the annual consideration of continuance of contracts for other series of the Trust that were approved during the Board's annual contract review in October 2014. To assist the Board in its deliberations regarding contract review, the Board has established a Contract Review Committee comprised of Independent Fund Trustees. The Board has also established other committees that focus throughout the year on specific areas relevant to the annual contract review, such as Fund performance or compliance matters, and that are charged with specific responsibilities regarding the annual contract review.
The Independent Fund Trustees receive, at least annually, from Independent Counsel a memorandum discussing the legal standards for their consideration of management and advisory agreements. During the course of their deliberations regarding their review of the Agreements, the Independent Fund Trustees met with Independent Counsel separately from representatives of Management and Neuberger.
In connection with its approval of the Agreements, the Board evaluated the terms of the Agreements, the overall fairness of the Agreements to the Fund and whether the Agreements were in the best interests of the Fund and its shareholders. The Board considered all factors it deemed relevant with respect to the Fund, including the following factors: (1) the nature, extent, and quality of the services to be provided by Management and Neuberger; (2) the expected costs of the services to be provided by Management and Neuberger; (3) the extent to which economies of scale might be realized as the Fund grows; and (4) whether proposed fee levels reflect any such potential economies of scale for the benefit of the Fund's shareholders. The Board's determination to approve the Agreements was based on a comprehensive consideration of all information provided to the Board. 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 to be provided, the Board considered the investment philosophy and decision-making processes of Management and Neuberger and the qualifications, experience, and capabilities of, and the resources available to, the portfolio management personnel of Management and Neuberger who would perform services for the Fund. The Board noted that Management also would provide certain administrative services, including fund accounting and compliance services. The Board also considered Management's policies and practices regarding brokerage and allocation of portfolio transactions for the Fund. The Board also reviewed whether Management would use brokers to execute Fund transactions that provide research and other services to Management and the types of benefits potentially derived from such services by Management, 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
155
history of Management and Neuberger as no significant compliance problems were reported to the Board with respect to either firm.
With respect to the overall fairness of the Agreements, the Board considered the fee structures proposed for the Fund under the Agreements for the three classes to be registered initially as compared to a peer group of comparable funds. The Board also considered any fall-out benefits likely to accrue to Management and Neuberger or their affiliates from their relationship with the Fund. The Board reviewed a comparison of the Fund's proposed management fee and overall expense ratio to a peer group and a larger group of broadly comparable funds and determined that the management fee and the overall expense ratio for Institutional Class are at the median for the peer group, but above the median for the larger group, and Class A and Class C are above the median for both the peer group and the larger group. The Board noted that the comparative management fee analysis includes, in the Fund's management fee, the separate administrative fee paid to Management, but it was not clear whether this was the case for all funds in the peer group or the larger group of broadly comparable funds. In addition, the Board considered the proposed contractual limit on expenses of each class of the Fund. The Board also considered whether it would be appropriate to evaluate any anticipated economies of scale in relation to the services Management would provide to the Fund, noting that it may be too soon to anticipate the economies at the start-up phase of a fund. The Board concluded that the benefits expected to accrue to Management and its affiliates by virtue of their relationship to the Fund were reasonable in light of the costs of providing the investment advisory and other services and the benefits expected to accrue to the Fund.
Conclusions
In approving the Agreements, the Board concluded that the terms of each Agreement are fair and reasonable to the Fund and that approval of the Agreements is in the best interests of the Fund and its shareholders. In reaching this determination, the Board considered that Management and Neuberger could be expected to provide a high level of service to the Fund; that the Fund's proposed fee structure appeared to the Board to be reasonable given the nature, extent and quality of services expected to be provided; and that the benefits expected to accrue to Management and its affiliates by virtue of their relationship with the Fund were reasonable in light of the costs of providing the investment advisory and other services and the benefits expected to accrue to the Fund.
On December 15, 2015, the Board, including the Independent Fund Trustees, unanimously approved a novation of the Agreements in connection with a reorganization of the advisory and administrative functions of Management and Neuberger into a new entity, Neuberger Berman Investment Advisers LLC, after receiving assurances that (1) the reorganization would not result in a change of actual control or management of the advisory organizations and (2) the reorganization would not result in a change in the nature or quality of the services provided to the Fund.
156
Neuberger Berman Investment Advisers 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 you can obtain by calling 887.628.2583. An investor should consider a Fund's investment objectives, risks and fees and expenses carefully before investing.
L0088 06/16
Neuberger Berman
Alternative and Multi-Asset Class Funds
Institutional Class Shares
Class A Shares
Class C Shares
Global Long Short Fund
Semi-Annual Report
April 30, 2016
Contents
PRESIDENT'S LETTER | 1 | ||||
PORTFOLIO COMMENTARY | 2 | ||||
FUND EXPENSE INFORMATION | 6 | ||||
SCHEDULE OF INVESTMENTS | 8 | ||||
POSITIONS BY INDUSTRY | 11 | ||||
FINANCIAL STATEMENTS | 19 | ||||
FINANCIAL HIGHLIGHTS (ALL CLASSES)/ PER SHARE DATA | 37 | ||||
Directory | 40 | ||||
Proxy Voting Policies and Procedures | 41 | ||||
Quarterly Portfolio Schedule | 41 |
The "Neuberger Berman" name and logo are registered service marks of Neuberger Berman Group LLC. "Neuberger Berman Investment Advisers LLC" and the individual Fund names in this piece are either service marks or registered service marks of Neuberger Berman Investment Advisers LLC. ©2016 Neuberger Berman Management LLC, distributor. All rights reserved.
President's Letter
Dear Shareholder,
I am pleased to present this semi-annual shareholder report for Neuberger Berman Global Long Short Fund.
Global equity markets generated mixed returns during the reporting period. While U.S. stocks performed positively, emerging markets stocks were practically flat, whereas non-U.S. developed markets stocks were modestly negative in aggregate. In fixed income, the U.S., non-U.S. developed and emerging markets all generated positive returns, led by the non-U.S. developed markets. In our view, in the U.S., high employment and moderately rising wages were offset by weak overall economic activity. Europe has benefitted from aggressive central bank stimulus, but political risks have also been rising. Japan has been experiencing negative interest rates and faltering growth, as "Abenomics," the economic program of the current government, has lost traction. In China, policy makers have provided stimulus measures and encouraged reforms while contending with a number of structural challenges.
As we move further into the year, we will continue to be very cautious on the risk front as global economic growth, global central bank policy, and geopolitics remain in focus. At the same time, we believe the potential for an extended business cycle and additional policy support may keep the probability of a near-term global recession low. Against this backdrop, we believe investors should brace for ongoing volatility, but embrace a cautiously optimistic outlook on risk assets.
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
Neuberger Berman Global Long Short Fund Institutional Class generated a total return of –15.61% for the six months ended April 30, 2016 and underperformed its primary benchmark, the HFRX Equity Hedge Index, which posted a –3.94% return for the same period. The Fund also underperformed the –0.65% return of the MSCI All Country World Index. (Performance for all share classes is provided in the table immediately following this letter.)
Financial markets were volatile during the reporting period. Markets declined in November and December and into the first two months of 2016 over concerns regarding global growth due to a number of leading economic indicators that suggested the potential for further economic weakness. This was followed by a strong rebound starting in mid-February and March on hopes of a rebound in global economic activity. Fluctuating market expectations regarding monetary policies around the world were an important factor behind the aforementioned volatility. Ultimately, the actions of central banks in Europe, the U.S. and Japan ended up adding to that volatility.
Another critical driver of equity market volatility and performance throughout the period came from China, where the country's authorities launched a number of stimulative measures, including funding new and previously approved fixed asset investment projects, reducing bank reserve requirements, lowering barriers to real estate investments and lowering taxes on certain types of passenger cars. These measures had significant local and global implications. Locally, the Chinese economy saw a boost in activity and an increase in the demand for certain commodities, such as base metals. This and other local factors had substantial global consequences, specifically with regard to commodity prices and equity market performance in sectors such as mining. After a very aggressive rebound in February and March, we started to see a reversal of these aggressive uptrends, more in-line with what could be justified by current supply/demand dynamics as well as global macroeconomic conditions.
In terms of Fund performance during the six-month period, investments in the Health Care and Information Technology sectors contributed to performance, while investments in Consumer Discretionary detracted. The Fund's aggregate use of futures contracts, forward contracts, swap contracts and options detracted from performance.
During the period, we positioned the Fund to capture what we believed were fundamental and policy related opportunities, particularly in Europe and Japan. We increased our overweight to Europe relative to the benchmark, prompted by positive economic momentum and supportive monetary policies, and identified what we saw as reflation beneficiaries such as German real estate. We also invested in companies that cater to the aging demographic, particularly businesses that promise to improve the efficiency of health care products and services delivery. In Japan, we have invested in businesses benefiting from increased tourism, primarily from China. Our positioning was more defensive in the U.S., where we invested in companies with traditionally resilient business models, such as off-price discounters or those that appear to us to have more sustainable revenue streams, such as defense companies. On the short side, we sought to identify structurally challenged business models, such as certain U.S. department stores, which have been seeing intense pressure from the online retailing channel and shifting consumer tastes.
Looking ahead to the remainder of 2016, we have a generally balanced outlook on global equity markets. We are in the midst of one of the longest U.S. bull markets in history and equity valuations around the globe have risen. We anticipate continued accommodative monetary policies around the world, save for the U.S., where we anticipate the U.S. Federal Reserve to continue along its cautious path of interest rate increases. We also anticipate that continued 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 good global backdrop for our unique investment approach. By combining top-down research with bottom-up stock analysis, we believe we can identify exciting global investment themes.
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
TICKER SYMBOLS
Institutional Class | NGBIX | ||||||
Class A | NGBAX | ||||||
Class C | NGBCX |
PERFORMANCE HIGHLIGHTS
Inception | Six Month Period Ended | Average Annual Total Return Ended 04/30/2016 | |||||||||||||
Date | 04/30/2016 | 1 Year | Life of Fund | ||||||||||||
At NAV | |||||||||||||||
Institutional Class | 11/12/2014 | –15.61 | % | –18.65 | % | –11.46 | % | ||||||||
Class A | 11/12/2014 | –15.89 | % | –19.00 | % | –11.84 | % | ||||||||
Class C | 11/12/2014 | –16.12 | % | –19.57 | % | –12.50 | % | ||||||||
With Sales Charge | |||||||||||||||
Class A | –20.70 | % | –23.69 | % | –15.33 | % | |||||||||
Class C | –16.96 | % | –20.37 | % | –12.50 | % | |||||||||
Index | |||||||||||||||
HFRX Equity Hedge Index1,2 | –3.94 | % | –8.31 | % | –3.09 | % | |||||||||
MSCI All Country World Index1,2 | –0.65 | % | –5.13 | % | –0.31 | % |
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 Investment Advisers 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 total annual operating expense ratios for fiscal year 2015 were 4.30%, 4.95% and 5.69% for Institutional Class, Class A and Class C shares, respectively (before expense reimbursements and/or fee waivers, if any). The total annual operating expense ratios were 2.57%, 2.92% and 3.67% for Institutional Class, Class A and Class C shares, respectively, after expense reimbursements and/or fee waivers. The expense ratios for the semi-annual period ended April 30, 2016 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.
Endnotes
1 Please see "Glossary of Indices" on page 5 for a description of indices. Please note that individuals cannot invest directly in any index. The HFRX Equity Hedge Index takes into account fees and expenses of investing since it is based on the underlying hedge funds' net returns. The other indices described in this report do not take into account any fees, expenses or tax consequences of investing in the individual securities that they track. Data about the performance of an index are prepared or obtained by Neuberger Berman Investment Advisers 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 November 12, 2014, the inception date for the Fund.
* On January 1, 2016, Neuberger Berman Management LLC (NBM) and Neuberger Berman LLC (NB LLC) transferred to Neuberger Berman Fixed Income LLC (NBFI) their rights and obligations pertaining to all services they provided to any Fund under any investment management, investment sub-advisory, and/or administration agreement, as applicable (the "Agreements"). Following this transfer, NBFI was renamed Neuberger Berman Investment Advisers LLC (NBIA). In addition, as of the date of the transfer, the services previously provided by NB Alternative Investment Management LLC (NBAIM) are provided by NBIA.
As of December 31, 2015, NBM served as the Fund's investment manager and administrator and each of NB LLC, NBFI and NBAIM served as certain Funds' adviser or sub-adviser. Following the consolidation, the investment professionals of NBM, NB LLC, NBFI and NBAIM who provided services to the Fund under the Agreements continue to provide the same services, except that they provide those services in their new capacities as investment professionals of NBIA. Further, the consolidation did not result in any change in the investment processes 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.
** It is contemplated that effective July 1, 2016 Neuberger Berman Management LLC will merge with and into Neuberger Berman LLC, which will assume the role of distributor to the Funds.
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 a Fund and compare these costs with the ongoing costs of investing in other mutual funds.
This table is designed to provide information regarding costs related to your investments. The following examples are based on an investment of $1,000 made at the beginning of the six month period ended April 30, 2016 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 4/30/16 (Unaudited)
ACTUAL | HYPOTHETICAL (5% ANNUAL RETURN BEFORE EXPENSES) | ||||||||||||||||||||||||||||||||
Beginning Account Value 11/1/15 | Ending Account Value 4/30/16 | Expenses Paid During the Period(1) 11/1/15 - 4/30/16 | Expense Ratio | Beginning Account Value 11/1/15 | Ending Account Value 4/30/16 | Expenses Paid During the Period(2) 11/1/15 - 4/30/16 | Expense Ratio | ||||||||||||||||||||||||||
Global Long Short | |||||||||||||||||||||||||||||||||
Institutional Class | $ | 1,000.00 | $ | 843.90 | $ | 14.76 | 3.22 | % | $ | 1,000.00 | $ | 1,008.85 | $ | 16.08 | 3.22 | % | |||||||||||||||||
Class A | $ | 1,000.00 | $ | 841.10 | $ | 16.39 | 3.58 | % | $ | 1,000.00 | $ | 1,007.06 | $ | 17.87 | 3.58 | % | |||||||||||||||||
Class C | $ | 1,000.00 | $ | 838.80 | $ | 19.57 | 4.28 | % | $ | 1,000.00 | $ | 1,003.58 | $ | 21.32 | 4.28 | % |
(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 182/366 (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 182/366 (to reflect the one-half year period shown).
Schedule of Investments Neuberger Berman Global Long Short Fund (Unaudited) 4/30/16
Investments | Shares | Value ($) | |||||||||
Long Positions—102.8% | |||||||||||
Common Stocks—69.1% | |||||||||||
Australia—0.5% | |||||||||||
Newcrest Mining Ltd.* | 4,964 | 72,383 | |||||||||
Belgium—2.5% | |||||||||||
Ion Beam Applications | 8,471 | 348,705 | |||||||||
Canada—0.4% | |||||||||||
lululemon athletica, Inc.* | 717 | 46,999 | |||||||||
Denmark—1.0% | |||||||||||
Vestas Wind Systems A/S | 2,033 | 145,444 | |||||||||
Finland—0.0%(a) | |||||||||||
Kone OYJ, Class B | 30 | 1,369 | |||||||||
France—5.2% | |||||||||||
AXA SA | 2,964 | 74,717 | |||||||||
BNP Paribas SA | 288 | 15,249 | |||||||||
Orpea | 3,257 | 268,556 | |||||||||
Thales SA | 4,362 | 377,101 | |||||||||
735,623 | |||||||||||
Germany—10.0% | |||||||||||
Covestro AG*(b)(c) | 3,563 | 140,835 | |||||||||
Daimler AG | 945 | 65,671 | |||||||||
Deutsche Wohnen AG(b) | 6,510 | 199,365 | |||||||||
Fresenius SE & Co. KGaA | 525 | 38,185 | |||||||||
Hella KGaA Hueck & Co. | 2,087 | 79,757 | |||||||||
Infineon Technologies AG(b) | 7,003 | 99,633 | |||||||||
KION Group AG | 1,230 | 67,012 | |||||||||
Kloeckner & Co. SE | 6,509 | 75,836 | |||||||||
KUKA AG | 774 | 76,254 | |||||||||
Nordex SE* | 32 | 896 | |||||||||
ProSiebenSat.1 Media SE | 1,223 | 62,346 | |||||||||
Salzgitter AG | 1,915 | 64,807 | |||||||||
Siemens AG | 715 | 74,601 | |||||||||
ThyssenKrupp AG | 3,168 | 73,675 | |||||||||
Vonovia SE | 7,821 | 263,155 | |||||||||
1,382,028 | |||||||||||
Italy—1.0% | |||||||||||
Brembo SpA(b) | 1,181 | 63,437 | |||||||||
Buzzi Unicem SpA(b) | 4,291 | 81,268 | |||||||||
144,705 | |||||||||||
Japan—9.1% | |||||||||||
Central Japan Railway Co.(b) | 100 | 17,517 | |||||||||
Daicel Corp. | 4,301 | 53,728 |
Investments | Shares | Value ($) | |||||||||
Don Quijote Holdings Co. Ltd.(b) | 1,058 | 37,639 | |||||||||
East Japan Railway Co. | 800 | 70,381 | |||||||||
Fuji Heavy Industries Ltd. | 948 | 31,128 | |||||||||
Japan Airlines Co. Ltd. | 2,000 | 71,989 | |||||||||
Japan Tobacco, Inc.(b) | 3,500 | 143,003 | |||||||||
JFE Holdings, Inc. | 6,700 | 94,024 | |||||||||
Kajima Corp. | 14,700 | 91,319 | |||||||||
Nomura Research Institute Ltd. | 470 | 16,488 | |||||||||
NTT DOCOMO, Inc. | 5,027 | 120,567 | |||||||||
Obayashi Corp. | 9,600 | 94,083 | |||||||||
Seibu Holdings, Inc. | 5,000 | 105,485 | |||||||||
Shimizu Corp. | 10,600 | 95,006 | |||||||||
Taisei Corp.(b) | 14,184 | 96,814 | |||||||||
West Japan Railway Co. | 1,900 | 114,696 | |||||||||
1,253,867 | |||||||||||
Luxembourg—0.5% | |||||||||||
ArcelorMittal | 12,224 | 69,034 | |||||||||
Netherlands—0.1% | |||||||||||
ING Groep NV, CVA | 1,191 | 14,585 | |||||||||
South Africa—0.6% | |||||||||||
Brait SE*(b) | 8,123 | 90,827 | |||||||||
Spain—1.5% | |||||||||||
Gamesa Corp. Tecnologica SA(b) | 10,383 | 204,432 | |||||||||
Sweden—4.8% | |||||||||||
Assa Abloy AB, Class B(b) | 980 | 20,551 | |||||||||
Autoliv, Inc., SDR(b) | 647 | 78,393 | |||||||||
RaySearch Laboratories AB* | 26,247 | 379,138 | |||||||||
SKF AB, Class B(b) | 10,239 | 188,576 | |||||||||
666,658 | |||||||||||
Switzerland—1.5% | |||||||||||
ABB Ltd.* | 4,942 | 104,476 | |||||||||
Givaudan SA | 51 | 100,479 | |||||||||
204,955 | |||||||||||
United States—30.4% | |||||||||||
Accenture plc, Class A(b) | 786 | 88,755 | |||||||||
Allegion plc(b) | 130 | 8,508 | |||||||||
Altria Group, Inc. | 544 | 34,114 | |||||||||
Amazon.com, Inc.*(g) | 105 | 69,257 | |||||||||
Anadarko Petroleum Corp. | 2,651 | 139,867 | |||||||||
Apple, Inc. | 1,038 | 97,302 | |||||||||
Astec Industries, Inc.(b) | 3,938 | 190,599 | |||||||||
B/E Aerospace, Inc.(b) | 176 | 8,559 |
Investments | Shares | Value ($) | |||||||||
Bank of America Corp. | 486 | 7,076 | |||||||||
Booz Allen Hamilton Holding Corp.(b) | 4,433 | 122,218 | |||||||||
Bristol-Myers Squibb Co.(b) | 744 | 53,702 | |||||||||
Chipotle Mexican Grill, Inc.*(b) | 456 | 191,962 | |||||||||
Concho Resources, Inc.* | 1,151 | 133,712 | |||||||||
Devon Energy Corp. | 3,920 | 135,945 | |||||||||
Eli Lilly & Co.(g) | 606 | 45,771 | |||||||||
EOG Resources, Inc.(b) | 2,078 | 171,684 | |||||||||
Facebook, Inc., Class A*(g) | 849 | 99,825 | |||||||||
Fiserv, Inc.*(b) | 2,366 | 231,205 | |||||||||
General Electric Co.(b) | 215 | 6,611 | |||||||||
Goldman Sachs Group, Inc. (The) | 48 | 7,877 | |||||||||
Home Depot, Inc. (The)(g) | 1,169 | 156,517 | |||||||||
JPMorgan Chase & Co. | 118 | 7,458 | |||||||||
Lockheed Martin Corp.(g) | 680 | 158,018 | |||||||||
NIKE, Inc., Class B(b) | 744 | 43,852 | |||||||||
Northrop Grumman Corp.(d) | 780 | 160,883 | |||||||||
Orbital ATK, Inc.(b) | 1,790 | 155,730 | |||||||||
Philip Morris International, Inc. | 1,385 | 135,896 | |||||||||
Pioneer Natural Resources Co.(b) | 1,050 | 174,405 | |||||||||
Raytheon Co. (d) | 1,181 | 149,219 | |||||||||
Regal Beloit Corp.(b) | 2,166 | 139,534 | |||||||||
Reynolds American, Inc. | 688 | 34,125 | |||||||||
Rockwell Automation, Inc.(b) | 1,157 | 131,285 | |||||||||
Ross Stores, Inc.(b) | 2,366 | 134,341 | |||||||||
Sherwin-Williams Co. (The) | 225 | 64,645 | |||||||||
Stanley Black & Decker, Inc.(g) | 1,189 | 133,073 | |||||||||
TJX Cos., Inc. (The)(d) | 3,575 | 271,057 | |||||||||
T-Mobile US, Inc.*(b) | 1,899 | 74,593 | |||||||||
Whirlpool Corp.(b) | 1,246 | 216,979 | |||||||||
WW Grainger, Inc. | 28 | 6,566 | |||||||||
4,192,725 | |||||||||||
Total Common Stocks (Cost $9,009,740) | 9,574,339 |
See Notes to Financial Statements
Schedule of Investments Neuberger Berman Global Long Short Fund (Unaudited) (cont'd)
Investments | Shares | Value ($) | |||||||||
Preferred Stock—0.5% | |||||||||||
Germany—0.5% | |||||||||||
Jungheinrich AG (Cost $72,767) | 812 | 76,549 | |||||||||
Exchange Traded Funds—9.2% | |||||||||||
United States | |||||||||||
Market Vectors Gold Miners Fund(b) | 10,578 | 273,230 | |||||||||
Market Vectors Junior Gold Miners Fund | 3,543 | 136,476 | |||||||||
SPDR Gold Shares*(b) | 1,998 | 247,052 | |||||||||
SPDR S&P Bank Fund(b) | 10,344 | 335,663 | |||||||||
SPDR S&P Oil & Gas Exploration & Production Fund(b) | 7,870 | 281,274 | |||||||||
1,273,695 | |||||||||||
Total Exchange Traded Funds (Cost $1,210,019) | 1,273,695 | ||||||||||
No. of Contracts | Market Value ($) | ||||||||||
Option Purchased—0.3% | |||||||||||
Put Option—0.3% | |||||||||||
Intel Corp. 5/20/2016 @ 31.00 (Cost $20,875) | 300 | 36,900 | |||||||||
Shares | Value ($) | ||||||||||
Short-Term Investment—23.7% | |||||||||||
Investment Company—23.7% | |||||||||||
Morgan Stanley Institutional Liquidity Fund Treasury Portfolio Institutional Class, 0.15%, (Cost $3,279,168)(b)(e) | 3,279,168 | 3,279,168 | |||||||||
Total Long Positions (Cost $13,592,569) | 14,240,651 | ||||||||||
Short Positions—(16.7)%(f) | |||||||||||
Common Stocks—(16.7)% | |||||||||||
Belgium—(1.1)% | |||||||||||
Solvay SA | (1,556 | ) | (157,253 | ) | |||||||
Canada—(0.2)% | |||||||||||
Finning International, Inc. | (1,766 | ) | (31,387 | ) |
Investments | Shares | Value ($) | |||||||
Finland—(1.1)% | |||||||||
Metso OYJ | (6,246 | ) | (150,120 | ) | |||||
France—(0.6)% | |||||||||
Legrand SA | (1,340 | ) | (76,319 | ) | |||||
Vallourec SA | (368 | ) | (1,911 | ) | |||||
(78,230 | ) | ||||||||
Germany—(0.3)% | |||||||||
Wacker Chemie AG | (497 | ) | (47,650 | ) | |||||
Italy—(1.5)% | |||||||||
Prada SpA | (31,800 | ) | (107,699 | ) | |||||
Salvatore Ferragamo SpA | (4,153 | ) | (96,107 | ) | |||||
(203,806 | ) | ||||||||
Sweden—(0.6)% | |||||||||
Atlas Copco AB, Class A | (3,023 | ) | (78,225 | ) | |||||
Switzerland—(3.9)% | |||||||||
Cie Financiere Richemont SA | (2,832 | ) | (188,347 | ) | |||||
STMicroelectronics NV | (23,535 | ) | (144,553 | ) | |||||
Swatch Group AG (The) | (643 | ) | (219,584 | ) | |||||
(552,484 | ) | ||||||||
United Kingdom—(0.8)% | |||||||||
Michael Kors Holdings Ltd.* | (260 | ) | (13,432 | ) | |||||
Rio Tinto plc, ADR | (3,018 | ) | (101,586 | ) | |||||
(115,018 | ) | ||||||||
United States—(6.6)% | |||||||||
Bed Bath & Beyond, Inc.* | (2,905 | ) | (137,174 | ) | |||||
Caterpillar, Inc. | (400 | ) | (31,088 | ) | |||||
Chico's FAS, Inc. | (1,124 | ) | (14,174 | ) | |||||
Cummins, Inc. | (337 | ) | (39,439 | ) | |||||
Dillard's, Inc., Class A | (169 | ) | (11,906 | ) | |||||
Emerson Electric Co. | (331 | ) | (18,083 | ) | |||||
Flowserve Corp. | (326 | ) | (15,912 | ) | |||||
Fluor Corp. | (338 | ) | (18,475 | ) | |||||
Franklin Resources, Inc. | (2,795 | ) | (104,365 | ) | |||||
Gap, Inc. (The) | (3,606 | ) | (83,587 | ) | |||||
IDEX Corp. | (186 | ) | (15,234 | ) | |||||
International Business Machines Corp. | (815 | ) | (118,941 | ) | |||||
Kohl's Corp. | (1,553 | ) | (68,798 | ) | |||||
Nordstrom, Inc. | (1,303 | ) | (66,622 | ) | |||||
Praxair, Inc. | (1,121 | ) | (131,672 | ) | |||||
SPX FLOW, Inc.* | (766 | ) | (22,949 | ) | |||||
(898,419 | ) | ||||||||
Total Common Stocks (Proceeds $(2,225,951)) | (2,312,592 | ) |
Investments | Shares | Value ($) | |||||||||
Total Short Positions (Proceeds $(2,225,951)) | (2,312,592 | ) | |||||||||
Total Investments—86.1% (Cost $11,366,618) | 11,928,059 | ||||||||||
Other Assets Less Liabilities—13.90%(h) | 1,919,321 | ||||||||||
Net assets—100.00% | 13,847,380 |
See Notes to Financial Statements
Schedule of Investments Neuberger Berman Global Long Short Fund (Unaudited) (cont'd)
* Non-income producing security.
(a) Represents less than 0.05% of net assets.
(b) All or a portion of this security is segregated in connection with obligations for futures, swaps, options and/or forward foreign currency contracts with a total value of $7,268,306.
(c) 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 or may have other restrictions on resale. At 4/30/2016, these securities amounted to $140,835 of long positions or 1.02% of net assets for the Fund. These securities have been deemed by the investment manager to be liquid.
(d) All or a portion of this security is pledged with the custodian for securities sold short and options written.
(e) Represents 7-day effective yield as of 4/30/2016.
(f) At 4/30/2016, the Fund had deposited $2,399,845 in one or more accounts to satisfy collateral requirements for borrowing in connection with securities sold short.
(g) All or a portion of this security was used to cover the margin requirement for futures contracts.
(h) Includes the impact of the Fund's open positions in derivatives at 4/30/2016.
Abbreviations
ADR American Depositary Receipt
CVA Dutch Certification
OYJ Public Traded Company
SDR Swedish Depositary Receipt
SPDR Standard & Poor's Depositary Receipts
See Notes to Financial Statements
Schedule of Investments Neuberger Berman Global Long Short Fund (Unaudited) (cont'd)
LONG POSITIONS BY INDUSTRY GLOBAL LONG SHORT FUND (UNAUDITED)
Industry | Investments at Value† | Percentage of Net Assets | |||||||
Aerospace & Defense | $ | 1,009,510 | 7.3 | % | |||||
Oil, Gas & Consumable Fuels | 755,613 | 5.5 | % | ||||||
Machinery | 733,432 | 5.2 | % | ||||||
Electrical Equipment | 726,067 | 5.2 | % | ||||||
Specialty Retail | 561,915 | 4.1 | % | ||||||
Real Estate Management & Development | 462,520 | 3.3 | % | ||||||
IT Services | 458,666 | 3.3 | % | ||||||
Health Care Technology | 379,138 | 2.7 | % | ||||||
Construction & Engineering | 377,222 | 2.7 | % | ||||||
Metals & Mining | 373,923 | 2.7 | % | ||||||
Chemicals | 359,687 | 2.6 | % | ||||||
Health Care Equipment & Supplies | 348,705 | 2.5 | % | ||||||
Tobacco | 347,138 | 2.5 | % | ||||||
Health Care Providers & Services | 306,741 | 2.2 | % | ||||||
Auto Components | 221,587 | 1.6 | % | ||||||
Household Durables | 216,979 | 1.6 | % | ||||||
Road & Rail | 202,594 | 1.5 | % | ||||||
Wireless Telecommunication Services | 195,160 | 1.4 | % | ||||||
Hotels, Restaurants & Leisure | 191,962 | 1.4 | % | ||||||
Industrial Conglomerates | 186,697 | 1.4 | % | ||||||
Internet Software & Services | 99,825 | 0.7 | % | ||||||
Semiconductors & Semiconductor Equipment | 99,633 | 0.7 | % | ||||||
Pharmaceuticals | 99,473 | 0.7 | % | ||||||
Capital Markets | 98,704 | 0.7 | % | ||||||
Technology Hardware, Storage & Peripherals | 97,302 | 0.7 | % | ||||||
Automobiles | 96,799 | 0.7 | % | ||||||
Textiles, Apparel & Luxury Goods | 90,851 | 0.7 | % | ||||||
Trading Companies & Distributors | 82,402 | 0.6 | % | ||||||
Construction Materials | 81,268 | 0.6 | % | ||||||
Insurance | 74,717 | 0.5 | % | ||||||
Airlines | 71,989 | 0.5 | % | ||||||
Internet & Catalog Retail | 69,257 | 0.5 | % | ||||||
Media | 62,346 | 0.5 | % | ||||||
Banks | 44,368 | 0.3 | % | ||||||
Multiline Retail | 37,639 | 0.3 | % | ||||||
Building Products | 29,059 | 0.2 | % | ||||||
Short-Term Investments and Other Assets—Net | 6,509,084 | 47.1 | % | ||||||
Short Positions (see summary on next page) | (2,312,592 | ) | (16.7 | )% | |||||
$ | 13,847,380 | 100.0 | % |
†See Note A in Notes to Financial Statements.
See Notes to Financial Statements
Schedule of Investments Neuberger Berman Global Long Short Fund (Unaudited) (cont'd)
SHORT POSITIONS BY INDUSTRY GLOBAL LONG SHORT FUND (UNAUDITED)
Industry | Investments at Value† | Percentage of Net Assets | |||||||
Textiles, Apparel & Luxury Goods | $ | (625,169 | ) | (4.5 | )% | ||||
Machinery | (352,967 | ) | (2.6 | )% | |||||
Chemicals | (336,575 | ) | (2.4 | )% | |||||
Specialty Retail | (234,935 | ) | (1.7 | )% | |||||
Multiline Retail | (147,326 | ) | (1.1 | )% | |||||
Semiconductors & Semiconductor Equipment | (144,553 | ) | (1.0 | )% | |||||
IT Services | (118,941 | ) | (0.9 | )% | |||||
Capital Markets | (104,365 | ) | (0.8 | )% | |||||
Metals & Mining | (101,586 | ) | (0.7 | )% | |||||
Electrical Equipment | (94,402 | ) | (0.7 | )% | |||||
Trading Companies & Distributors | (31,387 | ) | (0.2 | )% | |||||
Construction & Engineering | (18,475 | ) | (0.1 | )% | |||||
Energy Equipment & Services | (1,911 | ) | 0.0 | %(a) | |||||
Total Common Stock Sold Short | $ | (2,312,592 | ) | (16.7 | )% |
See Notes to Financial Statements
Schedule of Investments Neuberger Berman Global Long Short Fund (Unaudited) (cont'd)
Derivative Instruments
Futures contracts ("futures") |
At April 30, 2016, open positions in futures for the Fund were as follows:
Expiration | Open Contracts | Position | Unrealized Appreciation (Depreciation) | ||||||
6/17/2016 | 16 Mini MSCI Emerging Markets Index Futures | Long | $ | (7,500 | ) | ||||
6/17/2016 | 59 Euro Stoxx 50 Index Futures | Short | (21,275 | ) | |||||
6/17/2016 | 11 NASDAQ 100 E-Mini Futures | Short | (1,613 | ) | |||||
6/17/2016 | 8 S&P 500 E-Mini Futures | Short | (21,197 | ) | |||||
6/17/2016 | 24 STOXX 600 BAS Futures | Short | (10,485 | ) | |||||
6/9/2016 | 11 Yen Denom Nikkei Futures | Short | 32,038 | ||||||
Total | $ | (30,032 | ) |
At April 30, 2016, the notional value of futures was $670,720 for long positions and $(5,022,292) for short positions. The Fund had deposited $605,453 in segregated accounts to cover margin requirements on open futures.
For the six months ended April 30, 2016, the average notional value of futures for the Fund was $1,595,160 for long positions and $(1,201,529) for short positions.
Forward foreign currency contracts ("forward contracts") |
At April 30, 2016, open forward contracts for the Fund were as follows:
Buy | Counterparty | Contracts to Receive | In Exchange For | Settlement Date | Net Unrealized Appreciation (Depreciation) | ||||||||||||
Japanese Yen | Morgan Stanley Capital Services LLC | 65,000,000 | $ | 606,804 | 5/27/2016 | $ | 4,098 | ||||||||||
Total | $ | 4,098 | |||||||||||||||
Sell | Counterparty | Contracts to Deliver | In Exchange For | Settlement Date | Net Unrealized Appreciation (Depreciation) | ||||||||||||
Euro | Morgan Stanley Capital Services LLC | 873,000 | $ | 980,728 | 5/27/2016 | $ | (19,610 | ) | |||||||||
Japanese Yen | Morgan Stanley Capital Services LLC | 65,000,000 | 582,677 | 5/27/2016 | (28,563 | ) | |||||||||||
Total | $ | (48,173 | ) |
For the six months ended April 30, 2016, the average notional value of forward contracts for the Fund was $3,549,540.
See Notes to Financial Statements
Schedule of Investments Neuberger Berman Global Long Short Fund (Unaudited) (cont'd)
Equity swap contracts ("equity swaps") |
At April 30, 2016, the outstanding equity swaps* for the Fund were as follows:
Counterparty | Description | Expiration Date(s) | Value | ||||||||||||
Bank of America, NA | 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. | 5/12/2016– 10/25/2017 | $ | 35,541 |
* The following table represents the individual long and short positions and related values of the equity swaps with Bank of America, NA as of April 30, 2016.
Reference Entity | Shares | Notional Value(a)(b) | Net Unrealized Appreciation (Depreciation) | |||||||||||
Common Stocks Long Positions | ||||||||||||||
France | ||||||||||||||
CAP Gemini SA | 1,199 | $ | 107,324 | $ | 4,609 | |||||||||
Japan | ||||||||||||||
NTT Data Corp. | 2,096 | 90,541 | 22,533 | |||||||||||
United Kingdom | ||||||||||||||
BAE Systems plc | 1,930 | 15,025 | (1,565 | ) | ||||||||||
British American Tobacco plc | 1,650 | 92,086 | 8,449 | |||||||||||
Croda International plc | 3,874 | 167,828 | 2,610 | |||||||||||
Imperial Tobacco Group plc | 4,424 | 235,230 | 5,139 | |||||||||||
ITV plc | 21,639 | 89,254 | (18,051 | ) | ||||||||||
(3,418 | ) | |||||||||||||
Total Long Positions of Portfolio Equity Swaps | 23,724 | |||||||||||||
Financing Costs and Other Receivables/(Payables) | 11,817 | |||||||||||||
Equity Swaps, at value—Bank of America, NA | $ | 35,541 |
Counterparty | Description | Expiration Date(s) | 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. 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. | 7/14/2017– 10/30/2017 | $ | (11,691 | ) |
See Notes to Financial Statements
Schedule of Investments Neuberger Berman Global Long Short Fund (Unaudited) (cont'd)
* The following table represents the individual long and short positions and related values of the equity swaps with Goldman Sachs International as of April 30, 2016.
Reference Entity | Shares | Notional Value(a)(b) | Net Unrealized Appreciation (Depreciation) | ||||||||||
Common Stocks Long Positions | |||||||||||||
United Kingdom | |||||||||||||
Vodafone Group plc | 51,790 | $ | 166,581 | $ | (706 | ) | |||||||
United States | |||||||||||||
Cairn Homes plc | 75,000 | 96,034 | 150 | ||||||||||
Total Common Stocks Long Positions of Equity Swaps | (556 | ) | |||||||||||
Futures Long Position | |||||||||||||
STOXX Europe 600 Real Estate | 547 | 69,709 | (2,634 | ) | |||||||||
Total Long positions of Equity Swaps | (3,190 | ) | |||||||||||
Common Stocks Short Positions | |||||||||||||
United Kingdom | |||||||||||||
Anglo American plc | (6,875 | ) | (67,191 | ) | (9,495 | ) | |||||||
Total Long and Short Positions of Equity Swaps | (12,685 | ) | |||||||||||
Financing Costs and Other Receivables/(Payables) | 994 | ||||||||||||
Equity Swaps, at value—Goldman Sachs International | $ | (11,691 | ) |
Counterparty | Description | Expiration Date(s) | Value | ||||||||||||
Morgan Stanley Capital Services LLC | 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. | 12/30/2016– 7/2/2017 | $ | 45,705 |
* The following table represents the individual long and short positions and related values of the equity swaps with Morgan Stanley Capital Services LLC as of April 30, 2016.
Reference Entity | Shares | Notional Value(a)(b) | Net Unrealized Appreciation (Depreciation) | ||||||||||
Common Stocks Long Positions | |||||||||||||
Germany | |||||||||||||
Rheinmetall AG | 2,385 | $ | 157,849 | $ | 28,729 | ||||||||
United Kingdom | |||||||||||||
Croda International plc | 2,460 | 101,496 | 6,733 | ||||||||||
United States | |||||||||||||
Visa, Inc. | 1,030 | 70,845 | 8,712 | ||||||||||
Total Long Positions of Portfolio Equity Swap Contracts | 44,174 |
See Notes to Financial Statements
Schedule of Investments Neuberger Berman Global Long Short Fund (Unaudited) (cont'd)
Reference Entity | Shares | Notional Value(a)(b) | Net Unrealized Appreciation (Depreciation) | ||||||||||
Common Stocks Short Positions | |||||||||||||
United Kingdom | |||||||||||||
ARM Holdings plc | (5,050 | ) | $ | (71,643 | ) | $ | 2,467 | ||||||
Total Long and Short Positions of Equity Swaps | 46,641 | ||||||||||||
Financing Costs and Other Receivables/(Payables) | (936 | ) | |||||||||||
Equity Swaps, at value—Morgan Stanley Capital Services LLC | $ | 45,705 | |||||||||||
Total Equity Swaps, at value | $ | 69,555 |
(a) Notional value represents the value (including any fees or commissions) of the long and short positions when they were established.
(b) For the six months ended April 30, 2016, the average notional value of equity swaps was $2,768,707 for long positions and $(1,739,988) for short positions, respectively.
At April 30, 2016, the Fund had deposited cash collateral of $140,000 in a segregated account for Morgan Stanley Capital Services LLC.
Written option contracts ("options written") |
At April 30, 2016 outstanding put options written were as follows.
Name of Issuer | Contracts | Exercise Price | Expiration Date | Market Value of Options | |||||||||||
Intel Corp., Put | 300 | $ | 29 | 5/20/2016 | $ | (9,900 | ) | ||||||||
Total | $ | (9,900 | ) |
Written option transactions for the Fund for the six months ended April 30, 2016 were as follows:
Number of Contracts | Premium Received | ||||||||||
Outstanding 10/31/15 | 10 | $ | 4,585 | ||||||||
Options written | 1,729 | 82,461 | |||||||||
Options closed | — | — | |||||||||
Options exercised | — | — | |||||||||
Options expired | (1,439 | ) | (79,121 | ) | |||||||
Outstanding 4/30/16 | 300 | $ | 7,925 |
For the six months ended April 30, 2016, the Fund had an average market value of $15,070 in purchased options and $(6,717) in options written.
See Notes to Financial Statements
Schedule of Investments Neuberger Berman Global Long Short Fund (Unaudited) (cont'd)
The following is a summary, categorized by Level, of inputs used to value the Fund's investments as of April 30, 2016:
Asset Valuation Inputs | |||||||||||||||||||
Level 1 | Level 2 | Level 3 | Total | ||||||||||||||||
Investments: | |||||||||||||||||||
Common Stocks | |||||||||||||||||||
Australia | $ | — | $ | 72,383 | $ | — | $ | 72,383 | |||||||||||
Japan | — | 1,253,867 | — | 1,253,867 | |||||||||||||||
Other Common Stocks(a) | 8,248,089 | — | — | 8,248,089 | |||||||||||||||
Total Common Stocks | 8,248,089 | 1,326,250 | — | 9,574,339 | |||||||||||||||
Preferred Stock(a) | 76,549 | — | — | 76,549 | |||||||||||||||
Exchange Traded Funds(a) | 1,273,695 | — | — | 1,273,695 | |||||||||||||||
Option Purchased | 36,900 | — | — | 36,900 | |||||||||||||||
Short-Term Investment | — | 3,279,168 | — | 3,279,168 | |||||||||||||||
Total Long Positions | $ | 9,635,233 | $ | 4,605,418 | $ | — | $ | 14,240,651 |
(a) The Schedule of Investments provides a geographic categorization as well as a Long Positions by Industry and Short Positions by Industry summary.
As of the six months ended April 30, 2016, there were no transfers between Levels 1, 2 or 3.
The following is a summary, categorized by Level, of inputs used to value the Fund's derivatives as of April 30, 2016:
Asset Valuation Inputs | |||||||||||||||||||
Level 1 | Level 2 | Level 3 | Total | ||||||||||||||||
Forward contracts (unrealized appreciation) | $ | — | $ | 4,098 | $ | — | $ | 4,098 | |||||||||||
Swap contracts | — | 102,942 | — | 102,942 | |||||||||||||||
Futures (unrealized appreciation) | 32,038 | — | — | 32,038 | |||||||||||||||
Total | $ | 32,038 | $ | 107,040 | $ | — | $ | 139,078 |
The following is a summary, categorized by Level, of inputs used to value the Fund's short investments as of April 30, 2016:
Liability Valuation Inputs | |||||||||||||||||||
Level 1 | Level 2 | Level 3 | Total | ||||||||||||||||
Investments: | |||||||||||||||||||
Common Stocks Sold Short | |||||||||||||||||||
Italy | $ | (96,107 | ) | $ | (107,699 | ) | $ | — | $ | (203,806 | ) | ||||||||
Other Common Stocks Sold Short(a) | (2,108,786 | ) | — | — | (2,108,786 | ) | |||||||||||||
Total Common Stocks Sold Short | (2,204,893 | ) | (107,699 | ) | — | (2,312,592 | ) | ||||||||||||
Total Short Positions | $ | (2,204,893 | ) | $ | (107,699 | ) | $ | — | $ | (2,312,592 | ) |
(a) The Schedule of Investments provides a geographic categorization as well as a Long Positions by Industry and Short Positions by Industry summary.
See Notes to Financial Statements
Schedule of Investments Neuberger Berman Global Long Short Fund (Unaudited) (cont'd)
The following is a summary, categorized by Level, of inputs used to value the Fund's derivatives as of April 30, 2016:
Liability Valuation Inputs | |||||||||||||||||
Level 1 | Level 2 | Level 3 | Total | ||||||||||||||
Forward contracts (unrealized depreciation) | $ | — | $ | (48,173 | ) | $ | — | $ | (48,173 | ) | |||||||
Swap contracts | — | (33,387 | ) | — | (33,387 | ) | |||||||||||
Futures (unrealized depreciation) | (62,070 | ) | — | — | (62,070 | ) | |||||||||||
Options written | (9,900 | ) | — | — | (9,900 | ) | |||||||||||
Total | $ | (71,970 | ) | $ | (81,560 | ) | $ | — | $ | (153,530 | ) |
See Notes to Financial Statements
Statement of Assets and Liabilities (Unaudited)
Neuberger Berman Alternative Funds
GLOBAL LONG SHORT FUND | |||||
April 30, 2016 | |||||
Assets | |||||
Investments in securities, at value* (Note A)—see Schedule of Investments: | |||||
Unaffiliated issuers | $ | 14,240,651 | |||
Cash | 49,615 | ||||
Foreign Currency* | 567 | ||||
Cash collateral segregated for short sales (Note A) | 2,399,845 | ||||
Cash collateral segregated for swap contracts (Note A) | 140,000 | ||||
Dividends and interest receivable | 36,916 | ||||
Receivable for securities sold | 33,964 | ||||
Receivable for Fund shares sold | 604 | ||||
Receivable from administrator—net (Note B) | 22,483 | ||||
Swap contracts, at value (Note A) | 102,942 | ||||
Receivable for variation margin on futures contracts (Note A) | 81,432 | ||||
Receivable for forward foreign currency contracts (Note A) | 4,098 | ||||
Prepaid expenses and other assets | 32,099 | ||||
Total Assets | 17,145,216 | ||||
Liabilities | |||||
Investments sold short, at value** (Note A) | 2,312,592 | ||||
Options contracts written, at value*** (Note A) | 9,900 | ||||
Dividends and interest payable for short sales | 9,269 | ||||
Swap contracts, at value (Note A) | 33,387 | ||||
Payable to investment manager (Note B) | 14,413 | ||||
Payable for securities purchased | 780,934 | ||||
Payable for Fund shares redeemed | 86 | ||||
Payable for forward foreign currency contracts (Note A) | 48,173 | ||||
Accrued expenses and other payables | 89,082 | ||||
Total Liabilities | 3,297,836 | ||||
Net Assets | $ | 13,847,380 | |||
Net Assets consist of: | |||||
Paid-in capital | $ | 17,344,529 | |||
Undistributed net investment income (loss) | (595,435 | ) | |||
Accumulated net realized gains (losses) on investments | (3,454,573 | ) | |||
Net unrealized appreciation (depreciation) in value of investments | 552,859 | ||||
Net Assets | $ | 13,847,380 |
See Notes to Financial Statements
Statement of Assets and Liabilities (Unaudited) (cont'd)
Neuberger Berman Alternative Funds (cont'd)
GLOBAL LONG SHORT FUND | |||||
April 30, 2016 | |||||
Net Assets | |||||
Institutional Class | $ | 12,819,794 | |||
Class A | 527,324 | ||||
Class C | 500,262 | ||||
Shares Outstanding ($.001 par value; unlimited shares authorized) | |||||
Institutional Class | 1,547,517 | ||||
Class A | 63,666 | ||||
Class C | 60,851 | ||||
Net Asset Value, offering and redemption price per share | |||||
Institutional Class | $ | 8.28 | |||
Net Asset Value and redemption price per share | |||||
Class A | $ | 8.28 | |||
Offering Price per share | |||||
Class A‡ | $ | 8.79 | |||
Net Asset Value and offering price per share | |||||
Class C^ | $ | 8.22 | |||
*Cost of Investments: | |||||
Unaffiliated issuers | $ | 13,592,569 | |||
Total cost of foreign currency | $ | 1,344 | |||
**Proceeds from investments sold short | $ | 2,225,951 | |||
***Premium received from option contracts written | $ | 7,925 |
‡ 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 (Unaudited)
GLOBAL LONG SHORT FUND | |||||
For the Six Months Ended April 30, 2016 | |||||
Investment Income: | |||||
Income (Note A): | |||||
Dividend income—unaffiliated issuers | $ | 97,649 | |||
Interest income—unaffiliated issuers | 2,250 | ||||
Foreign taxes withheld (Note A) | (7,149 | ) | |||
Total income | $ | 92,750 | |||
Expenses: | |||||
Investment management fees (Note B) | 113,240 | ||||
Administration fees (Note B) | 5,435 | ||||
Administration fees (Note B): | |||||
Institutional Class | 7,603 | ||||
Class A | 637 | ||||
Class C | 585 | ||||
Distribution fees (Note B): | |||||
Class A | 796 | ||||
Class C | 2,927 | ||||
Shareholder servicing agent fees: | |||||
Institutional Class | 728 | ||||
Class A | 166 | ||||
Class C | 91 | ||||
Audit fees | 24,172 | ||||
Custodian and accounting fees (Note A) | 46,718 | ||||
Legal fees | 45,218 | ||||
Registration and filing fees | 35,876 | ||||
Shareholder reports | 6,944 | ||||
Trustees' fees and expenses | 17,307 | ||||
Dividend and interest expense on securities sold short (Note A) | 128,171 | ||||
Interest expense | 20 | ||||
Miscellaneous | 2,242 | ||||
Total expenses | 438,876 | ||||
Expenses reimbursed by Management (Note B) | (143,564 | ) | |||
Total net expenses | 295,312 | ||||
Net investment income (loss) | $ | (202,562 | ) |
See Notes to Financial Statements
Statement of Operations (Unaudited) (cont'd)
Neuberger Berman Alternative Funds (cont'd)
GLOBAL LONG SHORT FUND | |||||
For the Six Months Ended April 30, 2016 | |||||
Realized and Unrealized Gain (Loss) on Investments (Note A): | |||||
Net realized gain (loss) on: | |||||
Sales of investment securities of unaffiliated issuers | $ | (1,457,567 | ) | ||
Sales of investment securities of unaffiliated issuers sold short | (78,039 | ) | |||
Forward foreign currency contracts | (210,534 | ) | |||
Foreign currency | (9,462 | ) | |||
Futures contracts | (478,677 | ) | |||
Option contracts written | 78,073 | ||||
Swap contracts | (523,964 | ) | |||
Change in net unrealized appreciation (depreciation) in value of: | |||||
Unaffiliated investment securities | 303,058 | ||||
Unaffiliated investment securities sold short | (79,756 | ) | |||
Forward foreign currency contracts | (117,260 | ) | |||
Foreign currency | (1,378 | ) | |||
Futures contracts | (41,605 | ) | |||
Option contracts written | (2,960 | ) | |||
Swap contracts | (60,110 | ) | |||
Net gain (loss) on investments | (2,680,181 | ) | |||
Net increase (decrease) in net assets resulting from operations | $ | (2,882,743 | ) |
See Notes to Financial Statements
Statement of Changes in Net Assets (Unaudited)
GLOBAL LONG SHORT FUND | |||||||||
For the Six Months Ended April 30, 2016 (Unaudited) | 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) | $ | (202,562 | ) | $ | (226,310 | ) | |||
Net realized gain (loss) on investments | (2,680,170 | ) | (779,331 | ) | |||||
Change in net unrealized appreciation (depreciation) of investments | (11 | ) | 552,870 | ||||||
Net increase (decrease) in net assets resulting from operations | (2,882,743 | ) | (452,771 | ) | |||||
Distributions to shareholders from (Note A): | |||||||||
Net investment income: | |||||||||
Institutional Class | (167,063 | ) | — | ||||||
Class A | (2,691 | ) | — | ||||||
Total distributions to shareholders | (169,754 | ) | — | ||||||
From Fund Share Transactions (Note D): | |||||||||
Proceeds from shares sold: | |||||||||
Institutional Class | 648,139 | 21,539,461 | |||||||
Class A | 133,604 | 718,448 | |||||||
Class C | 74,508 | 677,160 | |||||||
Proceeds from reinvestment of dividends and distributions: | |||||||||
Institutional Class | 41,622 | — | |||||||
Class A | 821 | — | |||||||
Payments for shares redeemed: | |||||||||
Institutional Class | (5,979,286 | ) | (170,191 | ) | |||||
Class A | (148,467 | ) | (52,291 | ) | |||||
Class C | (130,880 | ) | — | ||||||
Net increase (decrease) from Fund share transactions | (5,359,939 | ) | 22,712,587 | ||||||
Net Increase (Decrease) in Net Assets | (8,412,436 | ) | 22,259,816 | ||||||
Net Assets: | |||||||||
Beginning of period | 22,259,816 | — | |||||||
End of period | $ | 13,847,380 | $ | 22,259,816 | |||||
Undistributed net investment income (loss) at end of period | (595,435 | ) | (223,119 | ) |
See Notes to Financial Statements
Notes to Financial Statements Global Long Short Fund (Unaudited)
Note A—Summary of Significant Accounting Policies:
1 General: Neuberger Berman Alternative Funds (the "Trust") is a Delaware statutory trust organized pursuant to an Amended and Restated Trust Instrument dated March 27, 2014. The Trust is registered as an open-end management investment company under the Investment Company Act of 1940, as amended (the "1940 Act"), and its shares are registered under the Securities Act of 1933, as amended (the "1933 Act"). Neuberger Berman 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. Neuberger Berman Alternative Funds' Board of Trustees (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: In accordance with Accounting Standards Codification ("ASC") 820 "Fair Value Measurement" ("ASC 820"), all investments held by the Fund are carried at the value that Neuberger Berman Investment Advisers 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, preferred stocks, exchange traded funds, exchange-traded purchased option contracts and exchange-traded 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 sale of a security on a particular day, the independent pricing services may value the security based on market quotations.
The value of 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 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 swaps is determined by Management by obtaining valuations from independent pricing services using the underlying asset and stated London Interbank Offered Rate or Federal Funds floating rate (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 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 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 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.
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 April 30, 2016, the Fund did not have any unrecognized tax positions.
At April 30, 2016 the cost of investments for U.S. federal income tax basis was $13,592,569. Gross unrealized appreciation of investments was $809,465 and gross unrealized depreciation of investments was $161,383, resulting in net unrealized appreciation of $648,082 based on cost for U.S. federal income tax purposes.
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 April 30, 2016, 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 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.
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: 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. The Fund may receive or pay the net of the broker's fee on the borrowed securities and a financing charge for the difference in the market value of the short position and the cash collateral deposited with a broker. This income or fee is calculated daily based upon the market value of each borrowed security and a variable rate that is dependent on the availability of the security. These dividends, interest and fees are recorded as an expense of the Fund and are excluded from the contractual expense limitation. The net amount of fees incurred is included in the "Dividend and interest expense on securities sold short" on the Statement of Operations and are $28,288.
At April 30, 2016, the Fund had pledged cash in the amount of $2,399,845 to Bank of America, NA, as collateral for short sales. At April 30, 2016, the Fund had pledged securities in the amount of $581,159 to cover collateral requirements for borrowing in connection with securities sold short.
11 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.
12 Derivative instruments: The Fund's use of derivatives during the six months ended April 30, 2016 is described below. Please see the Schedule of Investments for each Fund's open positions in derivatives, if any, at April 30, 2016. 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.
Futures contracts: During the six months ended April 30, 2016, the Fund used 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 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 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
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 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 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.
Equity swap contracts: During the six months ended April 30, 2016, 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.
Forward foreign currency contracts: During the six months ended April 30, 2016, 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 risks associated with fluctuations in foreign currency and the risk the counterparty will fail to fulfill its obligations.
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 contracts 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 six months ended April 30, 2016.
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 contracts 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 six months ended April 30, 2016.
At April 30, 2016 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 | $ | — | $ | 102,942 | $ | 102,942 | ||||||||
Futures | Receivable/Payable for variation margin on futures contracts(1) | — | 32,038 | 32,038 | |||||||||||
Forward contracts | Receivable for forward foreign currency contracts | 4,098 | — | 4,098 | |||||||||||
Option contracts purchased | Investments in securities, at value | — | 36,900 | 36,900 | |||||||||||
Total Value—Assets | $ | 4,098 | $ | 171,880 | $ | 175,978 |
Derivative Type | Statement of Assets and Liabilities Location | Currency Risk | Equity Risk | Total | |||||||||||
Equity swaps | Swap contacts, at value | $ | — | $ | (33,387 | ) | $ | (33,387 | ) | ||||||
Futures | Receivable/Payable for variation margin on futures contracts(1) | — | (62,070 | ) | (62,070 | ) | |||||||||
Forward contracts | Payable for forward foreign currency contracts | (48,173 | ) | — | (48,173 | ) | |||||||||
Option contracts written | Option contracts written, at value | — | (9,900 | ) | (9,900 | ) | |||||||||
Total Value—Liabilities | $ | (48,173 | ) | $ | (105,357 | ) | $ | (153,530 | ) |
(1) "Futures" reflects the cumulative appreciation (depreciation) of futures as of April 30, 2016, which is reflected in the Statement of Assets and Liabilities under the caption "Net unrealized appreciation (depreciation) in value of investments." The current day's variation margin as of April 30, 2016, if any, is reflected in the 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 Statement of Operations during the six months ended April 30, 2016, was as follows:
Realized Gain (Loss)
Derivative Type | Statement of Operations Location | Currency Risk | Equity Risk | Total | |||||||||||
Forward contracts | Net realized gain (loss) on: | $ | (210,534 | ) | $ | — | $ | (210,534 | ) | ||||||
Forward foreign currency contracts | |||||||||||||||
Futures | Net realized gain (loss) on: | — | (478,677 | ) | (478,677 | ) | |||||||||
Futures contracts | |||||||||||||||
Option contracts written | Net realized gain (loss) on: Option contracts written | — | 78,073 | 78,073 | |||||||||||
Option contracts purchased | Net realized gain (loss) on: Sales of investment securities of unaffiliated issuers | — | (179,313 | ) | (179,313 | ) | |||||||||
Swap contracts | Net realized gain (loss) on: Swap contracts | — | (523,964 | ) | (523,964 | ) | |||||||||
Total Realized Gain (Loss) | $ | (210,534 | ) | $ | (1,103,881 | ) | $ | (1,314,415 | ) |
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 | $ | (117,260 | ) | $ | — | $ | (117,260 | ) | ||||||
Futures | Change in net unrealized appreciation (depreciation) in value of: Futures contracts | — | (41,605 | ) | (41,605 | ) | |||||||||
Option contracts written | Change in net unrealized appreciation (depreciation) in value of: Options contracts written | — | (2,960 | ) | (2,960 | ) | |||||||||
Option contracts purchased | Change in net unrealized appreciation (depreciation) in value of: Unaffiliated investment securities | — | 28,835 | 28,835 | |||||||||||
Swap contracts | Change in net unrealized appreciation (depreciation) in value of: Swap contracts | — | (60,110 | ) | (60,110 | ) | |||||||||
Total Change in Appreciation (Depreciation) | $ | (117,260 | ) | $ | (75,840 | ) | $ | (193,100 | ) |
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 April 30, 2016.
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 | $ | 102,942 | $ | — | $ | 102,942 | |||||||
Forward Contracts | 4,098 | — | 4,098 | ||||||||||
Total | $ | 107,040 | $ | — | $ | 107,040 |
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, NA | $ | 55,157 | $ | (19,616 | ) | $ | — | $ | 35,541 | ||||||||
Goldman Sachs International | 1,144 | (1,144 | ) | — | — | ||||||||||||
Morgan Stanley Capital Services LLC | 50,739 | (49,109 | ) | — | 1,630 | ||||||||||||
Total | $ | 107,040 | $ | (69,869 | ) | $ | — | $ | 37,171 |
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 | $ | (33,387 | ) | $ | — | $ | (33,387 | ) | |||||
Forward Contracts | (48,173 | ) | — | (48,173 | ) | ||||||||
Total | $ | (81,560 | ) | $ | — | $ | (81,560 | ) |
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, NA | $ | (19,616 | ) | $ | 19,616 | $ | — | $ | — | ||||||||
Goldman Sachs International | (12,835 | ) | 1,144 | — | (11,691 | ) | |||||||||||
Morgan Stanley Capital Services LLC | (49,109 | ) | 49,109 | — | — | ||||||||||||
Total | $ | (81,560 | ) | $ | 69,869 | $ | — | $ | (11,691 | ) |
(a) Collateral received (or pledged) is limited to an amount not to exceed 100% of the net amount of assets ( or liabilities) in the tables presented above, for each respective counterparty.
(b) Net amount represents amounts subject to loss as of April 30, 2016, in the event of a counterparty failure.
(c) Net Amount represents amounts under-collateralized by the Fund to each counterparty as of April 30, 2016.
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 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 a Management Agreement. For such investment management services, the Fund pays Management a fee at the annual rate of 1.250% of the first $250 million of the Fund's average daily net assets, 1.225% of the next $250 million, 1.200% of the next $250 million, 1.175% of the next $250 million, 1.150% of the next $500 million, 1.125% of the next $2.5 billion, and 1.100% of average daily net assets in excess of $4 billion. Accordingly, for the six months ended April 30, 2016, 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 six months ended April 30, 2016, there was no repayment to Management under its contractual expense limitation.
At April 30, 2016, the Fund's contingent liabilities to Management under its contractual expense limitation were as follows:
Expenses Reimbursed in Fiscal Period Ending, October 31, | |||||||||||||||
2015 | 2016 | ||||||||||||||
Subject to Repayment until October 31, | |||||||||||||||
Contractual Expense Limitation(1) | Expiration | 2018 | 2019 | ||||||||||||
Institutional Class | 1.80 | % | 10/31/19 | $ | 605,316 | (2) | $ | 133,534 | |||||||
Class A | 2.16 | % | 10/31/19 | 22,654 | (2) | 5,241 | |||||||||
Class C | 2.91 | % | 10/31/19 | 21,632 | (2) | 4,789 |
(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.
Until December 31, 2015, Neuberger Berman LLC ("Neuberger"), was the sub-adviser to the Fund and was retained by Neuberger Berman Management LLC ("NBM") to furnish it with investment recommendations and research information without added cost to the Fund. As investment manager, NBM was responsible for choosing the Fund's investments and handling its day-to-day business. Several individuals who are Officers and/or Trustees of the Trust are also employees of Neuberger and/or NBM. As a result of the entity consolidation described on page 4 of this Semi-Annual Report, the services previously provided by Neuberger under the respective sub-advisory agreements are being provided by NBIA as of January 1, 2016.
The Fund also has a distribution agreement with NBM with respect to each class of shares. NBM 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. As part of the entity consolidation noted above, it is expected that effective July 1, 2016, NBM will merge with and into Neuberger and, as a result, the distribution agreement will be transferred to Neuberger.
However, NBM 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, NBM's activities and expenses related to the sale and distribution of these classes, and ongoing services provided to investors in these classes, NBM 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. NBM 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 six months ended April 30, 2016, NBM, 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 | — | 20 | — | — |
Note C—Securities Transactions:
During the six months ended April 30, 2016, there were purchase and sale transactions of long-term securities (excluding equity swaps, forward contracts, futures and option contracts) as follows:
Purchases | Securities Sold Short | Sales | Covers on Securities Sold Short | ||||||||||||
$ | 20,176,810 | $ | 23,528,770 | $ | 25,458,407 | $ | 30,850,347 |
During the six months ended April 30, 2016, no brokerage commissions on securities transactions were paid to affiliated brokers.
Note D—Fund Share Transactions:
Share activity for the six months ended April 30, 2016 and the period ended October 31, 2015 was as follows:
For the Six Months Ended April 30, 2016 | For the Period Ended October 31, 2015(1) | ||||||||||||||||||||||||||||||||
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 | ||||||||||||||||||||||||||
Global Long Short Fund | |||||||||||||||||||||||||||||||||
Institutional | 68,215 | 4,089 | (638,079 | ) | (565,775 | ) | 2,130,186 | — | (16,894 | ) | 2,113,292 | ||||||||||||||||||||||
Class A | 13,646 | 80 | (16,152 | ) | (2,426 | ) | 71,325 | — | (5,233 | ) | 66,092 | ||||||||||||||||||||||
Class C | 7,593 | — | (14,261 | ) | (6,668 | ) | 67,519 | — | — | 67,519 |
(1) Period from November 12, 2014 (Commencement of Operations) to October 31, 2015.
Other: At April 30, 2016, there was an affiliated investor owning 89.7% of the Fund's outstanding shares.
For the six months ended April 30, 2016, Global Long Short recorded a capital contribution from Management in the amount of $604. This amount was paid in connection with losses incurred in the execution of a trade.
Note E—Line of Credit:
At April 30, 2016, 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 April 30, 2016. During the period ended April 30, 2016, the Fund did not utilize the line of credit.
Note F—Recent Accounting Pronouncement:
In June 2014, FASB issued Accounting Standards Update 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 ("ASU 2014-11"). 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. ASU 2014-11 is effective for the Portfolio as of April 30, 2016; however, no additional disclosure was necessary.
Note G—Unaudited Financial Information:
The financial information included in this interim report is taken from the records of the Fund without audit by an independent registered public accounting firm. Annual reports contain audited financial statements.
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 do not round to $0.01 or $(0.01) per share are presented as $0.00 or $(0.00), respectively. Ratios that do not round to 0.01% or (0.01)% 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) | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Global Long Short Fund Institutional | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
4/30/2016 (unaudited) | $ | 9.91 | $ | (0.10 | ) | $ | (1.44 | ) | $ | (1.54 | ) | $ | (0.09 | ) | $ | — | $ | — | $ | (0.09 | ) | $ | 8.28 | (15.61 | )%** | $ | 12.8 | 4.80 | %* | 3.38 | %* | 3.22 | %* | 1.80 | %* | (2.20 | )%* | 212 | %** | 139 | %** | ||||||||||||||||||||||||||||||||
Period from 11/12/2014^ 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 | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
4/30/2016 (unaudited) | $ | 9.88 | $ | (0.12 | ) | $ | (1.44 | ) | $ | (1.56 | ) | $ | (0.04 | ) | $ | — | $ | — | $ | (0.04 | ) | $ | 8.28 | (15.89 | )%** | $ | 0.5 | 5.23 | %* | 3.81 | %* | 3.58 | %* | 2.16 | %* | (2.55 | )%* | 212 | %** | 139 | %** | ||||||||||||||||||||||||||||||||
Period from 11/12/2014^ 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 | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
4/30/2016 (unaudited) | $ | 9.80 | $ | (0.15 | ) | $ | (1.43 | ) | $ | (1.58 | ) | $ | — | $ | — | $ | — | $ | — | $ | 8.22 | (16.12 | )%** | $ | 0.5 | 5.92 | %* | 4.55 | %* | 4.28 | %* | 2.91 | %* | (3.21 | )%* | 212 | %** | 139 | %** | ||||||||||||||||||||||||||||||||||
Period from 11/12/2014^ 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 (Unaudited)
@ 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.
Directory
Investment Manager and Administrator
Neuberger Berman Investment Advisers LLC
605 Third Avenue, 2nd Floor
New York, NY 10158-0180
212.476.8800
Intermediary Client Services 800.366.6264
Distributor
Neuberger Berman Management LLC
605 Third Avenue, 2nd Floor
New York, NY 10158-0180
800.877.9700 or 212.476.8800
lntermediary Client Services
800.366.6264
Sub-Adviser
Neuberger Berman LLC (prior to January 1, 2016)
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 Investment Advisers LLC
605 Third Avenue, 2nd Floor
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
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).
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Neuberger Berman Investment Advisers 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 you can obtain by calling 877.628.2583. An investor should consider a Fund's investment objectives, risks and fees and expenses carefully before investing.
Q0145 06/16
Item 2. Code of Ethics.
The Board of Trustees (“Board”) of Neuberger Berman Alternative Funds (“Registrant”) has adopted a code of ethics that applies to the Registrant’s principal executive officer, principal financial officer, principal accounting officer or controller, or persons performing similar functions (“Code of Ethics”). During the period covered by this Form N-CSR, there were no substantive amendments to the Code of Ethics and there were no waivers from the Code of Ethics granted to the Registrant’s principal executive officer, principal financial officer, principal accounting officer or controller, or persons performing similar functions.
(a) | Based on an evaluation of the disclosure controls and procedures (as defined in Rule 30a-3(c) under the Act) as of a date within 90 days of the filing date of this report, the Chief Executive Officer and President and the Treasurer and Principal Financial and Accounting Officer of the Registrant have |
concluded that such disclosure controls and procedures are effectively designed to ensure that information required to be disclosed by the Registrant on Form N-CSR is accumulated and communicated to the Registrant’s management to allow timely decisions regarding required disclosure. |
(b) | There were no significant changes in the Registrant’s internal controls over financial reporting (as defined in Rule 30a-3(d) under the Act) that occurred during the Registrant’s second fiscal quarter of the period covered by this report that have materially affected, or are reasonably likely to materially affect, the Registrant’s internal control over financial reporting. |
(a)(1) | Not applicable for the period covered by this Form N-CSR. |
(a)(2) | The certifications required by Rule 30a-2(a) under the Act and Section 302 of the Sarbanes-Oxley Act of 2002 (“Sarbanes-Oxley Act”) are filed herewith. |
(a)(3) | Not applicable to the Registrant. |
(b) | The certification required by Rule 30a-2(b) under the Act and Section 906 of the Sarbanes-Oxley Act is furnished herewith. |