New York, New York 10104-0002
Neuberger Berman
Alternative and Multi-Asset Class Funds
Institutional Class Shares
Class A Shares
Class C Shares
Class R6 Shares
Global Allocation Fund
Hedged Option Premium Strategy Fund
Long Short Fund
Long Short Credit Fund
Multi-Asset Income Fund
Risk Balanced Commodity Strategy Fund
U.S. Equity Index PutWrite Strategy Fund
Semi-Annual Report
April 30, 2017
Contents
THE FUNDS | |||||
President's Letter | 1 | ||||
PORTFOLIO COMMENTARY | |||||
Global Allocation Fund | 2 | ||||
Hedged Option Premium Strategy Fund | 4 | ||||
Long Short Fund | 6 | ||||
Long Short Credit Fund | 8 | ||||
Multi-Asset Income Fund | 10 | ||||
Risk Balanced Commodity Strategy Fund | 12 | ||||
U.S. Equity Index PutWrite Strategy Fund | 14 | ||||
FUND EXPENSE INFORMATION | 21 | ||||
SCHEDULE OF INVESTMENTS | |||||
Global Allocation Fund | 23 | ||||
Positions by Industry | 43 | ||||
Hedged Option Premium Strategy Fund | 45 | ||||
Long Short Fund | 48 | ||||
Long Short Credit Fund | 60 | ||||
Multi-Asset Income Fund | 69 | ||||
Risk Balanced Commodity Strategy Fund | 90 | ||||
U.S. Equity Index PutWrite Strategy Fund | 96 | ||||
FINANCIAL STATEMENTS | 100 | ||||
FINANCIAL HIGHLIGHTS (ALL CLASSES)/ PER SHARE DATA | |||||
Global Allocation Fund | 148 | ||||
Hedged Option Premium Strategy Fund | 150 | ||||
Long Short Fund | 152 | ||||
Long Short Credit Fund | 154 | ||||
Multi-Asset Income Fund | 156 | ||||
Risk Balanced Commodity Strategy Fund | 158 | ||||
U.S. Equity Index PutWrite Strategy Fund | 160 |
Directory | 164 | ||||||
Proxy Voting Policies and Procedures | 165 | ||||||
Quarterly Portfolio Schedule | 165 | ||||||
Neuberger Berman Hedged Option Premium Strategy Fund: Initial Consideration of the Management Agreement | 166 |
The "Neuberger Berman" name and logo and "Neuberger Berman Investment Advisers LLC" name are registered service marks of Neuberger Berman Group LLC. The individual Fund names in this piece are either service marks or registered service marks of Neuberger Berman Investment Advisers LLC, an affiliate of Neuberger Berman BD LLC, distributor, member FINRA. @2017 Neuberger Berman BD LLC, distributor. All rights reserved.
President's Letter
Dear Shareholder,
I am pleased to present this semi-annual shareholder report for Neuberger Berman Global Allocation Fund, Neuberger Berman Hedged Option Premium Strategy Fund, Neuberger Berman Long Short Fund, Neuberger Berman Long Short Credit Fund, Neuberger Berman Multi-Asset Income Fund, Neuberger Berman Risk Balanced Commodity Strategy Fund and Neuberger Berman U.S. Equity Index PutWrite Strategy Fund.
The global financial market experienced periods of volatility and posted mixed results over the six months ended April 30, 2017. Shifting expectations on global growth, fiscal and monetary policy and a host of geopolitical events, including headline-inducing elections in the U.S. and abroad, impacted investor sentiment over the reporting period. However, for the six months as a whole, investor risk appetite was generally robust.
All told, the U.S. equity market, as measured by the S&P 500® Index, gained 13.32% over the reporting period. International developed and emerging market equities also posted strong results. Within fixed income, U.S. Treasury yields rose across the curve and the overall U.S. bond market, as measured by the Bloomberg Barclays U.S. Aggregate Bond Index, declined –0.67% during the period. Finally, inflation in the U.S. and abroad increased, lessening fears over deflation.
Following the November 2016 U.S. election, there were expectations for improving economic activity under the pro-growth Trump administration. As the reporting period progressed, skepticism about the timing and magnitude of the administration's ambitious plans increased given its initial failure to repeal and replace the Affordable Care Act. Looking ahead, we believe the U.S. economic expansion will continue at a relatively modest pace. While the labor market has showed continued strength and inflation has accelerated, we believe the U.S. Federal Reserve will take a measured approach in terms of raising interest rates. From an investment perspective, we continue to have high conviction with our portfolio managers and believe their portfolios are well positioned for the current and coming environment.
As always, 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
Global Allocation Fund Commentary
Neuberger Berman Global Allocation Fund Institutional Class generated a 7.72% total return for the six month period ended April 30, 2017, and outperformed its benchmark, a custom blend consisting of 60% MSCI All Country World Index (Net) and 40% Bloomberg Barclays Global Aggregate Index, which provided a 6.25% return for the same period. (Performance for all share classes is provided in the table immediately following this letter.)
Global equity markets generated positive returns during this reporting period. U.S. stocks, in particular, outperformed other regions but non-U.S. developed markets stocks and emerging markets (EM) stocks were also positive performers. In fixed income markets, U.S. and non-U.S. developed regions all generated negative returns but EM debt, in contrast, posted positive performance. In the U.S., the post-election outcome ignited a wave of pro-growth policy expectations, which contributed to a risk-on rally as equity indices reached record highs. The combination of higher consumer and business confidence, along with a tightening in the labor market amidst a recovery in inflation, created further optimism among investors. More recently, Europe has been benefitting from an accommodative stance, despite political risks, as economic data such as the Purchasing Managers Index (PMI) and Producer Price Index (PPI) hint towards a recovery. Japan has also experienced an uptick in Consumer Price Index (CPI) amidst easy monetary conditions and is benefitting from improving hourly wage growth and a boost in consumer confidence. In China, aggressive stimulus has aided short-term growth, but longer-term prospects remain in jeopardy as tightening financial conditions become an area of focus.
During the reporting period, equities were the largest positive contributors to the Fund's performance; however, the slight underweight to this asset class relative to the benchmark was a marginal detractor. Security selection within equities were additive to performance, primarily driven by the U.S. and EM regions. The Fund maintained a large underweight to fixed income relative to its benchmark over this period, a decision that contributed positively to performance. Security selection within fixed income, however, detracted from performance across most sectors. Our systematic tactical asset allocation overlay also contributed positively to performance for the period.
The Fund's aggregate use of futures, forward foreign currency and option contracts contributed to performance during the reporting period.
At this juncture, we continue to look for the sustainability of an earnings growth recovery and improved economic fundamentals. Given positive momentum and heightened expectations for pro-growth policy amidst a rebound in global economic data, risk assets have benefitted and valuations have become rich. For the time being, we are maintaining a bias towards equities (particularly across non-U.S. developed regions) and credit assets over a 12-month horizon. However, as many markets quickly pivoted from depression to elation following Trump's victory, significant risks are likely to persist moving forward. We continue to be vigilant on the risk front, as global economic growth, central bank policy, and geopolitics remain key areas to watch. Against this backdrop, we believe investors should anticipate ongoing volatility, but embrace a slight optimistic outlook on risk assets.
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.
2
Global Allocation Fund (Unaudited)
TICKER SYMBOLS
Institutional Class | NGLIX | ||||||
Class A | NGLAX | ||||||
Class C | NGLCX |
PERFORMANCE HIGHLIGHTS3
Inception | Six Month Period Ended | Average Annual Total Return Ended 04/30/2017 | |||||||||||||||||||||
Date | 04/30/2017 | 1 Year | 5 Year | Life of Fund | |||||||||||||||||||
At NAV | |||||||||||||||||||||||
Institutional Class | 12/29/2010 | 7.72 | % | 9.60 | % | 4.87 | % | 5.55 | % | ||||||||||||||
Class A | 12/29/2010 | 7.40 | % | 9.08 | % | 4.50 | % | 5.17 | % | ||||||||||||||
Class C | 12/29/2010 | 7.10 | % | 8.28 | % | 3.72 | % | 4.39 | % | ||||||||||||||
With Sales Charge | |||||||||||||||||||||||
Class A | 1.27 | % | 2.85 | % | 3.26 | % | 4.19 | % | |||||||||||||||
Class C | 6.10 | % | 7.28 | % | 3.72 | % | 4.39 | % | |||||||||||||||
Index | |||||||||||||||||||||||
60% MSCI All Country World Index (Net) and 40% Bloomberg Barclays Global Aggregate Index*1,2,4 | 6.25 | % | 7.99 | % | 5.58 | % | 5.34 | % | |||||||||||||||
MSCI All Country World Index (Net)1,2,4 | 11.76 | % | 15.14 | % | 8.96 | % | 7.52 | % | |||||||||||||||
60% MSCI All Country World Index and 40% Bloomberg Barclays Global Aggregate Index*1,2,4 | 6.42 | % | 8.35 | % | 5.93 | % | 5.68 | % | |||||||||||||||
MSCI All Country World Index1,2,4 | 12.06 | % | 15.77 | % | 9.55 | % | 8.10 | % |
* Effective August 24, 2016, the Barclays Global Aggregate Index changed its name to the Bloomberg Barclays Global Aggregate Index.
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 2016 were 4.39%, 4.78% and 5.53% 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 0.90%, 1.26% and 2.01% 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, 2017 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
Hedged Option Premium Strategy Fund Commentary
Since inception on April 12, 2017, the Neuberger Berman Hedged Option Premium Strategy Fund Institutional Class generated a total return of 0.24% for the period ended April 30, 2017, underperforming its primary benchmark, the CBOE S&P 500 Iron Condor Index, which generated a total return of 0.53% for the same period. Given the short time between inception and the date of this report, the performance information is not indicative of how we anticipate the strategy to perform over longer time periods. (Performance for all share classes is provided in the table immediately following this letter.)
The Fund's relative underperformance was largely attributable to a measured pace of investment over the first few weeks of the Fund's existence. The Fund pursues long-term growth of capital and income generation and is intended to experience limited correlation to broader equity markets. The Fund seeks to achieve its goal primarily through a strategy of selling (writing) put and call option spreads on U.S. indices, including the S&P 500® Index and the Russell 2000® Index, on exchange traded funds (ETFs) or on equity securities, and through investments in fixed income instruments. The Fund attempts to generate returns through the receipt of premiums from selling put and call option spreads, as well as through investments in fixed income instruments, which collectively are intended to reduce volatility relative to what it would be if the Fund held the underlying reference asset (e.g., the underlying index, ETF or security) on which the options are written. In an effort to diversify exposures and limit volatility, the Fund will sell put and call option spreads at varying strike prices and with varying expiration dates on various reference assets.
With each passing month, we believe the likelihood of rising interest rates seems to increase, which raises questions about the potential impact on the Fund's fixed income exposures. The market value of the Fund's cash and short-duration U.S. Treasury positions, which had an average duration of less than one year, was roughly unchanged for the period since inception. Despite a long history of interest rate data, most modern investment strategies have performance histories that only span a few brief periods of significantly rising interest rates. So looking at history offers only a limited perspective. However, we remain firm in our conviction that our limited duration exposure has the potential to help the Fund avoid significant losses should rates increase substantially. Further, in our view, an increase in equity market volatility will likely lead to higher option premiums, which may improve the return prospects of the Fund's option spread writing strategy.
Sincerely,
DEREK DEVENS
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.
4
Hedged Option Premium Strategy Fund
TICKER SYMBOLS
Institutional Class | NHOIX | ||||||
Class A | NHOAX | ||||||
Class C | NHOCX | ||||||
Class R6 | NHORX |
PORTFOLIO BY TYPE OF SECURITY
(as a % of Total Net Assets) | |||||
U.S. Treasury Obligations | 36.2 | % | |||
Options Purchased | 0.0 | ||||
Put Options Written | (0.4 | ) | |||
Short-Term Investment | 63.9 | ||||
Other Assets Less Liabilities | 0.3 | ||||
Total | 100.0 | % |
PERFORMANCE HIGHLIGHTS5
Inception Date | Cumulative Total Return Ended 04/30/2017 Life of Fund | ||||||||||
At NAV | |||||||||||
Institutional Class | 04/12/2017 | 0.24 | % | ||||||||
Class A | 04/12/2017 | 0.24 | % | ||||||||
Class C | 04/12/2017 | 0.20 | % | ||||||||
Class R6 | 04/12/2017 | 0.24 | % | ||||||||
With Sales Charge | |||||||||||
Class A | –5.54 | % | |||||||||
Class C | –0.80 | % | |||||||||
Index | |||||||||||
CBOE S&P 500 Iron Condor Index1,2 | 0.53 | % | |||||||||
S&P 500® Index1,2 | 1.33 | % |
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 estimated total annual operating expense ratios for fiscal year 2017 are 1.42%, 1.78%, 2.53% and 1.35% 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 for the current fiscal year are 0.65%, 1.01%, 1.76% and 0.58% 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, 2017 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
Long Short Fund Commentary
Neuberger Berman Long Short Fund Institutional Class generated a 7.46% total return for the six months ended April 30, 2017, outperforming its primary benchmark, the HFRX Equity Hedge Index, which returned 5.14% for the same period. The Fund underperformed the S&P 500® Index which provided a 13.32% return for the period. (Performance for all share classes is provided in the table immediately following this letter.)
The U.S. stock market generated strong results during the reporting period, as measured by the S&P 500 Index. Supporting the market was overall robust investor demand, expectations for improving economic growth under the Trump administration and generally solid corporate profits. While the U.S. Federal Reserve raised interest rates twice during the period, the central bank indicated that it would take a measured approach in terms of future rate hikes.
We maintained our constructive, albeit highly selective, outlook during the reporting period. This was reflected in the Fund's net long exposure during the period. The Fund remained constructively positioned during the period for an ongoing economic recovery in the U.S. Against this backdrop, the Fund's largest net sector weights were in Industrials, Consumer Staples and Information Technology on average during the period.
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 identify what we believe to be compelling opportunities in Capital Growth relative to Total Return, as we believe higher interest rates could negatively impact longer duration assets and cash flows. The portfolio's short exposure includes both single name "Fundamental" shorts and "Market" shorts. During the period, Fundamental short exposure increased against the backdrop of heightened market volatility and greater dispersion within sectors. As fundamentals came back into focus, Market shorts consisted primarily of sector and market cap-specific indices in an attempt to help manage broader portfolio exposures, which also increased during the period.
Equity and credit long exposure added to Fund performance, while Fundamental shorts and the Fund's aggregate use of futures, options and swaps detracted from performance during the period.
We entered 2017 with a fairly constructive, albeit highly selective, outlook driven by solid recent economic data and the emergence of a seemingly more pro-business environment in the U.S. This improvement in business sentiment has been propelled by the anticipation of reduced regulation, lower tax rates, repatriation of assets held abroad and increased fiscal stimulus which, if executed correctly, we believe may provide a tailwind to growth and earnings. We believe the timing as well as the actual policies enacted will have a divergent effect on the various subsectors of the market, which will create opportunities long and short. Thus the policy details will matter a great deal. In our view, the critical market dynamic is the path from monetary policy to fiscal policy and its effect on growth, earnings, interest rates and the federal deficit. Nevertheless, we are very mindful of the complex world in which we live and invest. The risks of the long-term inflationary effects of continued government intervention, coupled with a myriad of ongoing geopolitical issues around the world, remain top of our mind. In these economic and financial conditions, we will remain dedicated to thinking deeply and creatively and strive to deliver attractive risk-adjusted returns. Given the vicissitudes of an increasingly global economy, we will also remain flexible in our decisions and open-minded to new ideas across different sectors, asset classes and geographies.
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.
6
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 | 82.0 | % | (12.7 | )% | |||||||
Corporate Bonds | 7.6 | (1.1 | ) | ||||||||
Convertible Bonds | 0.6 | — | |||||||||
Exchange Traded Funds | — | (2.7 | ) | ||||||||
Master Limited Partnerships | 0.9 | — | |||||||||
Options Purchased | 0.0 | — | |||||||||
Preferred Stock | 0.5 | — | |||||||||
Short-Term Investment | 6.3 | — | |||||||||
Other Assets Less Liabilities | 18.6 | * | — | ||||||||
Total | 116.5 | % | (16.5 | )% |
* Includes the impact of the Fund's open positions in derivatives, if any.
PERFORMANCE HIGHLIGHTS
Inception | Six Month Period Ended | Average Annual Total Return Ended 04/30/2017 | |||||||||||||||||||||
Date | 04/30/2017 | 1 Year | 5 Year | Life of Fund | |||||||||||||||||||
At NAV | |||||||||||||||||||||||
Institutional Class | 12/29/2011 | 7.46 | % | 7.97 | % | 5.57 | % | 6.43 | % | ||||||||||||||
Class A | 12/29/2011 | 7.25 | % | 7.59 | % | 5.20 | % | 6.04 | % | ||||||||||||||
Class C | 12/29/2011 | 6.84 | % | 6.75 | % | 4.39 | % | 5.25 | % | ||||||||||||||
With Sales Charge | |||||||||||||||||||||||
Class A | 1.05 | % | 1.43 | % | 3.95 | % | 4.87 | % | |||||||||||||||
Class C | 5.84 | % | 5.75 | % | 4.39 | % | 5.25 | % | |||||||||||||||
Index | |||||||||||||||||||||||
HFRX Equity Hedge Index1,2 | 5.14 | % | 6.64 | % | 2.84 | % | 3.43 | % | |||||||||||||||
S&P 500® Index1,2 | 13.32 | % | 17.92 | % | 13.68 | % | 15.28 | % |
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 2016 were 1.94%, 2.30% and 3.04% 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, 2017 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 Credit Fund Commentary
Neuberger Berman Long Short Credit Fund Institutional Class returned 3.03% for the six months ended April 30 2017. The Fund outperformed its primary benchmark, the HRFX Fixed Income—Credit Index, which returned 2.86% for the same period. The Fund outperformed the long only Bloomberg Barclays U.S. Aggregate Bond Index which returned –0.67%, but underperformed the long only BofA Merrill Lynch U.S. High Yield Master II Index, which returned 5.50%. (Performance for all share classes is provided in the table immediately following this letter.)
The six months ended April 30, 2017 were amongst the more challenging environments for fixed income investors. The election in the U.S. of President Trump in early November sparked an increase in government bond rates in the U.S. and globally. The promise of large infrastructure projects, tax cuts and a fiscal expansion in the U.S. caused 10-year Treasury rates to increase by nearly 80 bps through mid-December. Additionally, the European Central Bank's rhetoric regarding reductions in asset purchases and the U.S. Federal Reserve's continued policy of normalizing interest rates weighed on fixed income markets.
Nevertheless, the continued search for yield and stabilization in U.S. rates emboldened fixed income investors and a modest rally in rates began in mid-December and has endured through the end of April 2017. The rally in rates helped to buttress returns across global fixed income. Investors continued to allocate capital to fixed income and the market performed well across most major fixed income asset classes.
Throughout the reporting period, the Fund continued to position itself defensively and was able to perform well through both the periods of increasing rates as well as the modest rally in rates. During the period, the Technology, Media and Telecom, Energy and Banking sectors were the largest positive contributors to the Fund's performance. The largest detractors from performance were macro hedges on high-yield, investment grade and emerging markets (EM) indices.
The Fund's aggregate use of futures, forward foreign currency, swap and option contracts contributed to performance during the reporting period.
The Fund remains defensively positioned, however, we do believe that there are pockets of opportunity and the Fund is positioned to take advantage. It is our belief that investment flexibility in fixed income will be a key determinant of performance and capital preservation, if, as we expect, interest rate and spread volatility pick up in the U.S., Europe and EM. We hope to capture the idiosyncratic opportunities that we believe are mispriced. Investment positions continue to be expressed through relative value trades, capital structure arbitrage trades and directional long and short positions. We also believe that global growth is improving and that defaults should remain low. On the short side, we prefer to look for idiosyncratic catalysts, as well as, pair trades and relative value trades.
The reporting period has been marked by strikingly lower volatility in spreads and rates. As we head toward the summer, we believe that this period of calm may not last. We anticipate an increase in both rate and spread volatility. We believe that a concentrated portfolio with defensive characteristics, which can protect investors from rising rates, will be very valuable. We are excited about the opportunity that we believe exists and are encouraged by the portfolio's 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.
8
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 Stock | 0.3 | % | — | % | |||||
Convertible Bond | 0.5 | — | |||||||
Corporate Bonds | 79.8 | — | |||||||
Foreign Government Securities | 4.8 | — | |||||||
Loan Assignments | 7.8 | — | |||||||
Preferred Stock | 3.0 | — | |||||||
Short Term Investment | 5.2 | — | |||||||
Other Assets Less Liabilities | (1.4 | )* | — | ||||||
Total | 100.0 | % | 0.0 | % |
* Includes the impact of the Fund's open positions in derivatives, if any.
PERFORMANCE HIGHLIGHTS
Inception | Six Month Period Ended | Average Annual Total Return Ended 04/30/2017 | |||||||||||||||||
Date | 04/30/2017 | 1 Year | Life of Fund | ||||||||||||||||
At NAV | |||||||||||||||||||
Institutional Class | 06/29/2015 | 3.03 | % | 5.64 | % | 0.34 | % | ||||||||||||
Class A | 06/29/2015 | 2.74 | % | 5.18 | % | –0.02 | % | ||||||||||||
Class C | 06/29/2015 | 2.36 | % | 4.47 | % | –0.65 | % | ||||||||||||
Class R6 | 06/29/2015 | 2.97 | % | 5.71 | % | 0.41 | % | ||||||||||||
With Sales Charge | |||||||||||||||||||
Class A | –1.59 | % | 0.68 | % | –2.34 | % | |||||||||||||
Class C | 1.36 | % | 3.47 | % | –0.65 | % | |||||||||||||
Index | |||||||||||||||||||
HFRX Fixed Income - Credit Index1,2 | 2.86 | % | 6.67 | % | 0.10 | % | |||||||||||||
Bloomberg Barclays U.S. Aggregate Bond Index*1,2 | –0.67 | % | 0.83 | % | 3.02 | % | |||||||||||||
BofA Merrill Lynch U.S. High Yield Master II Index1,2 | 5.50 | % | 13.66 | % | 6.91 | % |
*Effective August 24, 2016 the Barclays U.S. Aggregate Bond Index changed its name to the Bloomberg Barclays U.S. Aggregate Bond Index.
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 2016 were 3.23%, 3.73%, 4.31% and 3.06% 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 2.08%, 2.48%, 3.16% and 1.93% 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, 2017 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.
9
Multi-Asset Income Fund Commentary
Neuberger Berman Multi-Asset Income Fund Institutional Class generated a 4.72% total return for the six month period ended April 30, 2017 and underperformed its benchmark, a custom blend consisting of 60% Bloomberg Barclays U.S. Aggregate Bond Index and 40% S&P 500® Index, which provided a 4.77% return for the same period. (Performance for all share classes is provided in the table immediately following this letter.)
Global equity markets generated positive returns during this reporting period. U.S. stocks, in particular, outperformed other regions but non-U.S. developed markets stocks and emerging markets (EM) stocks were also positive performers. In fixed income markets, U.S. and non-U.S. developed regions all generated negative returns but EM debt, in contrast, posted positive performance. In the U.S., the post-election outcome ignited a wave of pro-growth policy expectations, which contributed to a risk-on rally as equity indices reached record highs. The combination of higher consumer and business confidence, along with a tightening in the labor market amidst a recovery in inflation, created further optimism among investors. More recently, Europe has been benefitting from an accommodative stance, despite political risks, as economic data such as Purchasing Managers Index (PMI) and Producer Price Index (PPI) hint towards a recovery. Japan has also experienced an uptick in Consumer Price Index (CPI) amidst easy monetary conditions and is benefitting from improving hourly wage growth and a boost in consumer confidence. In China, aggressive stimulus has aided short-term growth, but longer-term prospects remain in jeopardy as tightening financial conditions become an area of focus.
During the reporting period, equities were the largest positive contributors to the Fund's performance. However, the marginal underweight to the asset class as a whole detracted from performance, as the S&P 500 Index outperformed the Bloomberg Barclays U.S. Aggregate Bond Index. Security selection across equities, particularly among U.S. dividend-oriented companies, was a drag on performance; however, this was slightly offset by positive contributions from MLPs and EM equities.
Over the past six months, the Fund has maintained a slight underweight to fixed income relative to its benchmark, a decision that contributed positively to performance. However, security selection within fixed income was challenged, which detracted from performance. The Fund's use of opportunistic strategies was a positive contributor to performance.
The Fund's aggregate use of futures, forward foreign currency and option contracts contributed to performance during the reporting period.
We continue to position the Fund with a focus on income generation from a diversified set of exposures across high-dividend paying equity and fixed income sectors, and we will incorporate tactical views as opportunities arise. At this juncture, we are looking for the sustainability of an earnings growth recovery and improved economic fundamentals. Given positive momentum and heightened expectations for pro-growth policy amidst a rebound in global economic data, risk assets have benefitted and valuations have become rich. For the time being, we are maintaining a bias towards equities (particularly across non-U.S. developed regions) and credit assets over a 12-month horizon. However, as many markets quickly pivoted from depression to elation following Trump's victory, significant risks are likely to persist moving forward. We continue to be vigilant on the risk front, as global economic growth, central bank policy, and geopolitics remain key areas to watch. Against this backdrop, we believe investors should anticipate ongoing volatility, but embrace a slight optimistic outlook on risk assets.
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.
10
Multi-Asset Income Fund
TICKER SYMBOLS
Institutional Class | NANIX | ||||||
Class A | NANAX | ||||||
Class C | NANCX | ||||||
Class R6 | NRANX |
PORTFOLIO BY TYPE OF SECURITY
(as a % of Total Net Assets) | |||||
Asset-Backed Securities | 2.1 | % | |||
Common Stocks | 34.3 | ||||
Convertible Bonds | 0.7 | ||||
Convertible Preferred Stocks | 0.3 | ||||
Corporate Bonds | 9.8 | ||||
Exchange Traded Funds | 3.6 | ||||
Foreign Government Securities | 0.8 | ||||
Investment Companies | 23.4 | ||||
Master Limited Partnerships | 2.3 | ||||
Mortgage-Backed Securities | 12.5 | ||||
Preferred Stocks | 1.1 | ||||
U.S. Government Agency Securities | 0.9 | ||||
U.S. Treasury Obligations | 14.3 | ||||
Short-Term Investment | 3.4 | ||||
Other Assets Less Liabilities | (9.5 | )* | |||
Total | 100.0 | % |
* Includes the impact of the Fund's open positions in derivatives, if any.
PERFORMANCE HIGHLIGHTS
Inception | Six Month Period Ended | Average Annual Total Return Ended 04/30/2017 | |||||||||||||||||
Date | 04/30/2017 | 1 Year | Life of Fund | ||||||||||||||||
At NAV | |||||||||||||||||||
Institutional Class | 03/27/2015 | 4.72 | % | 8.93 | % | 3.41 | % | ||||||||||||
Class A | 03/27/2015 | 4.53 | % | 8.53 | % | 3.03 | % | ||||||||||||
Class C | 03/27/2015 | 4.15 | % | 7.73 | % | 2.27 | % | ||||||||||||
Class R6 | 03/27/2015 | 4.76 | % | 9.01 | % | 3.48 | % | ||||||||||||
With Sales Charge | |||||||||||||||||||
Class A | 0.05 | % | 3.90 | % | 0.94 | % | |||||||||||||
Class C | 3.15 | % | 6.73 | % | 2.27 | % | |||||||||||||
Index | |||||||||||||||||||
60% Bloomberg Barclays U.S. Aggregrate Bond Index and 40% S&P 500® Index*1,2 | 4.77 | % | 7.43 | % | 4.96 | % | |||||||||||||
Bloomberg Barclays U.S. Aggregate Bond Index*1,2 | –0.67 | % | 0.83 | % | 1.72 | % |
*Effective August 24, 2016, the Barclays U.S. Aggregate Bond Index changed its name to the Bloomberg Barclays U.S. Aggregate Bond Index.
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.
For the period ended April 30, 2017, the 30-day SEC yields were 2.93%, 2.55%, 1.81% and 2.99% 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 0.74%, 0.33%, -0.38% and 0.80% 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 2016 were 4.20%, 4.61%, 5.33% and 4.12% 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 0.78%, 1.15%, 1.90% and 0.71% for Institutional Class, Class A, Class C and Class R6 shares, respectively, after expense reimbursements and/or fee waivers. The expense ratios for the semi-annual period ended April 30, 2017 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
Risk Balanced Commodity Strategy Fund Commentary
Neuberger Berman Risk Balanced Commodity Strategy Fund1 Institutional Class generated a total return of 0.50% for the six months ended April 30, 2017 and outperformed its benchmark, the Bloomberg Commodity Index, which posted a –0.76% return for the same period. (Performance for all share classes is provided in the table immediately following this letter.)
Commodity markets experienced periods of volatility during the reporting period. After rising the first two months of the period, commodities were largely flat over the next two months and then declined over the last two months of the period. All told, the industrial metals and livestock sectors generated the strongest returns. In contrast, the softs and agriculture sectors posted the weakest results over the six months ended April 30, 2017.
Looking at the commodity sectors in which the Fund invests, livestock was the largest contributor to outperformance. This was driven by an out-of-benchmark allocation to feeder cattle. The energy sector was also additive for results, driven by gasoline contract selection and an underweight to natural gas. Finally, in the softs sector an underweight to sugar was the most beneficial for returns. On the downside, an out-of-benchmark allocation to cocoa was the largest detractor from performance, relative to the benchmark. The industrial metals sector was also a headwind for results, driven by an underweight to copper. Finally, the precious metals sector was a small negative for relative results.
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 tactical positioning contributed to performance during the reporting period.
In the coming months, we believe a host of geopolitical and macro factors could impact the commodities markets. Beginning with energy, over the medium term we remain cautiously optimistic about oil prices based on supply/demand/inventory outlook. We will continue to monitor global oil demand, although we note that the International Energy Agency has been revising up previous demand estimates, which we view as a positive indicator. Additionally, we will be monitoring any extensions to OPEC's agreement to reduce output, which is due to end in June 2017. Industrial metals are supported by recent data indicating that growth in Chinese infrastructure investment remains robust. We believe industrial metals could also be boosted if President Trump is able to push through a long-promised infrastructure bill in the U.S., and if the Chinese continue to focus on reducing pollution, which may reduce industrial metal production. Heightened geopolitical risk, political uncertainty (including "Brexit" terms and unconventional policies from the Trump administration) and interest rate increases are in our opinion likely to boost safe haven assets such as gold, while changes to free trade agreements including those with China and Japan could have broad implications on prices of raw commodities.
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.
12
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 Net Assets) | |||||
Asset-Backed Securities | 19.0 | % | |||
Corporate Bonds | 58.6 | ||||
Short-Term Investments | 15.2 | ||||
Other Assets Less Liabilities | 7.2 | * | |||
Total | 100.0 | % |
* Includes the impact of the Fund's open positions in derivatives, if any.
PORTFOLIO BY INVESTMENT EXPOSURE
TO COMMODITY DERIVATIVES
(as a % of Total Notional Value) | |||||
Commodity Futures: | |||||
Agriculture | 21.9 | % | |||
Energy | 30.2 | ||||
Industrial Metals | 17.0 | ||||
Livestock | 7.1 | ||||
Precious Metals | 17.3 | ||||
Softs | 6.5 | ||||
Total | 100.0 | % |
PERFORMANCE HIGHLIGHTS3
Inception | Six Month Period Ended | Average Annual Total Return Ended 04/30/2017 | |||||||||||||||||
Date | 04/30/2017 | 1 Year | Life of Fund | ||||||||||||||||
At NAV | |||||||||||||||||||
Institutional Class | 08/27/2012 | 0.50 | % | –0.66 | % | –10.28 | % | ||||||||||||
Class A | 08/27/2012 | 0.17 | % | –1.17 | % | –10.63 | % | ||||||||||||
Class C | 08/27/2012 | –0.88 | % | –2.75 | % | –11.45 | % | ||||||||||||
With Sales Charge | |||||||||||||||||||
Class A | –5.59 | % | –6.78 | % | –11.75 | % | |||||||||||||
Class C | –1.87 | % | –3.72 | % | –11.45 | % | |||||||||||||
Index | |||||||||||||||||||
Bloomberg Commodity Index1,2 | –0.76 | % | –1.32 | % | –10.92 | % |
The performance data quoted represent past performance and do not indicate future results. Current performance may be lower or higher than the performance data quoted. For performance data current to the most recent month-end, please visit www.nb.com/performance.
The results shown in the table reflect the reinvestment of income dividends and other distributions, if any. The results do not reflect the effect of taxes a shareholder would pay on Fund distributions or on the redemption of Fund shares.
The investment return and principal value of an investment will fluctuate and shares, when redeemed, may be worth more or less than their original cost.
Returns would have been lower if Neuberger Berman 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 2016 were 1.45%,1.85% and 2.86% 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 0.74%, 1.10% and 1.85% 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, 2017 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.
13
U.S. Equity Index PutWrite Strategy Fund Commentary
Neuberger Berman U.S. Equity Index PutWrite Strategy Fund Institutional Class generated a total return of 8.01% for the six month period ending April 30, 2017, underperforming its benchmark, a custom blend consisting of 85% CBOE S&P 500 PutWrite Index and 15% Russell 2000 PutWrite Index, which posted a 8.11% return for the same period. (Performance for all share classes is provided in the table immediately following this letter.)
As intended, the Fund captured a meaningful portion of the gains in U.S. equity markets as the S&P 500® Index and the Russell 2000® Index returned 13.32% and 18.37%, respectively, over the six month period. The Fund's fixed income collateral holdings of short-term U.S. Treasuries contributed marginally to returns as short-term U.S. Treasury yields increased over the period with the 2-year U.S. Treasury yield ending at 1.28%. Over time we anticipate the strategy to benefit from higher levels of short-term interest rates if, as we expect, the shorter duration exposures of the Fund's collateral portfolio allow the Fund to capture higher yields without experiencing significant duration risk. The CBOE S&P 500 Volatility Index (VIX) and CBOE Russell 2000 Volatility Index (RVX), two popular measures of index option implied volatility levels, averaged 12.7 and 18.0, respectively, over the period. Both averages were well below their respective longer-term averages despite sharp, yet relatively short-lived, increases around the U.S. presidential election. The Fund's results over the period illustrate the ability of a collateralized putwrite strategy to earn an attractive rate of return during periods of lower volatility levels. Shareholders should keep in mind that the Fund's upside can be limited in a strong bull market.
The Fund's investment strategy seeks to collect index put option premiums and hold a fixed income portfolio, typically consisting of cash and limited duration U.S. Treasury Notes, that "collateralizes" the short index put option positions. The market value of the fixed income portfolio is generally equal to the short index put option portfolio's aggregate notional value, rendering the strategy unlevered. Index put option premiums tend to increase during times of greater market uncertainty, which may allow the Fund to partially offset declines during periods of equity market stress as well as provide an opportunity to improve its total return potential. The setting of option premiums is a continuous process that assimilates investor sentiments and market risk factors into explicit estimates of prospective index price distributions for specific time horizons, i.e., option implied volatilities.
With each passing month, we believe the likelihood of rising interest rates seems to increase, which raises questions about the potential impact on the Fund's fixed income exposures. As a percentage of net assets, the Fund's cash and short-duration U.S. Treasury Notes, which had an average duration of less than one year, were slightly higher for the period. Despite a long history of interest rate data, most modern investment strategies have performance histories that only span a few brief periods of significantly rising interest rates. So looking at history offers only a limited perspective. However, we remain firm in our conviction that our limited duration exposure has the potential to help the Fund avoid significant losses should rates increase substantially. Further, in our view, an increase in equity market volatility will likely lead to higher option premiums, which we believe may improve the return prospects of the Fund's index put writing strategy.
Sincerely,
DEREK DEVENS
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.
14
U.S. Equity Index PutWrite Strategy Fund
TICKER SYMBOLS
Institutional Class | NUPIX | ||||||
Class A | NUPAX | ||||||
Class C | NUPCX | ||||||
Class R6 | NUPRX |
PORTFOLIO BY TYPE OF SECURITY
(as a % of Total Net Assets) | |||||
U.S. Treasury Obligations | 97.7 | % | |||
Put Options Written | (0.5 | ) | |||
Short-Term Investment | 1.8 | ||||
Other Assets Less Liabilities | 1.0 | ||||
Total | 100.0 | % |
PERFORMANCE HIGHLIGHTS6
Inception Date | Six Month Period Ended 04/30/2017 | Cumulative Total Return Ended 04/30/2017 Life of Fund | |||||||||||||
At NAV | |||||||||||||||
Institutional Class | 09/16/2016 | 8.01 | % | 8.98 | % | ||||||||||
Class A | 09/16/2016 | 7.76 | % | 8.73 | % | ||||||||||
Class C | 09/16/2016 | 7.44 | % | 8.30 | % | ||||||||||
Class R6 | 09/16/2016 | 8.01 | % | 9.09 | % | ||||||||||
With Sales Charge | |||||||||||||||
Class A | 1.52 | % | 2.48 | % | |||||||||||
Class C | 6.44 | % | 7.30 | % | |||||||||||
Index | |||||||||||||||
85% CBOE S&P 500 PutWrite Index and 15% Russell 2000 PutWrite Index1,2 | 8.11 | % | 9.01 | % |
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 estimated total annual operating expense ratios for fiscal year 2017 are 1.49%, 1.85%, 2.60% and 1.42% 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 for the current fiscal year are 0.65%, 1.01%, 1.76% and 0.58% 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, 2017 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 18 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, but not the tax consequences, 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 September 30, 2016, the Fund's Board of Trustees approved a change in the benchmark of Global Allocation Fund so that the Fund will use the version of its current benchmark that is net of foreign tax withholdings rather than gross of foreign tax withholdings, which is a more appropriate benchmark for the Fund. Net total return indexes reinvest dividends after the deduction of withholding taxes, using (for international indexes) a tax rate applicable to nonresident institutional investors who do not benefit from double taxation treaties. Gross total return indexes reinvest as much as possible of a company's dividend distributions, regardless of withholding taxes that a non-resident may experience.
5 Neuberger Berman Hedged Option Premium Strategy Fund is 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.
6 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 those 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).
* On January 1, 2016, Neuberger Berman Management LLC ("NBM") and Neuberger Berman LLC ("Neuberger Berman") 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 such transfer, NBFI was renamed Neuberger Berman Investment Advisers LLC ("NBIA" or "Management"). In addition, since the date of the transfer, the services previously provided by NB Alternative Investment Management LLC ("NBAIM") have been provided by NBIA. Following the consolidation, the investment professionals of NBM and NBAIM who provided services to any 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 any Fund, the nature or level of services provided to any Fund, or the fees any Fund pays under its Agreements.
On July 1, 2016, NBM was reorganized into Neuberger Berman (the "Reorganization"). Upon the completion of the Reorganization, Neuberger Berman assumed all rights and obligations pertaining to all services NBM provided to any Fund under any distribution agreement or distribution and services agreement (the "Agreements") or plan adopted pursuant to Rule 12b-1 under the Investment Company Act of 1940, as amended, (the "Plans"). Accordingly, after the Reorganization, Neuberger Berman became each Fund's distributor and the services previously provided by NBM under the Agreements and Plans are provided by Neuberger Berman. Following the Reorganization, the employees of NBM provide the same services
16
Endnotes (cont'd)
to each Fund under the Agreements and Plans, except that they provide those services in their capacities as employees of Neuberger Berman. Further, the Reorganization did not result in any change in the nature or level of services provided to each Fund, or the fees, if any, each Fund pays under the Agreements or the Plans.
On January 1, 2017, the Funds' distributor, Neuberger Berman, changed its name to Neuberger Berman BD LLC.
For more complete information on any of the Neuberger Berman Alternative and Multi-Asset Class Funds, see the Fund's prospectus, which can be obtained by calling us at (800) 877-9700, or visiting our website at www.nb.com.
17
Glossary of Indices
Bloomberg 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 Bloomberg Barclays U.S. Aggregate Bond Index, the Bloomberg Barclays Pan-European Aggregate Bond Index, and the Bloomberg Barclays Asian-Pacific Aggregate Index. In addition to securities from these three indices, the Bloomberg Barclays Global Aggregate Index also includes investment grade Eurodollar, Euro-Yen, Canadian, and 144A Index-eligible securities not already in these three indices. | ||||||
Bloomberg 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% Bloomberg Barclays U.S. Aggregate Bond Index and 40% S&P 500® Index: | The blended index is composed of 60% Bloomberg Barclays U.S. Aggregate Bond Index (described above) and 40% S&P 500® Index (described below), and is rebalanced monthly. | ||||||
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. | ||||||
CBOE Russell 2000® PutWrite Index: | The index tracks the value of a passive investment strategy which consists of overlaying Russell 2000 (RUT) short put options over a money market account invested in one-month Treasury bills. The RUT puts are struck at-the-money and are sold on a monthly basis. | ||||||
CBOE S&P 500® Iron Condor Index: | The index is designed to track the performance of a hypothetical option selling strategy that sells monthly call and put spreads and holds a money market account invested in one-month Treasury bills. The call spread consists of a short position in an out-of-the-money S&P 500 Index call option with a delta of approximately 0.20 and a long position in a further out-of-the-money S&P 500 Index call option with a delta of approximately 0.05. The put spread consists of a short position in an out-of-the-money S&P 500 Index put option with a delta of approximately –0.20 and a long position in a further out-of-the-money S&P 500 Index put option with a delta of approximately –0.05. Call and put spread positions are sized such that their notional strike differences represent 5% of the market value of the money market account. The money market account is rebalanced on option roll days and is designed to limit the downside return of the index. The delta of an option measures its price sensitivity to the price of the underlying asset. For example, if a call option has a delta of 0.20, and the price of the underlying asset increases by $1, the value of the option will increase by $0.20. |
18
Glossary of Indices (cont'd)
CBOE S&P 500® PutWrite Index: | The index tracks the value of a passive investment strategy which consists of overlaying S&P 500 (SPX) short put options over a money market account invested in one- and three-months Treasury bills. The SPX puts are struck at-the-money and are sold on a monthly basis. | ||||||
85% CBOE S&P 500® PutWrite Index and 15% CBOE Russell 2000® PutWrite Index: | The blended index is composed of 85% CBOE S&P 500 PutWrite Index (described above) and 15% CBOE Russell 2000 PutWrite Index (described above), and is rebalanced monthly. | ||||||
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. | ||||||
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. |
19
Glossary of Indices (cont'd)
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. Net total return indexes reinvest dividends after the deduction of withholding taxes, using (for international indexes) a tax rate applicable to non-resident institutional investors who do not benefit from double taxation treaties. Gross total return indexes reinvest as much as possible of a company's dividend distributions, regardless of withholding taxes that a non-resident may experience. | ||||||
60% MSCI All Country World Index and 40% Bloomberg Barclays Global Aggregate Index: | The blended index is composed of 60% MSCI All Country World Index (described above) and 40% Bloomberg Barclays Global Aggregate Index (described above), and is rebalanced monthly. Net total return indexes reinvest dividends after the deduction of withholding taxes, using (for international indexes) a tax rate applicable to non-resident institutional investors who do not benefit from double taxation treaties. Gross total return indexes reinvest as much as possible of a company's dividend distributions, regardless of withholding taxes that a non-resident may experience. Net total return indexes reinvest dividends after the deduction of withholding taxes, using (for international indexes) a tax rate applicable to non-resident institutional investors who do not benefit from double taxation treaties. | ||||||
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. |
20
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, 2017 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.
21
Expense Information as of 4/30/17 (Unaudited)
Neuberger Berman Alternative Funds | |||||||||||||||||||||||||||||||||
ACTUAL | HYPOTHETICAL (5% ANNUAL RETURN BEFORE EXPENSES) | ||||||||||||||||||||||||||||||||
Beginning Account Value 11/1/16 | Ending Account Value 4/30/17 | Expenses Paid During the Period(1) 11/1/16 - 4/30/17 | Expense Ratio | Beginning Account Value 11/1/16 | Ending Account Value 4/30/17 | Expenses Paid During the Period(2) 11/1/16 - 4/30/17 | Expense Ratio | ||||||||||||||||||||||||||
Global Allocation Fund | |||||||||||||||||||||||||||||||||
Institutional Class | $ | 1,000.00 | $ | 1,077.20 | $ | 2.99 | 0.58 | % | $ | 1,000.00 | $ | 1,021.92 | $ | 2.91 | 0.58 | % | |||||||||||||||||
Class A | $ | 1,000.00 | $ | 1,074.00 | $ | 5.04 | 0.98 | % | $ | 1,000.00 | $ | 1,019.93 | $ | 4.91 | 0.98 | % | |||||||||||||||||
Class C | $ | 1,000.00 | $ | 1,071.00 | $ | 8.83 | 1.72 | % | $ | 1,000.00 | $ | 1,016.27 | $ | 8.60 | 1.72 | % | |||||||||||||||||
Hedged Option Premium Strategy Fund | |||||||||||||||||||||||||||||||||
Institutional Class | $ | 1,000.00 | $ | 1,002.40 | $ | 0.34 | (3) | 0.65 | % | $ | 1,000.00 | $ | 1,021.57 | $ | 3.26 | 0.65 | % | ||||||||||||||||
Class A | $ | 1,000.00 | $ | 1,002.40 | $ | 0.53 | (3) | 1.01 | % | $ | 1,000.00 | $ | 1,019.79 | $ | 5.06 | 1.01 | % | ||||||||||||||||
Class C | $ | 1,000.00 | $ | 1,002.00 | $ | 0.92 | (3) | 1.76 | % | $ | 1,000.00 | $ | 1,016.07 | $ | 8.80 | 1.76 | % | ||||||||||||||||
Class R6 | $ | 1,000.00 | $ | 1,002.40 | $ | 0.30 | (3) | 0.58 | % | $ | 1,000.00 | $ | 1,021.92 | $ | 2.91 | 0.58 | % | ||||||||||||||||
Long Short Fund | |||||||||||||||||||||||||||||||||
Institutional Class | $ | 1,000.00 | $ | 1,074.60 | $ | 9.36 | 1.82 | % | $ | 1,000.00 | $ | 1,015.77 | $ | 9.10 | 1.82 | % | |||||||||||||||||
Class A | $ | 1,000.00 | $ | 1,072.50 | $ | 11.15 | 2.17 | % | $ | 1,000.00 | $ | 1,014.03 | $ | 10.84 | 2.17 | % | |||||||||||||||||
Class C | $ | 1,000.00 | $ | 1,068.40 | $ | 15.03 | 2.93 | % | $ | 1,000.00 | $ | 1,010.26 | $ | 14.60 | 2.93 | % | |||||||||||||||||
Long Short Credit Fund | |||||||||||||||||||||||||||||||||
Institutional Class | $ | 1,000.00 | $ | 1,030.30 | $ | 6.34 | 1.26 | % | $ | 1,000.00 | $ | 1,018.55 | $ | 6.31 | 1.26 | % | |||||||||||||||||
Class A | $ | 1,000.00 | $ | 1,027.40 | $ | 8.34 | 1.66 | % | $ | 1,000.00 | $ | 1,016.56 | $ | 8.30 | 1.66 | % | |||||||||||||||||
Class C | $ | 1,000.00 | $ | 1,023.60 | $ | 12.04 | 2.40 | % | $ | 1,000.00 | $ | 1,012.89 | $ | 11.98 | 2.40 | % | |||||||||||||||||
Class R6 | $ | 1,000.00 | $ | 1,029.70 | $ | 6.09 | 1.21 | % | $ | 1,000.00 | $ | 1,018.79 | $ | 6.06 | 1.21 | % | |||||||||||||||||
Multi-Asset Income Fund | |||||||||||||||||||||||||||||||||
Institutional Class | $ | 1,000.00 | $ | 1,047.20 | $ | 2.33 | 0.46 | % | $ | 1,000.00 | $ | 1,022.51 | $ | 2.31 | 0.46 | % | |||||||||||||||||
Class A | $ | 1,000.00 | $ | 1,045.30 | $ | 4.16 | 0.82 | % | $ | 1,000.00 | $ | 1,020.73 | $ | 4.11 | 0.82 | % | |||||||||||||||||
Class C | $ | 1,000.00 | $ | 1,041.50 | $ | 7.95 | 1.57 | % | $ | 1,000.00 | $ | 1,017.01 | $ | 7.85 | 1.57 | % | |||||||||||||||||
Class R6 | $ | 1,000.00 | $ | 1,047.60 | $ | 1.93 | 0.38 | % | $ | 1,000.00 | $ | 1,022.91 | $ | 1.91 | 0.38 | % | |||||||||||||||||
Risk Balanced Commodity Strategy Fund | |||||||||||||||||||||||||||||||||
Institutional Class | $ | 1,000.00 | $ | 1,005.00 | $ | 4.87 | 0.98 | % | $ | 1,000.00 | $ | 1,019.93 | $ | 4.91 | 0.98 | % | |||||||||||||||||
Class A | $ | 1,000.00 | $ | 1,001.70 | $ | 6.65 | 1.34 | % | $ | 1,000.00 | $ | 1,018.15 | $ | 6.71 | 1.34 | % | |||||||||||||||||
Class C | $ | 1,000.00 | $ | 991.20 | $ | 10.52 | 2.13 | % | $ | 1,000.00 | $ | 1,014.23 | $ | 10.64 | 2.13 | % | |||||||||||||||||
U.S. Equity Index PutWrite Strategy Fund | |||||||||||||||||||||||||||||||||
Institutional Class | $ | 1,000.00 | $ | 1,080.10 | $ | 3.35 | 0.65 | % | $ | 1,000.00 | $ | 1,021.57 | $ | 3.26 | 0.65 | % | |||||||||||||||||
Class A | $ | 1,000.00 | $ | 1,077.60 | $ | 5.20 | 1.01 | % | $ | 1,000.00 | $ | 1,019.79 | $ | 5.06 | 1.01 | % | |||||||||||||||||
Class C | $ | 1,000.00 | $ | 1,074.40 | $ | 9.05 | 1.76 | % | $ | 1,000.00 | $ | 1,016.07 | $ | 8.80 | 1.76 | % | |||||||||||||||||
Class R6 | $ | 1,000.00 | $ | 1,080.10 | $ | 2.99 | 0.58 | % | $ | 1,000.00 | $ | 1,021.92 | $ | 2.91 | 0.58 | % |
(1) For each class, expenses are equal to the annualized expense ratio for the class, multiplied by the average account value over the period, multiplied by 181/365 (to reflect the one-half year period shown), unless otherwise indicated.
(2) Hypothetical 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 181/365 (to reflect the one-half year period shown).
(3) For each class, expenses are equal to the annualized expense ratio for the class, multiplied by the average account value over the period, multiplied by 19/365 (to reflect the period shown of April 12, 2017 (Commencement of Operations) to April 30, 2017).
22
Schedule of Investments Global Allocation Fund (Unaudited)
April 30, 2017
Number of Shares | Value (000's omitted) | ||||||||||
Common Stocks 24.6% | |||||||||||
Australia 0.8% | |||||||||||
AGL Energy Ltd. | 281 | $ | 6 | ||||||||
Aristocrat Leisure Ltd. | 610 | 9 | |||||||||
Australia & New Zealand Banking Group Ltd. | 408 | 10 | |||||||||
CIMIC Group Ltd. | 471 | 13 | |||||||||
Coca-Cola Amatil Ltd. | 438 | 3 | |||||||||
CSL Ltd. | 23 | 2 | |||||||||
Dexus Property Group | 377 | 3 | |||||||||
Fortescue Metals Group Ltd. | 1,114 | 4 | |||||||||
Goodman Group | 799 | 5 | |||||||||
GPT Group | 779 | 3 | |||||||||
Investa Office Fund | 5,439 | 19 | |||||||||
LendLease Group | 1,262 | 15 | |||||||||
Mirvac Group | 12,161 | 21 | |||||||||
National Australia Bank Ltd. | 80 | 2 | |||||||||
Scentre Group | 3,261 | 11 | |||||||||
South32 Ltd. | 1,282 | 3 | |||||||||
Stockland | 1,954 | 7 | |||||||||
Vicinity Centres | 494 | 1 | |||||||||
Wesfarmers Ltd. | 121 | 4 | |||||||||
Westfield Corp. | 210 | 1 | |||||||||
Westpac Banking Corp. | 186 | 5 | |||||||||
Whitehaven Coal Ltd. | 4,908 | 10 | * | ||||||||
Woolworths Ltd. | 319 | 6 | |||||||||
163 | |||||||||||
Austria 0.3% | |||||||||||
EVN AG | 2,047 | 27 | |||||||||
Lenzing AG | 13 | 2 | |||||||||
OMV AG | 709 | 33 | |||||||||
62 | |||||||||||
Belgium 0.0%(m) | |||||||||||
Bekaert NV | 42 | 2 | |||||||||
Bermuda 0.1% | |||||||||||
RenaissanceRe Holdings Ltd. | 124 | 18 | (a) | ||||||||
Canada 0.5% | |||||||||||
Alimentation Couche-Tard, Inc. Class B | 82 | 4 | (b) | ||||||||
Bank of Montreal | 119 | 8 | |||||||||
Bank of Nova Scotia | 205 | 11 | |||||||||
Canadian Tire Corp. Ltd. Class A | 9 | 1 |
Number of Shares | Value (000's omitted) | ||||||||||
Dream Global Real Estate Investment Trust | 482 | $ | 4 | ||||||||
Enerflex Ltd. | 1,359 | 19 | |||||||||
George Weston Ltd. | 203 | 18 | (b) | ||||||||
Magna International, Inc. | 28 | 1 | (b) | ||||||||
Metro, Inc. | 248 | 9 | (b) | ||||||||
National Bank of Canada | 98 | 4 | |||||||||
Royal Bank of Canada | 106 | 7 | |||||||||
TELUS Corp. | 442 | 15 | |||||||||
Toronto-Dominion Bank | 86 | 4 | |||||||||
105 | |||||||||||
Denmark 0.1% | |||||||||||
Danske Bank A/S | 75 | 3 | |||||||||
Dfds A/S | 70 | 4 | |||||||||
ISS A/S | 77 | 3 | |||||||||
Schouw & Co. AB | 133 | 14 | |||||||||
24 | |||||||||||
Finland 0.2% | |||||||||||
Kesko OYJ, B Shares | 171 | 8 | |||||||||
Neste OYJ | 126 | 5 | |||||||||
Outokumpu OYJ | 938 | 9 | |||||||||
Stora Enso OYJ, R Shares | 1,254 | 15 | |||||||||
UPM-Kymmene OYJ | 364 | 10 | |||||||||
47 | |||||||||||
France 0.8% | |||||||||||
BNP Paribas SA | 455 | 32 | |||||||||
Cie Generale des Etablissements Michelin | 237 | 31 | |||||||||
CNP Assurances | 427 | 9 | |||||||||
Ipsen SA | 133 | 16 | |||||||||
Orange SA | 448 | 7 | |||||||||
Peugeot SA | 803 | 17 | * | ||||||||
Renault SA | 186 | 17 | |||||||||
Societe Generale SA | 438 | 24 | |||||||||
Sodexo SA | 20 | 3 | |||||||||
TOTAL SA | 476 | 24 | |||||||||
180 | |||||||||||
Germany 0.5% | |||||||||||
Allianz SE | 28 | 5 | |||||||||
Bayerische Motoren Werke AG, Preference Shares | 60 | 5 | |||||||||
Covestro AG | 217 | 17 | (c) | ||||||||
Diebold Nixdorf AG | 15 | 1 |
Number of Shares | Value (000's omitted) | ||||||||||
HeidelbergCement AG | 51 | $ | 5 | ||||||||
Henkel AG & Co. KGaA | 34 | 4 | |||||||||
HOCHTIEF AG | 71 | 13 | |||||||||
MAN SE | 36 | 4 | |||||||||
METRO AG | 759 | 25 | |||||||||
Volkswagen AG | 120 | 19 | |||||||||
Volkswagen AG, Preference Shares | 106 | 17 | |||||||||
115 | |||||||||||
Hong Kong 0.1% | |||||||||||
Great Eagle Holdings Ltd. | 2,000 | 10 | |||||||||
Hang Lung Group Ltd. | 2,000 | 8 | |||||||||
WH Group Ltd. | 10,000 | 9 | (c) | ||||||||
27 | |||||||||||
India 0.0%(m) | |||||||||||
Vedanta Resources PLC | 565 | 5 | (b) | ||||||||
Ireland 0.1% | |||||||||||
Ryanair Holdings PLC ADR | 129 | 12 | *(a) | ||||||||
Israel 0.1% | |||||||||||
Check Point Software Technologies Ltd. | 89 | 9 | * | ||||||||
Italy 0.1% | |||||||||||
Brembo SpA | 54 | 4 | |||||||||
Recordati SpA | 555 | 21 | |||||||||
25 | |||||||||||
Japan 1.4% | |||||||||||
ANA Holdings, Inc. | 2,000 | 6 | |||||||||
Bandai Namco Holdings, Inc. | 200 | 6 | |||||||||
Bridgestone Corp. | 200 | 8 | |||||||||
Chubu Electric Power Co., Inc. | 400 | 5 | |||||||||
EDION Corp. | 1,100 | 11 | |||||||||
FUJIFILM Holdings Corp. | 100 | 4 | |||||||||
Fujitsu Ltd. | 1,000 | 6 | |||||||||
G-Tekt Corp. | 100 | 2 | |||||||||
Hazama Ando Corp. | 100 | 1 | |||||||||
Hisamitsu Pharmaceutical Co., Inc. | 100 | 5 | |||||||||
Idemitsu Kosan Co. Ltd. | 600 | 19 | |||||||||
ITOCHU Corp. | 2,100 | 30 | (b) | ||||||||
JXTG Holdings, Inc. | 900 | 4 | (b) | ||||||||
K's Holdings Corp. | 100 | 2 | |||||||||
Kajima Corp. | 2,000 | 14 |
See Notes to Financial Statements
23
Schedule of Investments Global Allocation Fund (Unaudited) (cont'd)
Number of Shares | Value (000's omitted) | ||||||||||
Kansai Electric Power Co., Inc. | 200 | $ | 3 | (b) | |||||||
Koito Manufacturing Co. Ltd. | 100 | 5 | |||||||||
Kyocera Corp. | 400 | 23 | |||||||||
Marubeni Corp. | 3,300 | 20 | |||||||||
Mitsubishi Corp. | 500 | 11 | |||||||||
Mitsubishi Electric Corp. | 100 | 1 | |||||||||
Mitsubishi Tanabe Pharma Corp. | 200 | 4 | |||||||||
NEC Corp. | 1,000 | 2 | |||||||||
Nippon Telegraph & Telephone Corp. | 300 | 13 | (b) | ||||||||
Nissan Motor Co. Ltd. | 100 | 1 | |||||||||
Noevir Holdings Co. Ltd. | 100 | 4 | |||||||||
Obayashi Corp. | 600 | 6 | (b) | ||||||||
Seiko Epson Corp. | 200 | 4 | |||||||||
Sekisui Chemical Co. Ltd. | 300 | 5 | |||||||||
Shiseido Co. Ltd. | 100 | 3 | |||||||||
Showa Sangyo Co. Ltd. | 2,000 | 11 | |||||||||
Sojitz Corp. | 3,600 | 9 | |||||||||
Subaru Corp. | 100 | 4 | |||||||||
Sumitomo Corp. | 2,200 | 29 | |||||||||
Sumitomo Dainippon Pharma Co. Ltd. | 800 | 13 | |||||||||
Sumitomo Rubber Industries Ltd. | 600 | 11 | |||||||||
Toyota Motor Corp. | 100 | 5 | |||||||||
310 | |||||||||||
Luxembourg 0.0%(m) | |||||||||||
APERAM SA | 88 | 4 | |||||||||
Tenaris SA | 257 | 4 | (b) | ||||||||
8 | |||||||||||
Netherlands 0.2% | |||||||||||
AerCap Holdings NV | 262 | 12 | *(b) | ||||||||
ASML Holding NV | 61 | 8 | |||||||||
NN Group NV | 133 | 4 | |||||||||
NXP Semiconductors NV | 72 | 8 | * | ||||||||
Royal Dutch Shell PLC, A Shares | 665 | 17 | |||||||||
49 | |||||||||||
Norway 0.0%(m) | |||||||||||
Salmar ASA | 87 | 2 | |||||||||
Subsea 7 SA | 197 | 3 | |||||||||
5 |
Number of Shares | Value (000's omitted) | ||||||||||
Portugal 0.1% | |||||||||||
Galp Energia SGPS SA | 310 | $ | 5 | ||||||||
Jeronimo Martins SGPS SA | 371 | 7 | |||||||||
12 | |||||||||||
Singapore 0.1% | |||||||||||
Oversea-Chinese Banking Corp. Ltd. | 700 | 5 | |||||||||
Wilmar International Ltd. | 5,100 | 13 | |||||||||
18 | |||||||||||
Sweden 0.2% | |||||||||||
Boliden AB | 152 | 4 | |||||||||
L E Lundbergforetagen AB, B Shares | 200 | 14 | |||||||||
Scandic Hotels Group AB | 2,177 | 25 | *(c) | ||||||||
43 | |||||||||||
Switzerland 0.5% | |||||||||||
Actelion Ltd. | 23 | 6 | * | ||||||||
BKW AG | 521 | 28 | |||||||||
Lonza Group AG | 102 | 21 | * | ||||||||
Roche Holding AG | 41 | 11 | |||||||||
Swiss Life Holding AG | 86 | 28 | * | ||||||||
Swiss Re AG | 286 | 25 | |||||||||
119 | |||||||||||
United Kingdom 1.5% | |||||||||||
3i Group PLC | 2,029 | 21 | |||||||||
Amec Foster Wheeler PLC | 1,871 | 13 | |||||||||
Anglo American PLC | 1,161 | 17 | *(b) | ||||||||
Aon PLC | 126 | 15 | (a) | ||||||||
BAE Systems PLC | 424 | 4 | |||||||||
Barratt Developments PLC | 1,416 | 11 | |||||||||
BP PLC | 907 | 5 | (b) | ||||||||
British American Tobacco PLC ADR | 151 | 10 | |||||||||
Evraz PLC | 1,074 | 3 | * | ||||||||
Ferrexpo PLC | 6,717 | 14 | |||||||||
Fiat Chrysler Automobiles NV | 1,324 | 15 | * | ||||||||
GlaxoSmithKline PLC | 203 | 4 | |||||||||
Glencore PLC | 7,925 | 31 | * | ||||||||
Hochschild Mining PLC | 358 | 1 | |||||||||
HSBC Holdings PLC | 1,246 | 10 | (b) | ||||||||
Indivior PLC | 4,168 | 18 | |||||||||
J Sainsbury PLC | 4,395 | 16 |
Number of Shares | Value (000's omitted) | ||||||||||
JD Sports Fashion PLC | 4,402 | $ | 25 | ||||||||
John Laing Group PLC | 4,408 | 17 | (c) | ||||||||
Royal Dutch Shell PLC ADR Class B | 215 | 12 | (a) | ||||||||
SVG Capital PLC | 612 | 6 | * | ||||||||
TechnipFMC PLC | 542 | 16 | * | ||||||||
Unilever NV | 255 | 13 | (b) | ||||||||
WM Morrison Supermarkets PLC | 8,501 | 26 | |||||||||
323 | |||||||||||
United States 16.9% | |||||||||||
AAR Corp. | 285 | 10 | |||||||||
Aaron's, Inc. | 540 | 19 | (a) | ||||||||
AbbVie, Inc. | 123 | 8 | (b) | ||||||||
Activision Blizzard, Inc. | 246 | 13 | (b) | ||||||||
Adobe Systems, Inc. | 101 | 14 | *(b) | ||||||||
AECOM | 100 | 3 | *(b) | ||||||||
Aetna, Inc. | 160 | 22 | (a) | ||||||||
Aflac, Inc. | 370 | 28 | (b) | ||||||||
AK Steel Holding Corp. | 514 | 3 | *(b) | ||||||||
Alamo Group, Inc. | 46 | 4 | |||||||||
Alaska Air Group, Inc. | 74 | 6 | (b) | ||||||||
Albemarle Corp. | 35 | 4 | (b) | ||||||||
Alleghany Corp. | 14 | 9 | *(b) | ||||||||
Allergan PLC | 26 | 6 | (b) | ||||||||
Alphabet, Inc. Class A | 29 | 27 | *(b) | ||||||||
Alphabet, Inc. Class C | 70 | 63 | *(a) | ||||||||
Altria Group, Inc. | 199 | 14 | (b) | ||||||||
Amazon.com, Inc. | 12 | 11 | *(b) | ||||||||
American Financial Group, Inc. | 73 | 7 | |||||||||
American International Group, Inc. | 50 | 3 | (b) | ||||||||
American Tower Corp. | 128 | 16 | (a) | ||||||||
Amgen, Inc. | 224 | 37 | (a) | ||||||||
Amkor Technology, Inc. | 429 | 5 | * | ||||||||
Anthem, Inc. | 41 | 7 | (b) | ||||||||
Apple, Inc. | 586 | 84 | (a) | ||||||||
Archer-Daniels- Midland Co. | 147 | 7 | |||||||||
Arrow Electronics, Inc. | 235 | 17 | *(b) | ||||||||
Ashland Global Holdings, Inc. | 110 | 14 | (a) | ||||||||
Assurant, Inc. | 131 | 13 | (b) | ||||||||
Assured Guaranty Ltd. | 235 | 9 | (b) | ||||||||
AT&T, Inc. | 683 | 27 | (b) | ||||||||
Avis Budget Group, Inc. | 143 | 4 | * |
See Notes to Financial Statements
24
Schedule of Investments Global Allocation Fund (Unaudited) (cont'd)
Number of Shares | Value (000's omitted) | ||||||||||
Avnet, Inc. | 386 | $ | 15 | (b) | |||||||
AVX Corp. | 1,259 | 21 | (b) | ||||||||
Baker Hughes, Inc. | 224 | 13 | (a) | ||||||||
Bank of America Corp. | 1,507 | 35 | (b) | ||||||||
BankUnited, Inc. | 775 | 27 | (b) | ||||||||
Baxter International, Inc. | 320 | 18 | (b) | ||||||||
BB&T Corp. | 154 | 7 | (b) | ||||||||
Becton, Dickinson & Co. | 7 | 1 | (b) | ||||||||
Berkshire Hathaway, Inc. Class B | 87 | 14 | *(b) | ||||||||
Best Buy Co., Inc. | 171 | 9 | (b) | ||||||||
Bio-Rad Laboratories, Inc. Class A | 39 | 9 | * | ||||||||
Biogen, Inc. | 45 | 12 | *(b) | ||||||||
Bioverativ, Inc. | 11 | 1 | * | ||||||||
Bloomin' Brands, Inc. | 399 | 9 | |||||||||
Blueprint Medicines Corp. | 137 | 6 | * | ||||||||
Bristol-Myers Squibb Co. | 74 | 4 | (b) | ||||||||
Burlington Stores, Inc. | 112 | 11 | *(b) | ||||||||
Cabot Oil & Gas Corp. | 1,078 | 25 | (a) | ||||||||
Capital One Financial Corp. | 128 | 10 | (b) | ||||||||
Carlisle Cos, Inc. | 72 | 7 | |||||||||
Carnival Corp. | 320 | 20 | (b) | ||||||||
Carnival PLC | 489 | 30 | |||||||||
CBS Corp. Class B | 364 | 24 | (a) | ||||||||
CDW Corp. | 343 | 20 | (b) | ||||||||
Celgene Corp. | 157 | 19 | *(a) | ||||||||
Centene Corp. | 168 | 13 | *(b) | ||||||||
CenterPoint Energy, Inc. | 277 | 8 | |||||||||
Central Garden & Pet Co. Class A | 158 | 6 | *(b) | ||||||||
CenturyLink, Inc. | 45 | 1 | (b) | ||||||||
Charter Communications, Inc. Class A | 34 | 12 | *(b) | ||||||||
Chevron Corp. | 86 | 9 | |||||||||
Chimera Investment Corp. | 206 | 4 | |||||||||
Chubb Ltd. | 192 | 26 | (a) | ||||||||
Cisco Systems, Inc. | 1,573 | 54 | (a) | ||||||||
CIT Group, Inc. | 72 | 3 | (b) | ||||||||
Citigroup, Inc. | 704 | 42 | (b) | ||||||||
Citizens Financial Group, Inc. | 202 | 7 | |||||||||
CME Group, Inc. | 101 | 12 | (b) | ||||||||
CNA Financial Corp. | 143 | 6 | (b) | ||||||||
Colony Starwood Homes | 263 | 9 |
Number of Shares | Value (000's omitted) | ||||||||||
Comcast Corp. Class A | 627 | $ | 25 | (a) | |||||||
Comerica, Inc. | 255 | 18 | (b) | ||||||||
Conagra Brands, Inc. | 508 | 20 | (a) | ||||||||
Conduent, Inc. | 262 | 4 | * | ||||||||
Corcept Therapeutics, Inc. | 1,057 | 10 | * | ||||||||
Corning, Inc. | 1,073 | 31 | (a) | ||||||||
Costco Wholesale Corp. | 119 | 21 | (b) | ||||||||
Cree, Inc. | 40 | 1 | * | ||||||||
CSX Corp. | 235 | 12 | (a) | ||||||||
CVS Health Corp. | 88 | 7 | (b) | ||||||||
Danaher Corp. | 459 | 38 | (a) | ||||||||
Darden Restaurants, Inc. | 321 | 27 | (a) | ||||||||
DaVita, Inc. | 110 | 8 | *(b) | ||||||||
Deckers Outdoor Corp. | 68 | 4 | * | ||||||||
Delta Air Lines, Inc. | 334 | 15 | (b) | ||||||||
DENTSPLY SIRONA, Inc. | 297 | 19 | (b) | ||||||||
Devon Energy Corp. | 136 | 5 | (b) | ||||||||
DISH Network Corp. Class A | 137 | 9 | * | ||||||||
Dollar General Corp. | 70 | 5 | (b) | ||||||||
DXC Technology Co. | 165 | 12 | *(a) | ||||||||
Eaton Corp. PLC | 128 | 10 | (b) | ||||||||
eBay, Inc. | 555 | 19 | *(b) | ||||||||
EchoStar Corp. Class A | 33 | 2 | * | ||||||||
EMCOR Group, Inc. | 31 | 2 | |||||||||
EOG Resources, Inc. | 183 | 17 | (b) | ||||||||
Equity Commonwealth | 37 | 1 | * | ||||||||
Everest Re Group Ltd. | 5 | 1 | (b) | ||||||||
Exelixis, Inc. | 429 | 10 | *(b) | ||||||||
Exelon Corp. | 434 | 15 | (a) | ||||||||
Express Scripts Holding Co. | 68 | 4 | *(b) | ||||||||
Exxon Mobil Corp. | 391 | 32 | (b) | ||||||||
Facebook, Inc. Class A | 184 | 28 | *(b) | ||||||||
Fair Isaac Corp. | 63 | 9 | |||||||||
FedEx Corp. | 59 | 11 | (b) | ||||||||
Fidelity National Information Services, Inc. | 31 | 3 | (b) | ||||||||
Fifth Third Bancorp | 464 | 11 | |||||||||
Fiserv, Inc. | 25 | 3 | *(b) | ||||||||
Five Prime Therapeutics, Inc. | 36 | 1 | *(b) | ||||||||
Ford Motor Co. | 1,815 | 21 | (a) | ||||||||
Fresh Del Monte Produce, Inc. | 215 | 13 | (b) | ||||||||
General Dynamics Corp. | 138 | 27 | (a) | ||||||||
General Electric Co. | 957 | 28 | (a) | ||||||||
General Mills, Inc. | 60 | 3 | (b) |
Number of Shares | Value (000's omitted) | ||||||||||
General Motors Co. | 148 | $ | 5 | (b) | |||||||
Gentex Corp. | 55 | 1 | |||||||||
Gilead Sciences, Inc. | 252 | 17 | (b) | ||||||||
Goldman Sachs Group, Inc. | 80 | 18 | (b) | ||||||||
Goodyear Tire & Rubber Co. | 111 | 4 | (b) | ||||||||
Haemonetics Corp. | 214 | 9 | * | ||||||||
Halliburton Co. | 25 | 1 | |||||||||
Harris Corp. | 237 | 27 | (a) | ||||||||
Hartford Financial Services Group, Inc. | 42 | 2 | (b) | ||||||||
Hawaiian Holdings, Inc. | 311 | 17 | *(a) | ||||||||
HCA Holdings, Inc. | 154 | 13 | *(b) | ||||||||
Hecla Mining Co. | 1,882 | 10 | (b) | ||||||||
Hewlett Packard Enterprise Co. | 1,162 | 22 | (a) | ||||||||
Hospitality Properties Trust | 240 | 8 | |||||||||
HP, Inc. | 1,384 | 26 | (b) | ||||||||
Humana, Inc. | 41 | 9 | |||||||||
Huntington Ingalls Industries, Inc. | 82 | 16 | (b) | ||||||||
IBM Corp. | 100 | 16 | (b) | ||||||||
IHS Markit Ltd. | 592 | 26 | *(b) | ||||||||
II-VI, Inc. | 361 | 12 | *(a) | ||||||||
Illinois Tool Works, Inc. | 47 | 7 | |||||||||
Incyte Corp. | 27 | 3 | * | ||||||||
Ingersoll-Rand PLC | 97 | 9 | |||||||||
Ingredion, Inc. | 69 | 9 | (b) | ||||||||
Intercontinental Exchange, Inc. | 388 | 23 | (a) | ||||||||
InterDigital, Inc. | 84 | 8 | |||||||||
International Game Technology PLC | 389 | 9 | (b) | ||||||||
International Speedway Corp. Class A | 29 | 1 | |||||||||
Intuit, Inc. | 91 | 11 | |||||||||
iStar, Inc. | 425 | 5 | * | ||||||||
J.M. Smucker Co. | 44 | 6 | |||||||||
Jacobs Engineering Group, Inc. | 119 | 7 | (b) | ||||||||
JetBlue Airways Corp. | 712 | 16 | *(b) | ||||||||
Johnson & Johnson | 517 | 64 | (a) | ||||||||
JPMorgan Chase & Co. | 1,282 | 112 | (a) | ||||||||
Kelly Services, Inc. Class A | 48 | 1 | |||||||||
Knowles Corp. | 199 | 4 | * | ||||||||
Kohl's Corp. | 98 | 4 | (b) | ||||||||
Kroger Co. | 242 | 7 | |||||||||
L3 Technologies, Inc. | 64 | 11 | |||||||||
Laboratory Corp. of America Holdings | 73 | 10 | *(b) |
See Notes to Financial Statements
25
Schedule of Investments Global Allocation Fund (Unaudited) (cont'd)
Number of Shares | Value (000's omitted) | ||||||||||
Lam Research Corp. | 15 | $ | 2 | (b) | |||||||
Lear Corp. | 35 | 5 | (b) | ||||||||
Leidos Holdings, Inc. | 200 | 11 | (b) | ||||||||
Lennar Corp. Class A | 265 | 13 | (b) | ||||||||
Lincoln National Corp. | 261 | 17 | (a) | ||||||||
Loews Corp. | 147 | 7 | (b) | ||||||||
M&T Bank Corp. | 8 | 1 | |||||||||
MasterCard, Inc. Class A | 145 | 17 | (b) | ||||||||
McDermott International, Inc. | 509 | 3 | * | ||||||||
McDonald's Corp. | 52 | 7 | |||||||||
MDU Resources Group, Inc. | 795 | 21 | (a) | ||||||||
Medtronic PLC | 320 | 27 | (a) | ||||||||
Merck & Co., Inc. | 290 | 18 | (b) | ||||||||
Mercury Systems, Inc. | 148 | 6 | * | ||||||||
MetLife, Inc. | 155 | 8 | (b) | ||||||||
Mettler-Toledo International, Inc. | 3 | 2 | * | ||||||||
MGM Resorts International | 180 | 6 | (b) | ||||||||
Microsoft Corp. | 1,083 | 74 | (a) | ||||||||
Molson Coors Brewing Co. Class B | 12 | 1 | (b) | ||||||||
Morgan Stanley | 61 | 3 | |||||||||
Motorola Solutions, Inc. | 308 | 26 | (b) | ||||||||
National Fuel Gas Co. | 81 | 4 | |||||||||
NetScout Systems, Inc. | 175 | 7 | * | ||||||||
NeuStar, Inc. Class A | 242 | 8 | * | ||||||||
New Residential Investment Corp. | 224 | 4 | |||||||||
Newell Brands, Inc. | 315 | 15 | (b) | ||||||||
Newmont Mining Corp. | 335 | 11 | (b) | ||||||||
Nexstar Media Group, Inc. | 106 | 7 | |||||||||
NIKE, Inc. Class B | 185 | 10 | |||||||||
Northrop Grumman Corp. | 6 | 1 | (b) | ||||||||
NuVasive, Inc. | 89 | 6 | * | ||||||||
NVIDIA Corp. | 186 | 19 | (a) | ||||||||
Office Depot, Inc. | 1,649 | 8 | (b) | ||||||||
ON Semiconductor Corp. | 347 | 5 | * | ||||||||
Oracle Corp. | 707 | 32 | (b) | ||||||||
Ormat Technologies, Inc. | 313 | 19 | (a) | ||||||||
Oshkosh Corp. | 205 | 14 | (a) | ||||||||
Owens Corning | 158 | 10 | (b) | ||||||||
PepsiCo, Inc. | 83 | 9 | (b) | ||||||||
Pfizer, Inc. | 799 | 27 | (b) | ||||||||
Phillips 66 | 48 | 4 |
Number of Shares | Value (000's omitted) | ||||||||||
Pinnacle Foods, Inc. | 190 | $ | 11 | (b) | |||||||
Pioneer Natural Resources Co. | 47 | 8 | (b) | ||||||||
PNC Financial Services Group, Inc. | 398 | 48 | (a) | ||||||||
Pool Corp. | 72 | 9 | (b) | ||||||||
Popular, Inc. | 150 | 6 | (b) | ||||||||
PRA Health Sciences, Inc. | 53 | 3 | * | ||||||||
Priceline Group, Inc. | 5 | 9 | * | ||||||||
Procter & Gamble Co. | 444 | 39 | (b) | ||||||||
Prudential Financial, Inc. | 243 | 26 | (b) | ||||||||
PS Business Parks, Inc. | 70 | 9 | |||||||||
Quad/Graphics, Inc. | 740 | 19 | (b) | ||||||||
Quanta Services, Inc. | 514 | 18 | *(a) | ||||||||
Quest Diagnostics, Inc. | 260 | 27 | (b) | ||||||||
Regions Financial Corp. | 1,074 | 15 | (b) | ||||||||
Reinsurance Group of America, Inc. | 191 | 24 | (b) | ||||||||
Reliance Steel & Aluminum Co. | 252 | 20 | (b) | ||||||||
Republic Services, Inc. | 263 | 17 | (b) | ||||||||
RH | 109 | 5 | * | ||||||||
Roper Technologies, Inc. | 49 | 11 | (b) | ||||||||
Ross Stores, Inc. | 40 | 3 | |||||||||
Sanmina Corp. | 96 | 4 | *(b) | ||||||||
Schlumberger Ltd. | 361 | 26 | (b) | ||||||||
Sealed Air Corp. | 237 | 10 | |||||||||
Seattle Genetics, Inc. | 17 | 1 | * | ||||||||
Sensient Technologies Corp. | 193 | 16 | (b) | ||||||||
Service Corp. International | 330 | 11 | |||||||||
SkyWest, Inc. | 146 | 5 | |||||||||
Sonoco Products Co. | 47 | 2 | |||||||||
Speedway Motorsports, Inc. | 50 | 1 | |||||||||
Starbucks Corp. | 125 | 8 | |||||||||
Steel Dynamics, Inc. | 321 | 12 | (b) | ||||||||
SunTrust Banks, Inc. | 485 | 28 | (a) | ||||||||
Symantec Corp. | 219 | 7 | |||||||||
SYNNEX Corp. | 47 | 5 | (b) | ||||||||
Sysco Corp. | 261 | 14 | (b) | ||||||||
T-Mobile US, Inc. | 800 | 54 | *(a) | ||||||||
Target Corp. | 29 | 2 | (b) | ||||||||
Telephone & Data Systems, Inc. | 48 | 1 | (b) | ||||||||
Teradyne, Inc. | 915 | 32 | (a) |
Number of Shares | Value (000's omitted) | ||||||||||
Texas Capital Bancshares, Inc. | 60 | $ | 5 | * | |||||||
Texas Instruments, Inc. | 115 | 9 | (b) | ||||||||
Thermo Fisher Scientific, Inc. | 65 | 11 | |||||||||
Thomson Reuters Corp. | 63 | 3 | |||||||||
Time Warner, Inc. | 231 | 23 | (a) | ||||||||
TiVo Corp. | 120 | 2 | (b) | ||||||||
TJX Cos., Inc. | 70 | 6 | (b) | ||||||||
TransUnion | 184 | 7 | * | ||||||||
Trinseo SA | 150 | 10 | (b) | ||||||||
TTM Technologies, Inc. | 328 | 6 | * | ||||||||
Tyson Foods, Inc. Class A | 143 | 9 | (b) | ||||||||
U.S. Bancorp | 145 | 7 | (b) | ||||||||
UniFirst Corp. | 17 | 2 | |||||||||
United Continental Holdings, Inc. | 85 | 6 | *(b) | ||||||||
United Therapeutics Corp. | 8 | 1 | * | ||||||||
UnitedHealth Group, Inc. | 305 | 53 | (b) | ||||||||
Uniti Group, Inc. | 217 | 6 | * | ||||||||
Unum Group | 242 | 11 | (b) | ||||||||
Vail Resorts, Inc. | 24 | 5 | |||||||||
Valmont Industries, Inc. | 53 | 8 | (b) | ||||||||
Vantiv, Inc. Class A | 116 | 7 | * | ||||||||
Verizon Communications, Inc. | 431 | 20 | (b) | ||||||||
Vishay Intertechnology, Inc. | 421 | 7 | |||||||||
VMware, Inc. Class A | 29 | 3 | * | ||||||||
WageWorks, Inc. | 87 | 6 | *(b) | ||||||||
Wal-Mart Stores, Inc. | 332 | 25 | (a) | ||||||||
Walgreens Boots Alliance, Inc. | 116 | 10 | (b) | ||||||||
Waste Management, Inc. | 115 | 8 | (b) | ||||||||
Wells Fargo & Co. | 90 | 5 | |||||||||
West Pharmaceutical Services, Inc. | 154 | 14 | (a) | ||||||||
Westar Energy, Inc. | 332 | 17 | (b) | ||||||||
Western Digital Corp. | 180 | 16 | (b) | ||||||||
Weyerhaeuser Co. | 687 | 23 | (a) | ||||||||
Whirlpool Corp. | 65 | 12 | (b) | ||||||||
Whole Foods Market, Inc. | 795 | 29 | (a) | ||||||||
Williams Cos., Inc. | 204 | 6 | |||||||||
Worthington Industries, Inc. | 53 | 2 |
See Notes to Financial Statements
26
Schedule of Investments Global Allocation Fund (Unaudited) (cont'd)
Number of Shares | Value (000's omitted) | ||||||||||
Wright Medical Group NV | 200 | $ | 6 | * | |||||||
Xerox Corp. | 1,309 | 9 | (b) | ||||||||
Zimmer Biomet Holdings, Inc. | 113 | 14 | (a) | ||||||||
3,731 | |||||||||||
Total Common Stocks (Cost $4,698) | 5,412 | ||||||||||
Principal Amount(d) (000's omitted) | |||||||||||
U.S. Treasury Obligations 9.9% | |||||||||||
U.S. Treasury Bonds | |||||||||||
8/15/28 5.50%, due | $ | 65 | 85 | ||||||||
8/15/40 3.88%, due | 100 | 117 | |||||||||
U.S. Treasury Inflation Indexed Bonds, 2.00%, due 1/15/26 | 292 | 332 | (e) | ||||||||
U.S. Treasury Inflation-Indexed Bonds, 3.88%, due 4/15/29 | 187 | 259 | (e) | ||||||||
U.S. Treasury Notes 0.75%, due 1/31/18 | 930 | 928 | |||||||||
2.75%, due 2/15/24 | 147 | 153 | |||||||||
1.63%, due 2/15/26 | 335 | 318 | |||||||||
Total U.S. Treasury Obligations (Cost $2,187) | 2,192 | ||||||||||
U.S. Government Agency Security 0.5% | |||||||||||
Federal Home Loan Bank, 5.50%, due 7/15/36 (Cost $122) | 90 | 120 | (b) | ||||||||
Mortgage-Backed Securities 6.6% | |||||||||||
Collateralized Mortgage Obligations 0.6% | |||||||||||
Fannie Mae Connecticut Avenue Securities, Ser. 2017-C02, Class 2M2, 4.64%, due 9/15/29 | 130 | 135 | (f) |
Principal Amount(d) (000's omitted) | Value (000's omitted) | ||||||||||
Fannie Mae 3.6% | |||||||||||
Pass-Through Certificates | |||||||||||
15 Year Maturity 3.00%, TBA, | $ | 75 | $ | 77 | (g) | ||||||
30 Year Maturity 3.00%, TBA, | 110 | 110 | (g) | ||||||||
30 Year Maturity 3.50%, TBA, | 80 | 82 | (g) | ||||||||
30 Year Maturity 4.00%, TBA, | 430 | 453 | (g) | ||||||||
30 Year Maturity 4.50%, TBA, | 50 | 54 | (g) | ||||||||
776 | |||||||||||
Freddie Mac 2.4% | |||||||||||
Pass-Through Certificates | |||||||||||
30 Year Maturity 3.00%, TBA, | 90 | 90 | (g) | ||||||||
15 Year Maturity 3.00%, TBA, | 85 | 87 | (g) | ||||||||
30 Year Maturity 3.50%, TBA, | 75 | 77 | (g) | ||||||||
30 Year Maturity 4.00%, TBA, | 265 | 279 | (g) | ||||||||
533 | |||||||||||
Total Mortgage- Backed Securities (Cost $1,437) | 1,444 | ||||||||||
Corporate Bonds 5.5% | |||||||||||
Brazil 0.1% | |||||||||||
Vale Overseas Ltd., 6.25%, due 8/10/26 | 20 | 22 | (b) | ||||||||
Israel 0.2% | |||||||||||
Teva Pharmaceutical Finance Netherlands III BV, 2.20%, due 7/21/21 | 40 | 39 | (b) | ||||||||
Spain 0.1% | |||||||||||
Telefonica Emisiones SAU, 4.10%, due 3/8/27 | 30 | 31 | (b) | ||||||||
Switzerland 0.2% | |||||||||||
UBS Group Funding Switzerland AG, 4.25%, due 3/23/28 | 30 | 31 | (b)(c) | ||||||||
United Kingdom 0.2% | |||||||||||
Barclays PLC, 4.34%, due 1/10/28 | 50 | 51 | (b) |
Principal Amount(d) (000's omitted) | Value (000's omitted) | ||||||||||
United States 4.7% | |||||||||||
Abbott Laboratories, 4.90%, due 11/30/46 | $ | 20 | $ | 21 | (b) | ||||||
AbbVie, Inc., 4.45%, due 5/14/46 | 20 | 19 | (b) | ||||||||
Apache Corp., 4.75%, due 4/15/43 | 10 | 10 | (b) | ||||||||
Apple, Inc., 4.65%, due 2/23/46 | 20 | 22 | (b) | ||||||||
AT&T, Inc. | |||||||||||
4.75%, due 5/15/46 | 50 | 47 | (b) | ||||||||
5.70%, due 3/1/57 | 45 | 47 | (b) | ||||||||
Bank of America Corp. | |||||||||||
2.88%, due 4/24/23 | 35 | 35 | (f) | ||||||||
3.95%, due 4/21/25 | 40 | 40 | (b) | ||||||||
Capital One N.A., 2.35%, due 1/31/20 | 40 | 40 | (b) | ||||||||
Charter Communications Operating LLC/ Charter Communications Operating Capital | |||||||||||
4.91%, due 7/23/25 | 50 | 54 | (b) | ||||||||
6.48%, due 10/23/45 | 40 | 47 | (b) | ||||||||
Dell Int'l LLC/EMC Corp. | |||||||||||
5.45%, due 6/15/23 | 40 | 43 | (b)(c) | ||||||||
4.42%, due 6/15/21 | 50 | 53 | (b)(c) | ||||||||
Delta Air Lines, Inc., 3.63%, due 3/15/22 | 30 | 31 | (b) | ||||||||
Energy Transfer Partners L.P., 6.50%, due 2/1/42 | 20 | 22 | (b) | ||||||||
ERAC USA Finance LLC, 4.20%, due 11/1/46 | 20 | 18 | (b)(c) | ||||||||
General Motors Co., 6.25%, due 10/2/43 | 20 | 22 | |||||||||
General Motors Financial Co., Inc. | |||||||||||
3.20%, due 7/6/21 | 20 | 20 | (b) | ||||||||
4.30%, due 7/13/25 | 30 | 31 | (b) |
See Notes to Financial Statements
27
Schedule of Investments Global Allocation Fund (Unaudited) (cont'd)
Principal Amount(d) (000's omitted) | Value (000's omitted) | ||||||||||
4.00%, due 10/6/26 | $ | 40 | $ | 40 | (b) | ||||||
Goldman Sachs Group, Inc., 5.15%, due 5/22/45 | 30 | 32 | (b) | ||||||||
Hess Corp., 4.30%, due 4/1/27 | 30 | 30 | (b) | ||||||||
Hewlett Packard Enterprise Co., 4.90%, due 10/15/25 | 20 | 21 | (b) | ||||||||
HP, Inc., 4.65%, due 12/9/21 | 40 | 43 | (b) | ||||||||
JPMorgan Chase & Co., 3.54%, due 5/1/28 | 30 | 30 | (f) | ||||||||
Kinder Morgan, Inc., 5.55%, due 6/1/45 | 30 | 32 | (b) | ||||||||
Lennar Corp., 4.50%, due 4/30/24 | 5 | 5 | |||||||||
Microsoft Corp., 4.50%, due 2/6/57 | 25 | 26 | (b) | ||||||||
Noble Energy, Inc., 5.25%, due 11/15/43 | 30 | 31 | (b) | ||||||||
Reynolds American, Inc., 4.45%, due 6/12/25 | 20 | 21(b) | |||||||||
SunTrust Banks, Inc., Ser. G, 5.05%, due 12/31/99 | 35 | 35 | (f)(h) | ||||||||
Verizon Communications, Inc. | |||||||||||
4.13%, due 8/15/46 | 20 | 17 | (b) | ||||||||
4.67%, due 3/15/55 | 25 | 23 | (b) | ||||||||
Viacom, Inc., 4.38%, due 3/15/43 | 35 | 31 | (b) | ||||||||
1,039 | |||||||||||
Total Corporate Bonds (Cost $1,201) | 1,213 |
Principal Amount(d) (000's omitted) | Value (000's omitted) | ||||||||||
Asset-Backed Securities 1.3% | |||||||||||
Bear Stearns Asset Backed Securities Trust, Ser. 2006-SD2, Class M2, 1.79%, due 6/25/36 | $ | 100 | $ | 92 | (f) | ||||||
Carrington Mortgage Loan Trust, Ser. 2006-OPT1, Class M1, 1.34%, due 2/25/36 | 100 | 91 | (f) | ||||||||
Citibank Credit Card Issuance Trust, Ser. 2017-A3, Class A3, 1.92%, due 4/7/22 | 100 | 101 | |||||||||
Total Asset-Backed Securities (Cost $283) | 284 | ||||||||||
Foreign Government Securities 0.4% | |||||||||||
New Zealand Government Bond, Ser. 935, 2.50%, due 9/20/35 | NZD | 30 | 22 | (i) | |||||||
South Africa Government Bond, Ser. R214, 6.50%, due 2/28/41 | ZAR | 1,320 | 70 | ||||||||
Total Foreign Government Securities (Cost $105) | 92 | ||||||||||
Number of Shares | |||||||||||
Exchange Traded Funds 2.1% | |||||||||||
iShares iBoxx $ High Yield Corporate Bond ETF | 700 | 62 | |||||||||
PowerShares Senior Loan Portfolio | 17,000 | 396 | |||||||||
Total Exchange Traded Funds (Cost $457) | 458 |
Number of Shares | Value (000's omitted) | ||||||||||
Investment Companies 53.0% | |||||||||||
Neuberger Berman Emerging Markets Debt Fund Institutional Class | 55,309 | $ | 492 | (b)(j) | |||||||
Neuberger Berman Emerging Markets Equity Fund Class R6 | 87,343 | 1,549 | (b)(j) | ||||||||
Neuberger Berman Floating Rate Income Fund Institutional Class | 42,679 | 424 | (b)(j) | ||||||||
Neuberger Berman Genesis Fund Class R6 | 24,818 | 1,472 | (b)(j) | ||||||||
Neuberger Berman High Income Bond Fund Class R6 | 130,032 | 1,147 | (b)(j) | ||||||||
Neuberger Berman International Select Fund Class R6 | 335,966 | 3,901 | *(b)(j) | ||||||||
Neuberger Berman Long Short Credit Fund Class R6 | 84,476 | 814 | (b)(j) | ||||||||
Neuberger Berman Risk Balanced Commodity Strategy Fund Institutional Class | 128,885 | 776 | *(b)(j) | ||||||||
Neuberger Berman U.S. Equity Index PutWrite Strategy Fund Class R6 | 100,904 | 1,096 | (b)(j) | ||||||||
Total Investment Companies (Cost $11,321) | 11,671 | ||||||||||
Short-Term Investment 0.3% | |||||||||||
Investment Company 0.3% | |||||||||||
State Street Institutional U.S. Government Money Market Fund Premier Class, 0.68% (Cost $74) | 74,008 | 74 | (b)(k) | ||||||||
Total Investments 104.2% (Cost $21,885) | 22,960 | ||||||||||
Other Assets Less Liabilities (4.2)% | (929 | )(l) | |||||||||
Net Assets 100.0% | $ | 22,031 |
See Notes to Financial Statements
28
Schedule of Investments Global Allocation Fund (Unaudited) (cont'd)
* Non-income producing security.
(a) All or a portion of the security is pledged as collateral for options written for the Fund.
(b) All or a portion of this security is segregated in connection with obligations for to be announced securities, options written, futures and/or forward foreign currency contracts with a total value of approximately $14,316,000.
(c) Securities were purchased under Rule 144A of the Securities Act of 1933, as amended (the "1933 Act"), or are otherwise restricted and, unless registered under the 1933 Act or exempted from registration, may only be sold to qualified institutional investors or may have other restrictions on resale. At April 30, 2017, these securities amounted to approximately $213,000 or 1.0% of net assets of the Fund. These securities have been deemed by the investment manager to be liquid.
(d) Principal amount is stated in the currency in which the security is denominated.
NZD = New Zealand Dollar
ZAR = South African Rand
(e) Index-linked bond whose principal amount adjusts according to a government retail price index.
(f) Variable or floating rate security. The interest rate shown was the current rate as of April 30, 2017 and changes periodically.
(g) 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 April 30, 2017 amounted to approximately $1,309,000, which represents 6.0% of net assets of the Fund.
(h) Security fair valued as of April 30, 2017 in accordance with procedures approved by the Board of Trustees (the "Board"). Total value of all such securities at April 30, 2017, amounted to approximately $35,000, which represents approximately 0.2% of net assets of the Fund.
(i) 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 April 30, 2017 amounted to approximately $22,000, which represents 0.1% of net assets of the Fund.
(j) Affiliated company as defined under the Investment Company Act of 1940 (see Note F of Notes to Financial Statements).
(k) Represents 7-day effective yield as of April 30, 2017.
(l) Includes the impact of the Fund's open positions in derivatives at April 30, 2017.
(m) Represents less than 0.05% of net assets.
See Notes to Financial Statements
29
Schedule of Investments Global Allocation Fund (Unaudited) (cont'd)
Derivative Instruments
Futures contracts ("futures")
At April 30, 2017, open positions in futures for the Fund were as follows:
Expiration | Open Contracts | Position | Unrealized Appreciation/ (Depreciation) | ||||||||||||
6/16/2017 | 3 Euro STOXX 50 Index | Long | $ | 6,233 | |||||||||||
6/16/2017 | 5 FTSE 100 Index | Long | (2,003 | ) | |||||||||||
6/16/2017 | 3 Mini MSCI Emerging Markets Index | Long | 1,609 | ||||||||||||
6/16/2017 | 5 S&P 500 E-Mini Index | Long | 3,397 | ||||||||||||
6/19/2017 | 1 Mexican Peso | Long | (71 | ) | |||||||||||
6/21/2017 | 4 U.S. Long Bond | Long | 4,875 | ||||||||||||
6/21/2017 | 1 U.S. Treasury Note, 10 Year | Long | 681 | ||||||||||||
6/28/2017 | 1 United Kingdom Long Gilt Bond | Long | 3,792 | ||||||||||||
6/8/2017 | 1 Euro-Buxl Bond, 30 Year | Short | (700 | ) | |||||||||||
6/8/2017 | 1 Euro-OAT | Short | (3,061 | ) | |||||||||||
6/19/2017 | 1 Euro | Short | (2,435 | ) | |||||||||||
6/19/2017 | 1 Japanese Yen | Short | 130 | ||||||||||||
6/19/2017 | 1 New Zealand Dollar | Short | 771 | ||||||||||||
6/28/2017 | 1 United Kingdom Long Gilt Bond | Short | (4,109 | ) | |||||||||||
6/30/2017 | 1 U.S. Treasury Note, 5 Year | Short | (644 | ) | |||||||||||
Total | $ | 8,465 |
At April 30, 2017, the notional value of futures for the Fund was $2,250,657 for long positions and $(949,586) for short positions. At April 30, 2017, the Fund had $116,533 deposited in a segregated account to cover margin requirements on open futures.
For the six months ended April 30, 2017, the average notional value of futures for the Fund was $2,808,305 for long positions and $(2,136,288) for short positions.
Forward foreign currency contracts ("forward contracts")
At April 30, 2017, open forward contracts for the Fund were as follows:
Contracts to Receive | In Exchange For | Counterparty | Settlement Date | Net Unrealized Appreciation/ (Depreciation) | |||||||||||||||||||
48,264 | Australian Dollar | $ | 36,208 | Goldman Sachs International | 5/11/2017 | $ | (74 | ) | |||||||||||||||
25,185 | Australian Dollar | 19,216 | Goldman Sachs International | 5/11/2017 | (360 | ) | |||||||||||||||||
179,586 | Australian Dollar | 136,417 | Goldman Sachs International | 5/11/2017 | (1,966 | ) | |||||||||||||||||
19,326 | Australian Dollar | 14,475 | Royal Bank of Canada | 5/11/2017 | (6 | ) | |||||||||||||||||
59,756 | Australian Dollar | 44,915 | Royal Bank of Canada | 5/11/2017 | (178 | ) | |||||||||||||||||
53,951 | Australian Dollar | 40,586 | Royal Bank of Canada | 5/11/2017 | (194 | ) | |||||||||||||||||
54,313 | Australian Dollar | 40,893 | Royal Bank of Canada | 5/11/2017 | (230 | ) | |||||||||||||||||
20,694 | Australian Dollar | 15,736 | Royal Bank of Canada | 5/11/2017 | (243 | ) |
See Notes to Financial Statements
30
Schedule of Investments Global Allocation Fund (Unaudited) (cont'd)
Contracts to Receive | In Exchange For | Counterparty | Settlement Date | Net Unrealized Appreciation/ (Depreciation) | |||||||||||||||||||
56,360 | Australian Dollar | $ | 42,567 | Royal Bank of Canada | 5/11/2017 | $ | (372 | ) | |||||||||||||||
24,208 | Australian Dollar | 18,575 | Royal Bank of Canada | 5/11/2017 | (451 | ) | |||||||||||||||||
34,971 | Australian Dollar | 26,698 | Royal Bank of Canada | 5/11/2017 | (516 | ) | |||||||||||||||||
37,861 | Australian Dollar | 28,992 | Royal Bank of Canada | 5/11/2017 | (646 | ) | |||||||||||||||||
134,277 | Australian Dollar | 101,875 | Royal Bank of Canada | 5/11/2017 | (1,345 | ) | |||||||||||||||||
163,954 | Australian Dollar | 125,367 | Royal Bank of Canada | 5/11/2017 | (2,619 | ) | |||||||||||||||||
25,955 | Australian Dollar | 19,886 | Societe Generale | 5/11/2017 | (454 | ) | |||||||||||||||||
301,586 | Australian Dollar | 229,204 | Societe Generale | 5/11/2017 | (3,414 | ) | |||||||||||||||||
19,475 | Australian Dollar | 14,680 | State Street Bank and Trust Company | 5/11/2017 | (100 | ) | |||||||||||||||||
209,363 | Australian Dollar | 156,911 | State Street Bank and Trust Company | 5/11/2017 | (167 | ) | |||||||||||||||||
18,660 | Australian Dollar | 14,204 | State Street Bank and Trust Company | 5/11/2017 | (234 | ) | |||||||||||||||||
73,202 | Australian Dollar | 55,403 | State Street Bank and Trust Company | 5/11/2017 | (598 | ) | |||||||||||||||||
74,091 | Australian Dollar | 56,690 | State Street Bank and Trust Company | 5/11/2017 | (1,220 | ) | |||||||||||||||||
155,646 | Australian Dollar | 118,652 | State Street Bank and Trust Company | 5/11/2017 | (2,124 | ) | |||||||||||||||||
32,547 | Canadian Dollar | 24,109 | Goldman Sachs International | 5/11/2017 | (263 | ) | |||||||||||||||||
23,329 | Canadian Dollar | 17,764 | Goldman Sachs International | 5/11/2017 | (672 | ) | |||||||||||||||||
25,691 | Canadian Dollar | 19,658 | Goldman Sachs International | 5/11/2017 | (835 | ) | |||||||||||||||||
210,222 | Canadian Dollar | 157,361 | Goldman Sachs International | 5/11/2017 | (3,336 | ) | |||||||||||||||||
51,809 | Canadian Dollar | 38,106 | Royal Bank of Canada | 5/11/2017 | (147 | ) | |||||||||||||||||
36,903 | Canadian Dollar | 27,563 | Royal Bank of Canada | 5/11/2017 | (525 | ) | |||||||||||||||||
30,529 | Canadian Dollar | 23,304 | Royal Bank of Canada | 5/11/2017 | (937 | ) | |||||||||||||||||
65,427 | Canadian Dollar | 49,226 | Royal Bank of Canada | 5/11/2017 | (1,289 | ) | |||||||||||||||||
91,830 | Canadian Dollar | 69,066 | Royal Bank of Canada | 5/11/2017 | (1,784 | ) | |||||||||||||||||
124,837 | Canadian Dollar | 93,278 | Royal Bank of Canada | 5/11/2017 | (1,813 | ) | |||||||||||||||||
154,493 | Canadian Dollar | 115,063 | Royal Bank of Canada | 5/11/2017 | (1,869 | ) | |||||||||||||||||
100,064 | Canadian Dollar | 75,209 | Royal Bank of Canada | 5/11/2017 | (1,894 | ) | |||||||||||||||||
72,214 | Canadian Dollar | 55,206 | Royal Bank of Canada | 5/11/2017 | (2,296 | ) | |||||||||||||||||
127,332 | Canadian Dollar | 97,206 | Royal Bank of Canada | 5/11/2017 | (3,913 | ) | |||||||||||||||||
88,642 | Canadian Dollar | 67,806 | Societe Generale | 5/11/2017 | (2,860 | ) | |||||||||||||||||
104,679 | Canadian Dollar | 80,507 | Societe Generale | 5/11/2017 | (3,811 | ) | |||||||||||||||||
865,056 | Canadian Dollar | 657,562 | Societe Generale | 5/11/2017 | (23,754 | ) | |||||||||||||||||
15,217 | Canadian Dollar | 11,291 | State Street Bank and Trust Company | 5/11/2017 | (142 | ) | |||||||||||||||||
59,053 | Canadian Dollar | 43,500 | State Street Bank and Trust Company | 5/11/2017 | (233 | ) | |||||||||||||||||
17,534 | Canadian Dollar | 13,143 | State Street Bank and Trust Company | 5/11/2017 | (297 | ) | |||||||||||||||||
32,685 | Canadian Dollar | 24,424 | State Street Bank and Trust Company | 5/11/2017 | (477 | ) | |||||||||||||||||
32,952 | Canadian Dollar | 25,037 | State Street Bank and Trust Company | 5/11/2017 | (894 | ) | |||||||||||||||||
47,534 | Canadian Dollar | 36,262 | State Street Bank and Trust Company | 5/11/2017 | (1,434 | ) | |||||||||||||||||
49,065 | Canadian Dollar | 37,486 | State Street Bank and Trust Company | 5/11/2017 | (1,537 | ) | |||||||||||||||||
161,308 | Canadian Dollar | 120,856 | State Street Bank and Trust Company | 5/11/2017 | (2,669 | ) | |||||||||||||||||
334,380 | Euro | 358,178 | Goldman Sachs International | 5/11/2017 | 6,203 | ||||||||||||||||||
120,786 | Euro | 127,926 | Royal Bank of Canada | 5/11/2017 | 3,697 | ||||||||||||||||||
128,430 | Euro | 138,052 | Royal Bank of Canada | 5/11/2017 | 1,901 | ||||||||||||||||||
58,011 | Euro | 62,159 | Royal Bank of Canada | 5/11/2017 | 1,057 |
See Notes to Financial Statements
31
Schedule of Investments Global Allocation Fund (Unaudited) (cont'd)
Contracts to Receive | In Exchange For | Counterparty | Settlement Date | Net Unrealized Appreciation/ (Depreciation) | |||||||||||||||||||
54,662 | Euro | $ | 58,605 | Royal Bank of Canada | 5/11/2017 | $ | 962 | ||||||||||||||||
23,869 | Euro | 25,246 | Royal Bank of Canada | 5/11/2017 | 764 | ||||||||||||||||||
23,815 | Euro | 25,596 | Royal Bank of Canada | 5/11/2017 | 355 | ||||||||||||||||||
10,881 | Euro | 11,565 | Royal Bank of Canada | 5/11/2017 | 292 | ||||||||||||||||||
22,615 | Euro | 24,389 | Royal Bank of Canada | 5/11/2017 | 255 | ||||||||||||||||||
14,638 | Euro | 15,719 | Royal Bank of Canada | 5/11/2017 | 232 | ||||||||||||||||||
35,706 | Euro | 38,945 | Royal Bank of Canada | 5/11/2017 | (35 | ) | |||||||||||||||||
27,944 | Euro | 29,678 | Societe Generale | 5/11/2017 | 773 | ||||||||||||||||||
24,151 | Euro | 25,867 | Societe Generale | 5/11/2017 | 451 | ||||||||||||||||||
25,257 | Euro | 26,847 | State Street Bank and Trust Company | 5/11/2017 | 676 | ||||||||||||||||||
22,891 | Euro | 24,415 | State Street Bank and Trust Company | 5/11/2017 | 530 | ||||||||||||||||||
17,917 | Euro | 19,138 | State Street Bank and Trust Company | 5/11/2017 | 387 | ||||||||||||||||||
57,244 | Euro | 61,995 | State Street Bank and Trust Company | 5/11/2017 | 385 | ||||||||||||||||||
5,933,161 | Japanese Yen | 51,792 | Goldman Sachs International | 5/11/2017 | 1,449 | ||||||||||||||||||
1,685,156 | Japanese Yen | 14,764 | Goldman Sachs International | 5/11/2017 | 358 | ||||||||||||||||||
2,427,138 | Japanese Yen | 21,422 | Goldman Sachs International | 5/11/2017 | 358 | ||||||||||||||||||
34,969,949 | Japanese Yen | 312,212 | Royal Bank of Canada | 5/11/2017 | 1,595 | ||||||||||||||||||
4,420,690 | Japanese Yen | 38,638 | Royal Bank of Canada | 5/11/2017 | 1,032 | ||||||||||||||||||
5,320,423 | Japanese Yen | 46,901 | Royal Bank of Canada | 5/11/2017 | 843 | ||||||||||||||||||
5,325,565 | Japanese Yen | 47,000 | Royal Bank of Canada | 5/11/2017 | 790 | ||||||||||||||||||
6,607,964 | Japanese Yen | 59,304 | Royal Bank of Canada | 5/11/2017 | (7 | ) | |||||||||||||||||
4,796,583 | Japanese Yen | 42,762 | Societe Generale | 5/11/2017 | 281 | ||||||||||||||||||
1,681,269 | Japanese Yen | 14,838 | Societe Generale | 5/11/2017 | 249 | ||||||||||||||||||
14,447,418 | Japanese Yen | 128,918 | State Street Bank and Trust Company | 5/11/2017 | 728 | ||||||||||||||||||
12,861,465 | Japanese Yen | 114,884 | State Street Bank and Trust Company | 5/11/2017 | 530 | ||||||||||||||||||
3,295,843 | Japanese Yen | 29,734 | State Street Bank and Trust Company | 5/11/2017 | (158 | ) | |||||||||||||||||
2,772,288 | Japanese Yen | 25,443 | State Street Bank and Trust Company | 5/11/2017 | (566 | ) | |||||||||||||||||
6,292,693 | Japanese Yen | 57,186 | State Street Bank and Trust Company | 5/11/2017 | (718 | ) | |||||||||||||||||
6,085,055 | Japanese Yen | 55,805 | State Street Bank and Trust Company | 5/11/2017 | (1,200 | ) | |||||||||||||||||
3,949,973 | Japanese Yen | 35,561 | Goldman Sachs International | 8/2/2017 | 8 | ||||||||||||||||||
1,929,729 | Mexican Peso | 91,971 | Goldman Sachs International | 5/11/2017 | 10,389 | ||||||||||||||||||
33,177 | New Zealand Dollar | 23,626 | Goldman Sachs International | 5/11/2017 | (852 | ) | |||||||||||||||||
95,523 | New Zealand Dollar | 67,189 | Goldman Sachs International | 5/11/2017 | (1,618 | ) | |||||||||||||||||
59,332 | New Zealand Dollar | 42,895 | Goldman Sachs International | 5/11/2017 | (2,166 | ) | |||||||||||||||||
92,156 | New Zealand Dollar | 65,945 | Goldman Sachs International | 5/11/2017 | (2,684 | ) | |||||||||||||||||
32,305 | New Zealand Dollar | 22,554 | Royal Bank of Canada | 5/11/2017 | (378 | ) | |||||||||||||||||
47,540 | New Zealand Dollar | 33,354 | Royal Bank of Canada | 5/11/2017 | (721 | ) | |||||||||||||||||
38,436 | New Zealand Dollar | 27,260 | Royal Bank of Canada | 5/11/2017 | (876 | ) | |||||||||||||||||
84,116 | New Zealand Dollar | 58,729 | Royal Bank of Canada | 5/11/2017 | (988 | ) | |||||||||||||||||
47,325 | New Zealand Dollar | 33,798 | Royal Bank of Canada | 5/11/2017 | (1,312 | ) | |||||||||||||||||
85,389 | New Zealand Dollar | 59,966 | Royal Bank of Canada | 5/11/2017 | (1,351 | ) | |||||||||||||||||
446,491 | New Zealand Dollar | 324,985 | Royal Bank of Canada | 5/11/2017 | (18,494 | ) | |||||||||||||||||
74,940 | New Zealand Dollar | 53,807 | Societe Generale | 5/11/2017 | (2,365 | ) |
See Notes to Financial Statements
32
Schedule of Investments Global Allocation Fund (Unaudited) (cont'd)
Contracts to Receive | In Exchange For | Counterparty | Settlement Date | Net Unrealized Appreciation/ (Depreciation) | |||||||||||||||||||
97,163 | New Zealand Dollar | $ | 70,798 | Societe Generale | 5/11/2017 | $ | (4,101 | ) | |||||||||||||||
22,347 | New Zealand Dollar | 15,489 | State Street Bank and Trust Company | 5/11/2017 | (149 | ) | |||||||||||||||||
50,854 | New Zealand Dollar | 35,120 | State Street Bank and Trust Company | 5/11/2017 | (211 | ) | |||||||||||||||||
30,725 | New Zealand Dollar | 21,541 | State Street Bank and Trust Company | 5/11/2017 | (450 | ) | |||||||||||||||||
32,081 | New Zealand Dollar | 22,605 | State Street Bank and Trust Company | 5/11/2017 | (583 | ) | |||||||||||||||||
89,169 | New Zealand Dollar | 61,819 | State Street Bank and Trust Company | 5/11/2017 | (609 | ) | |||||||||||||||||
44,534 | New Zealand Dollar | 31,936 | State Street Bank and Trust Company | 5/11/2017 | (1,366 | ) | |||||||||||||||||
106,464 | New Zealand Dollar | 74,667 | State Street Bank and Trust Company | 5/11/2017 | (1,586 | ) | |||||||||||||||||
117,166 | New Zealand Dollar | 82,207 | State Street Bank and Trust Company | 5/11/2017 | (1,779 | ) | |||||||||||||||||
455,582 | New Zealand Dollar | 331,349 | State Street Bank and Trust Company | 5/11/2017 | (18,618 | ) | |||||||||||||||||
127,079 | New Zealand Dollar | 86,909 | Goldman Sachs International | 8/2/2017 | 149 | ||||||||||||||||||
426,237 | Norwegian Krone | 50,993 | Goldman Sachs International | 5/11/2017 | (1,345 | ) | |||||||||||||||||
344,344 | Norwegian Krone | 40,108 | Royal Bank of Canada | 5/11/2017 | 1 | ||||||||||||||||||
222,547 | Norwegian Krone | 25,884 | Royal Bank of Canada | 5/11/2017 | 38 | ||||||||||||||||||
121,178 | Norwegian Krone | 14,208 | Royal Bank of Canada | 5/11/2017 | (93 | ) | |||||||||||||||||
316,081 | Norwegian Krone | 37,209 | Royal Bank of Canada | 5/11/2017 | (391 | ) | |||||||||||||||||
284,532 | Norwegian Krone | 34,023 | Royal Bank of Canada | 5/11/2017 | (881 | ) | |||||||||||||||||
608,807 | Norwegian Krone | 73,218 | Royal Bank of Canada | 5/11/2017 | (2,304 | ) | |||||||||||||||||
1,134,001 | Norwegian Krone | 136,370 | Royal Bank of Canada | 5/11/2017 | (4,281 | ) | |||||||||||||||||
718,026 | Norwegian Krone | 86,000 | Societe Generale | 5/11/2017 | (2,364 | ) | |||||||||||||||||
2,213,531 | Norwegian Krone | 266,136 | Societe Generale | 5/11/2017 | (8,303 | ) | |||||||||||||||||
99,557 | Norwegian Krone | 11,468 | State Street Bank and Trust Company | 5/11/2017 | 129 | ||||||||||||||||||
155,723 | Norwegian Krone | 18,101 | State Street Bank and Trust Company | 5/11/2017 | 38 | ||||||||||||||||||
95,035 | Norwegian Krone | 11,082 | State Street Bank and Trust Company | 5/11/2017 | (12 | ) | |||||||||||||||||
376,078 | Norwegian Krone | 44,107 | State Street Bank and Trust Company | 5/11/2017 | (301 | ) | |||||||||||||||||
353,639 | Norwegian Krone | 41,666 | State Street Bank and Trust Company | 5/11/2017 | (474 | ) | |||||||||||||||||
987,703 | Norwegian Krone | 115,638 | State Street Bank and Trust Company | 5/11/2017 | (590 | ) | |||||||||||||||||
191,289 | Norwegian Krone | 23,018 | State Street Bank and Trust Company | 5/11/2017 | (737 | ) | |||||||||||||||||
335,305 | Norwegian Krone | 40,321 | State Street Bank and Trust Company | 5/11/2017 | (1,265 | ) | |||||||||||||||||
564,275 | Norwegian Krone | 67,786 | State Street Bank and Trust Company | 5/11/2017 | (2,059 | ) | |||||||||||||||||
946,959 | Norwegian Krone | 110,946 | Goldman Sachs International | 8/2/2017 | (532 | ) | |||||||||||||||||
16,339 | Pound Sterling | 19,879 | Goldman Sachs International | 5/11/2017 | 1,288 | ||||||||||||||||||
26,082 | Pound Sterling | 32,676 | Goldman Sachs International | 5/11/2017 | 1,113 | ||||||||||||||||||
111,881 | Pound Sterling | 136,711 | Royal Bank of Canada | 5/11/2017 | 8,230 | ||||||||||||||||||
114,253 | Pound Sterling | 140,505 | Royal Bank of Canada | 5/11/2017 | 7,509 | ||||||||||||||||||
124,269 | Pound Sterling | 153,978 | Royal Bank of Canada | 5/11/2017 | 7,012 | ||||||||||||||||||
61,673 | Pound Sterling | 76,640 | Royal Bank of Canada | 5/11/2017 | 3,257 | ||||||||||||||||||
53,709 | Pound Sterling | 66,847 | Royal Bank of Canada | 5/11/2017 | 2,733 | ||||||||||||||||||
28,233 | Pound Sterling | 34,578 | Royal Bank of Canada | 5/11/2017 | 1,997 | ||||||||||||||||||
12,591 | Pound Sterling | 15,701 | Royal Bank of Canada | 5/11/2017 | 611 | ||||||||||||||||||
10,698 | Pound Sterling | 13,427 | Royal Bank of Canada | 5/11/2017 | 433 | ||||||||||||||||||
9,467 | Pound Sterling | 11,905 | Royal Bank of Canada | 5/11/2017 | 359 | ||||||||||||||||||
142,240 | Pound Sterling | 176,392 | Societe Generale | 5/11/2017 | 7,879 |
See Notes to Financial Statements
33
Schedule of Investments Global Allocation Fund (Unaudited) (cont'd)
Contracts to Receive | In Exchange For | Counterparty | Settlement Date | Net Unrealized Appreciation/ (Depreciation) | |||||||||||||
33,809 | Pound Sterling | $ | 41,179 | State Street Bank and Trust Company | 5/11/2017 | $ | 2,621 | ||||||||||
20,727 | Pound Sterling | 25,225 | State Street Bank and Trust Company | 5/11/2017 | 1,627 | ||||||||||||
8,603 | Pound Sterling | 10,758 | State Street Bank and Trust Company | 5/11/2017 | 388 | ||||||||||||
112,802 | Swedish Krona | 12,638 | Goldman Sachs International | 5/11/2017 | 102 | ||||||||||||
676,681 | Swedish Krona | 76,384 | Goldman Sachs International | 5/11/2017 | 45 | ||||||||||||
605,392 | Swedish Krona | 67,251 | Royal Bank of Canada | 5/11/2017 | 1,126 | ||||||||||||
648,280 | Swedish Krona | 72,316 | Royal Bank of Canada | 5/11/2017 | 905 | ||||||||||||
249,028 | Swedish Krona | 27,627 | Royal Bank of Canada | 5/11/2017 | 500 | ||||||||||||
193,738 | Swedish Krona | 21,541 | Royal Bank of Canada | 5/11/2017 | 341 | ||||||||||||
160,951 | Swedish Krona | 18,134 | Royal Bank of Canada | 5/11/2017 | 45 | ||||||||||||
209,860 | Swedish Krona | 23,736 | Royal Bank of Canada | 5/11/2017 | (33 | ) | |||||||||||
2,823,120 | Swedish Krona | 319,283 | Royal Bank of Canada | 5/11/2017 | (421 | ) | |||||||||||
207,235 | Swedish Krona | 23,041 | Societe Generale | 5/11/2017 | 365 | ||||||||||||
689,095 | Swedish Krona | 76,451 | State Street Bank and Trust Company | 5/11/2017 | 1,380 | ||||||||||||
573,583 | Swedish Krona | 64,039 | State Street Bank and Trust Company | 5/11/2017 | 746 | ||||||||||||
275,803 | Swedish Krona | 30,543 | State Street Bank and Trust Company | 5/11/2017 | 608 | ||||||||||||
103,845 | Swedish Krona | 11,522 | State Street Bank and Trust Company | 5/11/2017 | 207 | ||||||||||||
107,725 | Swedish Krona | 11,990 | State Street Bank and Trust Company | 5/11/2017 | 178 | ||||||||||||
99,555 | Swedish Krona | 11,197 | State Street Bank and Trust Company | 5/11/2017 | 48 | ||||||||||||
1,088,949 | Swedish Krona | 123,154 | State Street Bank and Trust Company | 5/11/2017 | (161 | ) | |||||||||||
321,191 | Swedish Krona | 36,651 | State Street Bank and Trust Company | 5/11/2017 | (374 | ) | |||||||||||
411,606 | Swedish Krona | 46,820 | Goldman Sachs International | 8/2/2017 | (124 | ) | |||||||||||
36,472 | Swiss Franc | 36,287 | Goldman Sachs International | 5/11/2017 | 386 | ||||||||||||
56,295 | Swiss Franc | 56,330 | Goldman Sachs International | 5/11/2017 | 275 | ||||||||||||
5,033 | Swiss Franc | 5,058 | Goldman Sachs International | 5/11/2017 | 2 | ||||||||||||
50,383 | Swiss Franc | 50,192 | Royal Bank of Canada | 5/11/2017 | 468 | ||||||||||||
32,764 | Swiss Franc | 32,646 | Royal Bank of Canada | 5/11/2017 | 299 | ||||||||||||
13,659 | Swiss Franc | 13,691 | Royal Bank of Canada | 5/11/2017 | 43 | ||||||||||||
65,455 | Swiss Franc | 65,780 | Royal Bank of Canada | 5/11/2017 | 35 | ||||||||||||
40,831 | Swiss Franc | 41,100 | Royal Bank of Canada | 5/11/2017 | (45 | ) | |||||||||||
31,267 | Swiss Franc | 31,247 | Societe Generale | 5/11/2017 | 192 | ||||||||||||
106,874 | Swiss Franc | 106,300 | State Street Bank and Trust Company | 5/11/2017 | 1,162 | ||||||||||||
73,421 | Swiss Franc | 73,075 | State Street Bank and Trust Company | 5/11/2017 | 750 | ||||||||||||
48,023 | Swiss Franc | 48,025 | State Street Bank and Trust Company | 5/11/2017 | 262 | ||||||||||||
10,566 | Swiss Franc | 10,591 | State Street Bank and Trust Company | 5/11/2017 | 33 | ||||||||||||
39,719 | Swiss Franc | 39,935 | State Street Bank and Trust Company | 5/11/2017 | 2 | ||||||||||||
393,221 | Swiss Franc | 395,527 | State Street Bank and Trust Company | 5/11/2017 | (143 | ) | |||||||||||
159,775 | Swiss Franc | 160,699 | State Street Bank and Trust Company | 5/11/2017 | (45 | ) | |||||||||||
Total | $ | (74,964 | ) |
See Notes to Financial Statements
34
Schedule of Investments Global Allocation Fund (Unaudited) (cont'd)
Contracts to Deliver | In Exchange For | Counterparty | Settlement Date | Net Unrealized Appreciation/ (Depreciation) | |||||||||||||||||||
16,559 | Australian Dollar | $ | 12,693 | Goldman Sachs International | 5/11/2017 | $ | 296 | ||||||||||||||||
88,369 | Australian Dollar | 67,551 | Goldman Sachs International | 5/11/2017 | 1,391 | ||||||||||||||||||
93,388 | Australian Dollar | 71,013 | Goldman Sachs International | 5/11/2017 | 1,096 | ||||||||||||||||||
23,422 | Australian Dollar | 17,646 | Royal Bank of Canada | 5/11/2017 | 110 | ||||||||||||||||||
356,850 | Australian Dollar | 271,260 | Royal Bank of Canada | 5/11/2017 | 4,095 | ||||||||||||||||||
226,615 | Australian Dollar | 171,628 | Royal Bank of Canada | 5/11/2017 | 1,967 | ||||||||||||||||||
19,603 | Australian Dollar | 15,049 | Royal Bank of Canada | 5/11/2017 | 373 | ||||||||||||||||||
17,817 | Australian Dollar | 13,747 | Royal Bank of Canada | 5/11/2017 | 408 | ||||||||||||||||||
50,642 | Australian Dollar | 38,780 | Royal Bank of Canada | 5/11/2017 | 866 | ||||||||||||||||||
137,723 | Australian Dollar | 105,311 | Societe Generale | 5/11/2017 | 2,202 | ||||||||||||||||||
28,021 | Australian Dollar | 21,369 | Societe Generale | 5/11/2017 | 391 | ||||||||||||||||||
736,763 | Australian Dollar | 560,073 | State Street Bank and Trust Company | 5/11/2017 | 8,478 | ||||||||||||||||||
13,448 | Australian Dollar | 10,270 | State Street Bank and Trust Company | 5/11/2017 | 202 | ||||||||||||||||||
88,404 | Australian Dollar | 67,781 | State Street Bank and Trust Company | 5/11/2017 | 1,595 | ||||||||||||||||||
18,577 | Australian Dollar | 13,979 | State Street Bank and Trust Company | 5/11/2017 | 70 | ||||||||||||||||||
83,723 | Australian Dollar | 63,251 | State Street Bank and Trust Company | 5/11/2017 | 570 | ||||||||||||||||||
29,856 | Australian Dollar | 22,313 | State Street Bank and Trust Company | 5/11/2017 | (39 | ) | |||||||||||||||||
14,964 | Australian Dollar | 11,277 | State Street Bank and Trust Company | 5/11/2017 | 74 | ||||||||||||||||||
31,166 | Australian Dollar | 23,186 | Goldman Sachs International | 8/2/2017 | (115 | ) | |||||||||||||||||
583,835 | Canadian Dollar | 442,526 | Goldman Sachs International | 5/11/2017 | 14,762 | ||||||||||||||||||
19,348 | Canadian Dollar | 14,528 | Goldman Sachs International | 5/11/2017 | 352 | ||||||||||||||||||
976,973 | Canadian Dollar | 742,223 | Royal Bank of Canada | 5/11/2017 | 26,416 | ||||||||||||||||||
124,852 | Canadian Dollar | 94,878 | Royal Bank of Canada | 5/11/2017 | 3,402 | ||||||||||||||||||
142,788 | Canadian Dollar | 108,315 | Royal Bank of Canada | 5/11/2017 | 3,697 | ||||||||||||||||||
34,901 | Canadian Dollar | 26,052 | Royal Bank of Canada | 5/11/2017 | 480 | ||||||||||||||||||
71,384 | Canadian Dollar | 53,436 | Royal Bank of Canada | 5/11/2017 | 1,134 | ||||||||||||||||||
21,047 | Canadian Dollar | 15,657 | Royal Bank of Canada | 5/11/2017 | 236 | ||||||||||||||||||
19,495 | Canadian Dollar | 14,677 | Royal Bank of Canada | 5/11/2017 | 393 | ||||||||||||||||||
59,782 | Canadian Dollar | 44,570 | Royal Bank of Canada | 5/11/2017 | 769 | ||||||||||||||||||
77,878 | Canadian Dollar | 59,427 | Societe Generale | 5/11/2017 | 2,367 | ||||||||||||||||||
56,233 | Canadian Dollar | 42,079 | State Street Bank and Trust Company | 5/11/2017 | 878 | ||||||||||||||||||
60,435 | Canadian Dollar | 45,365 | State Street Bank and Trust Company | 5/11/2017 | 1,086 | ||||||||||||||||||
26,432 | Canadian Dollar | 19,598 | State Street Bank and Trust Company | 5/11/2017 | 232 | ||||||||||||||||||
32,113 | Canadian Dollar | 23,777 | State Street Bank and Trust Company | 5/11/2017 | 249 | ||||||||||||||||||
45,596 | Euro | 49,231 | Goldman Sachs International | 5/11/2017 | (456 | ) | |||||||||||||||||
28,279 | Euro | 29,910 | Goldman Sachs International | 5/11/2017 | (907 | ) | |||||||||||||||||
57,012 | Euro | 60,338 | Goldman Sachs International | 5/11/2017 | (1,789 | ) | |||||||||||||||||
17,175 | Euro | 18,346 | Royal Bank of Canada | 5/11/2017 | (370 | ) | |||||||||||||||||
30,562 | Euro | 32,517 | Royal Bank of Canada | 5/11/2017 | (787 | ) | |||||||||||||||||
118,045 | Euro | 124,440 | Royal Bank of Canada | 5/11/2017 | (4,196 | ) | |||||||||||||||||
35,369 | Euro | 37,517 | Royal Bank of Canada | 5/11/2017 | (1,026 | ) | |||||||||||||||||
30,011 | Euro | 32,459 | Royal Bank of Canada | 5/11/2017 | (244 | ) | |||||||||||||||||
41,336 | Euro | 44,689 | Royal Bank of Canada | 5/11/2017 | (356 | ) |
See Notes to Financial Statements
35
Schedule of Investments Global Allocation Fund (Unaudited) (cont'd)
Contracts to Deliver | In Exchange For | Counterparty | Settlement Date | Net Unrealized Appreciation/ (Depreciation) | |||||||||||||||||||
39,060 | Euro | $ | 42,005 | Royal Bank of Canada | 5/11/2017 | $ | (559 | ) | |||||||||||||||
17,664 | Euro | 18,844 | Royal Bank of Canada | 5/11/2017 | (405 | ) | |||||||||||||||||
16,805 | Euro | 17,890 | Royal Bank of Canada | 5/11/2017 | (423 | ) | |||||||||||||||||
25,109 | Euro | 27,079 | Societe Generale | 5/11/2017 | (283 | ) | |||||||||||||||||
17,807 | Euro | 18,975 | Societe Generale | 5/11/2017 | (430 | ) | |||||||||||||||||
195,135 | Euro | 209,132 | State Street Bank and Trust Company | 5/11/2017 | (3,511 | ) | |||||||||||||||||
66,304 | Euro | 71,083 | State Street Bank and Trust Company | 5/11/2017 | (1,170 | ) | |||||||||||||||||
33,023 | Euro | 35,282 | State Street Bank and Trust Company | 5/11/2017 | (704 | ) | |||||||||||||||||
47,445 | Euro | 50,150 | State Street Bank and Trust Company | 5/11/2017 | (1,552 | ) | |||||||||||||||||
64,837 | Euro | 69,237 | State Street Bank and Trust Company | 5/11/2017 | (1,417 | ) | |||||||||||||||||
30,640 | Euro | 33,362 | State Street Bank and Trust Company | 5/11/2017 | (27 | ) | |||||||||||||||||
54,635 | Euro | 58,436 | State Street Bank and Trust Company | 5/11/2017 | (1,101 | ) | |||||||||||||||||
11,448 | Euro | 12,321 | State Street Bank and Trust Company | 5/11/2017 | (154 | ) | |||||||||||||||||
50,684 | Euro | 55,248 | State Street Bank and Trust Company | 5/11/2017 | 16 | ||||||||||||||||||
58,380 | Euro | 63,899 | Goldman Sachs International | 8/2/2017 | 9 | ||||||||||||||||||
9,490,863 | Japanese Yen | 84,704 | Goldman Sachs International | 5/11/2017 | (464 | ) | |||||||||||||||||
5,007,440 | Japanese Yen | 44,624 | Goldman Sachs International | 5/11/2017 | (311 | ) | |||||||||||||||||
2,356,962 | Japanese Yen | 20,687 | Goldman Sachs International | 5/11/2017 | (464 | ) | |||||||||||||||||
1,780,695 | Japanese Yen | 16,063 | Goldman Sachs International | 5/11/2017 | 84 | ||||||||||||||||||
3,826,459 | Japanese Yen | 34,180 | Royal Bank of Canada | 5/11/2017 | (157 | ) | |||||||||||||||||
4,106,177 | Japanese Yen | 36,335 | Royal Bank of Canada | 5/11/2017 | (513 | ) | |||||||||||||||||
1,755,436 | Japanese Yen | 15,680 | Royal Bank of Canada | 5/11/2017 | (73 | ) | |||||||||||||||||
4,144,276 | Japanese Yen | 36,313 | Royal Bank of Canada | 5/11/2017 | (876 | ) | |||||||||||||||||
13,212,055 | Japanese Yen | 116,280 | Royal Bank of Canada | 5/11/2017 | (2,280 | ) | |||||||||||||||||
7,272,003 | Japanese Yen | 64,331 | Royal Bank of Canada | 5/11/2017 | (925 | ) | |||||||||||||||||
2,990,629 | Japanese Yen | 26,914 | Royal Bank of Canada | 5/11/2017 | 78 | ||||||||||||||||||
3,149,136 | Japanese Yen | 28,415 | Royal Bank of Canada | 5/11/2017 | 156 | ||||||||||||||||||
4,629,729 | Japanese Yen | 41,676 | Royal Bank of Canada | 5/11/2017 | 131 | ||||||||||||||||||
2,179,890 | Japanese Yen | 19,709 | Royal Bank of Canada | 5/11/2017 | 147 | ||||||||||||||||||
6,612,478 | Japanese Yen | 59,822 | Royal Bank of Canada | 5/11/2017 | 484 | ||||||||||||||||||
9,259,479 | Japanese Yen | 82,594 | Societe Generale | 5/11/2017 | (497 | ) | |||||||||||||||||
12,836,005 | Japanese Yen | 114,696 | Societe Generale | 5/11/2017 | (490 | ) | |||||||||||||||||
2,989,426 | Japanese Yen | 26,555 | State Street Bank and Trust Company | 5/11/2017 | (271 | ) | |||||||||||||||||
4,563,725 | Japanese Yen | 39,887 | State Street Bank and Trust Company | 5/11/2017 | (1,066 | ) | |||||||||||||||||
4,242,779 | Japanese Yen | 38,520 | State Street Bank and Trust Company | 5/11/2017 | 447 | ||||||||||||||||||
2,703,973 | Japanese Yen | 24,687 | State Street Bank and Trust Company | 5/11/2017 | 422 | ||||||||||||||||||
14,819,832 | Japanese Yen | 136,468 | State Street Bank and Trust Company | 5/11/2017 | 3,480 | ||||||||||||||||||
2,800,281 | Japanese Yen | 25,202 | State Street Bank and Trust Company | 5/11/2017 | 74 | ||||||||||||||||||
522,437 | Mexican Peso | 25,401 | Goldman Sachs International | 5/11/2017 | (2,312 | ) | |||||||||||||||||
402,149 | Mexican Peso | 19,235 | State Street Bank and Trust Company | 5/11/2017 | (2,096 | ) | |||||||||||||||||
1,005,949 | Mexican Peso | 48,632 | State Street Bank and Trust Company | 5/11/2017 | (4,727 | ) | |||||||||||||||||
216,895 | New Zealand Dollar | 157,698 | Goldman Sachs International | 5/11/2017 | 8,811 | ||||||||||||||||||
62,723 | New Zealand Dollar | 45,505 | Royal Bank of Canada | 5/11/2017 | 2,449 |
See Notes to Financial Statements
36
Schedule of Investments Global Allocation Fund (Unaudited) (cont'd)
Contracts to Deliver | In Exchange For | Counterparty | Settlement Date | Net Unrealized Appreciation/ (Depreciation) | |||||||||||||||||||
59,063 | New Zealand Dollar | $ | 42,968 | Royal Bank of Canada | 5/11/2017 | $ | 2,425 | ||||||||||||||||
65,562 | New Zealand Dollar | 47,003 | Royal Bank of Canada | 5/11/2017 | 1,998 | ||||||||||||||||||
46,014 | New Zealand Dollar | 33,097 | Royal Bank of Canada | 5/11/2017 | 1,511 | ||||||||||||||||||
66,050 | New Zealand Dollar | 46,325 | Royal Bank of Canada | 5/11/2017 | 986 | ||||||||||||||||||
22,611 | New Zealand Dollar | 15,792 | Royal Bank of Canada | 5/11/2017 | 271 | ||||||||||||||||||
15,082 | New Zealand Dollar | 10,602 | Royal Bank of Canada | 5/11/2017 | 249 | ||||||||||||||||||
165,901 | New Zealand Dollar | 115,421 | Royal Bank of Canada | 5/11/2017 | 1,539 | ||||||||||||||||||
905,870 | New Zealand Dollar | 658,359 | Societe Generale | 5/11/2017 | 36,530 | ||||||||||||||||||
41,875 | New Zealand Dollar | 29,966 | Societe Generale | 5/11/2017 | 1,221 | ||||||||||||||||||
40,127 | New Zealand Dollar | 28,777 | State Street Bank and Trust Company | 5/11/2017 | 1,233 | ||||||||||||||||||
90,624 | New Zealand Dollar | 64,373 | State Street Bank and Trust Company | 5/11/2017 | 2,164 | ||||||||||||||||||
22,730 | New Zealand Dollar | 15,708 | State Street Bank and Trust Company | 5/11/2017 | 105 | ||||||||||||||||||
27,207 | New Zealand Dollar | 19,099 | State Street Bank and Trust Company | 5/11/2017 | 422 | ||||||||||||||||||
75,695 | New Zealand Dollar | 52,913 | State Street Bank and Trust Company | 5/11/2017 | 953 | ||||||||||||||||||
27,330 | New Zealand Dollar | 18,952 | State Street Bank and Trust Company | 5/11/2017 | 191 | ||||||||||||||||||
1,313,745 | Norwegian Krone | 157,792 | Goldman Sachs International | 5/11/2017 | 4,766 | ||||||||||||||||||
514,872 | Norwegian Krone | 61,336 | Goldman Sachs International | 5/11/2017 | 1,363 | ||||||||||||||||||
433,379 | Norwegian Krone | 50,619 | Goldman Sachs International | 5/11/2017 | 139 | ||||||||||||||||||
194,564 | Norwegian Krone | 22,971 | Goldman Sachs International | 5/11/2017 | 308 | ||||||||||||||||||
278,728 | Norwegian Krone | 33,547 | Royal Bank of Canada | 5/11/2017 | 1,081 | ||||||||||||||||||
365,847 | Norwegian Krone | 43,938 | Royal Bank of Canada | 5/11/2017 | 1,324 | ||||||||||||||||||
246,236 | Norwegian Krone | 29,189 | Royal Bank of Canada | 5/11/2017 | 507 | ||||||||||||||||||
91,517 | Norwegian Krone | 10,819 | Royal Bank of Canada | 5/11/2017 | 159 | ||||||||||||||||||
381,991 | Norwegian Krone | 44,701 | Royal Bank of Canada | 5/11/2017 | 207 | ||||||||||||||||||
100,222 | Norwegian Krone | 11,645 | Royal Bank of Canada | 5/11/2017 | (29 | ) | |||||||||||||||||
254,459 | Norwegian Krone | 29,845 | Royal Bank of Canada | 5/11/2017 | 206 | ||||||||||||||||||
337,727 | Norwegian Krone | 39,380 | Royal Bank of Canada | 5/11/2017 | 41 | ||||||||||||||||||
684,177 | Norwegian Krone | 83,010 | Societe Generale | 5/11/2017 | 3,316 | ||||||||||||||||||
87,729 | Norwegian Krone | 10,536 | State Street Bank and Trust Company | 5/11/2017 | 318 | ||||||||||||||||||
193,460 | Norwegian Krone | 22,944 | State Street Bank and Trust Company | 5/11/2017 | 409 | ||||||||||||||||||
988,071 | Norwegian Krone | 115,294 | State Street Bank and Trust Company | 5/11/2017 | 203 | ||||||||||||||||||
47,677 | Pound Sterling | 59,043 | Goldman Sachs International | 5/11/2017 | (2,722 | ) | |||||||||||||||||
42,856 | Pound Sterling | 53,367 | Goldman Sachs International | 5/11/2017 | (2,153 | ) | |||||||||||||||||
31,987 | Pound Sterling | 39,938 | Royal Bank of Canada | 5/11/2017 | (1,501 | ) | |||||||||||||||||
33,529 | Pound Sterling | 41,113 | Royal Bank of Canada | 5/11/2017 | (2,323 | ) | |||||||||||||||||
11,396 | Pound Sterling | 13,973 | Royal Bank of Canada | 5/11/2017 | (790 | ) | |||||||||||||||||
48,264 | Pound Sterling | 60,186 | Royal Bank of Canada | 5/11/2017 | (2,340 | ) | |||||||||||||||||
69,684 | Pound Sterling | 86,897 | Royal Bank of Canada | 5/11/2017 | (3,379 | ) | |||||||||||||||||
9,092 | Pound Sterling | 11,377 | Royal Bank of Canada | 5/11/2017 | (402 | ) | |||||||||||||||||
50,901 | Pound Sterling | 65,248 | Royal Bank of Canada | 5/11/2017 | (694 | ) | |||||||||||||||||
34,442 | Pound Sterling | 43,020 | Societe Generale | 5/11/2017 | (1,600 | ) | |||||||||||||||||
107,338 | Pound Sterling | 133,233 | State Street Bank and Trust Company | 5/11/2017 | (5,822 | ) | |||||||||||||||||
61,221 | Pound Sterling | 77,011 | State Street Bank and Trust Company | 5/11/2017 | (2,301 | ) |
See Notes to Financial Statements
37
Schedule of Investments Global Allocation Fund (Unaudited) (cont'd)
Contracts to Deliver | In Exchange For | Counterparty | Settlement Date | Net Unrealized Appreciation/ (Depreciation) | |||||||||||||||||||
54,332 | Pound Sterling | $ | 67,873 | State Street Bank and Trust Company | 5/11/2017 | $ | (2,514 | ) | |||||||||||||||
140,348 | Pound Sterling | 173,807 | State Street Bank and Trust Company | 5/11/2017 | (8,013 | ) | |||||||||||||||||
20,826 | Pound Sterling | 26,234 | State Street Bank and Trust Company | 5/11/2017 | (746 | ) | |||||||||||||||||
8,911 | Pound Sterling | 11,114 | State Street Bank and Trust Company | 5/11/2017 | (430 | ) | |||||||||||||||||
23,174 | Pound Sterling | 28,961 | State Street Bank and Trust Company | 5/11/2017 | (1,061 | ) | |||||||||||||||||
75,424 | Pound Sterling | 94,619 | State Street Bank and Trust Company | 5/11/2017 | (3,093 | ) | |||||||||||||||||
17,688 | Pound Sterling | 22,666 | State Street Bank and Trust Company | 5/11/2017 | (248 | ) | |||||||||||||||||
66,775 | Pound Sterling | 85,636 | State Street Bank and Trust Company | 5/11/2017 | (871 | ) | |||||||||||||||||
36,854 | Pound Sterling | 47,699 | Goldman Sachs International | 8/2/2017 | (159 | ) | |||||||||||||||||
491,913 | Swedish Krona | 55,280 | Goldman Sachs International | 5/11/2017 | (280 | ) | |||||||||||||||||
356,314 | Swedish Krona | 39,802 | Goldman Sachs International | 5/11/2017 | (443 | ) | |||||||||||||||||
152,054 | Swedish Krona | 16,849 | Goldman Sachs International | 5/11/2017 | (325 | ) | |||||||||||||||||
145,992 | Swedish Krona | 16,178 | Goldman Sachs International | 5/11/2017 | (311 | ) | |||||||||||||||||
341,541 | Swedish Krona | 38,875 | Goldman Sachs International | 5/11/2017 | 299 | ||||||||||||||||||
313,140 | Swedish Krona | 35,630 | Royal Bank of Canada | 5/11/2017 | 262 | ||||||||||||||||||
163,418 | Swedish Krona | 18,213 | Royal Bank of Canada | 5/11/2017 | (245 | ) | |||||||||||||||||
293,814 | Swedish Krona | 32,920 | Royal Bank of Canada | 5/11/2017 | (265 | ) | |||||||||||||||||
283,523 | Swedish Krona | 32,195 | Royal Bank of Canada | 5/11/2017 | 172 | ||||||||||||||||||
120,457 | Swedish Krona | 13,677 | Royal Bank of Canada | 5/11/2017 | 72 | ||||||||||||||||||
144,109 | Swedish Krona | 16,176 | Royal Bank of Canada | 5/11/2017 | (100 | ) | |||||||||||||||||
163,239 | Swedish Krona | 18,233 | Royal Bank of Canada | 5/11/2017 | (205 | ) | |||||||||||||||||
388,833 | Swedish Krona | 44,366 | Societe Generale | 5/11/2017 | 448 | ||||||||||||||||||
649,349 | Swedish Krona | 73,394 | Societe Generale | 5/11/2017 | 52 | ||||||||||||||||||
162,149 | Swedish Krona | 18,226 | Societe Generale | 5/11/2017 | (88 | ) | |||||||||||||||||
798,353 | Swedish Krona | 90,291 | State Street Bank and Trust Company | 5/11/2017 | 119 | ||||||||||||||||||
574,006 | Swedish Krona | 64,795 | State Street Bank and Trust Company | 5/11/2017 | (37 | ) | |||||||||||||||||
720,607 | Swedish Krona | 80,784 | State Street Bank and Trust Company | 5/11/2017 | (607 | ) | |||||||||||||||||
330,593 | Swedish Krona | 37,608 | State Street Bank and Trust Company | 5/11/2017 | 269 | ||||||||||||||||||
278,951 | Swedish Krona | 31,851 | State Street Bank and Trust Company | 5/11/2017 | 344 | ||||||||||||||||||
555,729 | Swedish Krona | 61,672 | State Street Bank and Trust Company | 5/11/2017 | (1,096 | ) | |||||||||||||||||
247,299 | Swedish Krona | 28,011 | State Street Bank and Trust Company | 5/11/2017 | 80 | ||||||||||||||||||
15,607 | Swiss Franc | 15,424 | Goldman Sachs International | 5/11/2017 | (269 | ) | |||||||||||||||||
54,224 | Swiss Franc | 54,797 | Goldman Sachs International | 5/11/2017 | 275 | ||||||||||||||||||
31,384 | Swiss Franc | 31,688 | Royal Bank of Canada | 5/11/2017 | 132 | ||||||||||||||||||
246,935 | Swiss Franc | 248,508 | Royal Bank of Canada | 5/11/2017 | 215 | ||||||||||||||||||
16,657 | Swiss Franc | 16,647 | Royal Bank of Canada | 5/11/2017 | (101 | ) | |||||||||||||||||
28,907 | Swiss Franc | 28,736 | Royal Bank of Canada | 5/11/2017 | (330 | ) | |||||||||||||||||
25,925 | Swiss Franc | 25,722 | Royal Bank of Canada | 5/11/2017 | (346 | ) | |||||||||||||||||
97,950 | Swiss Franc | 97,228 | Royal Bank of Canada | 5/11/2017 | (1,260 | ) | |||||||||||||||||
49,733 | Swiss Franc | 49,233 | Royal Bank of Canada | 5/11/2017 | (774 | ) | |||||||||||||||||
10,443 | Swiss Franc | 10,536 | Royal Bank of Canada | 5/11/2017 | 36 | ||||||||||||||||||
34,798 | Swiss Franc | 34,864 | Royal Bank of Canada | 5/11/2017 | (125 | ) | |||||||||||||||||
55,552 | Swiss Franc | 55,908 | Royal Bank of Canada | 5/11/2017 | 51 |
See Notes to Financial Statements
38
Schedule of Investments Global Allocation Fund (Unaudited) (cont'd)
Contracts to Deliver | In Exchange For | Counterparty | Settlement Date | Net Unrealized Appreciation/ (Depreciation) | |||||||||||||||||||
712,299 | Swiss Franc | 716,364 | Societe Generale | 5/11/2017 | $ | 148 | |||||||||||||||||
49,752 | Swiss Franc | 49,595 | Societe Generale | 5/11/2017 | (431 | ) | |||||||||||||||||
17,795 | Swiss Franc | 18,125 | State Street Bank and Trust Company | 5/11/2017 | 232 | ||||||||||||||||||
52,115 | Swiss Franc | 52,016 | State Street Bank and Trust Company | 5/11/2017 | (385 | ) | |||||||||||||||||
40,533 | Swiss Franc | 40,723 | State Street Bank and Trust Company | 5/11/2017 | (33 | ) | |||||||||||||||||
63,042 | Swiss Franc | 63,425 | State Street Bank and Trust Company | 5/11/2017 | 36 | ||||||||||||||||||
70,815 | Swiss Franc | 71,264 | State Street Bank and Trust Company | 5/11/2017 | 59 | ||||||||||||||||||
92,759 | Swiss Franc | 93,809 | Goldman Sachs International | 8/2/2017 | 54 | ||||||||||||||||||
Total | $ | 76,135 |
For the six months ended April 30, 2017, the Fund's investments in forward contracts had an average notional value of $18,368,654.
Written option contracts ("options written")
At April 30, 2017, the Fund had outstanding options written as follows:
Name of Issuer | Contracts | Exercise Price | Expiration Date | Market Value of Options | |||||||||||||||
iShares MSCI EAFE ETF, Call | 14 | $ | 63.5 | 5/5/2017 | $ | (658 | ) | ||||||||||||
iShares MSCI EAFE ETF, Call | 28 | 63.5 | 5/12/2017 | (2,086 | ) | ||||||||||||||
iShares MSCI EAFE ETF, Call | 4 | 63 | 5/19/2017 | (496 | ) | ||||||||||||||
iShares MSCI EAFE ETF, Call | 10 | 64 | 5/19/2017 | (560 | ) | ||||||||||||||
iShares MSCI EAFE ETF, Call | 14 | 65.5 | 5/19/2017 | (119 | ) | ||||||||||||||
iShares MSCI EAFE ETF, Call | 10 | 65 | 5/26/2017 | (225 | ) | ||||||||||||||
iShares MSCI EAFE ETF, Call | 19 | 65.5 | 5/26/2017 | (199 | ) | ||||||||||||||
iShares MSCI EAFE ETF, Call | 5 | 65.5 | 6/2/2017 | (75 | ) | ||||||||||||||
iShares MSCI EAFE ETF, Put | 1 | 61 | 5/5/2017 | (3 | ) | ||||||||||||||
iShares MSCI EAFE ETF, Put | 2 | 60 | 5/12/2017 | (11 | ) | ||||||||||||||
iShares MSCI EAFE ETF, Put | 14 | 60.5 | 5/12/2017 | (112 | ) | ||||||||||||||
iShares MSCI EAFE ETF, Put | 14 | 62 | 5/12/2017 | (210 | ) | ||||||||||||||
iShares MSCI EAFE ETF, Put | 31 | 60 | 5/19/2017 | (294 | ) | ||||||||||||||
iShares MSCI EAFE ETF, Put | 1 | 62 | 5/26/2017 | (26 | ) | ||||||||||||||
iShares MSCI EAFE ETF, Put | 17 | 61.5 | 5/26/2017 | (357 | ) | ||||||||||||||
iShares MSCI EAFE ETF, Put | 13 | 62.5 | 5/26/2017 | (435 | ) | ||||||||||||||
iShares MSCI EAFE ETF, Put | 5 | 62.5 | 6/2/2017 | (200 | ) | ||||||||||||||
iShares MSCI EAFE ETF, Put | 29 | 62 | 6/2/2017 | (971 | ) | ||||||||||||||
iShares MSCI Emerging ETF, Call | 19 | 40.5 | 5/12/2017 | (389 | ) | ||||||||||||||
iShares MSCI Emerging ETF, Call | 6 | 40 | 5/19/2017 | (321 | ) | ||||||||||||||
iShares MSCI Emerging ETF, Call | 7 | 40.5 | 5/19/2017 | (210 | ) | ||||||||||||||
iShares MSCI Emerging ETF, Call | 7 | 41 | 5/19/2017 | (98 | ) | ||||||||||||||
iShares MSCI Emerging ETF, Call | 7 | 41 | 5/26/2017 | (143 | ) | ||||||||||||||
iShares MSCI Emerging ETF, Call | 13 | 41.5 | 5/26/2017 | (123 | ) |
See Notes to Financial Statements
39
Schedule of Investments Global Allocation Fund (Unaudited) (cont'd)
Name of Issuer | Contracts | Exercise Price | Expiration Date | Market Value of Options | |||||||||||||||
iShares MSCI Emerging ETF, Put | 6 | $ | 38.5 | 5/5/2017 | $ | (12 | ) | ||||||||||||
iShares MSCI Emerging ETF, Put | 19 | 38 | 5/12/2017 | (67 | ) | ||||||||||||||
iShares MSCI Emerging ETF, Put | 2 | 38.5 | 5/12/2017 | (12 | ) | ||||||||||||||
iShares MSCI Emerging ETF, Put | 3 | 37.5 | 5/19/2017 | (15 | ) | ||||||||||||||
iShares MSCI Emerging ETF, Put | 18 | 38 | 5/19/2017 | (126 | ) | ||||||||||||||
iShares MSCI Emerging ETF, Put | 4 | 38 | 5/26/2017 | (46 | ) | ||||||||||||||
iShares MSCI Emerging ETF, Put | 4 | 38.5 | 5/26/2017 | (64 | ) | ||||||||||||||
iShares MSCI Emerging ETF, Put | 13 | 39 | 5/26/2017 | (293 | ) | ||||||||||||||
iShares MSCI Emerging ETF, Put | 15 | 38.5 | 6/2/2017 | (338 | ) | ||||||||||||||
S&P 500 Mini Index, Call | 1 | 240 | 5/5/2017 | (23 | ) | ||||||||||||||
S&P 500 Mini Index, Call | 9 | 240.5 | 5/5/2017 | (117 | ) | ||||||||||||||
S&P 500 Mini Index, Call | 4 | 239.5 | 5/12/2017 | (348 | ) | ||||||||||||||
S&P 500 Mini Index, Call | 7 | 240.5 | 5/12/2017 | (315 | ) | ||||||||||||||
S&P 500 Mini Index, Call | 10 | 239 | 5/19/2017 | (1,390 | ) | ||||||||||||||
S&P 500 Mini Index, Call | 1 | 240 | 5/19/2017 | (92 | ) | ||||||||||||||
S&P 500 Mini Index, Call | 4 | 242 | 5/26/2017 | (206 | ) | ||||||||||||||
S&P 500 Mini Index, Call | 1 | 243 | 5/26/2017 | (33 | ) | ||||||||||||||
S&P 500 Mini Index, Call | 4 | 243.5 | 5/26/2017 | (100 | ) | ||||||||||||||
S&P 500 Mini Index, Call | 2 | 244.5 | 5/26/2017 | (29 | ) | ||||||||||||||
S&P 500 Mini Index, Put | 2 | 231.5 | 5/5/2017 | (22 | ) | ||||||||||||||
S&P 500 Mini Index, Put | 3 | 232.5 | 5/5/2017 | (0 | )(a)(b) | ||||||||||||||
S&P 500 Mini Index, Put | 4 | 229 | 5/12/2017 | (104 | ) | ||||||||||||||
S&P 500 Mini Index, Put | 6 | 230 | 5/12/2017 | (183 | ) | ||||||||||||||
S&P 500 Mini Index, Put | 1 | 231.5 | 5/12/2017 | (38 | ) | ||||||||||||||
S&P 500 Mini Index, Put | 3 | 229 | 5/19/2017 | (126 | ) | ||||||||||||||
S&P 500 Mini Index, Put | 5 | 230 | 5/19/2017 | (240 | ) | ||||||||||||||
S&P 500 Mini Index, Put | 4 | 231 | 5/19/2017 | (216 | ) | ||||||||||||||
S&P 500 Mini Index, Put | 1 | 230.5 | 5/26/2017 | (65 | ) | ||||||||||||||
S&P 500 Mini Index, Put | 6 | 234 | 5/26/2017 | (621 | ) | ||||||||||||||
S&P 500 Mini Index, Put | 5 | 235 | 5/26/2017 | (600 | ) | ||||||||||||||
S&P 500 Mini Index, Put | 4 | 234 | 6/2/2017 | (516 | ) | ||||||||||||||
S&P 500 Mini Index, Put | 2 | 235 | 6/2/2017 | (298 | ) | ||||||||||||||
Total (premium received: $20,931) | $ | (14,976 | ) |
See Notes to Financial Statements
40
Schedule of Investments Global Allocation Fund (Unaudited) (cont'd)
Options written for the Fund for the six months ended April 30, 2017 were as follows:
Number of Contracts | Premium Received | ||||||||||
Outstanding 10/31/2016 | 236 | $ | 13,297 | ||||||||
Options Written | 2,976 | 111,473 | |||||||||
Options Expired | — | — | |||||||||
Options Exercised | — | — | |||||||||
Options Closed | (2,749 | ) | (103,839 | ) | |||||||
Outstanding 4/30/2017 | 463 | $ | 20,931 |
For the six months ended April 30, 2017, the Fund had an average market value of $(11,443) in options written. At April 30, 2017, the Fund had securities pledged in the amount of $1,201,578 to cover collateral requirements for options written.
(a) Security fair valued as of April 30, 2017 in accordance with procedures approved by the Board.
(b) Amount less than one dollar.
The following is a summary, categorized by Level (see Note A of Notes to Financial Statements), of inputs used to value the Fund's investments as of April 30, 2017:
Asset Valuation Inputs | |||||||||||||||||||
(000's omitted) | Level 1 | Level 2 | Level 3 | Total | |||||||||||||||
Investments: | |||||||||||||||||||
Common Stocks(a) | $ | 5,412 | $ | — | $ | — | $ | 5,412 | |||||||||||
U.S. Treasury Obligations | — | 2,192 | — | 2,192 | |||||||||||||||
U.S. Government Agency Security | — | 120 | — | 120 | |||||||||||||||
Mortgage-Backed Securities(a) | — | 1,444 | — | 1,444 | |||||||||||||||
Corporate Bonds(a) | — | 1,213 | — | 1,213 | |||||||||||||||
Asset-Backed Securities | — | 284 | — | 284 | |||||||||||||||
Foreign Government Securities | — | 92 | — | 92 | |||||||||||||||
Exchange Traded Funds | 458 | — | — | 458 | |||||||||||||||
Investment Companies | — | 11,671 | — | 11,671 | |||||||||||||||
Short-Term Investment | — | 74 | — | 74 | |||||||||||||||
Total Investments | $ | 5,870 | $ | 17,090 | $ | — | $ | 22,960 |
(a) The Schedule of Investments provides a geographic categorization as well as a Positions by Industry summary.
As of the six months ended April 30, 2017, no securities were transferred from one level (as of October 31, 2016) to another.
See Notes to Financial Statements
41
Schedule of Investments Global Allocation Fund (Unaudited) (cont'd)
The following is a summary, categorized by Level (see Note A of Notes to Financial Statements), of inputs used to value the Fund's derivatives as of April 30, 2017:
Other Financial Instruments | |||||||||||||||||
(000's omitted) | Level 1 | Level 2 | Level(b) | Total | |||||||||||||
Futures(a) | |||||||||||||||||
Assets | $ | 21 | $ | — | $ | — | $ | 21 | |||||||||
Liabilities | (12 | ) | — | — | (12 | ) | |||||||||||
Forward Contracts(a) | |||||||||||||||||
Assets | — | 262 | — | 262 | |||||||||||||
Liabilities | — | (261 | ) | — | (261 | ) | |||||||||||
Options Written | |||||||||||||||||
Liabilities | (15 | ) | — | (0 | )(c) | (15 | ) | ||||||||||
Total | $ | (6 | ) | $ | 1 | $ | (0 | )(c) | $ | (5 | ) |
(a) Futures and forward contracts are reported at the cumulative unrealized appreciation/(depreciation) of the instrument.
(b) 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 11/1/2016 | 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 4/30/2017 | Net change in unrealized appreciation/ (depreciation) from investments still held as of 4/30/2017 | ||||||||||||||||||||||||||||||||||
Other Financial Instruments: | |||||||||||||||||||||||||||||||||||||||||||
(000's omitted) | |||||||||||||||||||||||||||||||||||||||||||
Options Written(d) | $ | (0 | )(c) | $ | — | $ | 0 | (c) | $ | 0 | (c) | $ | 0 | (c) | $ | (0 | )(c) | $ | — | $ | — | $ | (0 | )(c) | $ | 0 | (c) | ||||||||||||||||
Total | $ | (0 | )(c) | $ | — | $ | 0 | (c) | $ | 0 | (c) | $ | 0 | (c) | $ | (0 | )(c) | $ | — | $ | — | $ | (0 | )(c) | $ | 0 | (c) |
(c) Amount less than one thousand.
(d) As of the six months ended April 30, 2017, these investments were valued using methods the Board has approved in the good-faith belief that the resulting valuation will reflect the fair value of the security.
See Notes to Financial Statements
42
Schedule of Investments Global Allocation Fund (Unaudited) (cont'd)
POSITIONS BY INDUSTRY
Industry | Investments at Value (000's omitted) | Percentage of Net Assets | |||||||||
Investment Companies* | $ | 11,671 | 53.0 | % | |||||||
U.S. Treasury Obligations | 2,192 | 9.9 | % | ||||||||
Mortgage-Backed Securities | 1,444 | 6.6 | % | ||||||||
Banks | 765 | 3.5 | % | ||||||||
Exchange Traded Funds | 458 | 2.1 | % | ||||||||
Insurance | 301 | 1.4 | % | ||||||||
Asset-Backed Securities | 284 | 1.3 | % | ||||||||
Pharmaceuticals | 279 | 1.3 | % | ||||||||
Oil, Gas & Consumable Fuels | 240 | 1.1 | % | ||||||||
Food & Staples Retailing | 236 | 1.1 | % | ||||||||
Media | 232 | 1.1 | % | ||||||||
Software | 200 | 0.9 | % | ||||||||
Computers | 182 | 0.8 | % | ||||||||
Technology Hardware, Storage & Peripherals | 168 | 0.8 | % | ||||||||
Health Care Providers & Services | 166 | 0.8 | % | ||||||||
Electronic Equipment, Instruments & Components | 165 | 0.7 | % | ||||||||
Telecommunications | 165 | 0.7 | % | ||||||||
Hotels, Restaurants & Leisure | 160 | 0.7 | % | ||||||||
Metals & Mining | 155 | 0.7 | % | ||||||||
Equity Real Estate Investment Trusts | 152 | 0.7 | % | ||||||||
Health Care Equipment & Supplies | 152 | 0.7 | % | ||||||||
Internet Software & Services | 137 | 0.6 | % | ||||||||
Food Products | 127 | 0.6 | % | ||||||||
Automobiles | 126 | 0.6 | % | ||||||||
Biotechnology | 124 | 0.6 | % | ||||||||
Communications Equipment | 124 | 0.6 | % | ||||||||
U.S. Government Agency Security | 120 | 0.5 | % | ||||||||
Airlines | 114 | 0.5 | % | ||||||||
Auto Manufacturers | 113 | 0.5 | % | ||||||||
Trading Companies & Distributors | 111 | 0.5 | % | ||||||||
Construction & Engineering | 102 | 0.5 | % | ||||||||
Specialty Retail | 99 | 0.4 | % | ||||||||
Energy Equipment & Services | 98 | 0.4 | % | ||||||||
Electric Utilities | 95 | 0.4 | % | ||||||||
Foreign Government Securities** | 92 | 0.4 | % | ||||||||
Semiconductors & Semiconductor Equipment | 89 | 0.4 | % | ||||||||
IT Services | 87 | 0.4 | % | ||||||||
Capital Markets | 86 | 0.4 | % | ||||||||
Diversified Telecommunication Services | 83 | 0.4 | % | ||||||||
Aerospace & Defense | 75 | 0.3 | % | ||||||||
Auto Components | 72 | 0.3 | % | ||||||||
Oil & Gas | 71 | 0.3 | % | ||||||||
Chemicals | 63 | 0.3 | % | ||||||||
Diversified Financial Services | 59 | 0.3 | % | ||||||||
Household Durables | 56 | 0.3 | % | ||||||||
Wireless Telecommunication Services | 55 | 0.3 | % | ||||||||
Pipelines | 54 | 0.2 | % | ||||||||
Commercial Services & Supplies | 49 | 0.2 | % | ||||||||
Household Products | 49 | 0.2 | % | ||||||||
Industrial Conglomerates | 46 | 0.2 | % | ||||||||
Life Sciences Tools & Services | 46 | 0.2 | % | ||||||||
Professional Services | 40 | 0.2 | % | ||||||||
Machinery | 38 | 0.2 | % |
See Notes to Financial Statements
43
Schedule of Investments Global Allocation Fund (Unaudited) (cont'd)
POSITIONS BY INDUSTRY (cont'd)
Industry | Investments at Value (000's omitted) | Percentage of Net Assets | |||||||||
Multi-Utilities | $ | 35 | 0.2 | % | |||||||
Real Estate Management & Development | 33 | 0.2 | % | ||||||||
Paper & Forest Products | 25 | 0.1 | % | ||||||||
Tobacco | 24 | 0.1 | % | ||||||||
Iron—Steel | 22 | 0.1 | % | ||||||||
Agriculture | 21 | 0.1 | % | ||||||||
Healthcare—Products | 21 | 0.1 | % | ||||||||
Personal Products | 20 | 0.1 | % | ||||||||
Internet & Catalog Retail | 20 | 0.1 | % | ||||||||
Independent Power and Renewable Electricity Producers | 19 | 0.1 | % | ||||||||
Commercial Services | 18 | 0.1 | % | ||||||||
Road & Rail | 16 | 0.1 | % | ||||||||
Textiles, Apparel & Luxury Goods | 14 | 0.1 | % | ||||||||
Beverages | 13 | 0.1 | % | ||||||||
Containers & Packaging | 12 | 0.1 | % | ||||||||
Multiline Retail | 12 | 0.1 | % | ||||||||
Electrical Equipment | 11 | 0.0 | % | ||||||||
Air Freight & Logistics | 11 | 0.0 | % | ||||||||
Diversified Consumer Services | 11 | 0.0 | % | ||||||||
Building Products | 10 | 0.0 | % | ||||||||
Consumer Finance | 10 | 0.0 | % | ||||||||
Distributors | 9 | 0.0 | % | ||||||||
Mortgage Real Estate Investment Trusts | 8 | 0.0 | % | ||||||||
Leisure Products | 6 | 0.0 | % | ||||||||
Construction Materials | 5 | 0.0 | % | ||||||||
Home Builders | 5 | 0.0 | % | ||||||||
Gas Utilities | 4 | 0.0 | % | ||||||||
Marine | 4 | 0.0 | % | ||||||||
Short-Term Investment and Other Assets-Net | (855 | ) | (3.9 | )% | |||||||
$ | 22,031 | 100.0 | % |
* Each position 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 investment companies.
** Each foreign government is deemed its own industry. This represents the aggregate of all foreign governments.
See Notes to Financial Statements
44
Schedule of Investments Hedged Option Premium Strategy Fund (Unaudited) April 30, 2017
PRINCIPAL AMOUNT | VALUE | ||||||||||
(000's omitted) | (000's omitted) | ||||||||||
U.S. Treasury Obligations 36.2% | |||||||||||
U.S. Treasury Notes | |||||||||||
$ | 1,000 | 1.38%, due 12/15/19 | $ | 1,000 | (a) | ||||||
1,000 | 1.63%, due 3/15/20 | 1,005 | |||||||||
Total U.S. Treasury Obligations (Cost $2,007) | 2,005 | ||||||||||
NUMBER OF CONTRACTS | |||||||||||
(000's omitted) | |||||||||||
Options Purchased 0.0%(e) | |||||||||||
Call Options 0.0%(e) | |||||||||||
Index 0.0%(e) | |||||||||||
2 | S&P 500 Index 5/5/17 @ 2,575 | 0 | (b)(f) | ||||||||
2 | S&P 500 Index 5/5/17 @ 2,600 | 0 | (b)(f) | ||||||||
6 | S&P 500 Index 5/12/17 @ 2,600 | 0 | (b) | ||||||||
2 | S&P 500 Index 5/19/17 @ 2,590 | 0 | (b)(f) | ||||||||
3 | S&P 500 Index 5/19/17 @ 2,625 | 0 | (b) | ||||||||
3 | S&P 500 Index 5/26/17 @ 2,600 | 0 | (b) | ||||||||
0 | |||||||||||
Put Options 0.0%(e) | |||||||||||
Index 0.0%(e) | |||||||||||
2 | S&P 500 Index 5/5/17 @ 2,110 | 0 | (b) | ||||||||
1 | S&P 500 Index 5/5/17 @ 2,115 | 0 | (b) | ||||||||
1 | S&P 500 Index 5/5/17 @ 2,125 | 0 | (b) | ||||||||
2 | S&P 500 Index 5/12/17 @ 2,115 | 0 | (b) | ||||||||
1 | S&P 500 Index 5/12/17 @ 2,125 | 0 | (b) | ||||||||
3 | S&P 500 Index 5/12/17 @ 2,145 | 0 | (b) | ||||||||
2 | S&P 500 Index 5/19/17 @ 2,115 | 0 | (b)(f) | ||||||||
3 | S&P 500 Index 5/19/17 @ 2,145 | 0 | (b) | ||||||||
3 | S&P 500 Index 5/26/17 @ 2,145 | 1 | |||||||||
1 | |||||||||||
Total Options Purchased (Cost $3) | 1 | ||||||||||
NUMBER OF SHARES | |||||||||||
Short-Term Investment 63.9% | |||||||||||
Investment Company 63.9% | |||||||||||
3,546,588 | State Street Institutional U.S. Government Money Market Fund Premier Class, 0.68% (Cost $3,547) | 3,547 | (c) | ||||||||
Total Investments 100.1% (Cost $5,557) | 5,553 | ||||||||||
Other Assets Less Liabilities (0.1)% | (5 | )(d) | |||||||||
Net Assets 100.0% | $ | 5,548 |
(a) All or a portion of the security is pledged as collateral for options written.
(b) Amount less than one thousand.
(c) Represents 7-day effective yield as of April 30, 2017.
See Notes to Financial Statements
45
Schedule of Investments Hedged Option Premium Strategy Fund (Unaudited) (cont'd)
(d) Includes the impact of the Fund's open positions in derivatives at April 30, 2017.
(e) Represents less than 0.05% of net assets.
(f) Security fair valued as of April 30, 2017 in accordance with procedures approved by the Board of Trustees (the "Board"). Total value of all such securities at April 30, 2017, amounted to approximately $0, which represents 0.0% of net assets of the Fund.
Derivative Instruments
Written option contracts ("options written")
At April 30, 2017, the Fund had outstanding options written as follows:
Name of Issuer | Contracts | Exercise Price | Expiration Date | Market Value of Options | |||||||||||||||
S&P 500 Index, Put | 2 | $ | 2,300 | 5/5/2017 | $ | (145 | ) | ||||||||||||
S&P 500 Index, Put | 1 | 2,325 | 5/5/2017 | (98 | ) | ||||||||||||||
S&P 500 Index, Put | 1 | 2,330 | 5/5/2017 | (108 | ) | ||||||||||||||
S&P 500 Index, Call | 1 | 2,375 | 5/5/2017 | (1,445 | ) | ||||||||||||||
S&P 500 Index, Call | 2 | 2,390 | 5/5/2017 | (1,070 | ) | ||||||||||||||
S&P 500 Index, Call | 1 | 2,395 | 5/5/2017 | (345 | ) | ||||||||||||||
S&P 500 Index, Put | 3 | 2,315 | 5/12/2017 | (1,095 | ) | ||||||||||||||
S&P 500 Index, Put | 3 | 2,360 | 5/12/2017 | (2,608 | ) | ||||||||||||||
S&P 500 Index, Call | 2 | 2,390 | 5/12/2017 | (2,130 | ) | ||||||||||||||
S&P 500 Index, Call | 4 | 2,405 | 5/12/2017 | (1,860 | ) | ||||||||||||||
S&P 500 Index, Put | 2 | 2,305 | 5/19/2017 | (950 | ) | ||||||||||||||
S&P 500 Index, Put | 3 | 2,350 | 5/19/2017 | (2,948 | ) | ||||||||||||||
S&P 500 Index, Call | 2 | 2,400 | 5/19/2017 | (1,750 | ) | ||||||||||||||
S&P 500 Index, Call | 3 | 2,420 | 5/19/2017 | (928 | ) | ||||||||||||||
S&P 500 Index, Put | 3 | 2,335 | 5/26/2017 | (3,148 | ) | ||||||||||||||
S&P 500 Index, Call | 3 | 2,430 | 5/26/2017 | (958 | ) | ||||||||||||||
Total (premium received: $32,890) | $ | (21,586 | ) |
Options written for the Fund for the period ended April 30, 2017 were as follows:
Number of Contracts | Premium Received | ||||||||||
Outstanding 4/12/2017 | — | $ | — | ||||||||
Options written | 44 | 39,026 | |||||||||
Options expired | (6 | ) | (4,677 | ) | |||||||
Options exercised | (2 | ) | (1,459 | ) | |||||||
Options closed | — | — | |||||||||
Outstanding 4/30/2017 | 36 | $ | 32,890 |
For the period ended April 30, 2017, the Fund had an average market value of $1,547 in options purchased contracts, and $(22,481) in options written. At April 30, 2017, the Fund had securities pledged in the amount of $999,727 to cover collateral requirements for options written.
See Notes to Financial Statements
46
Schedule of Investments Hedged Option Premium Strategy Fund (Unaudited) (cont'd)
The following is a summary, categorized by Level (see Note A of Notes to Financial Statements), of inputs used to value the Fund's investments as of April 30, 2017:
Asset Valuation Inputs | |||||||||||||||||||
(000's omitted) | Level 1 | Level 2 | Level 3(b) | Total | |||||||||||||||
Investments: | |||||||||||||||||||
U.S. Treasury Obligations | $ | — | $ | 2,005 | $ | — | $ | 2,005 | |||||||||||
Options Purchased(a) | 1 | — | 0 | (c) | 1 | ||||||||||||||
Short-Term Investment | — | 3,547 | — | 3,547 | |||||||||||||||
Total Investments | $ | 1 | $ | 5,552 | $ | 0 | (c) | $ | 5,553 |
(a) The Schedule of Investments provides information on the industry or sector categorization for the portfolio.
(b) 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 4/12/2017 | 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 4/30/2017 | Net change in unrealized appreciation/ (depreciation) from investments still held as of 4/30/2017 | ||||||||||||||||||||||||||||||||||
Investments in Securities: | |||||||||||||||||||||||||||||||||||||||||||
(000's omitted) | |||||||||||||||||||||||||||||||||||||||||||
Options Purchased(d) | |||||||||||||||||||||||||||||||||||||||||||
Call Options Index | $ | — | $ | — | $ | — | $ | 0 | (c) | $ | 0 | (c) | $ | — | $ | — | $ | — | $ | 0 | (c) | $ | 0 | (c) | |||||||||||||||||||
Put Options Index | — | — | — | 0 | (c) | 0 | (c) | — | — | — | 0 | (c) | 0 | (c) | |||||||||||||||||||||||||||||
Total | $ | — | $ | — | $ | — | $ | 0 | (c) | $ | 0 | (c) | $ | — | $ | — | $ | — | $ | 0 | (c) | $ | 0 | (c) |
(c) Amount less than one thousand.
(d) As of the period ended April 30, 2017, these investments were valued using methods the Board has approved in the good-faith belief that the resulting valuation will reflect the fair value of the security.
As of the period ended April 30, 2017, no securities were transferred from one level (as of April 12, 2017, (Commencement of Operations)) to another.
The following is a summary, categorized by Level (see Note A of Notes to Financial Statements), of inputs used to value the Fund's derivatives as of April 30, 2017:
Other Financial Instruments | |||||||||||||||||||
(000's omitted) | Level 1 | Level 2 | Level 3 | Total | |||||||||||||||
Options Written | |||||||||||||||||||
Liabilities | $ | (22 | ) | $ | — | $ | — | $ | (22 | ) | |||||||||
Total | $ | (22 | ) | $ | — | $ | — | $ | (22 | ) |
See Notes to Financial Statements
47
Schedule of Investments Long Short Fund (Unaudited) April 30, 2017
Number of Shares | Value (000's omitted) | ||||||||||
Long Positions 97.9% | |||||||||||
Common Stocks 82.0% | |||||||||||
Aerospace & Defense 3.8% | |||||||||||
General Dynamics Corp. | 184,000 | $ | 35,657 | ||||||||
Raytheon Co. | 155,000 | 24,058 | |||||||||
Wesco Aircraft Holdings, Inc. | 2,540,000 | 30,861 | *(a) | ||||||||
90,576 | |||||||||||
Airlines 1.4% | |||||||||||
Delta Air Lines, Inc. | 760,000 | 34,534 | (a) | ||||||||
Banks 3.4% | |||||||||||
JPMorgan Chase & Co. | 521,400 | 45,362 | (a) | ||||||||
U.S. Bancorp | 689,400 | 35,352 | (b) | ||||||||
80,714 | |||||||||||
Beverages 0.7% | |||||||||||
PepsiCo, Inc. | 140,000 | 15,859 | |||||||||
Biotechnology 1.8% | |||||||||||
Celgene Corp. | 156,600 | 19,426 | * | ||||||||
Gilead Sciences, Inc. | 351,000 | 24,061 | |||||||||
43,487 | |||||||||||
Capital Markets 4.3% | |||||||||||
BlackRock, Inc. | 61,987 | 23,838 | |||||||||
Brookfield Asset Management, Inc. Class A | 949,498 | 35,084 | (a) | ||||||||
CME Group, Inc. | 252,600 | 29,350 | |||||||||
Goldman Sachs Group, Inc. | 61,500 | 13,764 | |||||||||
102,036 | |||||||||||
Chemicals 2.0% | |||||||||||
Ashland Global Holdings, Inc. | 325,750 | 40,230 | |||||||||
PPG Industries, Inc. | 75,000 | 8,238 | |||||||||
48,468 | |||||||||||
Commercial Services & Supplies 0.6% | |||||||||||
Stericycle, Inc. | 168,200 | 14,354 | * | ||||||||
Construction & Engineering 0.7% | |||||||||||
Valmont Industries, Inc. | 110,400 | 16,819 |
Number of Shares | Value (000's omitted) | ||||||||||
Consumer Finance 0.8% | |||||||||||
Synchrony Financial | 728,128 | $ | 20,242 | (a)(b) | |||||||
Diversified Financial Services 0.4% | |||||||||||
CF Corp. | 927,700 | 9,954 | * | ||||||||
Electric Utilities 2.9% | |||||||||||
Brookfield Infrastructure Partners LP | 1,370,500 | 53,957 | |||||||||
NextEra Energy, Inc. | 109,000 | 14,558 | |||||||||
68,515 | |||||||||||
Electronic Equipment, Instruments & Components 2.4% | |||||||||||
Amphenol Corp. Class A | 286,000 | 20,681 | |||||||||
CDW Corp. | 631,400 | 37,309 | (a) | ||||||||
57,990 | |||||||||||
Energy Equipment & Services 0.6% | |||||||||||
Schlumberger Ltd. | 199,500 | 14,482 | |||||||||
Equity Real Estate Investment Trusts 1.5% | |||||||||||
SBA Communications Corp. | 179,900 | 22,756 | * | ||||||||
Weyerhaeuser Co. | 411,500 | 13,937 | |||||||||
36,693 | |||||||||||
Food & Staples Retailing 6.9% | |||||||||||
Costco Wholesale Corp. | 113,800 | 20,202 | |||||||||
CVS Health Corp. | 460,000 | 37,922 | (a) | ||||||||
Kroger Co. | 655,800 | 19,445 | |||||||||
Whole Foods Market, Inc. | 2,384,000 | 86,706 | (a) | ||||||||
164,275 | |||||||||||
Food Products 1.9% | |||||||||||
Conagra Brands, Inc. | 1,003,000 | 38,896 | (a) | ||||||||
Lamb Weston Holdings, Inc. | 90,000 | 3,758 | |||||||||
Snyder's-Lance, Inc. | 90,000 | 3,173 | |||||||||
45,827 |
Number of Shares | Value (000's omitted) | ||||||||||
Health Care Equipment & Supplies 2.6% | |||||||||||
DENTSPLY SIRONA, Inc. | 907,597 | $ | 57,396 | (a) | |||||||
R1 RCM, Inc. | 1,278,675 | 4,974 | * | ||||||||
62,370 | |||||||||||
Health Care Providers & Services 4.0% | |||||||||||
DaVita, Inc. | 982,200 | 67,782 | *(a) | ||||||||
UnitedHealth Group, Inc. | 157,500 | 27,543 | |||||||||
95,325 | |||||||||||
Hotels, Restaurants & Leisure 2.9% | |||||||||||
Marriott International, Inc. Class A | 141,000 | 13,313 | |||||||||
McDonald's Corp. | 165,000 | 23,088 | |||||||||
Starbucks Corp. | 325,000 | 19,520 | |||||||||
Wyndham Worldwide Corp. | 131,100 | 12,495 | |||||||||
68,416 | |||||||||||
Household Durables 0.7% | |||||||||||
Lennar Corp. Class A | 333,100 | 16,822 | |||||||||
Independent Power and Renewable Electricity Producers 0.5% | |||||||||||
NRG Energy, Inc. | 756,740 | 12,789 | |||||||||
Insurance 0.8% | |||||||||||
Athene Holding Ltd. Class A | 303,000 | 16,153 | * | ||||||||
Fidelity & Guaranty Life | 134,005 | 3,812 | |||||||||
19,965 | |||||||||||
Internet & Catalog Retail 3.1% | |||||||||||
Amazon.com, Inc. | 25,100 | 23,217 | * | ||||||||
Expedia, Inc. | 270,097 | 36,118 | |||||||||
Priceline Group, Inc. | 8,200 | 15,144 | * | ||||||||
74,479 | |||||||||||
Internet Software & Services 4.7% | |||||||||||
Alphabet, Inc. Class A | 63,000 | 58,245 | *(b) | ||||||||
Alphabet, Inc. Class C | 5,853 | 5,303 | * | ||||||||
eBay, Inc. | 866,700 | 28,956 | *(b) | ||||||||
Facebook, Inc. Class A | 140,000 | 21,035 | * | ||||||||
113,539 |
See Notes to Financial Statements
48
Schedule of Investments Long Short Fund (Unaudited) (cont'd)
Number of Shares | Value (000's omitted) | ||||||||||
IT Services 2.8% | |||||||||||
Visa, Inc. Class A | 532,600 | $ | 48,584 | (a) | |||||||
WEX, Inc. | 189,812 | 19,258 | * | ||||||||
67,842 | |||||||||||
Machinery 1.6% | |||||||||||
Allison Transmission Holdings, Inc. | 682,800 | 26,410 | |||||||||
Ingersoll-Rand PLC | 145,000 | 12,869 | |||||||||
39,279 | |||||||||||
Mortgage Real Estate Investment Trusts 0.7% | |||||||||||
Starwood Property Trust, Inc. | 701,000 | 15,906 | |||||||||
Multi-Utilities 0.8% | |||||||||||
WEC Energy Group, Inc. | 310,000 | 18,761 | |||||||||
Oil, Gas & Consumable Fuels 3.9% | |||||||||||
Cabot Oil & Gas Corp. | 1,033,100 | 24,009 | |||||||||
Cheniere Energy, Inc. | 151,500 | 6,871 | *(a) | ||||||||
Enbridge, Inc. | 1,268,300 | 52,571 | (a) | ||||||||
Kinder Morgan, Inc. | 522,700 | 10,783 | |||||||||
94,234 | |||||||||||
Pharmaceuticals 0.6% | |||||||||||
Bristol-Myers Squibb Co. | 248,200 | 13,912 | |||||||||
Professional Services 4.0% | |||||||||||
Advisory Board Co. | 207,200 | 10,588 | * | ||||||||
IHS Markit Ltd. | 1,558,800 | 67,652 | *(a) | ||||||||
Verisk Analytics, Inc. | 222,000 | 18,384 | * | ||||||||
96,624 | |||||||||||
Road & Rail 1.5% | |||||||||||
CSX Corp. | 249,100 | 12,664 | |||||||||
Norfolk Southern Corp. | 192,000 | 22,558 | |||||||||
35,222 | |||||||||||
Semiconductors & Semiconductor Equipment 0.8% | |||||||||||
ASML Holding NV | 150,000 | 19,778 | |||||||||
Specialty Retail 5.1% | |||||||||||
Asbury Automotive Group, Inc. | 155,000 | 9,486 | * |
Number of Shares | Value (000's omitted) | ||||||||||
Five Below, Inc. | 100,700 | $ | 4,946 | * | |||||||
Home Depot, Inc. | 350,000 | 54,635 | (a) | ||||||||
Party City Holdco, Inc. | 839,185 | 13,427 | * | ||||||||
TJX Cos., Inc. | 93,000 | 7,314 | |||||||||
Tractor Supply Co. | 513,000 | 31,760 | |||||||||
121,568 | |||||||||||
Technology Hardware, Storage & Peripherals 1.8% | |||||||||||
Apple, Inc. | 217,500 | 31,244 | |||||||||
Western Digital Corp. | 136,000 | 12,113 | |||||||||
43,357 | |||||||||||
Textiles, Apparel & Luxury Goods 1.6% | |||||||||||
PVH Corp. | 375,000 | 37,886 | (a) | ||||||||
Tobacco 0.5% | |||||||||||
Philip Morris International, Inc. | 105,400 | 11,683 | |||||||||
Water Utilities 0.9% | |||||||||||
American Water Works Co., Inc. | 264,000 | 21,057 | |||||||||
Total Common Stocks (Cost $1,578,663) | 1,965,639 | ||||||||||
Preferred Stock 0.5% | |||||||||||
Health Care 0.5% | |||||||||||
Moderna Therapeutics Ser. F (Cost $11,550) | 1,315,490 | 11,550 | (c)(j) | ||||||||
Principal Amount (000's omitted) | |||||||||||
Corporate Bonds 7.6% | |||||||||||
Commercial Services 0.9% | |||||||||||
APX Group, Inc., 8.75%, due 12/1/20 | $ | 10,152 | 10,520 | ||||||||
Prime Security Services Borrower LLC/Prime Finance, Inc., 9.25%, due 5/15/23 | 9,990 | 10,914 | (d) | ||||||||
21,434 | |||||||||||
Food 1.0% | |||||||||||
Fresh Market, Inc., 9.75%, due 5/1/23 | 27,840 | 23,142 | (d) |
Principal Amount (000's omitted) | Value (000's omitted) | ||||||||||
Healthcare-Services 1.0% | |||||||||||
DaVita, Inc., 5.75%, due 8/15/22 | $ | 8,740 | $ | 9,057 | |||||||
HCA, Inc., 5.88%, due 3/15/22 | 10,285 | 11,404 | |||||||||
Surgery Center Holdings, Inc., 8.88%, due 4/15/21 | 3,125 | 3,320 | (d) | ||||||||
23,781 | |||||||||||
Leisure Time 0.5% | |||||||||||
Sabre GLBL, Inc., 5.25%, due 11/15/23 | 11,015 | 11,401 | (d) | ||||||||
Oil & Gas 0.5% | |||||||||||
Endeavor Energy Resources LP/EER Finance, Inc., 8.13%, due 9/15/23 | 12,295 | 13,094 | (d) | ||||||||
Packaging & Containers 0.3% | |||||||||||
Ball Corp., 4.38%, due 12/15/20 | 5,685 | 5,984 | |||||||||
Pipelines 1.8% | |||||||||||
Enterprise Products Operating LLC, Ser. A, 4.88%, due 8/1/66 | 6,962 | 6,962 | (e) | ||||||||
NGPL PipeCo LLC, 7.77%, due 12/15/37 | 26,285 | 30,228 | (d) | ||||||||
Niska Gas Storage Canada ULC/Niska Gas Storage Canada Finance Corp., 6.50%, due 4/1/19 | 6,442 | 6,506 | |||||||||
43,696 | |||||||||||
Retail 1.3% | |||||||||||
Argos Merger Sub, Inc., 7.13%, due 3/15/23 | 3,725 | 3,399 | (d) |
See Notes to Financial Statements
49
Schedule of Investments Long Short Fund (Unaudited) (cont'd)
Principal Amount (000's omitted) | Value (000's omitted) | ||||||||||
JC Penney Corp., Inc. 5.75%, due 2/15/18 | $743 | $ | 760 | ||||||||
8.13%, due 10/1/19 | 6,885 | 7,505 | |||||||||
L Brands, Inc., 5.63%, due 10/15/23 | 9,695 | 10,178 | |||||||||
Rite Aid Corp., 9.25%, due 3/15/20 | 8,592 | 8,872 | |||||||||
30,714 | |||||||||||
Semiconductors 0.3% | |||||||||||
MagnaChip Semiconductor Corp., 6.63%, due 7/15/21 | 8,830 | 8,079 | |||||||||
Total Corporate Bonds (Cost $179,238) | 181,325 | ||||||||||
Convertible Bonds 0.6% | |||||||||||
Pharmaceuticals 0.5% | |||||||||||
Impax Laboratories, Inc., 2.00%, due 6/15/22 | 13,600 | 11,467 | |||||||||
Semiconductors 0.1% | |||||||||||
MagnaChip Semiconductor SA, 5.00%, due 3/1/21 | 2,045 | 2,570 | (d) | ||||||||
Total Convertible Bonds (Cost $12,530) | 14,037 | ||||||||||
Number of Contracts | |||||||||||
Options Purchased 0.0%(k) | |||||||||||
Call Options 0.0%(k) | |||||||||||
Capital Markets 0.0%(k) | |||||||||||
Goldman Sachs Group, Inc. 6/16/17 @ 240 | 274 | 28 | |||||||||
Food Products 0.0%(k) | |||||||||||
Hain Celestial Group, Inc. 1/19/18 @ 40 | 447 | 112 | |||||||||
140 |
Number of Contracts | Value (000's omitted) | ||||||||||
Put Options 0.0%(k) | |||||||||||
Household Durables 0.0%(k) | |||||||||||
Tempur Sealy International, Inc. 1/19/18 @ 40 | 730 | $ | 267 | ||||||||
IT Services 0.0%(k) | |||||||||||
Fleetcor Technologies, Inc. 5/19/17 @ 135 | 365 | 137 | |||||||||
Oil, Gas & Consumable Fuels 0.0%(k) | |||||||||||
Valero Energy Corp. 6/16/17 @ 60 | 686 | 47 | |||||||||
451 | |||||||||||
Total Options Purchased (Cost $967) | 591 | ||||||||||
Number of Shares | |||||||||||
Master Limited Partnerships 0.9% | |||||||||||
Capital Markets 0.1% | |||||||||||
Ares Management LP | 180,000 | 3,537 | |||||||||
Oil, Gas & Consumable Fuels 0.8% | |||||||||||
Cheniere Energy Partners LP | 292,314 | 9,281 | |||||||||
Plains All American Pipeline LP | 331,519 | 9,697 | |||||||||
18,978 | |||||||||||
Total Master Limited Partnerships (Cost $21,978) | 22,515 | ||||||||||
Short-Term Investment 6.3% | |||||||||||
Investment Company 6.3% | |||||||||||
State Street Institutional U.S. Government Money Market Fund Premier Class, 0.68% (Cost $150,742) | 150,742,006 | 150,742 | (b)(f) | ||||||||
Total Long Positions (97.9%) (Cost $1,955,668) | 2,346,399 |
Number of Shares | Value (000's omitted) | ||||||||||
Short Positions (16.5)%(g) | |||||||||||
Common Stocks Sold Short (12.7)% | |||||||||||
Aerospace & Defense (0.4)% | |||||||||||
Hexcel Corp. | (75,000 | ) | $ | (3,881 | ) | ||||||
Lockheed Martin Corp. | (19,000 | ) | (5,120 | ) | |||||||
(9,001 | ) | ||||||||||
Automobiles (0.5)% | |||||||||||
Ford Motor Co. | (650,000 | ) | (7,455 | ) | |||||||
Harley- Davidson, Inc. | (105,100 | ) | (5,971 | ) | |||||||
(13,426 | ) | ||||||||||
Building Products (0.2)% | |||||||||||
USG Corp. | (166,000 | ) | (5,030 | )* | |||||||
Capital Markets (0.5)% | |||||||||||
Federated Investors, Inc. Class B | (418,700 | ) | (11,229 | ) | |||||||
Commercial Services & Supplies (0.1)% | |||||||||||
Ritchie Bros Auctioneers, Inc. | (72,800 | ) | (2,385 | ) | |||||||
Health Care Equipment & Supplies (0.2)% | |||||||||||
Cooper Cos., Inc. | (23,500 | ) | (4,708 | ) | |||||||
Consumer Finance (0.5)% | |||||||||||
Capital One Financial Corp. | (88,500 | ) | (7,113 | ) | |||||||
Discover Financial Services | (74,400 | ) | (4,657 | ) | |||||||
(11,770 | ) | ||||||||||
Electric Utilities (0.5)% | |||||||||||
Southern Co. | (247,400 | ) | (12,321 | ) | |||||||
Energy Equipment & Services (0.6)% | |||||||||||
Core Laboratories NV | (122,500 | ) | (13,575 | ) | |||||||
Equity Real Estate Investment Trusts (0.8)% | |||||||||||
Lamar Advertising Co. Class A | (92,000 | ) | (6,630 | ) | |||||||
Realty Income Corp. | (215,000 | ) | (12,545 | ) | |||||||
(19,175 | ) |
See Notes to Financial Statements
50
Schedule of Investments Long Short Fund (Unaudited) (cont'd)
Number of Shares | Value (000's omitted) | ||||||||||
Food & Staples Retailing (0.3)% | |||||||||||
Sprouts Farmers Market, Inc. | (320,000 | ) | $ | (7,139 | )* | ||||||
Hotels, Restaurants & Leisure (0.8)% | |||||||||||
BJ's Restaurants, Inc. | (100,000 | ) | (4,510 | )* | |||||||
Chuy's Holdings, Inc. | (214,000 | ) | (6,377 | )* | |||||||
Domino's Pizza, Inc. | (41,000 | ) | (7,437 | ) | |||||||
(18,324 | ) | ||||||||||
Household Durables (0.4)% | |||||||||||
Newell Brands, Inc. | (106,500 | ) | (5,085 | ) | |||||||
Tempur Sealy International, Inc. | (112,700 | ) | (5,291 | )* | |||||||
(10,376 | ) | ||||||||||
Internet Software & Services (0.0)%(k) | |||||||||||
LogMeIn, Inc. | (0 | )(h) | (0 | )(h) | |||||||
IT Services (1.1)% | |||||||||||
CGI Group, Inc. Class A | (183,597 | ) | (8,862 | )* | |||||||
First Data Corp. Class A | (332,100 | ) | (5,187 | )* | |||||||
Western Union Co. | (605,057 | ) | (12,017 | ) | |||||||
(26,066 | ) | ||||||||||
Life Sciences Tools & Services (0.4)% | |||||||||||
Agilent Technologies, Inc. | (53,300 | ) | (2,934 | ) | |||||||
Thermo Fisher Scientific, Inc. | (36,000 | ) | (5,952 | ) | |||||||
(8,886 | ) | ||||||||||
Machinery (0.2)% | |||||||||||
PACCAR, Inc. | (90,000 | ) | (6,006 | ) | |||||||
Multi-Utilities (0.4)% | |||||||||||
Consolidated Edison, Inc. | (120,000 | ) | (9,514 | ) | |||||||
Multiline Retail (0.6)% | |||||||||||
Dollar General Corp. | (190,000 | ) | (13,815 | ) |
Number of Shares | Value (000's omitted) | ||||||||||
Oil, Gas & Consumable Fuels (0.2)% | |||||||||||
Valero Energy Corp. | (66,700 | ) | $ | (4,309 | ) | ||||||
Paper & Forest Products (0.1)% | |||||||||||
West Fraser Timber Co. Ltd. | (76,900 | ) | (3,456 | ) | |||||||
Software (0.3)% | |||||||||||
Snap, Inc. Class A | (300,000 | ) | (6,765 | )* | |||||||
Specialty Retail (1.6)% | |||||||||||
Bed Bath & Beyond, Inc. | (122,000 | ) | (4,728 | ) | |||||||
Chico's FAS, Inc. | (554,800 | ) | (7,667 | ) | |||||||
Gap, Inc. | (276,100 | ) | (7,234 | ) | |||||||
Group 1 Automotive, Inc. | (39,999 | ) | (2,758 | ) | |||||||
Pier 1 Imports, Inc. | (567,699 | ) | (3,826 | ) | |||||||
Sonic Automotive, Inc. Class A | (290,000 | ) | (5,684 | ) | |||||||
Tiffany & Co. | (76,000 | ) | (6,965 | ) | |||||||
(38,862 | ) | ||||||||||
Technology Hardware, Storage & Peripherals (0.2)% | |||||||||||
Seagate Technology PLC | (110,000 | ) | (4,634 | ) | |||||||
Textiles, Apparel & Luxury Goods (1.4)% | |||||||||||
Ralph Lauren Corp. | (75,000 | ) | (6,054 | ) | |||||||
Under Armour, Inc. Class A | (110,000 | ) | (2,364 | )* | |||||||
Under Armour, Inc. Class C | (202,000 | ) | (3,921 | )* | |||||||
VF Corp. | (239,400 | ) | (13,078 | ) | |||||||
Wolverine World Wide, Inc. | (395,000 | ) | (9,524 | ) | |||||||
(34,941 | ) | ||||||||||
Thrifts & Mortgage Finance (0.2)% | |||||||||||
New York Community Bancorp, Inc. | (365,100 | ) | (4,852 | ) |
Number of Shares | Value (000's omitted) | ||||||||||
Trading Companies & Distributors (0.2)% | |||||||||||
Fly Leasing Ltd. ADR | (28,422 | ) | $ | (366 | )* | ||||||
WW Grainger, Inc. | (21,000 | ) | (4,047 | ) | |||||||
(4,413 | ) | ||||||||||
Total Common Stocks Sold Short (Proceeds $(305,662)) | (304,978 | ) | |||||||||
Principal Amount (000's omitted) | |||||||||||
Corporate Bonds Sold Short (1.1)% | |||||||||||
Diversified Financial Services (0.3)% | |||||||||||
Air Lease Corp., 3.00%, due 9/15/23 | $ | (7,000 | ) | (6,902 | ) | ||||||
Lodging (0.2)% | |||||||||||
Wynn Las Vegas LLC/Wynn Las Vegas Capital Corp., 5.50%, due 3/1/25 | (4,000 | ) | (4,180 | )(d) | |||||||
Media (0.3)% | |||||||||||
CBS Radio, Inc., 7.25%, due 11/1/24 | (4,000 | ) | (4,370 | )(d) | |||||||
Gray Television, Inc., 5.13%, due 10/15/24 | (4,000 | ) | (4,030 | )(d) | |||||||
(8,400 | ) | ||||||||||
Oil & Gas (0.1)% | |||||||||||
Apache Corp., 4.25%, due 1/15/44 | (4,000 | ) | (3,809 | ) |
See Notes to Financial Statements
51
Schedule of Investments Long Short Fund (Unaudited) (cont'd)
Principal Amount (000's omitted) | Value (000's omitted) | ||||||||||
Packaging & Containers (0.2)% | |||||||||||
Reynolds Group Issuer, Inc., 7.00%, due 7/15/24 | $ | (4,000 | ) | $ | (4,320 | )(d) | |||||
Total Corporate Bonds Sold Short (Cost $(26,894)) | (27,611 | ) |
Number of Shares | Value (000's omitted) | ||||||||||
Exchange Traded Funds Sold Short (2.7)% | |||||||||||
Consumer Discretionary Select Sector SPDR Fund | (373,000 | ) | $ | (33,592 | ) | ||||||
iShares Core S&P Small- Cap ETF | (154,000 | ) | (10,748 | ) | |||||||
SPDR S&P Retail ETF | (16,500 | ) | (708 | ) | |||||||
Vanguard REIT ETF | (231,600 | ) | (19,174 | ) |
Value (000's omitted) | |||||||
Total Exchange Traded Funds Sold Short (Proceeds $(51,399)) | $ | (64,222 | ) | ||||
Total Short Positions (Proceeds $(383,955)) | (396,811 | ) | |||||
Total Investments 81.4% (Cost $1,571,713) | 1,949,588 | ||||||
Other Assets Less Liabilities 18.6% | 446,555 | (i) | |||||
Net Assets 100.0% | $ | 2,396,143 |
* Non-income producing security.
(a) All or a portion of the security is pledged as collateral for futures and/or options written.
(b) All or a portion of this security is segregated in connection with obligations for securities sold short, options written, swaps and/or futures with a total value of approximately $272,865,000.
(c) Security fair valued as of April 30, 2017 in accordance with procedures approved by the Board of Trustees (the "Board"). Total value of all such securities at April 30, 2017, amounted to approximately $11,550,000, which represents 0.5% of net assets of the Fund.
(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 April 30, 2017, these securities amounted to approximately $98,068,000 of long positions and $(16,900,000) of short positions, or 4.1% and (0.7)%, respectively, of net assets of the Fund. Securities denoted with a (d) but without a (j) have been deemed by the investment manager to be liquid.
(e) Variable or floating rate security. The interest rate shown was the current rate as of April 30, 2017 and changes periodically.
(f) Represents 7-day effective yield as of April 30, 2017.
(g) At April 30, 2017 the Fund had approximately $431,768,000 deposited in one or more accounts to satisfy collateral requirements for borrowing in connection with securities sold short.
(h) Amount less than one thousand.
(i) Includes the impact of the Fund's open positions in derivatives at April 30, 2017.
(j) This security has been deemed by the investment manager to be illiquid, and is subject to restrictions on resale.
At April 30, 2017, this security amounted to approximately $11,550,000, which represents 0.5% of net assets of the Fund.
(000's omitted) | Acquisition Date | Acquisition Cost | Acquisition Cost Percentage of Net Assets | Value as of 4/30/2017 | Fair Value Percentage of Net Assets as of 4/30/2017 | ||||||||||||||||||
Moderna Therapeutics (Ser. F Preferred Shares) | 8/10/2016 | $ | 11,550 | 0.5 | % | $ | 11,550 | 0.5 | % |
(k) Represents less than 0.05% of net assets.
See Notes to Financial Statements
52
Schedule of Investments Long Short Fund (Unaudited) (cont'd)
Derivative Instruments
Futures contracts ("futures")
At April 30, 2017, open positions in futures for the Fund were as follows:
Expiration | Open Contracts | Position | Unrealized Appreciation/ (Depreciation) | ||||||||||||
6/16/2017 | 1,136 Russell 2000 Mini Index | Short | $ | (686,621 | ) | ||||||||||
6/16/2017 | 2,972 S&P 500 E-Mini Index | Short | 20,427 | ||||||||||||
6/16/2017 | 160 S&P MidCap 400 E-Mini Index | Short | (11,629 | ) | |||||||||||
6/21/2017 | 150 U.S. Treasury Long Bond | Short | (546,440 | ) | |||||||||||
Total | $ | (1,224,263 | ) |
At April 30, 2017, the notional value of futures for the Fund was $(483,796,733) for short positions. At April 30, 2017, the Fund had $20,385,600 deposited in a segregated account to cover margin requirements on open futures.
For the six months April 30, 2017, the average notional value of futures for the Fund was $(456,023,115) for short positions.
Total return basket swap contracts ("total return basket swaps")
At April 30, 2017, the Fund had outstanding total return basket swaps(a) as follows:
Counterparty | Description | Expiration Date(s) | Value | ||||||||||||
Citibank N.A. | 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. | 11/22/2017 | $168,019 |
(a) The following table represents the individual short positions and related values of the total return basket swaps with Citibank N.A. as of April 30, 2017.
Reference Entity | Shares | Notional Value(b) | Net Unrealized Appreciation/ (Depreciation) | ||||||||||||
Short Positions | |||||||||||||||
CGCBFOD2 | |||||||||||||||
United Natural Foods Inc. | (26,846 | ) | $ | (2,863,856 | ) | $ | 95,239 | ||||||||
Sprouts Farmers Market Inc. | (20,197 | ) | (2,154,578 | ) | 71,651 | ||||||||||
(47,043 | ) | (5,018,434 | ) | 166,890 | |||||||||||
Total Short Positions of Total Return Basket Swaps | $ | 166,890 | |||||||||||||
Net Cash and Other Receivables (Payables) | 1,129 | ||||||||||||||
Total Return Basket Swaps, at Value—Citibank N.A. | $ | 168,019 | |||||||||||||
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. | 3/14/2018- 10/9/2018 | $ | (831,776 | ) |
See Notes to Financial Statements
53
Schedule of Investments Long Short Fund (Unaudited) (cont'd)
(a) The following table represents the individual short positions and related values of the total return basket swaps with Goldman Sachs International as of April 30, 2017.
Reference Entity | Shares | Notional Value(b) | Net Unrealized Appreciation/ (Depreciation) | ||||||||||||
Short Positions | |||||||||||||||
GSCBNINV | |||||||||||||||
FS Investment Corp. | (26,295 | ) | $ | (2,783,324 | ) | $ | (24,980 | ) | |||||||
Prospect Capital Corp. | (24,810 | ) | (2,626,174 | ) | (23,570 | ) | |||||||||
Apollo Investment Corp. | (15,901 | ) | (1,683,118 | ) | (15,106 | ) | |||||||||
New Mountain Finance Corp. | (14,088 | ) | (1,491,178 | ) | (13,383 | ) | |||||||||
Triangle Capital Corp. | (13,974 | ) | (1,479,088 | ) | (13,275 | ) | |||||||||
PennantPark Investment Corp. | (7,879 | ) | (833,986 | ) | (7,485 | ) | |||||||||
Fifth Street Finance Corp. | (7,628 | ) | (807,384 | ) | (7,246 | ) | |||||||||
Medley Capital Corp. | (6,563 | ) | (694,746 | ) | (6,236 | ) | |||||||||
THL Credit Inc. | (5,421 | ) | (573,818 | ) | (5,150 | ) | |||||||||
Ares Capital Corp. | (4,586 | ) | (485,482 | ) | (4,357 | ) | |||||||||
(127,145 | ) | (13,458,298 | ) | (120,788 | ) | ||||||||||
GSCBNML3 | |||||||||||||||
Tallgrass Energy Partners LP | (19,379 | ) | (1,890,202 | ) | (159,179 | ) | |||||||||
Summit Midstream Partners LP | (17,710 | ) | (1,727,390 | ) | (145,469 | ) | |||||||||
Tesoro Logistics LP | (12,066 | ) | (1,176,854 | ) | (99,106 | ) | |||||||||
NuStar GP Holdings LLC | (11,618 | ) | (1,133,138 | ) | (95,425 | ) | |||||||||
Enable Midstream Partners LP | (10,896 | ) | (1,062,776 | ) | (89,499 | ) | |||||||||
MPLX LP | (3,664 | ) | (357,335 | ) | (30,092 | ) | |||||||||
(75,333 | ) | (7,347,695 | ) | (618,770 | ) | ||||||||||
GSCBNML3 | |||||||||||||||
Tallgrass Energy Partners LP | (2,666 | ) | (258,797 | ) | (23,121 | ) | |||||||||
Summit Midstream Partners LP | (2,436 | ) | (236,505 | ) | (21,130 | ) | |||||||||
Tesoro Logistics LP | (1,660 | ) | (161,129 | ) | (14,396 | ) | |||||||||
NuStar GP Holdings LLC | (1,598 | ) | (155,143 | ) | (13,861 | ) | |||||||||
Enable Midstream Partners LP | (1,499 | ) | (145,510 | ) | (13,000 | ) | |||||||||
MPLX LP | (504 | ) | (48,924 | ) | (4,371 | ) | |||||||||
(10,363 | ) | (1,006,008 | ) | (89,879 | ) | ||||||||||
Total Short Positions of Total Return Basket Swaps | $ | (829,437 | ) | ||||||||||||
Net Cash and Other Receivables (Payables) | (2,339 | ) | |||||||||||||
Total Return Basket Swaps, at Value—Goldman Sachs International | $ | (831,776 | ) | ||||||||||||
Total Return Basket Swaps, at Value | $ | (663,757 | ) |
(b) Notional value represents the value (including any fees or commissions) of the short positions when they were established.
See Notes to Financial Statements
54
Schedule of Investments Long Short Fund (Unaudited) (cont'd)
Total return swap contracts ("total return swaps")
At April 30, 2017, the Fund had outstanding over-the-counter ("OTC") total return swaps as follows:
Short Total Return Swaps
Swap Counterparty | Reference Entity | Notional Value(a) | Termination Date | Variable-Rate | Unrealized Appreciation/ (Depreciation) | Accrued Net Interest Receivable/ (Payable) | Total Fair Value | ||||||||||||||||||||||||
Citibank N.A. | Consumer Staples S&P US Select Source ETF | $ | (13,229,409 | ) | 11/15/2017 | 0.69 | %(b) | $ | 7,247 | $ | 3,259 | $ | 10,506 | ||||||||||||||||||
Citibank N.A. | Jagged Peak Energy, Inc. | (257,862 | ) | 8/17/2018 | (1.01 | )%(c) | 46,703 | (103 | ) | 46,600 | |||||||||||||||||||||
Citibank N.A. | Jagged Peak Energy, Inc. | (2,279,452 | ) | 8/17/2018 | (1.01 | )%(d) | 453,885 | (983 | ) | 452,902 | |||||||||||||||||||||
Citibank N.A. | Jagged Peak Energy, Inc. | (620,558 | ) | 8/17/2018 | (1.01 | )%(d) | 108,119 | (268 | ) | 107,851 | |||||||||||||||||||||
Citibank N.A. | Jagged Peak Energy, Inc. | (949,757 | ) | 8/17/2018 | (0.76 | )%(e) | 189,006 | (317 | ) | 188,689 | |||||||||||||||||||||
Citibank N.A. | Jagged Peak Energy, Inc. | (610,901 | ) | 8/17/2018 | (1.01 | )%(d) | 104,031 | (264 | ) | 103,767 | |||||||||||||||||||||
Citibank N.A. | Jagged Peak Energy, Inc. | (806,305 | ) | 8/17/2018 | (0.76 | )%(e) | 73,037 | (253 | ) | 72,784 | |||||||||||||||||||||
Citibank N.A. | Jagged Peak Energy, Inc. | (496,807 | ) | 8/17/2018 | (0.76 | )%(e) | 53,992 | (181 | ) | 53,811 | |||||||||||||||||||||
Citibank N.A. | NASDAQ Biotechnology Index | (7,852,433 | ) | 1/31/2018 | 0.64 | %(f) | (186,810 | ) | 1,542 | (185,268 | ) | ||||||||||||||||||||
Goldman Sachs International | Russell Mid-Cap Index Fund | (35,890,213 | ) | 11/29/2017 | 0.45 | %(g) | (6,409,739 | ) | 6,196 | (6,403,543 | )(l) | ||||||||||||||||||||
Goldman Sachs International | Russell Mid-Cap Index Fund | (12,041,726 | ) | 11/29/2017 | 0.69 | %(h) | (319,125 | ) | 3,202 | (315,923 | ) | ||||||||||||||||||||
Citibank N.A. | SPDR S&P 500 Growth ETF | (6,713,703 | ) | 11/15/2017 | 0.79 | %(i) | (150,871 | ) | 1,654 | (149,217 | ) | ||||||||||||||||||||
Citibank N.A. | SPDR S&P Retail ETF | (17,018,100 | ) | 1/24/2018 | 0.29 | %(j) | (360,450 | ) | 1,522 | (358,928 | ) | ||||||||||||||||||||
Citibank N.A. | Utilities Select Sector SPDR ETF | (21,674,400 | ) | 9/21/2017 | 1.06 | %(k) | (1,073,600 | ) | 7,825 | (1,065,775 | ) | ||||||||||||||||||||
Total | $ | (7,464,575 | ) | $ | 22,831 | $ | (7,441,744 | ) |
(a) Notional value represents the value (including any fees or commissions) of the short positions when they were established.
(b) 3-month LIBOR minus 0.35% as of 2/14/2017.
(c) 1-month LIBOR minus 2.00% as of 4/19/2017.
(d) 1-month LIBOR minus 2.00% as of 4/12/2017.
See Notes to Financial Statements
55
Schedule of Investments Long Short Fund (Unaudited) (cont'd)
(e) 1-month LIBOR minus 1.75% as of 4/12/2017.
(f) 1-month LIBOR minus 0.35% as of 4/24/2017.
(g) 1-month LIBOR minus 0.55% as of 4/28/2017.
(h) 1-month LIBOR minus 0.31% as of 4/28/2017.
(i) 3-month LIBOR minus 0.25% as of 2/14/2017.
(j) 1-month LIBOR minus 0.70% as of 4/13/2017.
(k) 1-month LIBOR plus 0.07% as of 4/19/2017.
(l) Security fair valued as of April 30, 2017 in accordance with procedures approved by the Board.
At April 30, 2017, the Fund had cash collateral of $4,810,000 and $8,040,000 deposited in segregated accounts for Citibank, N.A and Goldman Sachs International, respectively, to cover collateral requirements on OTC derivatives.
For the six months ended April 30, 2017, the average notional value of total return basket swaps and total return swaps for the Fund was $(131,820,300) for short positions.
Written option contracts ("options written")
At April 30, 2017, the Fund had outstanding options written as follows:
Name of Issuer | Contracts | Exercise Price | Expiration Date | Market Value of Options | |||||||||||||||
Cabot Oil & Gas Corp., Put | 1,700 | $ | 20 | 10/20/2017 | $ | (157,250 | ) | ||||||||||||
Capital One Financial Corp., Put | 640 | 77.5 | 5/19/2017 | (51,520 | ) | ||||||||||||||
Cheniere Energy, Inc., Call | 760 | 55 | 6/16/2017 | (7,220 | ) | ||||||||||||||
Expedia, Inc., Put | 512 | 115 | 10/20/2017 | (134,400 | ) | ||||||||||||||
Five Below, Inc., Call | 1,000 | 43 | 5/19/2017 | (655,000 | ) | ||||||||||||||
Goldman Sachs Group, Inc., Put | 274 | 225 | 6/16/2017 | (187,690 | ) | ||||||||||||||
Hain Celestial Group, Inc., Put | 447 | 30 | 1/19/2018 | (44,700 | ) | ||||||||||||||
Kinder Morgan, Inc., Call | 2,450 | 24 | 9/15/2017 | (47,775 | ) | ||||||||||||||
lululemon athletica, Inc., Put | 1,185 | 50 | 6/16/2017 | (218,040 | ) | ||||||||||||||
NRG Energy, Inc., Put | 3,620 | 14 | 9/15/2017 | (162,900 | ) | ||||||||||||||
Plains All American Pipeline LP, Put | 1,825 | 26 | 8/18/2017 | (114,062 | ) | ||||||||||||||
PVH Corp., Call | 680 | 105 | 6/16/2017 | (181,900 | ) | ||||||||||||||
Ritchie Bros Auctioneers, Inc., Call | 978 | 35 | 5/19/2017 | (31,785 | ) | ||||||||||||||
SBA Communications Corp., Put | 500 | 90 | 6/16/2017 | (0 | )(a)(b) | ||||||||||||||
Schlumberger Ltd., Put | 465 | 72.5 | 5/19/2017 | (55,800 | ) | ||||||||||||||
Synchrony Financial, Call | 1,450 | 41 | 9/15/2017 | (130,500 | )(a) | ||||||||||||||
Synchrony Financial, Put | 1,910 | 31 | 9/15/2017 | (764,000 | ) | ||||||||||||||
Tempur Sealy International, Inc., Call | 730 | 55 | 1/19/2018 | (266,450 | ) | ||||||||||||||
Tractor Supply Co., Put | 590 | 60 | 5/19/2017 | (32,450 | ) | ||||||||||||||
Valero Energy Corp., Call | 686 | 80 | 6/16/2017 | (686 | )(a) | ||||||||||||||
Valero Energy Corp., Put | 686 | 50 | 6/16/2017 | (2,401 | ) | ||||||||||||||
Valmont Industries, Inc., Call | 315 | 155 | 6/16/2017 | (116,550 | ) | ||||||||||||||
Valmont Industries, Inc., Put | 360 | 135 | 6/16/2017 | (25,200 | ) | ||||||||||||||
Wesco Aircraft Holdings, Inc., Call | 2,735 | 12.5 | 8/18/2017 | (198,288 | ) |
See Notes to Financial Statements
56
Schedule of Investments Long Short Fund (Unaudited) (cont'd)
Name of Issuer | Contracts | Exercise Price | Expiration Date | Market Value of Options | |||||||||||||||
Wex, Inc., Put | 620 | $ | 95 | 8/18/2017 | $ | (196,850 | ) | ||||||||||||
Wyndham Worldwide Corp., Call | 900 | 90 | 8/18/2017 | (688,500 | ) | ||||||||||||||
Total (premium received: $3,940,511) | $ | (4,471,917 | ) |
Options written for the Fund for the six months ended April 30, 2017 were as follows:
Number of Contracts | Premium Received | ||||||||||
Outstanding 10/31/2016 | 47,918 | $ | 5,858,296 | ||||||||
Options written | 66,105 | 8,040,622 | |||||||||
Options expired | (38,093 | ) | (2,866,593 | ) | |||||||
Options exercised | (2,570 | ) | (564,683 | ) | |||||||
Options closed | (45,342 | ) | (6,527,131 | ) | |||||||
Outstanding 4/30/2017 | 28,018 | $ | 3,940,511 |
For the six months ended April 30, 2017, the Fund had an average market value of $2,697,873 in options purchased contracts, and $(3,223,055) in options written, respectively. At April 30, 2017, the Fund had securities pledged in the amount of $59,199,945 to cover collateral requirements on options written.
(a) Security fair valued as of April 30, 2017 in accordance with procedures approved by the Board.
(b) Amount less than one dollar.
The following is a summary, categorized by Level (see Note A of Notes to Financial Statements), of inputs used to value the Fund's investments as of April 30, 2017:
Asset Valuation Inputs | |||||||||||||||||||
(000's omitted) | Level 1 | Level 2 | Level 3(b) | Total | |||||||||||||||
Investments: | |||||||||||||||||||
Common Stocks(a) | $ | 1,965,639 | $ | — | $ | — | $ | 1,965,639 | |||||||||||
Preferred Stock(a) | — | — | 11,550 | 11,550 | |||||||||||||||
Corporate Bonds(a) | — | 181,325 | — | 181,325 | |||||||||||||||
Convertible Bonds(a) | — | 14,037 | — | 14,037 | |||||||||||||||
Options Purchased(a) | 591 | — | — | 591 | |||||||||||||||
Master Limited Partnerships(a) | 22,515 | — | — | 22,515 | |||||||||||||||
Short-Term Investment | — | 150,742 | — | 150,742 | |||||||||||||||
Total Long Positions | $ | 1,988,745 | $ | 346,104 | $ | 11,550 | $ | 2,346,399 |
(a) The Schedule of Investments provides information on the industry or sector categorization for the portfolio.
See Notes to Financial Statements
57
Schedule of Investments Long Short Fund (Unaudited) (cont'd)
(b) 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 11/1/2016 | 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 4/30/2017 | Net change in unrealized appreciation/ (depreciation) from investments still held as of 4/30/2017 | ||||||||||||||||||||||||||||||||||
Investments in Securities: | |||||||||||||||||||||||||||||||||||||||||||
(000's omitted) | |||||||||||||||||||||||||||||||||||||||||||
Preferred Stock | |||||||||||||||||||||||||||||||||||||||||||
Health Care | $ | 11,550 | $ | — | $ | — | $ | — | $ | — | $ | — | $ | — | $ | — | $ | 11,550 | $ | — | |||||||||||||||||||||||
Total | $ | 11,550 | $ | — | $ | — | $ | — | $ | — | $ | — | $ | — | $ | — | $ | 11,550 | $ | — |
The following table presents additional information about valuation techniques and inputs used for investments that are measured at fair value and categorized within Level 3 as of April 30, 2017.
Asset class | Fair value at 4/30/2017 | Valuation techniques | Unobservable input | Amount or range per unit | Input value per unit | Impact to valuation from decrease in input(c) | |||||||||||||||||||||
Preferred Stock | $ | 11,550,002 | Market Transaction Method | Transaction Price | $ | 8.78 | $ | 8.78 | Decrease |
(c) Represents the expected directional change in the fair value of the Level 3 investments that would result from a decrease in the corresponding input. An increase to the unobservable input would have the opposite effect. Significant changes in these inputs could result in significantly higher or lower fair value measurements.
The following is a summary, categorized by Level (see Note A of Notes to Financial Statements), of inputs used to value the Fund's investments as of April 30, 2017:
Liabilities Valuation Inputs | |||||||||||||||||
(000's omitted) | Level 1 | Level 2 | Level 3 | Total | |||||||||||||
Investments: | |||||||||||||||||
Common Stocks Sold Short(a) | $ | (304,978 | ) | $ | — | $ | — | $ | (304,978 | ) | |||||||
Corporate Bonds Sold Short(a) | — | (27,611 | ) | — | (27,611 | ) | |||||||||||
Exchange Traded Funds Sold Short | (64,222 | ) | — | — | (64,222 | ) | |||||||||||
Total Short Positions | $ | (369,200 | ) | $ | (27,611 | ) | $ | — | $ | (396,811 | ) |
(a) The Schedule of Investments provides information on the industry or sector categorization for the portfolio.
As of the six months ended April 30, 2017, no securities were transferred from one level (as of October 31, 2016) to another.
See Notes to Financial Statements
58
Schedule of Investments Long Short Fund (Unaudited) (cont'd)
The following is a summary, categorized by Level (see Notes to Schedule of Investments), of inputs used to value the Fund's derivatives as of April 30, 2017:
Other Financial Instruments | |||||||||||||||||
(000's omitted) | Level 1 | Level 2 | Level 3(b) | Total | |||||||||||||
Futures(a) | |||||||||||||||||
Assets | $ | 20 | $ | — | $ | — | $ | 20 | |||||||||
Liabilities | (1,244 | ) | — | — | (1,244 | ) | |||||||||||
Swaps(a) | |||||||||||||||||
Assets | — | 1,205 | — | 1,205 | |||||||||||||
Liabilities | — | (9,311 | ) | — | (9,311 | ) | |||||||||||
Options Written | |||||||||||||||||
Liabilities | (4,341 | ) | — | (131 | ) | (4,472 | ) | ||||||||||
Total | $ | (5,565 | ) | $ | (8,106 | ) | $ | (131 | ) | $ | (13,802 | ) |
(a) Futures are reported at the cumulative unrealized appreciation/(depreciation) of the instrument. Swaps are reported at the cumulative unrealized appreciation/(depreciation), with the exception of total return swaps, which are reported in the table at value.
(b) 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 11/1/2016 | 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 4/30/2017 | Net change in unrealized appreciation/ (depreciation) from investments still held as of 4/30/2017 | ||||||||||||||||||||||||||||||||||
Other Financial Instruments: | |||||||||||||||||||||||||||||||||||||||||||
(000's omitted) | |||||||||||||||||||||||||||||||||||||||||||
Options Written(c) | $ | (7 | ) | $ | — | $ | 394 | $ | (127 | ) | $ | 27 | $ | (418 | ) | $ | — | $ | — | $ | (131 | ) | $ | 286 | |||||||||||||||||||
Total | $ | (7 | ) | $ | — | $ | 394 | $ | (127 | ) | $ | 27 | $ | (418 | ) | $ | — | $ | — | $ | (131 | ) | $ | 286 |
(c) As of the six months ended April 30, 2017, these investments were valued using methods the Board has approved in the good-faith belief that the resulting valuation will reflect the fair value of the security.
See Notes to Financial Statements
59
Schedule of Investments Long Short Credit Fund (Unaudited)
April 30, 2017
Number of Shares | Value (000's omitted) | ||||||||||
Common Stock 0.3% | |||||||||||
Oil, Gas & Consumable Fuels 0.3% | |||||||||||
Williams Cos., Inc. (Cost $71) | 2,500 | $ | 77 | ||||||||
Principal Amount(a) (000's omitted) | |||||||||||
Loan Assignments(b) 7.8% | |||||||||||
Automotive 1.0% | |||||||||||
Navistar, Inc., First Lien Term Loan B, 5.00%, due 8/7/20 | $ | 250 | 253 | ||||||||
Lodging & Casinos 1.9% | |||||||||||
Caesars Growth Properties Holdings LLC, First Lien Term Loan, 4.00%, due 5/8/21 | 496 | 499 | |||||||||
Nonferrous Metals—Minerals 2.4% | |||||||||||
Peabody Energy Corp., First Lien Term Loan, 5.50%, due 2/7/22 | 600 | 601 | |||||||||
Oil & Gas 2.5% | |||||||||||
Chesapeake Energy Corp., First Lien Term Loan, 8.55%, due 8/23/21 | 600 | 648 | |||||||||
Total Loan Assignments (Cost $1,956) | 2,001 | ||||||||||
Number of Shares | |||||||||||
Preferred Stock 3.0% | |||||||||||
Banks 3.0% | |||||||||||
GMAC Capital Trust I, Ser. 2, 6.82% (Cost $752) | 30,000 | 764 |
Principal Amount(a) (000's omitted) | Value (000's omitted) | ||||||||||
Convertible Bond 0.5% | |||||||||||
Machinery 0.5% | |||||||||||
Navistar International Corp., 4.50%, due 10/15/18 (Cost $118) | $ | 120 | $ | 119 | |||||||
Corporate Bonds 79.8% | |||||||||||
Agriculture 0.9% | |||||||||||
Philip Morris Int'l, Inc., 1.13%, due 8/21/17 | 235 | 235 | |||||||||
Auto Manufacturers 0.6% | |||||||||||
PACCAR Financial Corp., 1.29%, due 6/6/17 | 144 | 144 | (b) | ||||||||
Banks 16.9% | |||||||||||
Barclays Bank PLC, 7.63%, due 11/21/22 | 500 | 547 | |||||||||
Barclays PLC, 8.25%, due 12/29/49 | 400 | 426 | (b) | ||||||||
Capital One N.A., 1.71%, due 2/5/18 | 400 | 401 | (b) | ||||||||
HSBC Holdings PLC, 6.88%, due 12/29/49 | 250 | 271 | (b) | ||||||||
HSBC USA, Inc., 1.46%, due 6/23/17 | 500 | 500 | (b) | ||||||||
JPMorgan Chase & Co., Ser. 1, 7.90%, due 12/29/49 | 800 | 836 | (b) | ||||||||
Lloyds Bank PLC, 12.00%, due 12/29/49 | 750 | 1,020 | (b)(c)(d) | ||||||||
Royal Bank of Scotland Group PLC, 8.63%, due 12/29/49 | 300 | 324 | (b) | ||||||||
4,325 |
Principal Amount(a) (000's omitted) | Value (000's omitted) | ||||||||||
Biotechnology 0.4% | |||||||||||
Amgen, Inc., 1.43%, due 5/22/17 | $ | 100 | $ | 100 | (b) | ||||||
Building Materials 2.1% | |||||||||||
Cemex Finance LLC, 9.38%, due 10/12/22 | 500 | 538 | (c) | ||||||||
Cable & Satellite Television 5.3% | |||||||||||
Altice Luxembourg SA, 7.75%, due 5/15/22 | 500 | 531 | (c) | ||||||||
CSC Holdings LLC, 10.88%, due 10/15/25 | 500 | 601 | (c)(d) | ||||||||
Numbericable- SFR SA, 7.38%, due 5/1/26 | 200 | 210 | (c) | ||||||||
1,342 | |||||||||||
Chemicals 1.0% | |||||||||||
Braskem Finance Ltd., 5.75%, due 4/15/21 | 250 | 263 | (c) | ||||||||
Diversified Financial Services 3.6% | |||||||||||
Nationstar Mortgage LLC/ Nationstar Capital Corp., 9.63%, due 5/1/19 | 900 | 926 | (d) | ||||||||
Electric 1.0% | |||||||||||
Orazul Energy EG, 5.63%, due 4/28/27 | 250 | 250 | (c)(e) | ||||||||
Food 4.0% | |||||||||||
JBS Investments GmbH, 7.75%, due 10/28/20 | 875 | 917 | (c) | ||||||||
JBS USA LUX SA/JBS USA Finance, Inc., 8.25%, due 2/1/20 | 100 | 103 | (c) | ||||||||
1,020 |
See Notes to Financial Statements
60
Schedule of Investments Long Short Credit Fund (Unaudited) (cont'd)
Principal Amount(a) (000's omitted) | Value (000's omitted) | ||||||||||
Forest Products & Paper 3.3% | |||||||||||
Suzano Trading Ltd., 5.88%, due 1/23/21 | $ | 800 | $ | 853 | (c) | ||||||
Gas Distribution 1.0% | |||||||||||
DCP Midstream Operating L.P., 2.50% due 12/1/17 | 250 | 250 | |||||||||
Healthcare—Services 1.6% | |||||||||||
Roche Holdings, Inc., 1.24%, due 9/29/17 | 400 | 400 | (b)(c) | ||||||||
Insurance 0.6% | |||||||||||
Berkshire Hathaway Finance Corp., 1.60%, due 5/15/17 | 150 | 150 | |||||||||
Media 3.2% | |||||||||||
Altice Financing SA, 7.50%, due 5/15/26 | 250 | 270 | (c) | ||||||||
Cablevision Systems Corp., 8.63%, due 9/15/17 | 133 | 137 | (d) | ||||||||
NBCUniversal Enterprise, Inc., 1.84%, due 4/15/18 | 400 | 402 | (b)(c) | ||||||||
809 | |||||||||||
Metals—Mining Excluding Steel 3.2% | |||||||||||
First Quantum Minerals Ltd., 7.25%, due 4/1/23 | 500 | 509 | (c) | ||||||||
FMG Resources (August 2006) Pty Ltd., 6.88%, due 4/1/22 | 300 | 311 | (c) | ||||||||
820 | |||||||||||
Oil & Gas 11.0% | |||||||||||
Chevron Corp., 1.40%, due 11/9/17 | 500 | 501 | (b)(f) | ||||||||
Citgo Holding, Inc., 10.75%, due 2/15/20 | 500 | 536 | (c) |
Principal Amount(a) (000's omitted) | Value (000's omitted) | ||||||||||
PBF Holding Co. LLC/PBF Finance Corp., 8.25%, due 2/15/20 | $ | 250 | $ | 256 | |||||||
Petrobras Global Finance BV, 5.88%, due 3/7/22 | EUR | 300 | 366 | ||||||||
Seadrill Ltd., 6.13%, due 9/15/17 | $ | 250 | 90 | (c)(g) | |||||||
Shell Int'l Finance BV, 1.35%, due 5/10/17 | 500 | 500 | (b) | ||||||||
YPF SA, 8.50%, due 3/23/21 | 500 | 565 | (c) | ||||||||
2,814 | |||||||||||
Pipelines 1.0% | |||||||||||
Access Midstream Partners L.P., 4.88%, due 5/15/23 | 250 | 258 | |||||||||
Semiconductors 0.8% | |||||||||||
NXP BV/NXP Funding LLC, 4.63%, due 6/1/23 | 200 | 215 | (c) | ||||||||
Software 2.0% | |||||||||||
Oracle Corp., 1.35%, due 7/7/17 | 500 | 500 | (b)(f) | ||||||||
Software—Services 1.6% | |||||||||||
Infor Software Parent LLC/ Infor Software Parent, Inc., 7.13% Cash/ 7.88% PIK, due 5/1/21 | 400 | 409 | (c)(h) | ||||||||
Tech Hardware & Equipment 0.8% | |||||||||||
Dell Int'l LLC, 5.88%, due 6/15/21 | 200 | 212 | (c) | ||||||||
Telecom—Wireless 3.9% | |||||||||||
Wind Acquisition Finance SA 4.75%, due 7/15/20 | 375 | 381 | (c) |
Principal Amount(a) (000's omitted) | Value (000's omitted) | ||||||||||
7.38%, due 4/23/21 | $ | 600 | $ | 624 | (c) | ||||||
1,005 | |||||||||||
Telecom—Wireline Integrated & Services 0.9% | |||||||||||
Frontier Communications Corp., 11.00%, due 9/15/25 | 250 | 241 | |||||||||
Telecommunications 9.1% | |||||||||||
Intelsat Jackson Holdings SA, 7.25%, due 4/1/19 | 235 | 226 | |||||||||
Sprint Nextel Corp. 9.00%, due 11/15/18 | 850 | 930 | (c)(d) | ||||||||
7.00%, due 8/15/20 | 300 | 325 | |||||||||
Telesat Canada/ Telesat LLC, 8.88%, due 11/15/24 | 300 | 330 | (c) | ||||||||
Verizon Communications, Inc., 1.51%, due 6/9/17 | 500 | 500 | (b) | ||||||||
2,311 | |||||||||||
Total Corporate Bonds (Cost $20,221) | 20,390 | ||||||||||
Foreign Government Securities 4.8% | |||||||||||
Argentine Republic Government International Bond | |||||||||||
6.88%, due 4/22/21 | 400 | 438 | |||||||||
2.50%, due 12/31/38 | 400 | 266 | (g) | ||||||||
Brazilian Government International Bond, 4.88%, due 1/22/21 | 500 | 530 | |||||||||
Total Foreign Government Securities (Cost $1,236) | 1,234 |
See Notes to Financial Statements
61
Schedule of Investments Long Short Credit Fund (Unaudited) (cont'd)
Number of Shares | Value (000's omitted) | ||||||||||
Short-Term Investment 5.2% | |||||||||||
Investment Company 5.2% | |||||||||||
State Street Institutional U.S. Government Money Market Fund Premier Class, 0.68% (Cost $1,324) | 1,323,981 | $ | 1,324 | (i) | |||||||
Total Investments 101.4% (Cost $25,678) | 25,909 | ||||||||||
Other Assets Less Liabilities (1.4)% | (352 | )(j) | |||||||||
Net Assets 100.0% | $ | 25,557 |
(a) Principal amount is stated in the currency in which the security is denominated.
EUR = Euro
(b) Variable or floating rate security. The interest rate shown was the current rate as of April 30, 2017 and changes periodically.
(c) Securities were purchased under Rule 144A of the Securities Act of 1933, as amended (the "1933 Act"), or are otherwise restricted and, unless registered under the 1933 Act or exempted from registration, may only be sold to qualified institutional investors or may have other restrictions on resale. At April 30, 2017, these securities amounted to approximately $11,470,000 or 44.9% of net assets of the Fund. Securities denoted with (c) but without (e) have been deemed by the investment manager to be liquid.
(d) All or a portion of this security is segregated in connection with obligations for forward foreign currency contracts, written options, futures, swaps and/or reverse repurchase agreements with a total value of approximately $3,459,000.
(e) Illiquid security.
(f) All or a portion of the security is pledged as collateral for reverse repurchase agreements.
(g) 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 predetermined trigger. The interest rate shown was the current rate as of April 30, 2017.
(h) Payment-in-kind (PIK) security.
(i) Represents 7-day effective yield as of April 30, 2017.
(j) Includes the impact of the Fund's open positions in derivatives at April 30, 2017.
See Notes to Financial Statements
62
Schedule of Investments Long Short Credit Fund (Unaudited) (cont'd)
Reverse Repurchase Agreements
At April 30, 2017, open positions in reverse repurchase agreements for the Fund were as follows:
Counterparty | Trade Date | Maturity Date(a) | Interest Rate Paid (Received) | Principal Amount | Value including Accrued Interest | Type of Underlying Collateral | Value of Securities Pledged as Collateral | Remaining Contractual Maturity of the Agreements(a) | |||||||||||||||||||||||||||
Citigroup Global Markets, Inc. | 2/28/2017 | Open/Demand | 1.58 | % | $ | 802,500 | $ | 806,877 | Corporate Bonds | $ | 1,001,270 | Overnight and Continuous |
(a) Open reverse repurchase agreement with no specific maturity date. Either party may terminate the agreement upon demand.
For the six months ended April 30, 2017, the average interest rate paid and the average principal amount were 1.56% and $1,057,938, respectively.
Derivative Instruments
Futures contracts ("futures")
At April 30, 2017, open positions in futures for the Fund were as follows:
Expiration | Open Contracts | Position | Unrealized Appreciation/ (Depreciation) | ||||||||||||
6/16/2017 | 6 Mini MSCI Emerging Markets Index | Long | $ | 10,715 | |||||||||||
6/16/2017 | 10 Stoxx 600 Banks Index | Long | 5,101 | ||||||||||||
6/8/2017 | 15 Euro-Bund | Short | 736 | ||||||||||||
Total | $ | 16,552 |
At April 30, 2017, the notional value of futures for the Fund was $392,554 for long positions and $(2,643,404) for short positions. The Fund had $66,031 deposited in a segregated account to cover margin requirements on open futures.
For the six months ended April 30, 2017, the average notional value of futures for the Fund was $1,134,065 for long positions and $(2,583,037) for short positions.
Forward foreign currency contracts ("forward contracts")
At April 30, 2017, open forward contracts for the Fund were as follows:
Contracts to Receive | In Exchange For | Counterparty | Settlement Date | Net Unrealized Appreciation/ (Depreciation) | |||||||||||||||||||
20,000 | Euro | $ | 21,460 | Goldman Sachs International | 5/11/2017 | $ | 335 | ||||||||||||||||
Total | $ | 335 |
See Notes to Financial Statements
63
Schedule of Investments Long Short Credit Fund (Unaudited) (cont'd)
Contracts to Deliver | In Exchange For | Counterparty | Settlement Date | Net Unrealized Appreciation/ (Depreciation) | |||||||||||||||||||
10,000 | Euro | $ | 10,654 | Goldman Sachs International | 5/11/2017 | $ | (243 | ) | |||||||||||||||
337,000 | Euro | 365,982 | Goldman Sachs International | 5/11/2017 | (1,254 | ) | |||||||||||||||||
Total | $ | (1,497 | ) |
For the six months ended April 30, 2017, the Fund's investments in forward contracts had an average notional value of $422,364.
Credit default swap contracts ("credit default swaps")
At April 30, 2017, the Fund had outstanding over-the-counter ("OTC") credit default swaps as follows:
OTC Credit Default Swaps—Buy Protection
Swap Counterparty | Reference Entity | Notional Amount(a) | Contract Annual Fixed Rate(a) | Termination Date | Unamortized Upfront Payments/ (Received) Paid | Unrealized Appreciation/ (Depreciation) | Accrued Net Interest Receivable/ (Payable) | Total Fair Value | |||||||||||||||||||||||||||
Goldman Sachs International | KB Home, Senior Unsecured Notes, 9.10%, due 9/15/2017 | $ | 250,000 | 5.00 | % | 6/20/2022 | $ | (25,958 | ) | $ | (6,481 | ) | $ | (1,458 | ) | $ | (33,897 | ) | |||||||||||||||||
Total | $ | (25,958 | ) | $ | (6,481 | ) | $ | (1,458 | ) | $ | (33,897 | ) |
(a) 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(a) | Termination Date | Unamortized Upfront Payments/ (Received) Paid | Unrealized Appreciation/ (Depreciation) | Accrued Net Interest Receivable/ (Payable) | Total Fair Value | |||||||||||||||||||||||||||
Goldman Sachs International | Brazil, Federative Republic of (Government), 4.25%, due 1/7/2025 | $ | 500,000 | 1.00 | % | 6/20/2022 | $ | (31,023 | ) | $ | 3,633 | $ | 583 | $ | (26,807 | ) | |||||||||||||||||||
Goldman Sachs International | Dell, Inc., Senior Unsecured Notes, 7.10%, due 4/15/2028 | 500,000 | 1.00 | 6/20/2022 | (34,386 | ) | (276 | ) | 583 | (34,079 | ) | ||||||||||||||||||||||||
Total | $ | (65,409 | ) | $ | 3,357 | $ | 1,166 | $ | (60,886 | ) |
(a) 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.
For the six months ended April 30, 2017, the average notional value of credit default swaps for the Fund was $607,143 for buy protection and $(1,214,286) for sell protection.
See Notes to Financial Statements
64
Schedule of Investments Long Short Credit Fund (Unaudited) (cont'd)
Total return swap contracts ("total return swaps")
At April 30, 2017, the Fund had outstanding OTC total return swaps as follows:
Long Total Return Swaps
Swap Counterparty | Reference Entity | Notional Value(a) | Termination Date | Variable- Rate | Unamortized Upfront Payments/ (Received) Paid | Unrealized Appreciation/ (Depreciation) | Accrued Net Interest Receivable/ (Payable) | Total Fair Value | |||||||||||||||||||||||||||
Goldman Sachs International | NXP Semiconductors NV US Equity | $ | 314,564 | 3/23/2018 | 0.92 | %(b) | $ | — | $ | 2,686 | $ | (1,525 | ) | $ | 1,161 | ||||||||||||||||||||
Goldman Sachs International | Market Vectors Russia ETF | 165,207 | 6/27/2019 | 1.18 | %(c) | 944 | (9,551 | ) | (491 | ) | (9,098 | ) | |||||||||||||||||||||||
Goldman Sachs International | NBG Performance Shell | 2,500,000 | 6/20/2017 | 1.16 | %(d) | (80 | ) | 52,806 | (3,051 | ) | 49,675 | ||||||||||||||||||||||||
Total | $ | 864 | $ | 45,941 | $ | (5,067 | ) | $ | 41,738 |
(a) Notional value represents the value (including any fees or commissions) of the long positions when they were established and is slated in the currency in which the contract is denominated.
(b) 1-month LIBOR plus 1.39% as of 4/18/2017.
(c) 1-month LIBOR plus 1.39% as of 4/19/2017.
(d) 3-month LIBOR as of 3/20/2017.
Short Total Return Swaps
Swap Counterparty | Reference Entity | Notional Value(a) | Termination Date | Variable-Rate | Unrealized Appreciation/ (Depreciation) | Accrued Net Interest Receivable/ (Payable) | Total Fair Value | ||||||||||||||||||||||||
BNP Paribas SA | HCA, Inc., Senior Unsecured Notes, 5.88%, due 2/15/2026 | $ | (90,000 | ) | 9/15/2017 | 0.49 | %(b) | 2,962 | 19 | 2,981 | |||||||||||||||||||||
BNP Paribas SA | Michaels Stores, Inc., Senior Subordinated, 5.88%, due 12/15/2020 | (500,000 | ) | 9/15/2017 | 0.49 | %(b) | (2,278 | ) | 103 | (2,175 | ) | ||||||||||||||||||||
BNP Paribas SA | SBA Communications Corp., Senior Unsecured Notes, 4.88%, due 7/15/2022 | (250,000 | ) | 9/15/2017 | 0.49 | %(b) | (3,347 | ) | 52 | (3,295 | ) | ||||||||||||||||||||
BNP Paribas SA | SFR Group SA/Numericable Group SA, First Lien, 5.38%, due 5/15/2022 | EUR | (500,000 | ) | 10/9/2017 | (1.12 | )%(c) | (4,026 | ) | (1,082 | ) | (5,108 | ) | ||||||||||||||||||
BNP Paribas SA | HCA, Inc., Senior Unsecured Notes, 5.88%, due 2/15/2026 | $ | (160,000 | ) | 3/22/2018 | 0.49 | %(d) | (2,940 | ) | 17 | (2,923 | ) | |||||||||||||||||||
Total | $ | (9,629 | ) | $ | (891 | ) | $ | (10,520 | ) |
See Notes to Financial Statements
65
Schedule of Investments Long Short Credit Fund (Unaudited) (cont'd)
(a) Notional value represents the value (including any fees or commissions) of the short positions when they were established and is stated in the currency in which the contract is denominated.
EUR = Euro
(b) 1-month LIBOR minus 0.50% as of 4/13/2017.
(c) 1-month Euribor minus 0.75% as of 4/13/2017.
(d) 1-month LIBOR minus 0.50% as of 4/20/2017.
At April 30, 2017, the Fund had cash collateral of $60,000 and $512,810 deposited in a segregated account for Goldman Sachs International and BNP Paribas SA, respectively, to cover collateral requirements on OTC derivatives.
For the six months ended April 30, 2017, the average notional value of swaps was $1,912,888 for long positions and $(2,060,884) for short positions.
Written option contracts ("options written")
At April 30, 2017, the Fund had outstanding options written as follows:
Name of Issuer | Contracts | Exercise Price | Expiration Date | Market Value of Options | |||||||||||||||
Teck Resources Ltd., Put | 20 | $ | 15.0 | 5/19/2017 | $ | (0 | )(a)(b) | ||||||||||||
Total (premium received: $1,516) | $ | (0 | )(b) |
(a) Security fair valued as of April 30, 2017 in accordance with procedures approved by the Board of Trustees (the "Board").
(b) Amount less than one dollar.
Options written for the Fund for the six months ended April 30, 2017 were as follows:
Number of | Notional Amount- Swaptions(b) (000's omitted) Contracts | Premium Received EURUSD | |||||||||||||
Outstanding 10/31/2016 | — | — | $ | — | |||||||||||
Options written | 75 | 2,500 | 15,586 | ||||||||||||
Options expired | — | (2,500 | ) | (4,278 | ) | ||||||||||
Options exercised | (10 | ) | — | (5,448 | ) | ||||||||||
Options closed | (45 | ) | — | (4,344 | ) | ||||||||||
Outstanding 4/30/2017 | 20 | — | $ | 1,516 |
(b) The notional amount is stated in the currency in which the contracts is denominated.
For the six months ended April 30, 2017, the Fund had an average market value of $6,985 in options purchased and $(3,526) in options written, respectively.
See Notes to Financial Statements
66
Schedule of Investments Long Short Credit Fund (Unaudited) (cont'd)
The following is a summary, categorized by Level (see Note A of Notes to Financial Statements), of inputs used to value the Fund's investments as of April 30, 2017:
Asset Valuation Inputs | |||||||||||||||||||
(000's omitted) | Level 1 | Level 2 | Level 3 | Total | |||||||||||||||
Investments: | |||||||||||||||||||
Common Stock(a) | $ | 77 | $ | — | $ | — | $ | 77 | |||||||||||
Loan Assignments(a) | — | 2,001 | — | 2,001 | |||||||||||||||
Preferred Stock(a) | 764 | — | — | 764 | |||||||||||||||
Convertible Bond(a) | — | 119 | — | 119 | |||||||||||||||
Corporate Bonds(a) | — | 20,390 | — | 20,390 | |||||||||||||||
Foreign Government Securities | — | 1,234 | — | 1,234 | |||||||||||||||
Short-Term Investment | — | 1,324 | — | 1,324 | |||||||||||||||
Total Investments | $ | 841 | $ | 25,068 | $ | — | $ | 25,909 |
(a) The Schedule of Investments provides information on the industry or sector categorization for the portfolio.
The following is a summary, categorized by Level (see Note A of Notes to Financial Statements), of inputs used to value the Fund's investments as of April 30, 2017:
Liability Valuation Inputs | |||||||||||||||||
(000's omitted) | Level 1 | Level 2 | Level 3 | Total | |||||||||||||
Investments: | |||||||||||||||||
Reverse Repurchase Agreements | $ | — | $ | (807 | ) | $ | — | $ | (807 | ) | |||||||
Total Investments | $ | — | $ | (807 | ) | $ | — | $ | (807 | ) |
As of the six months ended April 30, 2017, no securities were transferred from one level (as of October 31, 2016) to another.
The following is a summary, categorized by Level (see Note A of Notes to Financial Statements), of inputs used to value the Fund's derivatives as of April 30, 2017:
Other Financial Instruments | |||||||||||||||||
(000's omitted) | Level 1 | Level 2 | Level 3(b) | Total | |||||||||||||
Futures(a) | |||||||||||||||||
Assets | $ | 17 | $ | — | $ | — | $ | 17 | |||||||||
Forward Contracts(a) | |||||||||||||||||
Assets | — | 0 | (d) | — | 0 | (d) | |||||||||||
Liabilities | — | (1 | ) | — | (1 | ) | |||||||||||
Swaps | |||||||||||||||||
Assets | — | 54 | — | 54 | |||||||||||||
Liabilities | — | (118 | ) | — | (118 | ) | |||||||||||
Options Written | — | — | — | — | |||||||||||||
Liabilities | — | — | (0 | )(d) | (0 | )(d) | |||||||||||
Total | $ | 17 | $ | (65 | ) | $ | (0 | )(d) | $ | (48 | ) |
(a) Futures and forward contracts are reported at the cumulative unrealized appreciation/(depreciation) of the instrument.
See Notes to Financial Statements
67
Schedule of Investments Long Short Credit Fund (Unaudited) (cont'd)
(b) 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 11/1/2016 | 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 4/30/2017 | Net change in unrealized appreciation/ (depreciation) from investments still held as of 4/30/2017 | ||||||||||||||||||||||||||||||||||
Other Financial Instruments: | |||||||||||||||||||||||||||||||||||||||||||
(000's omitted) | |||||||||||||||||||||||||||||||||||||||||||
Options Writtten(c) | $ | — | $ | — | $ | — | $ | 2 | $ | — | $ | (2 | ) | $ | — | $ | — | $ | (0 | )(d) | $ | 2 | |||||||||||||||||||||
Total | $ | — | $ | — | $ | — | $ | 2 | $ | — | $ | (2 | ) | $ | — | $ | — | $ | (0 | )(d) | $ | 2 |
(c) As of the six months ended April 30, 2017, these investments were valued using methods the Board has approved in the good-faith belief that the resulting valuation will reflect the fair value of the security.
(d) Amount less than one thousand.
See Notes to Financial Statements
68
Schedule of Investments Multi-Asset Income Fund (Unaudited)
April 30, 2017
Number of Shares | Value (000's omitted) | ||||||||||
Common Stocks 34.3% | |||||||||||
Aerospace & Defense 0.7% | |||||||||||
Arconic, Inc. | 45 | $ | 1 | ||||||||
BAE Systems PLC | 2,795 | 23 | |||||||||
Boeing Co. | 293 | 54 | |||||||||
Huntington Ingalls Industries, Inc. | 6 | 1 | |||||||||
Lockheed Martin Corp. | 289 | 78 | |||||||||
Orbital ATK, Inc. | 14 | 2 | |||||||||
159 | |||||||||||
Airlines 0.0%(o) | |||||||||||
Copa Holdings SA Class A | 25 | 3 | |||||||||
Deutsche Lufthansa AG | 96 | 2 | |||||||||
Exchange Income Corp. | 18 | 0 | (a) | ||||||||
WestJet Airlines Ltd. | 30 | 1 | |||||||||
6 | |||||||||||
Auto Components 0.1% | |||||||||||
Brembo SpA | 46 | 4 | |||||||||
Bridgestone Corp. | 100 | 4 | |||||||||
Cie Generale des Etablissements Michelin | 11 | 1 | |||||||||
Dana, Inc. | 221 | 4 | |||||||||
Gentex Corp. | 154 | 3 | |||||||||
Goodyear Tire & Rubber Co. | 124 | 5 | |||||||||
Nokian Renkaat OYJ | 76 | 3 | |||||||||
Sumitomo Rubber Industries Ltd. | 100 | 2 | |||||||||
Xinyi Glass Holdings Ltd. | 2,000 | 2 | |||||||||
28 | |||||||||||
Automobiles 0.1% | |||||||||||
Bayerische Motoren Werke AG, Preference Shares | 70 | 6 | |||||||||
Ford Motor Co. | 585 | 6 | |||||||||
Renault SA | 12 | 1 | |||||||||
Subaru Corp. | 100 | 4 | |||||||||
17 | |||||||||||
Banks 1.4% | |||||||||||
Australia & New Zealand Banking Group Ltd. | 2,449 | 60 | |||||||||
Bank of America Corp. | 301 | 7 | |||||||||
Barclays PLC | 908 | 2 | |||||||||
Bendigo & Adelaide Bank Ltd. | 640 | 6 | |||||||||
BNP Paribas SA | 39 | 3 |
Number of Shares | Value (000's omitted) | ||||||||||
BOC Hong Kong Holdings Ltd. | 4,500 | $ | 18 | ||||||||
Credit Agricole SA | 175 | 3 | |||||||||
First Hawaiian, Inc. | 1,225 | 36 | |||||||||
Hang Seng Bank Ltd. | 100 | 2 | |||||||||
HSBC Holdings PLC | 429 | 4 | |||||||||
JPMorgan Chase & Co. | 793 | 69 | (b) | ||||||||
Mebuki Financial Group, Inc. | 400 | 2 | |||||||||
Nordea Bank AB | 432 | 5 | |||||||||
PNC Financial Services Group, Inc. | 300 | 36 | |||||||||
Resona Holdings, Inc. | 300 | 2 | |||||||||
Societe Generale SA | 76 | 4 | |||||||||
Umpqua Holdings Corp. | 2,425 | 43 | |||||||||
302 | |||||||||||
Beverages 0.6% | |||||||||||
Coca-Cola Co. | 1,466 | 63 | (b) | ||||||||
PepsiCo, Inc. | 651 | 74 | (b) | ||||||||
137 | |||||||||||
Biotechnology 0.2% | |||||||||||
Amgen, Inc. | 334 | 55 | |||||||||
Capital Markets 0.2% | |||||||||||
3i Group PLC | 612 | 6 | |||||||||
Ameriprise Financial, Inc. | 33 | 4 | |||||||||
BlackRock, Inc. | 13 | 5 | |||||||||
BT Investment Management Ltd. | 77 | 1 | |||||||||
CME Group, Inc. | 26 | 3 | |||||||||
Morgan Stanley | 17 | 1 | |||||||||
Virtu Financial, Inc. Class A | 1,350 | 21 | |||||||||
41 | |||||||||||
Chemicals 0.8% | |||||||||||
Agrium, Inc. | 275 | 26 | |||||||||
Air Products & Chemicals, Inc. | 57 | 8 | |||||||||
Albemarle Corp. | 15 | 2 | |||||||||
BASF SE | 771 | 75 | |||||||||
Cabot Corp. | 26 | 1 | |||||||||
Covestro AG | 33 | 3 | (c) | ||||||||
Dow Chemical Co. | 508 | 32 | (b) | ||||||||
Huntsman Corp. | 449 | 11 | |||||||||
Kronos Worldwide, Inc. | 240 | 4 | |||||||||
Lenzing AG | 18 | 3 | |||||||||
Olin Corp. | 126 | 4 | |||||||||
Orica Ltd. | 201 | 3 |
Number of Shares | Value (000's omitted) | ||||||||||
Trinseo SA | 104 | $ | 7 | ||||||||
179 | |||||||||||
Commercial Services & Supplies 0.1% | |||||||||||
Downer EDI Ltd. | 235 | 1 | |||||||||
Quad/Graphics, Inc. | 132 | 3 | |||||||||
Republic Services, Inc. | 107 | 7 | |||||||||
West Corp. | 46 | 1 | |||||||||
12 | |||||||||||
Communications Equipment 0.6% | |||||||||||
Cisco Systems, Inc. | 3,619 | 123 | (b) | ||||||||
InterDigital, Inc. | 9 | 1 | |||||||||
124 | |||||||||||
Construction & Engineering 0.2% | |||||||||||
Bouygues SA | 75 | 3 | |||||||||
CIMIC Group Ltd. | 104 | 3 | |||||||||
Galliford Try PLC | 147 | 3 | |||||||||
Skanska AB, B Shares | 417 | 10 | |||||||||
Vinci SA | 370 | 31 | |||||||||
50 | |||||||||||
Construction Materials 0.0%(o) | |||||||||||
Fletcher Building Ltd. | 126 | 1 | |||||||||
Containers & Packaging 0.2% | |||||||||||
Greif, Inc. Class A | 87 | 5 | |||||||||
Greif, Inc. Class B | 29 | 2 | |||||||||
International Paper Co. | 867 | 47 | (b) | ||||||||
WestRock Co. | 25 | 1 | |||||||||
55 | |||||||||||
Distributors 0.0%(o) | |||||||||||
D'ieteren SA | 17 | 1 | |||||||||
Genuine Parts Co. | 9 | 1 | |||||||||
2 | |||||||||||
Diversified Consumer Services 0.0%(o) | |||||||||||
AA PLC | 238 | 1 | |||||||||
Capella Education Co. | 8 | 1 | |||||||||
DeVry Education Group, Inc. | 39 | 1 | |||||||||
3 | |||||||||||
Diversified Financial Services 0.0%(o) | |||||||||||
Aker ASA, A Shares | 33 | 1 | |||||||||
Leucadia National Corp. | 79 | 2 | |||||||||
3 | |||||||||||
Diversified Telecommunication Services 0.8% | |||||||||||
AT&T, Inc. | 2,696 | 107 | (b) |
See Notes to Financial Statements
69
Schedule of Investments Multi-Asset Income Fund (Unaudited) (cont'd)
Number of Shares | Value (000's omitted) | ||||||||||
Elisa OYJ | 38 | $ | 1 | ||||||||
HKT Trust & HKT Ltd. | 5,000 | 6 | |||||||||
Orange SA | 231 | 4 | |||||||||
PCCW Ltd. | 11,003 | 6 | |||||||||
Singapore Telecommunications Ltd. | 7,500 | 20 | |||||||||
TDC A/S | 1,425 | 8 | |||||||||
Telenor ASA | 668 | 11 | |||||||||
Telstra Corp. Ltd. | 5,538 | 17 | |||||||||
180 | |||||||||||
Electric Utilities 1.6% | |||||||||||
ALLETE, Inc. | 84 | 6 | |||||||||
American Electric Power Co., Inc. | 245 | 17 | |||||||||
AusNet Services | 4,177 | 5 | |||||||||
BKW AG | 165 | 9 | |||||||||
CLP Holdings Ltd. | 2,000 | 21 | |||||||||
Contact Energy Ltd. | 174 | 1 | |||||||||
Duke Energy Corp. | 319 | 26 | (b) | ||||||||
Edison International | 450 | 36 | |||||||||
EDP—Energias de Portugal SA | 1,921 | 6 | |||||||||
Endesa SA | 35 | 1 | |||||||||
Enel SpA | 747 | 4 | |||||||||
Entergy Corp. | 43 | 3 | (b) | ||||||||
Eversource Energy | 59 | 3 | |||||||||
EVN AG | 561 | 7 | |||||||||
Exelon Corp. | 1,126 | 39 | (b) | ||||||||
FirstEnergy Corp. | 25 | 1 | |||||||||
Fortum OYJ | 645 | 9 | |||||||||
HK Electric Investments & HK Electric Investments Ltd. | 6,407 | 6 | (c) | ||||||||
Mercury NZ Ltd | 1,161 | 3 | |||||||||
NextEra Energy, Inc. | 521 | 70 | (b) | ||||||||
OGE Energy Corp. | 177 | 6 | |||||||||
PG&E Corp. | 316 | 21 | |||||||||
Pinnacle West Capital Corp. | 32 | 3 | |||||||||
PPL Corp. | 495 | 19 | |||||||||
Southern Co. | 145 | 7 | (b) | ||||||||
SSE PLC | 764 | 14 | |||||||||
Xcel Energy, Inc. | 229 | 10 | |||||||||
353 | |||||||||||
Electrical Equipment 0.1% | |||||||||||
Eaton Corp. PLC | 204 | 15 | |||||||||
Emerson Electric Co. | 208 | 13 | |||||||||
General Cable Corp. | 75 | 1 | |||||||||
Regal Beloit Corp. | 20 | 2 | |||||||||
31 | |||||||||||
Electronic Equipment, Instruments & Components 0.1% | |||||||||||
AVX Corp. | 44 | 1 |
Number of Shares | Value (000's omitted) | ||||||||||
Corning, Inc. | 247 | $ | 7 | ||||||||
Jabil Circuit, Inc. | 149 | 4 | |||||||||
Mycronic AB | 54 | 1 | |||||||||
Vishay Intertechnology, Inc. | 98 | 1 | |||||||||
14 | |||||||||||
Energy Equipment & Services 0.3% | |||||||||||
Amec Foster Wheeler PLC | 951 | 7 | |||||||||
Archrock, Inc. | 496 | 6 | |||||||||
Baker Hughes, Inc. | 98 | 6 | |||||||||
Enerflex Ltd. | 41 | 1 | |||||||||
Helmerich & Payne, Inc. | 800 | 48 | |||||||||
National Oilwell Varco, Inc. | 33 | 1 | |||||||||
Petrofac Ltd. | 276 | 3 | |||||||||
TechnipFMC PLC | 67 | 2 | * | ||||||||
Tenaris SA | 97 | 1 | |||||||||
75 | |||||||||||
Equity Real Estate Investment Trusts 3.1% | |||||||||||
American Campus Communities, Inc. | 257 | 12 | |||||||||
Care Capital Properties, Inc. | 194 | 5 | |||||||||
CBL & Associates Properties, Inc. | 543 | 5 | |||||||||
Corporate Office Properties Trust | 461 | 15 | |||||||||
Crown Castle International Corp. | 552 | 52 | (b) | ||||||||
DCT Industrial Trust, Inc. | 900 | 46 | |||||||||
Digital Realty Trust, Inc. | 221 | 26 | |||||||||
Douglas Emmett, Inc. | 1,050 | 40 | |||||||||
EPR Properties | 792 | 58 | |||||||||
Equinix, Inc. | 60 | 25 | (b) | ||||||||
Extra Space Storage, Inc. | 159 | 12 | |||||||||
HCP, Inc. | 533 | 17 | |||||||||
Highwoods Properties, Inc. | 273 | 14 | |||||||||
Host Hotels & Resorts, Inc. | 1,200 | 22 | |||||||||
Iron Mountain, Inc. | 1,475 | 51 | |||||||||
Kimco Realty Corp. | 707 | 14 | |||||||||
LaSalle Hotel Properties | 234 | 7 | |||||||||
Life Storage, Inc. | 73 | 6 | |||||||||
Mid-America Apartment Communities, Inc. | 123 | 12 |
Number of Shares | Value (000's omitted) | ||||||||||
OMEGA Healthcare Investors, Inc. | 574 | $ | 19 | ||||||||
Park Hotels & Resorts, Inc. | 480 | 12 | |||||||||
Parkway, Inc. | 1,100 | 22 | |||||||||
Prologis, Inc. | 870 | 47 | (b) | ||||||||
Public Storage | 81 | 17 | |||||||||
Simon Property Group, Inc. | 59 | 10 | (b) | ||||||||
Spirit Realty Capital, Inc. | 882 | 8 | |||||||||
STAG Industrial, Inc. | 526 | 14 | |||||||||
Sun Communities, Inc. | 92 | 8 | |||||||||
Urstadt Biddle Properties, Inc. Class A | 613 | 12 | |||||||||
Ventas, Inc. | 208 | 13 | |||||||||
Washington Prime Group, Inc. | 804 | 7 | |||||||||
Weyerhaeuser Co. | 1,432 | 48 | (b) | ||||||||
Welltower, Inc. | 172 | 12 | |||||||||
688 | |||||||||||
Food & Staples Retailing 0.8% | |||||||||||
Andersons, Inc. | 22 | 1 | |||||||||
Casino Guichard Perrachon SA | 52 | 3 | |||||||||
Costco Wholesale Corp. | 5 | 1 | |||||||||
J Sainsbury PLC | 1,764 | 6 | |||||||||
Kesko OYJ, B Shares | 144 | 7 | |||||||||
Rallye SA | 83 | 2 | |||||||||
SpartanNash Co. | 45 | 2 | |||||||||
Wal-Mart Stores, Inc. | 1,157 | 87 | (b) | ||||||||
Walgreens Boots Alliance, Inc. | 93 | 8 | |||||||||
Wesfarmers Ltd. | 949 | 30 | |||||||||
WM Morrison Supermarkets PLC | 640 | 2 | |||||||||
Woolworths Ltd. | 957 | 19 | |||||||||
168 | |||||||||||
Food Products 0.6% | |||||||||||
Archer-Daniels- Midland Co. | 292 | 13 | |||||||||
Austevoll Seafood ASA | 109 | 1 | |||||||||
Bunge Ltd. | 60 | 5 | |||||||||
Campbell Soup Co. | 25 | 1 | |||||||||
Conagra Brands, Inc. | 684 | 27 | (b) | ||||||||
Flowers Foods, Inc. | 98 | 2 | |||||||||
General Mills, Inc. | 48 | 3 | |||||||||
Hershey Co. | 30 | 3 | |||||||||
Ingredion, Inc. | 26 | 3 | |||||||||
J & J Snack Foods Corp. | 11 | 1 |
See Notes to Financial Statements
70
Schedule of Investments Multi-Asset Income Fund (Unaudited) (cont'd)
Number of Shares | Value (000's omitted) | ||||||||||
J.M. Smucker Co. | 14 | $ | 2 | ||||||||
Marine Harvest ASA | 40 | 1 | * | ||||||||
Norway Royal Salmon ASA | 129 | 2 | |||||||||
Orkla ASA | 293 | 3 | |||||||||
Pinnacle Foods, Inc. | 750 | 44 | |||||||||
Salmar ASA | 175 | 4 | |||||||||
Tate & Lyle PLC | 303 | 3 | |||||||||
Tyson Foods, Inc. Class A | 130 | 8 | |||||||||
WH Group Ltd. | 3,500 | 3 | (c) | ||||||||
Wilmar International Ltd. | 2,000 | 5 | |||||||||
134 | |||||||||||
Gas Utilities 0.1% | |||||||||||
Gas Natural SDG SA | 107 | 2 | |||||||||
National Fuel Gas Co. | 64 | 4 | |||||||||
Southwest Gas Holdings Inc. | 99 | 8 | |||||||||
UGI Corp. | 114 | 6 | |||||||||
20 | |||||||||||
Health Care Equipment & Supplies 0.0%(o) | |||||||||||
Ansell Ltd. | 35 | 1 | |||||||||
Health Care Providers & Services 0.1% | |||||||||||
Anthem, Inc. | 5 | 1 | |||||||||
Quest Diagnostics, Inc. | 83 | 9 | |||||||||
Sonic Healthcare Ltd. | 326 | 5 | |||||||||
UnitedHealth Group, Inc. | 46 | 8 | |||||||||
23 | |||||||||||
Hotels, Restaurants & Leisure 0.6% | |||||||||||
Aristocrat Leisure Ltd. | 52 | 1 | |||||||||
Carnival Corp. | 1,220 | 75 | (b) | ||||||||
Carnival PLC | 55 | 3 | |||||||||
Crown Resorts Ltd. | 462 | 4 | |||||||||
GVC Holdings PLC | 411 | 4 | |||||||||
International Game Technology PLC | 252 | 6 | |||||||||
McDonald's Corp. | 254 | 35 | (b) | ||||||||
Mitchells & Butlers PLC | 192 | 1 | |||||||||
Royal Caribbean Cruises Ltd. | 14 | 1 | |||||||||
Tabcorp Holdings Ltd. | 163 | 1 | |||||||||
Wyndham Worldwide Corp. | 7 | 1 | |||||||||
132 |
Number of Shares | Value (000's omitted) | ||||||||||
Household Durables 0.2% | |||||||||||
Barratt Developments PLC | 773 | $ | 6 | ||||||||
Bellway PLC | 109 | 4 | |||||||||
D.R. Horton, Inc. | 127 | 4 | |||||||||
Man Wah Holdings Ltd. | 4,000 | 3 | |||||||||
MDC Holdings, Inc. | 213 | 7 | |||||||||
Persimmon PLC | 309 | 9 | |||||||||
PulteGroup, Inc. | 232 | 5 | |||||||||
38 | |||||||||||
Household Products 0.9% | |||||||||||
Colgate-Palmolive Co. | 304 | 22 | |||||||||
Kimberly-Clark Corp. | 162 | 21 | (b) | ||||||||
Procter & Gamble Co. | 1,683 | 147 | (b) | ||||||||
Spectrum Brands Holdings, Inc. | 17 | 2 | |||||||||
192 | |||||||||||
Independent Power and Renewable Electricity Producers 0.3% | |||||||||||
Meridian Energy Ltd. | 324 | 1 | |||||||||
NextEra Energy Partners LP | 1,725 | 59 | |||||||||
NRG Energy, Inc. | 283 | 5 | |||||||||
TransAlta Renewables, Inc. | 48 | 1 | |||||||||
66 | |||||||||||
Industrial Conglomerates 0.3% | |||||||||||
General Electric Co. | 750 | 22 | (b) | ||||||||
Hopewell Holdings Ltd. | 2,000 | 7 | |||||||||
Keppel Corp. Ltd. | 1,500 | 7 | |||||||||
NWS Holdings Ltd. | 1,000 | 2 | |||||||||
Raven Industries, Inc. | 24 | 1 | |||||||||
Siemens AG ADR | 480 | 34 | |||||||||
73 | |||||||||||
Insurance 1.8% | |||||||||||
Aegon NV | 269 | 1 | |||||||||
Aflac, Inc. | 117 | 9 | |||||||||
Allianz SE | 419 | 80 | |||||||||
American Equity Investment Life Holding Co. | 43 | 1 | |||||||||
AXA SA | 1,875 | 50 | |||||||||
Chubb Ltd. | 28 | 4 | |||||||||
CNA Financial Corp. | 208 | 9 | |||||||||
CNP Assurances | 451 | 9 |
Number of Shares | Value (000's omitted) | ||||||||||
Gjensidige Forsikring ASA | 39 | $ | 1 | ||||||||
Hannover Rueck SE | 29 | 4 | |||||||||
Insurance Australia Group Ltd. | 1,313 | 6 | |||||||||
Legal & General Group PLC | 5,281 | 17 | |||||||||
Mapfre SA | 2,172 | 8 | |||||||||
MetLife, Inc. | 575 | 30 | (b) | ||||||||
Muenchener Rueckversicherungs- Gesellschaft AG in Muenchen | 147 | 28 | |||||||||
NN Group NV | 92 | 3 | |||||||||
Old Mutual PLC | 4,352 | 11 | |||||||||
Principal Financial Group, Inc. | 51 | 3 | |||||||||
Progressive Corp. | 149 | 6 | |||||||||
Prudential Financial, Inc. | 74 | 8 | |||||||||
QBE Insurance Group Ltd. | 64 | 1 | |||||||||
Sampo OYJ, A Shares | 258 | 12 | |||||||||
SCOR SE | 60 | 2 | |||||||||
Standard Life PLC | 1,146 | 5 | |||||||||
Swiss Life Holding AG | 23 | 8 | * | ||||||||
Swiss Re AG | 356 | 31 | |||||||||
Travelers Cos., Inc. | 85 | 10 | |||||||||
Unipol Gruppo Finanziario SpA | 160 | 1 | |||||||||
UNIQA Insurance Group AG | 143 | 1 | |||||||||
Unum Group | 82 | 4 | |||||||||
Zurich Insurance Group AG | 130 | 36 | |||||||||
399 | |||||||||||
IT Services 0.6% | |||||||||||
Automatic Data Processing, Inc. | 392 | 41 | (b) | ||||||||
Fujitsu Ltd. | 1,000 | 6 | |||||||||
IBM Corp. | 379 | 61 | (b) | ||||||||
Leidos Holdings, Inc. | 400 | 21 | |||||||||
129 | |||||||||||
Machinery 0.1% | |||||||||||
Cummins, Inc. | 82 | 13 | |||||||||
Metso OYJ | 63 | 2 | |||||||||
Sandvik AB | 143 | 2 | |||||||||
Weir Group PLC | 34 | 1 | |||||||||
Yangzijiang Shipbuilding Holdings Ltd. | 1,400 | 1 | |||||||||
19 |
See Notes to Financial Statements
71
Schedule of Investments Multi-Asset Income Fund (Unaudited) (cont'd)
Number of Shares | Value (000's omitted) | ||||||||||
Media 0.4% | |||||||||||
CBS Corp. Class B | 31 | $ | 2 | ||||||||
Meredith Corp. | 91 | 5 | |||||||||
Pearson PLC | 913 | 8 | |||||||||
Regal Entertainment Group Class A | 2,375 | 52 | (b) | ||||||||
Sanoma OYJ | 68 | 1 | |||||||||
Scripps Networks Interactive, Inc. Class A | 35 | 3 | |||||||||
SES SA | 104 | 2 | |||||||||
Sinclair Broadcast Group, Inc. Class A | 84 | 3 | |||||||||
Time Warner, Inc. | 20 | 2 | |||||||||
Time, Inc. | 40 | 1 | |||||||||
Tribune Media Co. Class A | 48 | 2 | |||||||||
Twenty-First Century Fox, Inc. Class B | 25 | 1 | |||||||||
UBM PLC | 192 | 2 | |||||||||
Viacom, Inc. Class A | 28 | 1 | |||||||||
Viacom, Inc. Class B | 215 | 9 | |||||||||
Vivendi SA | 161 | 3 | |||||||||
97 | |||||||||||
Metals & Mining 1.5% | |||||||||||
Acacia Mining PLC | 131 | 1 | |||||||||
Anglo American PLC | 1,585 | 23 | *(b) | ||||||||
Bekaert NV | 59 | 3 | |||||||||
BHP Billiton Ltd. | 2,542 | 45 | |||||||||
BHP Billiton PLC | 1,670 | 25 | (b) | ||||||||
Boliden AB | 102 | 3 | |||||||||
Carpenter Technology Corp. | 24 | 1 | |||||||||
Commercial Metals Co. | 208 | 4 | |||||||||
Ferrexpo PLC | 2,160 | 4 | |||||||||
Fortescue Metals Group Ltd. | 1,177 | 5 | |||||||||
Franco-Nevada Corp. | 385 | 26 | |||||||||
Glencore PLC | 1,755 | 7 | * | ||||||||
Hitachi Metals Ltd. | 200 | 3 | |||||||||
Nucor Corp. | 69 | 4 | |||||||||
Pan American Silver Corp. | 176 | 3 | |||||||||
Reliance Steel & Aluminum Co. | 19 | 1 | |||||||||
Rio Tinto Ltd. | 432 | 20 | |||||||||
Rio Tinto PLC | 1,249 | 49 | |||||||||
Rio Tinto PLC ADR | 1,500 | 60 |
Number of Shares | Value (000's omitted) | ||||||||||
Southern Copper Corp. | 925 | $ | 33 | (b) | |||||||
Steel Dynamics, Inc. | 386 | 14 | |||||||||
Teck Resources Ltd. Class B | 57 | 1 | |||||||||
Vedanta Resources PLC | 420 | 4 | |||||||||
339 | |||||||||||
Mortgage Real Estate Investment Trusts 0.6% | |||||||||||
AGNC Investment Corp. | 274 | 6 | |||||||||
Annaly Capital Management, Inc. | 2,025 | 24 | |||||||||
ARMOUR Residential REIT, Inc. | 51 | 1 | |||||||||
Blackstone Mortgage Trust, Inc. Class A | 443 | 14 | |||||||||
Chimera Investment Corp. | 798 | 16 | |||||||||
CYS Investments, Inc. | 89 | 1 | |||||||||
Invesco Mortgage Capital, Inc. | 192 | 3 | |||||||||
Ladder Capital Corp. | 73 | 1 | |||||||||
MFA Financial, Inc. | 357 | 3 | |||||||||
New Residential Investment Corp. | 616 | 10 | |||||||||
PennyMac Mortgage Investment Trust | 136 | 3 | |||||||||
Starwood Property Trust, Inc. | 1,862 | 42 | (b) | ||||||||
Two Harbors Investment Corp. | 536 | 5 | |||||||||
129 | |||||||||||
Multi-Utilities 0.9% | |||||||||||
AGL Energy Ltd. | 338 | 7 | |||||||||
Ameren Corp. | 861 | 47 | (b) | ||||||||
Black Hills Corp. | 325 | 22 | (b) | ||||||||
CenterPoint Energy, Inc. | 580 | 17 | |||||||||
Centrica PLC | 4,415 | 11 | |||||||||
Consolidated Edison, Inc. | 74 | 6 | |||||||||
DTE Energy Co. | 33 | 3 | |||||||||
DUET Group | 364 | 1 | |||||||||
MDU Resources Group, Inc. | 137 | 4 | |||||||||
National Grid PLC | 2,445 | 32 | |||||||||
NiSource, Inc. | 500 | 12 | |||||||||
Sempra Energy | 350 | 40 | |||||||||
WEC Energy Group, Inc. | 58 | 3 | (b) | ||||||||
205 |
Number of Shares | Value (000's omitted) | ||||||||||
Multiline Retail 0.1% | |||||||||||
Harvey Norman Holdings Ltd. | 729 | $ | 2 | ||||||||
Kohl's Corp. | 147 | 6 | |||||||||
Macy's, Inc. | 25 | 1 | |||||||||
Marks & Spencer Group PLC | 590 | 3 | |||||||||
Target Corp. | 145 | 8 | (b) | ||||||||
20 | |||||||||||
Oil, Gas & Consumable Fuels 3.9% | |||||||||||
Antero Midstream Partners LP | 1,300 | 44 | |||||||||
BP PLC | 446 | 3 | |||||||||
DCP Midstream LP | 500 | 19 | |||||||||
Dominion Midstream Partners LP | 1,300 | 41 | |||||||||
Energy Transfer Partners LP | 1,500 | 36 | |||||||||
EQT GP Holdings LP | 1,575 | 43 | |||||||||
Exxon Mobil Corp. | 1,227 | 100 | (b) | ||||||||
Marathon Petroleum Corp. | 315 | 16 | |||||||||
MPLX LP | 1,400 | 49 | |||||||||
Neste OYJ | 42 | 2 | |||||||||
Occidental Petroleum Corp. | 175 | 11 | (b) | ||||||||
OMV AG | 226 | 10 | |||||||||
ONEOK, Inc. | 2,713 | 143 | (b) | ||||||||
Repsol SA | 839 | 13 | |||||||||
Royal Dutch Shell PLC, A Shares | 2,380 | 62 | |||||||||
Royal Dutch Shell PLC, B Shares | 1,474 | 39 | |||||||||
Snam SpA | 894 | 4 | |||||||||
Statoil ASA | 831 | 14 | |||||||||
Suncor Energy, Inc. | 2,025 | 64 | |||||||||
Targa Resources Corp. | 675 | 37 | |||||||||
TOTAL SA | 1,831 | 94 | |||||||||
Valero Energy Corp. | 208 | 13 | |||||||||
Woodside Petroleum Ltd. | 203 | 5 | |||||||||
862 | |||||||||||
Paper & Forest Products 0.0%(o) | |||||||||||
UPM-Kymmene OYJ | 378 | 10 | |||||||||
Personal Products 0.0%(o) | |||||||||||
Nu Skin Enterprises, Inc. Class A | 21 | 1 |
See Notes to Financial Statements
72
Schedule of Investments Multi-Asset Income Fund (Unaudited) (cont'd)
Number of Shares | Value (000's omitted) | ||||||||||
Pharmaceuticals 3.2% | |||||||||||
AstraZeneca PLC | 1,071 | $ | 64 | (b) | |||||||
Eli Lilly & Co. | 759 | 62 | (b) | ||||||||
GlaxoSmithKline PLC | 4,404 | 88 | |||||||||
GlaxoSmithKline PLC ADR | 550 | 23 | (b) | ||||||||
Indivior PLC | 1,876 | 8 | * | ||||||||
Johnson & Johnson | 1,334 | 165 | (b) | ||||||||
Merck & Co., Inc. | 1,217 | 76 | (b) | ||||||||
Orion OYJ Class B | 156 | 9 | |||||||||
Pfizer, Inc. | 2,808 | 95 | (b) | ||||||||
Recordati SpA | 76 | 3 | |||||||||
Sanofi | 1,048 | 99 | |||||||||
Takeda Pharmaceutical Co. Ltd. | 200 | 10 | |||||||||
702 | |||||||||||
Professional Services 0.0%(o) | |||||||||||
ALS Ltd. | 143 | 1 | |||||||||
Real Estate Management & Development 0.1% | |||||||||||
Great Eagle Holdings Ltd. | 1,000 | 5 | |||||||||
Hang Lung Group Ltd. | 1,000 | 4 | |||||||||
LendLease Group | 405 | 5 | |||||||||
New World Development Co. Ltd. | 6,000 | 7 | |||||||||
21 | |||||||||||
Road & Rail 0.5% | |||||||||||
CSX Corp. | 500 | 25 | |||||||||
Norfolk Southern Corp. | 336 | 40 | |||||||||
Union Pacific Corp. | 400 | 45 | (b) | ||||||||
110 | |||||||||||
Semiconductors & Semiconductor Equipment 1.3% | |||||||||||
Analog Devices, Inc. | 103 | 8 | |||||||||
Applied Materials, Inc. | 293 | 12 | |||||||||
Brooks Automation, Inc. | 216 | 5 | |||||||||
Cypress Semiconductor Corp. | 104 | 1 | |||||||||
Intel Corp. | 2,124 | 77 | (b) | ||||||||
KLA-Tencor Corp. | 118 | 12 | |||||||||
Lam Research Corp. | 62 | 9 | |||||||||
Maxim Integrated Products, Inc. | 950 | 42 | (b) | ||||||||
QUALCOMM, Inc. | 1,019 | 55 | (b) |
Number of Shares | Value (000's omitted) | ||||||||||
STMicroelectronics NV | 133 | $ | 2 | ||||||||
Taiwan Semiconductor Manufacturing Co. Ltd. ADR | 975 | 32 | |||||||||
Texas Instruments, Inc. | 548 | 43 | (b) | ||||||||
298 | |||||||||||
Software 0.9% | |||||||||||
Microsoft Corp. | 2,757 | 189 | (b) | ||||||||
Specialty Retail 0.5% | |||||||||||
Best Buy Co., Inc. | 1,310 | 68 | (b) | ||||||||
Gap, Inc. | 233 | 6 | |||||||||
Hennes & Mauritz AB, B Shares | 502 | 13 | |||||||||
Office Depot, Inc. | 475 | 2 | |||||||||
Staples, Inc. | 138 | 1 | |||||||||
Williams-Sonoma, Inc. | 550 | 30 | |||||||||
120 | |||||||||||
Technology Hardware, Storage & Peripherals 0.8% | |||||||||||
Apple, Inc. | 587 | 84 | (b) | ||||||||
Canon, Inc. | 500 | 17 | |||||||||
HP, Inc. | 1,088 | 20 | |||||||||
Neopost SA | 40 | 2 | |||||||||
Western Digital Corp. | 500 | 45 | |||||||||
Xerox Corp. | 323 | 2 | |||||||||
170 | |||||||||||
Thrifts & Mortgage Finance 0.0%(o) | |||||||||||
Aareal Bank AG | 18 | 1 | |||||||||
OneSavings Bank PLC | 272 | 1 | |||||||||
2 | |||||||||||
Tobacco 1.6% | |||||||||||
Altria Group, Inc. | 890 | 64 | (b) | ||||||||
British American Tobacco PLC | 1,437 | 97 | |||||||||
Imperial Brands PLC | 568 | 28 | |||||||||
Philip Morris International, Inc. | 1,165 | 129 | |||||||||
Reynolds American, Inc. | 493 | 32 | |||||||||
Universal Corp. | 48 | 3 | |||||||||
353 | |||||||||||
Trading Companies & Distributors 0.1% | |||||||||||
Aircastle Ltd. | 110 | 3 | |||||||||
GATX Corp. | 39 | 2 | |||||||||
ITOCHU Corp. | 100 | 1 | |||||||||
Marubeni Corp. | 400 | 2 |
Number of Shares | Value (000's omitted) | ||||||||||
Rexel SA | 204 | $ | 4 | ||||||||
Sojitz Corp. | 1,600 | 4 | |||||||||
Sumitomo Corp. | 200 | 3 | |||||||||
19 | |||||||||||
Transportation Infrastructure 0.1% | |||||||||||
Sydney Airport | 2,300 | 12 | |||||||||
Wireless Telecommunication Services 0.2% | |||||||||||
Vodafone Group PLC | 21,417 | 55 | (b) | ||||||||
Total Common Stocks (Cost $7,106) | 7,624 | ||||||||||
Convertible Preferred Stocks 0.3% | |||||||||||
Oil, Gas & Consumable Fuels 0.1% | |||||||||||
El Paso Energy Capital Trust I, 4.75%, due 3/31/28 | 450 | 22 | |||||||||
Pharmaceuticals 0.2% | |||||||||||
Allergan PLC, Ser. A, 5.50%, due 3/1/18 | 45 | 39 | |||||||||
Total Convertible Preferred Stocks (Cost $55) | 61 | ||||||||||
Preferred Stocks 1.1% | |||||||||||
Real Estate Investment Trusts 1.1% | |||||||||||
American Homes 4 Rent, Ser. D, 6.50% | 746 | 20 | |||||||||
Cedar Realty Trust, Inc., Ser. B, 7.25% | 853 | 22 | |||||||||
DuPont Fabros Technology, Inc., Ser. C, 6.63% | 648 | 18 | |||||||||
GGP, Inc., Ser. A, 6.38% | 1,226 | 31 | |||||||||
Hersha Hospitality Trust, Ser. C, 6.88% | 764 | 19 | |||||||||
Pebblebrook Hotel Trust, Ser. D, 6.38% | 746 | 19 | |||||||||
Retail Properties of America, Inc., Ser. A, 7.00% | 764 | 20 | |||||||||
Rexford Industrial Realty, Inc., Ser. A, 5.88% | 533 | 13 | |||||||||
Sabra Health Care REIT, Inc., Ser. A, 7.13% | 986 | 26 | |||||||||
SL Green Realty Corp., Ser. I, 6.50% | 1,145 | 29 |
See Notes to Financial Statements
73
Schedule of Investments Multi-Asset Income Fund (Unaudited) (cont'd)
Number of Shares | Value (000's omitted) | ||||||||||
VEREIT, Inc., Ser. F, 6.70% | 764 | $ | 20 | ||||||||
Total Preferred Stocks (Cost $233) | 237 | ||||||||||
Principal Amount(j) (000's omitted) | |||||||||||
Convertible Bonds 0.7% | |||||||||||
Communications Equipment 0.0%(o) | |||||||||||
Finisar Corp., 0.50%, due 12/15/36 | $ | 5 | 5 | (c)(d) | |||||||
Consumer Finance 0.0%(o) | |||||||||||
Encore Capital Group, Inc., 3.25%, due 3/15/22 | 10 | 10 | (c) | ||||||||
Equity Real Estate Investment Trusts 0.3% | |||||||||||
Colony Starwood Homes, 3.50%, due 1/15/22 | 10 | 11 | (c) | ||||||||
Extra Space Storage LP, 3.13%, due 10/1/35 | 50 | 52 | (c) | ||||||||
63 | |||||||||||
Internet Software & Services 0.1% | |||||||||||
Zillow Group, Inc., 2.00%, due 12/1/21 | 10 | 10 | (c) | ||||||||
Media 0.1% | |||||||||||
Liberty Media Corp-Liberty Formula One, 1.00%, due 1/30/23 | 10 | 11 | (c) | ||||||||
World Wrestling Entertainment, Inc., 3.38%, due 12/15/23 | 10 | 11 | (c) | ||||||||
22 | |||||||||||
Oil Field Equipment & Services 0.1% | |||||||||||
Ensco Jersey Finance Ltd., 3.00%, due 1/31/24 | 20 | 18 | (c) |
Principal Amount(j) (000's omitted) | Value (000's omitted) | ||||||||||
Oil, Gas & Consumable Fuels 0.0%(o) | |||||||||||
Golar LNG Ltd., 2.75%, due 2/15/22 | $ | 10 | $ | 10 | (c) | ||||||
Software 0.1% | |||||||||||
Nice Systems, Inc., 1.25%, due 1/15/24 | 10 | 10 | (c) | ||||||||
Total Convertible Bonds (Cost $145) | 148 | ||||||||||
Corporate Bonds 9.8% | |||||||||||
Agriculture 0.1% | |||||||||||
Reynolds American, Inc., 4.45%, due 6/12/25 | 30 | 32 | |||||||||
Airlines 0.3% | |||||||||||
Delta Air Lines, Inc., 3.63%, due 3/15/22 | 60 | 62 | |||||||||
Auto Manufacturers 0.9% | |||||||||||
General Motors Co., 6.25%, due 10/2/43 | 35 | 38 | |||||||||
General Motors Financial Co., Inc. | |||||||||||
3.20%, due 7/6/21 | 40 | 40 | |||||||||
4.30%, due 7/13/25 | 50 | 51 | |||||||||
4.00%, due 10/6/26 | 70 | 70 | |||||||||
199 | |||||||||||
Banks 2.1% | |||||||||||
Bank of America Corp., 2.88%, due 4/24/23 | 60 | 60 | (e) | ||||||||
Bank of America Corp., Ser. L, 3.95%, due 4/21/25 | 70 | 70 | |||||||||
Barclays PLC, 4.34%, due 1/10/28 | 90 | 92 | |||||||||
Capital One N.A., 2.35%, due 1/31/20 | 80 | 80 | |||||||||
Goldman Sachs Group, Inc., 5.15%, due 5/22/45 | 50 | 53 |
Principal Amount(j) (000's omitted) | Value (000's omitted) | ||||||||||
JPMorgan Chase & Co., 3.54%, due 5/1/28 | $ | 55 | $ | 55 | (e) | ||||||
SunTrust Banks, Inc., Ser. G, 5.05%, due 12/31/99 | 60 | 60 | (e)(l) | ||||||||
470 | |||||||||||
Commercial Services 0.1% | |||||||||||
ERAC USA Finance LLC, 4.20%, due 11/1/46 | 40 | 37 | (c) | ||||||||
Computers 1.5% | |||||||||||
Apple, Inc., 4.65%, due 2/23/46 | 30 | 33 | |||||||||
Dell Int'l LLC/ EMC Corp. | |||||||||||
4.42%, due 6/15/21 | 80 | 84 | (c) | ||||||||
5.45%, due 6/15/23 | 80 | 86 | (c) | ||||||||
Hewlett Packard Enterprise Co., 4.90%, due 10/15/25 | 35 | 37 | |||||||||
HP, Inc., 4.65%, due 12/9/21 | 80 | 86 | |||||||||
326 | |||||||||||
Diversified Financial Services 0.3% | |||||||||||
UBS Group Funding Switzerland AG, 4.25%, due 3/23/28 | 60 | 62 | (c) | ||||||||
Healthcare—Products 0.2% | |||||||||||
Abbott Laboratories, 4.90%, due 11/30/46 | 40 | 42 | |||||||||
Home Builders 0.1% | |||||||||||
Lennar Corp., 4.50%, due 4/30/24 | 15 | 15 | |||||||||
Iron—Steel 0.2% | |||||||||||
Vale Overseas Ltd., 6.25%, due 8/10/26 | 35 | 38 |
See Notes to Financial Statements
74
Schedule of Investments Multi-Asset Income Fund (Unaudited) (cont'd)
Principal Amount(j) (000's omitted) | Value (000's omitted) | ||||||||||
Media 1.0% | |||||||||||
Charter Communications Operating LLC/ Charter Communications Operating Capital 4.91%, due 7/23/25 | $90 | $96 | |||||||||
6.48%, due 10/23/45 | 70 | 82 | |||||||||
Viacom, Inc., 4.38%, due 3/15/43 | 65 | 58 | |||||||||
236 | |||||||||||
Oil & Gas 0.6% | |||||||||||
Apache Corp., 4.75%, due 4/15/43 | 20 | 20 | |||||||||
Hess Corp., 4.30%, due 4/1/27 | 60 | 60 | |||||||||
Noble Energy, Inc., 5.25%, due 11/15/43 | 50 | 52 | |||||||||
132 | |||||||||||
Pharmaceuticals 0.5% | |||||||||||
AbbVie, Inc., 4.45%, due 5/14/46 | 40 | 39 | |||||||||
Teva Pharmaceutical Finance Netherlands III BV, 2.20%, due 7/21/21 | 80 | 78 | |||||||||
117 | |||||||||||
Pipelines 0.4% | |||||||||||
Energy Transfer Partners L.P., 6.50%, due 2/1/42 | 30 | 33 | |||||||||
Kinder Morgan, Inc., 5.55%, due 6/1/45 | 50 | 53 | |||||||||
86 | |||||||||||
Software 0.2% | |||||||||||
Microsoft Corp., 4.50%, due 2/6/57 | 40 | 42 | |||||||||
Telecommunications 1.3% | |||||||||||
AT&T, Inc. 4.75%, due 5/15/46 | 90 | 85 |
Principal Amount(j) (000's omitted) | Value (000's omitted) | ||||||||||
5.70%, due 3/1/57 | $ | 75 | $ | 79 | |||||||
Telefonica Emisiones SAU, 4.10%, due 3/8/27 | 50 | 51 | |||||||||
Verizon Communications, Inc. | |||||||||||
4.13%, due 8/15/46 | 30 | 26 | |||||||||
4.67%, due 3/15/55 | 45 | 41 | |||||||||
282 | |||||||||||
Total Corporate Bonds (Cost $2,150) | 2,178 | ||||||||||
Mortgage-Backed Securities 12.5% | |||||||||||
Collateralized Mortgage Obligations 2.2% | |||||||||||
Fannie Mae Connecticut Avenue Securities, Ser. 2017-C02, Class 2M2, 4.64%, due 9/25/29 | 230 | 238 | (e) | ||||||||
Freddie Mac Structured Agency Credit Risk Debt Notes, Ser. 2017-DNA2, Class M2, 4.44%, due 10/25/29 | 250 | 256 | |||||||||
494 | |||||||||||
Fannie Mae 5.6% | |||||||||||
Pass-Through Certificates 3.00%, TBA, 15 Year Maturity | 135 | 139 | (f) | ||||||||
3.00%, TBA, 30 Year Maturity | 190 | 190 | (f) | ||||||||
3.50%, TBA, 30 Year Maturity | 140 | 144 | (f) | ||||||||
4.00%, TBA, 30 Year Maturity | 640 | 674 | (f) | ||||||||
4.50%, TBA, 30 Year Maturity | 95 | 102 | (f) | ||||||||
1,249 | |||||||||||
Freddie Mac 4.2% | |||||||||||
Pass-Through Certificates | |||||||||||
3.00%, TBA, | 160 | 164 | (f) | ||||||||
15 Year Maturity |
Principal Amount(j) (000's omitted) | Value (000's omitted) | ||||||||||
3.00%, TBA, 30 Year Maturity | $ | 155 | $ | 155 | (f) | ||||||
3.50%, TBA, 30 Year Maturity | 135 | 139 | (f) | ||||||||
4.00%, TBA, 30 Year Maturity | 460 | 484 | (f) | ||||||||
942 | |||||||||||
Ginnie Mae 0.5% | |||||||||||
Pass-Through Certificates 4.00%, TBA, 15 Year Maturity | 100 | 106 | (f) | ||||||||
Total Mortgage- Backed Securities (Cost $2,772) | 2,791 | ||||||||||
U.S. Treasury Obligations 14.3% | |||||||||||
U.S. Treasury Bonds 5.50%, due | 100 | 131 | (b) | ||||||||
8/15/28 | |||||||||||
4.50%, due 2/15/36 | 321 | 412 | (b) | ||||||||
3.88%, due 8/15/40 | 446 | 522 | (b)(g) | ||||||||
U.S. Treasury Inflation- Indexed Bonds 2.00%, due 1/15/26 | 599 | 680 | (h) | ||||||||
1.75%, due 1/15/28 | 12 | 13 | (h) | ||||||||
3.88%, due 4/15/29 | 265 | 368 | (g)(h) | ||||||||
U.S. Treasury Notes 0.75%, due 1/31/18 | 1,022 | 1,020 | (b) | ||||||||
2.75%, due 2/15/24 | 35 | 37 | |||||||||
Total U.S. Treasury Obligations (Cost $3,207) | 3,183 | ||||||||||
U.S. Government Agency Securities 0.9% | |||||||||||
Federal Home Loan Bank, 5.50%, due 7/15/36 | 120 | 160 | |||||||||
Tennessee Valley Authority, 5.38%, due 4/1/56 | 30 | 40 | |||||||||
Total U.S. Government Agency Securities (Cost $209) | 200 |
See Notes to Financial Statements
75
Schedule of Investments Multi-Asset Income Fund (Unaudited) (cont'd)
Principal Amount(j) (000's omitted) | Value (000's omitted) | ||||||||||
Asset-Backed Securities 2.1% | |||||||||||
Bear Stearns Asset Backed Securities Trust, Ser. 2006-SD2, Class M2, 1.79%, due 6/25/36 | $ | 170 | $ | 156 | (e) | ||||||
Carrington Mortgage Loan Trust, Ser. 2006- OPT1, Class M1, 1.34%, due 2/25/36 | 168 | 153 | (e) | ||||||||
Citibank Credit Card Issuance Trust, Ser. 2017-A3, Class A3, 1.92%, due 4/7/22 | 170 | 171 | |||||||||
Total Asset-Backed Securities (Cost $479) | 480 | ||||||||||
Foreign Government Securities 0.8% | |||||||||||
New Zealand Government Bond, Ser. 935, 2.50%, due 9/20/35 | NZD | 50 | 37 | (i) | |||||||
South Africa Government Bond, Ser. R214, 6.50%, due 2/28/41 | ZAR | 2,695 | 143 | ||||||||
Total Foreign Government Securities (Cost $177) | 180 | ||||||||||
Number of Shares | |||||||||||
Exchange Traded Funds 3.6% | |||||||||||
iShares iBoxx $ High Yield Corporate Bond ETF | 1,300 | 115 | |||||||||
PowerShares Senior Loan Portfolio | 30 | 691 | |||||||||
Total Exchange Traded Funds (Cost $806) | 806 | ||||||||||
Master Limited Partnerships 2.3% | |||||||||||
Hotels, Restaurants & Leisure 0.3% | |||||||||||
Cedar Fair LP | 1,000 | 72 |
Number of Shares | Value (000's omitted) | ||||||||||
Oil, Gas & Consumable Fuels 1.9% | |||||||||||
Alliance Holdings GP LP | 1,325 | $ | 35 | ||||||||
Energy Transfer Equity LP | 6,000 | 112 | (b) | ||||||||
Enterprise Products Partners LP | 2,700 | 74 | (b) | ||||||||
EQT Midstream Partners LP | 575 | 45 | |||||||||
NuStar Energy LP | 900 | 43 | |||||||||
Western Gas Equity Partners LP | 2,500 | 115 | |||||||||
424 | |||||||||||
Real Estate Management & Development 0.1% | |||||||||||
Brookfield Property Partners LP | 473 | 10 | * | ||||||||
Total Master Limited Partnerships (Cost $471) | 506 | ||||||||||
Investment Companies 23.4% | |||||||||||
Neuberger Berman Emerging Markets Debt Fund Institutional Class | 121,354 | 1,080 | (b)(k) | ||||||||
Neuberger Berman Floating Rate Income Fund Institutional Class | 122,737 | 1,220 | (b)(k) | ||||||||
Neuberger Berman High Income Bond Fund Class R6 | 238,712 | 2,106 | (b)(k) | ||||||||
Neuberger Berman Long Short Credit Fund Class R6 | 82,833 | 798 | (b)(k) | ||||||||
Total Investment Companies (Cost $5,117) | 5,204 |
Number of Shares | Value (000's omitted) | ||||||||||
Short-Term Investment 3.4% | |||||||||||
Investment Company 3.4% | |||||||||||
State Street Institutional U.S. Government Money Market Fund Premier Class, 0.68% (Cost $751) | 751,209 | $ | 751 | (b)(m) | |||||||
Total Investments 109.5% (Cost $23,678) | 24,349 | ||||||||||
Other Assets Less Liabilities (9.5)% | (2,118 | )(n) | |||||||||
Net Assets 100.0% | $ | 22,231 |
See Notes to Financial Statements
76
Schedule of Investments Multi-Asset Income Fund (Unaudited) (cont'd)
* Non-income producing security.
(a) Amount less than one thousand.
(b) All or a portion of this security is segregated in connection with obligations for to be announced securities, futures, forward foreign currency contracts and/or options written with a total value of approximately $10,504,000.
(c) Securities were purchased under Rule 144A of the Securities Act of 1933 Act, 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 April 30, 2017, these securities amounted to approximately $429,000 or 1.9% of the net assets of the Fund. Securities denoted with (c) but without (d) have been deemed by the investment manager to be liquid.
(d) Illiquid security.
(e) Variable or floating rate security. The interest rate shown was the current rate as of April 30, 2017 and changes periodically.
(f) 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 April 30, 2017 amounted to approximately $2,297,000, which represents 10.3% of net assets of the Fund.
(g) All or a portion of the security is pledged as collateral for options written.
(h) Index-linked bond whose principal amount adjusts according to a government retail price index.
(i) 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 April 30, 2017 amounted to approximately $37,000, which represents 0.2% of net assets of the Fund.
(j) Principal amount is stated in the currency in which the security is denominated.
NZD = New Zealand Dollar
ZAR = South African Rand
(k) Affiliated company as defined under the Investment Company Act of 1940 (see Note F of Notes to Financial Statements).
(l) Security fair valued as of April 30, 2017 in accordance with procedures approved by the Board of Trustees (the "Board"). Total value of all such securities at April 30, 2017, amounted to approximately $60,000, which represents approximately 0.3% of net assets of the Fund.
(m) Represents 7-day effective yield as of April 30, 2017.
(n) Includes the impact of the Fund's open positions in derivatives at April 30, 2017.
(o) Represents less than 0.05% of net assets.
See Notes to Financial Statements
77
Schedule of Investments Multi-Asset Income Fund (Unaudited) (cont'd)
Derivative Instruments
Futures contracts ("futures")
At April 30, 2017, open positions in futures for the Fund were as follows:
Expiration | Open Contracts | Position | Unrealized Appreciation/ (Depreciation) | ||||||||||||
6/16/2017 | 3 Euro Stoxx 50 Index | Long | $ | 6,233 | |||||||||||
6/16/2017 | 5 FTSE 100 Index | Long | (2,002 | ) | |||||||||||
6/16/2017 | 10 Mini MSCI Emerging Markets Index | Long | 5,181 | ||||||||||||
6/16/2017 | 5 S&P 500 E-Mini Index | Long | 3,397 | ||||||||||||
6/19/2017 | 1 Euro | Long | 2,244 | ||||||||||||
6/21/2017 | 1 U.S. Treasury Note, 10 Year | Long | 684 | ||||||||||||
6/21/2017 | 4 U.S. Treasury Long Bond | Long | 4,860 | ||||||||||||
6/28/2017 | 1 U.K. Long Gilt Bond | Long | (88 | ) | |||||||||||
6/8/2017 | 2 Euro-Buxl Bond | Short | (1,400 | ) | |||||||||||
6/8/2017 | 2 Euro-Oat | Short | (6,171 | ) | |||||||||||
6/19/2017 | 3 Euro | Short | (7,306 | ) | |||||||||||
6/19/2017 | 1 Japanese Yen | Short | 127 | ||||||||||||
6/19/2017 | 1 New Zealand Dollar | Short | 1,356 | ||||||||||||
6/21/2017 | 3 U.S. Treasury Long Bond | Short | (3,750 | ) | |||||||||||
6/28/2017 | 2 U.K. Long Gilt Bond | Short | 176 | ||||||||||||
6/30/2017 | 3 U.S. Treasury Note, 5 Year | Short | (1,932 | ) | |||||||||||
Total | $ | 1,609 |
At April 30, 2017, the notional value of futures for the Fund was $2,703,509 for long positions and $(2,431,951) for short positions. At April 30, 2017, the Fund had $156,074 deposited in a segregated account to cover margin requirements on open futures.
For the six months ended April 30, 2017, the average notional value of futures for the Fund was $2,111,686 for long positions and $(1,469,325) for short positions.
Forward foreign currency contracts ("forward contracts")
At April 30, 2017, open forward contracts for the Fund were as follows:
Contracts to Receive | In Exchange For | Counterparty | Settlement Date | Net Unrealized Appreciation/ (Depreciation) | |||||||||||||||||||
49,073 | Australian Dollar | $ | 36,815 | Goldman Sachs International | 5/11/2017 | $ | (75 | ) | |||||||||||||||
25,828 | Australian Dollar | 19,706 | Goldman Sachs International | 5/11/2017 | (370 | ) | |||||||||||||||||
171,118 | Australian Dollar | 129,985 | Goldman Sachs International | 5/11/2017 | (1,873 | ) | |||||||||||||||||
17,612 | Australian Dollar | 13,393 | Royal Bank of Canada | 5/11/2017 | (207 | ) | |||||||||||||||||
15,425 | Australian Dollar | 11,814 | Royal Bank of Canada | 5/11/2017 | (265 | ) |
See Notes to Financial Statements
78
Schedule of Investments Multi-Asset Income Fund (Unaudited) (cont'd)
Contracts to Receive | In Exchange For | Counterparty | Settlement Date | Net Unrealized Appreciation/ (Depreciation) | |||||||||||||||||||
55,457 | Australian Dollar | $ | 41,885 | Royal Bank of Canada | 5/11/2017 | $ | (366 | ) | |||||||||||||||
23,489 | Australian Dollar | 18,023 | Royal Bank of Canada | 5/11/2017 | (437 | ) | |||||||||||||||||
33,702 | Australian Dollar | 25,729 | Royal Bank of Canada | 5/11/2017 | (497 | ) | |||||||||||||||||
37,752 | Australian Dollar | 28,908 | Royal Bank of Canada | 5/11/2017 | (644 | ) | |||||||||||||||||
137,715 | Australian Dollar | 104,483 | Royal Bank of Canada | 5/11/2017 | (1,379 | ) | |||||||||||||||||
155,602 | Australian Dollar | 118,980 | Royal Bank of Canada | 5/11/2017 | (2,485 | ) | |||||||||||||||||
19,910 | Australian Dollar | 14,912 | Royal Bank of Canada | 5/11/2017 | (6 | ) | |||||||||||||||||
41,581 | Australian Dollar | 31,280 | Royal Bank of Canada | 5/11/2017 | (150 | ) | |||||||||||||||||
60,938 | Australian Dollar | 45,804 | Royal Bank of Canada | 5/11/2017 | (181 | ) | |||||||||||||||||
56,693 | Australian Dollar | 42,685 | Royal Bank of Canada | 5/11/2017 | (240 | ) | |||||||||||||||||
24,957 | Australian Dollar | 19,122 | Societe Generale | 5/11/2017 | (437 | ) | |||||||||||||||||
220,455 | Australian Dollar | 167,545 | Societe Generale | 5/11/2017 | (2,496 | ) | |||||||||||||||||
20,788 | Australian Dollar | 15,670 | State Street Bank and Trust Company | 5/11/2017 | (106 | ) | |||||||||||||||||
221,623 | Australian Dollar | 166,100 | State Street Bank and Trust Company | 5/11/2017 | (177 | ) | |||||||||||||||||
20,914 | Australian Dollar | 15,920 | State Street Bank and Trust Company | 5/11/2017 | (262 | ) | |||||||||||||||||
61,953 | Australian Dollar | 46,889 | State Street Bank and Trust Company | 5/11/2017 | (507 | ) | |||||||||||||||||
74,452 | Australian Dollar | 56,966 | State Street Bank and Trust Company | 5/11/2017 | (1,226 | ) | |||||||||||||||||
157,317 | Australian Dollar | 119,926 | State Street Bank and Trust Company | 5/11/2017 | (2,147 | ) | |||||||||||||||||
33,363 | Canadian Dollar | 24,714 | Goldman Sachs International | 5/11/2017 | (269 | ) | |||||||||||||||||
23,404 | Canadian Dollar | 17,821 | Goldman Sachs International | 5/11/2017 | (674 | ) | |||||||||||||||||
26,222 | Canadian Dollar | 20,065 | Goldman Sachs International | 5/11/2017 | (852 | ) | |||||||||||||||||
214,558 | Canadian Dollar | 160,606 | Goldman Sachs International | 5/11/2017 | (3,404 | ) | |||||||||||||||||
67,013 | Canadian Dollar | 50,419 | Royal Bank of Canada | 5/11/2017 | (1,320 | ) | |||||||||||||||||
93,059 | Canadian Dollar | 69,990 | Royal Bank of Canada | 5/11/2017 | (1,808 | ) | |||||||||||||||||
96,125 | Canadian Dollar | 72,248 | Royal Bank of Canada | 5/11/2017 | (1,820 | ) | |||||||||||||||||
126,169 | Canadian Dollar | 94,274 | Royal Bank of Canada | 5/11/2017 | (1,832 | ) | |||||||||||||||||
156,933 | Canadian Dollar | 116,880 | Royal Bank of Canada | 5/11/2017 | (1,899 | ) | |||||||||||||||||
74,374 | Canadian Dollar | 56,857 | Royal Bank of Canada | 5/11/2017 | (2,365 | ) | |||||||||||||||||
128,839 | Canadian Dollar | 98,357 | Royal Bank of Canada | 5/11/2017 | (3,959 | ) | |||||||||||||||||
51,924 | Canadian Dollar | 38,191 | Royal Bank of Canada | 5/11/2017 | (147 | ) | |||||||||||||||||
36,847 | Canadian Dollar | 27,522 | Royal Bank of Canada | 5/11/2017 | (524 | ) | |||||||||||||||||
117,999 | Canadian Dollar | 90,263 | Societe Generale | 5/11/2017 | (3,807 | ) | |||||||||||||||||
110,368 | Canadian Dollar | 84,882 | Societe Generale | 5/11/2017 | (4,018 | ) | |||||||||||||||||
539,828 | Canadian Dollar | 410,344 | Societe Generale | 5/11/2017 | (14,824 | ) | |||||||||||||||||
15,375 | Canadian Dollar | 11,409 | State Street Bank and Trust Company | 5/11/2017 | (144 | ) | |||||||||||||||||
57,225 | Canadian Dollar | 42,154 | State Street Bank and Trust Company | 5/11/2017 | (226 | ) | |||||||||||||||||
19,184 | Canadian Dollar | 14,380 | State Street Bank and Trust Company | 5/11/2017 | (325 | ) | |||||||||||||||||
33,002 | Canadian Dollar | 24,661 | State Street Bank and Trust Company | 5/11/2017 | (481 | ) | |||||||||||||||||
19,278 | Canadian Dollar | 14,706 | State Street Bank and Trust Company | 5/11/2017 | (582 | ) | |||||||||||||||||
47,253 | Canadian Dollar | 36,102 | State Street Bank and Trust Company | 5/11/2017 | (1,480 | ) | |||||||||||||||||
165,632 | Canadian Dollar | 124,096 | State Street Bank and Trust Company | 5/11/2017 | (2,741 | ) | |||||||||||||||||
263,302 | Euro | 282,041 | Goldman Sachs International | 5/11/2017 | 4,885 | ||||||||||||||||||
122,999 | Euro | 130,270 | Royal Bank of Canada | 5/11/2017 | 3,765 | ||||||||||||||||||
68,096 | Euro | 72,965 | Royal Bank of Canada | 5/11/2017 | 1,241 |
See Notes to Financial Statements
79
Schedule of Investments Multi-Asset Income Fund (Unaudited) (cont'd)
Contracts to Receive | In Exchange For | Counterparty | Settlement Date | Net Unrealized Appreciation/ (Depreciation) | |||||||||||||||||||
56,067 | Euro | $ | 60,111 | Royal Bank of Canada | 5/11/2017 | $ | 986 | ||||||||||||||||
24,121 | Euro | 25,513 | Royal Bank of Canada | 5/11/2017 | 772 | ||||||||||||||||||
24,161 | Euro | 25,968 | Royal Bank of Canada | 5/11/2017 | 361 | ||||||||||||||||||
22,845 | Euro | 24,637 | Royal Bank of Canada | 5/11/2017 | 258 | ||||||||||||||||||
140,882 | Euro | 151,436 | Royal Bank of Canada | 5/11/2017 | 2,086 | ||||||||||||||||||
11,209 | Euro | 11,914 | Royal Bank of Canada | 5/11/2017 | 301 | ||||||||||||||||||
14,992 | Euro | 16,099 | Royal Bank of Canada | 5/11/2017 | 238 | ||||||||||||||||||
36,916 | Euro | 40,264 | Royal Bank of Canada | 5/11/2017 | (36 | ) | |||||||||||||||||
28,752 | Euro | 30,536 | Societe Generale | 5/11/2017 | 796 | ||||||||||||||||||
18,956 | Euro | 20,303 | Societe Generale | 5/11/2017 | 354 | ||||||||||||||||||
26,545 | Euro | 28,216 | State Street Bank and Trust Company | 5/11/2017 | 711 | ||||||||||||||||||
23,683 | Euro | 25,260 | State Street Bank and Trust Company | 5/11/2017 | 548 | ||||||||||||||||||
18,080 | Euro | 19,312 | State Street Bank and Trust Company | 5/11/2017 | 390 | ||||||||||||||||||
57,749 | Euro | 62,542 | State Street Bank and Trust Company | 5/11/2017 | 388 | ||||||||||||||||||
6,027,187 | Japanese Yen | 52,613 | Goldman Sachs International | 5/11/2017 | 1,473 | ||||||||||||||||||
2,703,518 | Japanese Yen | 23,861 | Goldman Sachs International | 5/11/2017 | 399 | ||||||||||||||||||
1,616,804 | Japanese Yen | 14,165 | Goldman Sachs International | 5/11/2017 | 344 | ||||||||||||||||||
23,214,645 | Japanese Yen | 207,261 | Royal Bank of Canada | 5/11/2017 | 1,059 | ||||||||||||||||||
4,458,727 | Japanese Yen | 38,970 | Royal Bank of Canada | 5/11/2017 | 1,041 | ||||||||||||||||||
5,801,708 | Japanese Yen | 51,143 | Royal Bank of Canada | 5/11/2017 | 919 | ||||||||||||||||||
4,684,954 | Japanese Yen | 41,346 | Royal Bank of Canada | 5/11/2017 | 695 | ||||||||||||||||||
6,701,156 | Japanese Yen | 60,141 | Royal Bank of Canada | 5/11/2017 | (7 | ) | |||||||||||||||||
1,378,692 | Japanese Yen | 12,157 | Royal Bank of Canada | 5/11/2017 | 215 | ||||||||||||||||||
4,575,877 | Japanese Yen | 40,794 | Societe Generale | 5/11/2017 | 268 | ||||||||||||||||||
19,768,757 | Japanese Yen | 176,401 | State Street Bank and Trust Company | 5/11/2017 | 996 | ||||||||||||||||||
15,018,683 | Japanese Yen | 134,153 | State Street Bank and Trust Company | 5/11/2017 | 619 | ||||||||||||||||||
3,305,952 | Japanese Yen | 29,825 | State Street Bank and Trust Company | 5/11/2017 | (159 | ) | |||||||||||||||||
2,899,264 | Japanese Yen | 26,609 | State Street Bank and Trust Company | 5/11/2017 | (592 | ) | |||||||||||||||||
6,450,160 | Japanese Yen | 58,617 | State Street Bank and Trust Company | 5/11/2017 | (736 | ) | |||||||||||||||||
6,257,217 | Japanese Yen | 57,384 | State Street Bank and Trust Company | 5/11/2017 | (1,235 | ) | |||||||||||||||||
3,997,277 | Japanese Yen | 35,987 | Goldman Sachs International | 8/2/2017 | 8 | ||||||||||||||||||
1,525,576 | Mexican Peso | 72,709 | Goldman Sachs International | 5/11/2017 | 8,214 | ||||||||||||||||||
213,782 | Mexican Peso | 10,232 | Royal Bank of Canada | 5/11/2017 | 1,108 | ||||||||||||||||||
314,145 | Mexican Peso | 15,168 | State Street Bank and Trust Company | 5/11/2017 | 1,495 | ||||||||||||||||||
33,286 | New Zealand Dollar | 23,704 | Goldman Sachs International | 5/11/2017 | (855 | ) | |||||||||||||||||
96,575 | New Zealand Dollar | 67,929 | Goldman Sachs International | 5/11/2017 | (1,636 | ) | |||||||||||||||||
59,893 | New Zealand Dollar | 43,300 | Goldman Sachs International | 5/11/2017 | (2,187 | ) | |||||||||||||||||
92,471 | New Zealand Dollar | 66,170 | Goldman Sachs International | 5/11/2017 | (2,694 | ) | |||||||||||||||||
32,745 | New Zealand Dollar | 22,861 | Royal Bank of Canada | 5/11/2017 | (384 | ) | |||||||||||||||||
47,788 | New Zealand Dollar | 33,528 | Royal Bank of Canada | 5/11/2017 | (724 | ) | |||||||||||||||||
39,605 | New Zealand Dollar | 28,089 | Royal Bank of Canada | 5/11/2017 | (903 | ) | |||||||||||||||||
85,512 | New Zealand Dollar | 59,704 | Royal Bank of Canada | 5/11/2017 | (1,005 | ) | |||||||||||||||||
47,321 | New Zealand Dollar | 33,795 | Royal Bank of Canada | 5/11/2017 | (1,312 | ) | |||||||||||||||||
86,448 | New Zealand Dollar | 60,709 | Royal Bank of Canada | 5/11/2017 | (1,368 | ) |
See Notes to Financial Statements
80
Schedule of Investments Multi-Asset Income Fund (Unaudited) (cont'd)
Contracts to Receive | In Exchange For | Counterparty | Settlement Date | Net Unrealized Appreciation/ (Depreciation) | |||||||||||||||||||
261,680 | New Zealand Dollar | $ | 190,468 | Royal Bank of Canada | 5/11/2017 | $ | (10,839 | ) | |||||||||||||||
74,698 | New Zealand Dollar | 53,633 | Societe Generale | 5/11/2017 | (2,357 | ) | |||||||||||||||||
100,559 | New Zealand Dollar | 73,273 | Societe Generale | 5/11/2017 | (4,245 | ) | |||||||||||||||||
23,428 | New Zealand Dollar | 16,238 | State Street Bank and Trust Company | 5/11/2017 | (156 | ) | |||||||||||||||||
47,946 | New Zealand Dollar | 33,112 | State Street Bank and Trust Company | 5/11/2017 | (199 | ) | |||||||||||||||||
31,615 | New Zealand Dollar | 22,165 | State Street Bank and Trust Company | 5/11/2017 | (463 | ) | |||||||||||||||||
32,288 | New Zealand Dollar | 22,751 | State Street Bank and Trust Company | 5/11/2017 | (587 | ) | |||||||||||||||||
90,625 | New Zealand Dollar | 62,828 | State Street Bank and Trust Company | 5/11/2017 | (619 | ) | |||||||||||||||||
44,606 | New Zealand Dollar | 31,987 | State Street Bank and Trust Company | 5/11/2017 | (1,368 | ) | |||||||||||||||||
109,424 | New Zealand Dollar | 76,743 | State Street Bank and Trust Company | 5/11/2017 | (1,630 | ) | |||||||||||||||||
118,916 | New Zealand Dollar | 83,434 | State Street Bank and Trust Company | 5/11/2017 | (1,805 | ) | |||||||||||||||||
424,910 | New Zealand Dollar | 309,041 | State Street Bank and Trust Company | 5/11/2017 | (17,364 | ) | |||||||||||||||||
127,486 | New Zealand Dollar | 87,187 | Goldman Sachs International | 8/2/2017 | 150 | ||||||||||||||||||
427,622 | Norwegian Krone | 51,159 | Goldman Sachs International | 5/11/2017 | (1,349 | ) | |||||||||||||||||
365,197 | Norwegian Krone | 42,537 | Royal Bank of Canada | 5/11/2017 | 1 | ||||||||||||||||||
120,702 | Norwegian Krone | 14,152 | Royal Bank of Canada | 5/11/2017 | (93 | ) | |||||||||||||||||
317,705 | Norwegian Krone | 37,400 | Royal Bank of Canada | 5/11/2017 | (393 | ) | |||||||||||||||||
288,039 | Norwegian Krone | 34,443 | Royal Bank of Canada | 5/11/2017 | (892 | ) | |||||||||||||||||
617,559 | Norwegian Krone | 74,270 | Royal Bank of Canada | 5/11/2017 | (2,337 | ) | |||||||||||||||||
1,120,922 | Norwegian Krone | 134,797 | Royal Bank of Canada | 5/11/2017 | (4,231 | ) | |||||||||||||||||
318,970 | Norwegian Krone | 37,099 | Royal Bank of Canada | 5/11/2017 | 55 | ||||||||||||||||||
731,946 | Norwegian Krone | 87,667 | Societe Generale | 5/11/2017 | (2,410 | ) | |||||||||||||||||
2,007,619 | Norwegian Krone | 241,379 | Societe Generale | 5/11/2017 | (7,531 | ) | |||||||||||||||||
154,164 | Norwegian Krone | 17,920 | State Street Bank and Trust Company | 5/11/2017 | 37 | ||||||||||||||||||
94,152 | Norwegian Krone | 10,979 | State Street Bank and Trust Company | 5/11/2017 | (12 | ) | |||||||||||||||||
467,977 | Norwegian Krone | 54,885 | State Street Bank and Trust Company | 5/11/2017 | (375 | ) | |||||||||||||||||
351,162 | Norwegian Krone | 41,374 | State Street Bank and Trust Company | 5/11/2017 | (470 | ) | |||||||||||||||||
1,012,082 | Norwegian Krone | 118,492 | State Street Bank and Trust Company | 5/11/2017 | (604 | ) | |||||||||||||||||
296,106 | Norwegian Krone | 35,631 | State Street Bank and Trust Company | 5/11/2017 | (1,141 | ) | |||||||||||||||||
441,842 | Norwegian Krone | 53,132 | State Street Bank and Trust Company | 5/11/2017 | (1,667 | ) | |||||||||||||||||
574,686 | Norwegian Krone | 69,037 | State Street Bank and Trust Company | 5/11/2017 | (2,097 | ) | |||||||||||||||||
917,806 | Norwegian Krone | 107,531 | Goldman Sachs International | 8/2/2017 | (516 | ) | |||||||||||||||||
16,603 | Pound Sterling | 20,200 | Goldman Sachs International | 5/11/2017 | 1,309 | ||||||||||||||||||
26,379 | Pound Sterling | 33,048 | Goldman Sachs International | 5/11/2017 | 1,126 | ||||||||||||||||||
113,739 | Pound Sterling | 138,982 | Royal Bank of Canada | 5/11/2017 | 8,366 | ||||||||||||||||||
116,729 | Pound Sterling | 143,550 | Royal Bank of Canada | 5/11/2017 | 7,672 | ||||||||||||||||||
117,799 | Pound Sterling | 145,961 | Royal Bank of Canada | 5/11/2017 | 6,647 | ||||||||||||||||||
54,137 | Pound Sterling | 67,380 | Royal Bank of Canada | 5/11/2017 | 2,754 | ||||||||||||||||||
28,629 | Pound Sterling | 35,063 | Royal Bank of Canada | 5/11/2017 | 2,025 | ||||||||||||||||||
9,213 | Pound Sterling | 11,563 | Royal Bank of Canada | 5/11/2017 | 373 | ||||||||||||||||||
9,725 | Pound Sterling | 12,229 | Royal Bank of Canada | 5/11/2017 | 369 | ||||||||||||||||||
20,405 | Pound Sterling | 25,445 | Royal Bank of Canada | 5/11/2017 | 990 | ||||||||||||||||||
63,994 | Pound Sterling | 79,524 | Royal Bank of Canada | 5/11/2017 | 3,380 | ||||||||||||||||||
139,829 | Pound Sterling | 173,402 | Societe Generale | 5/11/2017 | 7,746 |
See Notes to Financial Statements
81
Schedule of Investments Multi-Asset Income Fund (Unaudited) (cont'd)
Contracts to Receive | In Exchange For | Counterparty | Settlement Date | Net Unrealized Appreciation/ (Depreciation) | |||||||||||||||||||
34,355 | Pound Sterling | $ | 41,844 | State Street Bank and Trust Company | 5/11/2017 | $ | 2,663 | ||||||||||||||||
20,929 | Pound Sterling | 25,471 | State Street Bank and Trust Company | 5/11/2017 | 1,643 | ||||||||||||||||||
8,592 | Pound Sterling | 10,744 | State Street Bank and Trust Company | 5/11/2017 | 387 | ||||||||||||||||||
109,521 | Swedish Krona | 12,271 | Goldman Sachs International | 5/11/2017 | 99 | ||||||||||||||||||
521,025 | Swedish Krona | 58,814 | Goldman Sachs International | 5/11/2017 | 34 | ||||||||||||||||||
622,460 | Swedish Krona | 69,147 | Royal Bank of Canada | 5/11/2017 | 1,157 | ||||||||||||||||||
652,070 | Swedish Krona | 72,739 | Royal Bank of Canada | 5/11/2017 | 910 | ||||||||||||||||||
151,318 | Swedish Krona | 17,048 | Royal Bank of Canada | 5/11/2017 | 43 | ||||||||||||||||||
211,202 | Swedish Krona | 23,887 | Royal Bank of Canada | 5/11/2017 | (33 | ) | |||||||||||||||||
2,389,875 | Swedish Krona | 270,285 | Royal Bank of Canada | 5/11/2017 | (357 | ) | |||||||||||||||||
246,932 | Swedish Krona | 27,394 | Royal Bank of Canada | 5/11/2017 | 496 | ||||||||||||||||||
274,378 | Swedish Krona | 30,507 | Royal Bank of Canada | 5/11/2017 | 484 | ||||||||||||||||||
210,760 | Swedish Krona | 23,433 | Societe Generale | 5/11/2017 | 371 | ||||||||||||||||||
729,463 | Swedish Krona | 80,930 | State Street Bank and Trust Company | 5/11/2017 | 1,461 | ||||||||||||||||||
544,938 | Swedish Krona | 60,841 | State Street Bank and Trust Company | 5/11/2017 | 708 | ||||||||||||||||||
294,117 | Swedish Krona | 32,571 | State Street Bank and Trust Company | 5/11/2017 | 649 | ||||||||||||||||||
99,181 | Swedish Krona | 11,004 | State Street Bank and Trust Company | 5/11/2017 | 198 | ||||||||||||||||||
110,819 | Swedish Krona | 12,334 | State Street Bank and Trust Company | 5/11/2017 | 182 | ||||||||||||||||||
99,878 | Swedish Krona | 11,233 | State Street Bank and Trust Company | 5/11/2017 | 48 | ||||||||||||||||||
1,273,321 | Swedish Krona | 144,006 | State Street Bank and Trust Company | 5/11/2017 | (188 | ) | |||||||||||||||||
308,467 | Swedish Krona | 35,199 | State Street Bank and Trust Company | 5/11/2017 | (359 | ) | |||||||||||||||||
411,272 | Swedish Krona | 46,782 | Goldman Sachs International | 8/2/2017 | (124 | ) | |||||||||||||||||
36,591 | Swiss Franc | 36,405 | Goldman Sachs International | 5/11/2017 | 387 | ||||||||||||||||||
53,981 | Swiss Franc | 54,014 | Goldman Sachs International | 5/11/2017 | 263 | ||||||||||||||||||
15,852 | Swiss Franc | 15,890 | Royal Bank of Canada | 5/11/2017 | 50 | ||||||||||||||||||
67,108 | Swiss Franc | 67,441 | Royal Bank of Canada | 5/11/2017 | 36 | ||||||||||||||||||
45,324 | Swiss Franc | 45,623 | Royal Bank of Canada | 5/11/2017 | (50 | ) | |||||||||||||||||
54,911 | Swiss Franc | 54,703 | Royal Bank of Canada | 5/11/2017 | 510 | ||||||||||||||||||
22,279 | Swiss Franc | 22,199 | Royal Bank of Canada | 5/11/2017 | 203 | ||||||||||||||||||
56,588 | Swiss Franc | 56,551 | Societe Generale | 5/11/2017 | 348 | ||||||||||||||||||
111,594 | Swiss Franc | 110,995 | State Street Bank and Trust Company | 5/11/2017 | 1,213 | ||||||||||||||||||
76,339 | Swiss Franc | 75,979 | State Street Bank and Trust Company | 5/11/2017 | 780 | ||||||||||||||||||
49,012 | Swiss Franc | 49,014 | State Street Bank and Trust Company | 5/11/2017 | 268 | ||||||||||||||||||
10,601 | Swiss Franc | 10,627 | State Street Bank and Trust Company | 5/11/2017 | 33 | ||||||||||||||||||
40,605 | Swiss Franc | 40,826 | State Street Bank and Trust Company | 5/11/2017 | 2 | ||||||||||||||||||
149,331 | Swiss Franc | 150,195 | State Street Bank and Trust Company | 5/11/2017 | (42 | ) | |||||||||||||||||
238,244 | Swiss Franc | 239,641 | State Street Bank and Trust Company | 5/11/2017 | (87 | ) | |||||||||||||||||
Total | $ | (55,298 | ) | ||||||||||||||||||||
Contracts to Deliver | In Exchange For | Counterparty | Settlement Date | Net Unrealized Appreciation/ (Depreciation) | |||||||||||||||||||
88,656 | Australian Dollar | $ | 67,770 | Goldman Sachs International | 5/11/2017 | $ | 1,396 | ||||||||||||||||
92,556 | Australian Dollar | 70,381 | Goldman Sachs International | 5/11/2017 | 1,086 |
See Notes to Financial Statements
82
Schedule of Investments Multi-Asset Income Fund (Unaudited) (cont'd)
Contracts to Deliver | In Exchange For | Counterparty | Settlement Date | Net Unrealized Appreciation/ (Depreciation) | |||||||||||||||||||
18,992 | Australian Dollar | $ | 14,558 | Goldman Sachs International | 5/11/2017 | $ | 339 | ||||||||||||||||
330,020 | Australian Dollar | 250,865 | Royal Bank of Canada | 5/11/2017 | 3,788 | ||||||||||||||||||
228,931 | Australian Dollar | 173,382 | Royal Bank of Canada | 5/11/2017 | 1,987 | ||||||||||||||||||
53,326 | Australian Dollar | 40,836 | Royal Bank of Canada | 5/11/2017 | 912 | ||||||||||||||||||
20,124 | Australian Dollar | 15,449 | Royal Bank of Canada | 5/11/2017 | 383 | ||||||||||||||||||
16,327 | Australian Dollar | 12,597 | Royal Bank of Canada | 5/11/2017 | 373 | ||||||||||||||||||
53,931 | Australian Dollar | 40,631 | Royal Bank of Canada | 5/11/2017 | 254 | ||||||||||||||||||
130,383 | Australian Dollar | 99,699 | Societe Generale | 5/11/2017 | 2,084 | ||||||||||||||||||
651,419 | Australian Dollar | 495,196 | State Street Bank and Trust Company | 5/11/2017 | 7,496 | ||||||||||||||||||
92,633 | Australian Dollar | 71,024 | State Street Bank and Trust Company | 5/11/2017 | 1,672 | ||||||||||||||||||
49,598 | Australian Dollar | 37,879 | State Street Bank and Trust Company | 5/11/2017 | 746 | ||||||||||||||||||
83,431 | Australian Dollar | 63,030 | State Street Bank and Trust Company | 5/11/2017 | 568 | ||||||||||||||||||
19,134 | Australian Dollar | 14,398 | State Street Bank and Trust Company | 5/11/2017 | 73 | ||||||||||||||||||
33,825 | Australian Dollar | 25,279 | State Street Bank and Trust Company | 5/11/2017 | (44 | ) | |||||||||||||||||
28,408 | Australian Dollar | 21,134 | Goldman Sachs International | 8/2/2017 | (105 | ) | |||||||||||||||||
482,407 | Canadian Dollar | 365,647 | Goldman Sachs International | 5/11/2017 | 12,198 | ||||||||||||||||||
19,674 | Canadian Dollar | 14,773 | Goldman Sachs International | 5/11/2017 | 358 | ||||||||||||||||||
642,977 | Canadian Dollar | 488,480 | Royal Bank of Canada | 5/11/2017 | 17,385 | ||||||||||||||||||
143,690 | Canadian Dollar | 108,999 | Royal Bank of Canada | 5/11/2017 | 3,720 | ||||||||||||||||||
127,623 | Canadian Dollar | 96,984 | Royal Bank of Canada | 5/11/2017 | 3,477 | ||||||||||||||||||
72,141 | Canadian Dollar | 54,002 | Royal Bank of Canada | 5/11/2017 | 1,146 | ||||||||||||||||||
35,832 | Canadian Dollar | 26,747 | Royal Bank of Canada | 5/11/2017 | 493 | ||||||||||||||||||
61,408 | Canadian Dollar | 45,782 | Royal Bank of Canada | 5/11/2017 | 790 | ||||||||||||||||||
20,083 | Canadian Dollar | 15,119 | Royal Bank of Canada | 5/11/2017 | 405 | ||||||||||||||||||
16,090 | Canadian Dollar | 11,970 | Royal Bank of Canada | 5/11/2017 | 181 | ||||||||||||||||||
79,742 | Canadian Dollar | 60,849 | Societe Generale | 5/11/2017 | 2,424 | ||||||||||||||||||
52,812 | Canadian Dollar | 40,127 | State Street Bank and Trust Company | 5/11/2017 | 1,433 | ||||||||||||||||||
64,369 | Canadian Dollar | 48,319 | State Street Bank and Trust Company | 5/11/2017 | 1,157 | ||||||||||||||||||
57,320 | Canadian Dollar | 42,893 | State Street Bank and Trust Company | 5/11/2017 | 895 | ||||||||||||||||||
34,139 | Canadian Dollar | 25,277 | State Street Bank and Trust Company | 5/11/2017 | 264 | ||||||||||||||||||
27,160 | Canadian Dollar | 20,138 | State Street Bank and Trust Company | 5/11/2017 | 238 | ||||||||||||||||||
48,746 | Euro | 52,632 | Goldman Sachs International | 5/11/2017 | (488 | ) | |||||||||||||||||
27,304 | Euro | 28,878 | Goldman Sachs International | 5/11/2017 | (875 | ) | |||||||||||||||||
57,930 | Euro | 61,310 | Goldman Sachs International | 5/11/2017 | (1,818 | ) | |||||||||||||||||
30,349 | Euro | 32,825 | Royal Bank of Canada | 5/11/2017 | (247 | ) | |||||||||||||||||
41,696 | Euro | 45,078 | Royal Bank of Canada | 5/11/2017 | (359 | ) | |||||||||||||||||
18,225 | Euro | 19,468 | Royal Bank of Canada | 5/11/2017 | (392 | ) | |||||||||||||||||
39,551 | Euro | 42,533 | Royal Bank of Canada | 5/11/2017 | (566 | ) | |||||||||||||||||
31,134 | Euro | 33,126 | Royal Bank of Canada | 5/11/2017 | (802 | ) | |||||||||||||||||
36,194 | Euro | 38,392 | Royal Bank of Canada | 5/11/2017 | (1,050 | ) | |||||||||||||||||
120,331 | Euro | 126,850 | Royal Bank of Canada | 5/11/2017 | (4,278 | ) | |||||||||||||||||
16,658 | Euro | 17,734 | Royal Bank of Canada | 5/11/2017 | (419 | ) | |||||||||||||||||
23,086 | Euro | 24,628 | Royal Bank of Canada | 5/11/2017 | (529 | ) | |||||||||||||||||
26,033 | Euro | 28,076 | Societe Generale | 5/11/2017 | (293 | ) |
See Notes to Financial Statements
83
Schedule of Investments Multi-Asset Income Fund (Unaudited) (cont'd)
Contracts to Deliver | In Exchange For | Counterparty | Settlement Date | Net Unrealized Appreciation/ (Depreciation) | |||||||||||||||||||
30,699 | Euro | $ | 32,712 | Societe Generale | 5/11/2017 | $ | (741 | ) | |||||||||||||||
50,988 | Euro | 55,579 | State Street Bank and Trust Company | 5/11/2017 | 16 | ||||||||||||||||||
30,932 | Euro | 33,680 | State Street Bank and Trust Company | 5/11/2017 | (27 | ) | |||||||||||||||||
11,716 | Euro | 12,609 | State Street Bank and Trust Company | 5/11/2017 | (158 | ) | |||||||||||||||||
33,399 | Euro | 35,683 | State Street Bank and Trust Company | 5/11/2017 | (712 | ) | |||||||||||||||||
54,026 | Euro | 57,920 | State Street Bank and Trust Company | 5/11/2017 | (954 | ) | |||||||||||||||||
53,057 | Euro | 56,749 | State Street Bank and Trust Company | 5/11/2017 | (1,069 | ) | |||||||||||||||||
65,878 | Euro | 70,348 | State Street Bank and Trust Company | 5/11/2017 | (1,440 | ) | |||||||||||||||||
45,787 | Euro | 48,397 | State Street Bank and Trust Company | 5/11/2017 | (1,498 | ) | |||||||||||||||||
137,109 | Euro | 146,944 | State Street Bank and Trust Company | 5/11/2017 | (2,467 | ) | |||||||||||||||||
58,650 | Euro | 64,195 | Goldman Sachs International | 8/2/2017 | 9 | ||||||||||||||||||
1,805,341 | Japanese Yen | 16,286 | Goldman Sachs International | 5/11/2017 | 85 | ||||||||||||||||||
5,146,087 | Japanese Yen | 45,860 | Goldman Sachs International | 5/11/2017 | (319 | ) | |||||||||||||||||
6,861,565 | Japanese Yen | 61,238 | Goldman Sachs International | 5/11/2017 | (335 | ) | |||||||||||||||||
2,504,265 | Japanese Yen | 21,980 | Goldman Sachs International | 5/11/2017 | (493 | ) | |||||||||||||||||
3,179,313 | Japanese Yen | 28,687 | Royal Bank of Canada | 5/11/2017 | 158 | ||||||||||||||||||
4,669,417 | Japanese Yen | 42,033 | Royal Bank of Canada | 5/11/2017 | 132 | ||||||||||||||||||
3,042,990 | Japanese Yen | 27,386 | Royal Bank of Canada | 5/11/2017 | 79 | ||||||||||||||||||
1,757,957 | Japanese Yen | 15,702 | Royal Bank of Canada | 5/11/2017 | (73 | ) | |||||||||||||||||
3,698,810 | Japanese Yen | 33,040 | Royal Bank of Canada | 5/11/2017 | (152 | ) | |||||||||||||||||
4,075,978 | Japanese Yen | 36,067 | Royal Bank of Canada | 5/11/2017 | (509 | ) | |||||||||||||||||
4,141,440 | Japanese Yen | 36,288 | Royal Bank of Canada | 5/11/2017 | (875 | ) | |||||||||||||||||
7,362,406 | Japanese Yen | 65,131 | Royal Bank of Canada | 5/11/2017 | (936 | ) | |||||||||||||||||
13,472,476 | Japanese Yen | 118,572 | Royal Bank of Canada | 5/11/2017 | (2,325 | ) | |||||||||||||||||
6,870,271 | Japanese Yen | 62,154 | Royal Bank of Canada | 5/11/2017 | 503 | ||||||||||||||||||
2,101,192 | Japanese Yen | 18,997 | Royal Bank of Canada | 5/11/2017 | 142 | ||||||||||||||||||
6,585,288 | Japanese Yen | 58,740 | Societe Generale | 5/11/2017 | (354 | ) | |||||||||||||||||
12,739,076 | Japanese Yen | 113,830 | Societe Generale | 5/11/2017 | (486 | ) | |||||||||||||||||
15,233,014 | Japanese Yen | 140,272 | State Street Bank and Trust Company | 5/11/2017 | 3,577 | ||||||||||||||||||
4,284,300 | Japanese Yen | 38,897 | State Street Bank and Trust Company | 5/11/2017 | 451 | ||||||||||||||||||
2,773,908 | Japanese Yen | 25,325 | State Street Bank and Trust Company | 5/11/2017 | 433 | ||||||||||||||||||
2,758,543 | Japanese Yen | 24,827 | State Street Bank and Trust Company | 5/11/2017 | 73 | ||||||||||||||||||
3,017,007 | Japanese Yen | 26,800 | State Street Bank and Trust Company | 5/11/2017 | (274 | ) | |||||||||||||||||
4,665,721 | Japanese Yen | 40,778 | State Street Bank and Trust Company | 5/11/2017 | (1,090 | ) | |||||||||||||||||
781,831 | Mexican Peso | 38,012 | Goldman Sachs International | 5/11/2017 | (3,459 | ) | |||||||||||||||||
268,083 | Mexican Peso | 12,823 | State Street Bank and Trust Company | 5/11/2017 | (1,397 | ) | |||||||||||||||||
1,004,394 | Mexican Peso | 48,557 | State Street Bank and Trust Company | 5/11/2017 | (4,720 | ) | |||||||||||||||||
199,238 | New Zealand Dollar | 144,860 | Goldman Sachs International | 5/11/2017 | 8,094 | ||||||||||||||||||
60,117 | New Zealand Dollar | 43,735 | Royal Bank of Canada | 5/11/2017 | 2,468 | ||||||||||||||||||
64,340 | New Zealand Dollar | 46,127 | Royal Bank of Canada | 5/11/2017 | 1,961 | ||||||||||||||||||
46,080 | New Zealand Dollar | 33,145 | Royal Bank of Canada | 5/11/2017 | 1,513 | ||||||||||||||||||
67,225 | New Zealand Dollar | 47,149 | Royal Bank of Canada | 5/11/2017 | 1,003 | ||||||||||||||||||
22,865 | New Zealand Dollar | 15,969 | Royal Bank of Canada | 5/11/2017 | 274 | ||||||||||||||||||
15,389 | New Zealand Dollar | 10,818 | Royal Bank of Canada | 5/11/2017 | 254 |
See Notes to Financial Statements
84
Schedule of Investments Multi-Asset Income Fund (Unaudited) (cont'd)
Contracts to Deliver | In Exchange For | Counterparty | Settlement Date | Net Unrealized Appreciation/ (Depreciation) | |||||||||||||||||||
74,397 | New Zealand Dollar | $ | 53,974 | Royal Bank of Canada | 5/11/2017 | $ | 2,905 | ||||||||||||||||
167,124 | New Zealand Dollar | 116,272 | Royal Bank of Canada | 5/11/2017 | 1,550 | ||||||||||||||||||
699,909 | New Zealand Dollar | 508,673 | Societe Generale | 5/11/2017 | 28,224 | ||||||||||||||||||
41,834 | New Zealand Dollar | 29,936 | Societe Generale | 5/11/2017 | 1,220 | ||||||||||||||||||
93,468 | New Zealand Dollar | 66,393 | State Street Bank and Trust Company | 5/11/2017 | 2,232 | ||||||||||||||||||
41,413 | New Zealand Dollar | 29,700 | State Street Bank and Trust Company | 5/11/2017 | 1,272 | ||||||||||||||||||
75,177 | New Zealand Dollar | 52,551 | State Street Bank and Trust Company | 5/11/2017 | 946 | ||||||||||||||||||
28,034 | New Zealand Dollar | 19,679 | State Street Bank and Trust Company | 5/11/2017 | 435 | ||||||||||||||||||
28,778 | New Zealand Dollar | 19,956 | State Street Bank and Trust Company | 5/11/2017 | 201 | ||||||||||||||||||
23,242 | New Zealand Dollar | 16,062 | State Street Bank and Trust Company | 5/11/2017 | 107 | ||||||||||||||||||
1,288,622 | Norwegian Krone | 154,775 | Goldman Sachs International | 5/11/2017 | 4,675 | ||||||||||||||||||
468,699 | Norwegian Krone | 55,835 | Goldman Sachs International | 5/11/2017 | 1,241 | ||||||||||||||||||
197,834 | Norwegian Krone | 23,357 | Goldman Sachs International | 5/11/2017 | 314 | ||||||||||||||||||
401,294 | Norwegian Krone | 46,871 | Goldman Sachs International | 5/11/2017 | 128 | ||||||||||||||||||
374,173 | Norwegian Krone | 44,938 | Royal Bank of Canada | 5/11/2017 | 1,354 | ||||||||||||||||||
163,299 | Norwegian Krone | 19,527 | Royal Bank of Canada | 5/11/2017 | 506 | ||||||||||||||||||
217,817 | Norwegian Krone | 25,820 | Royal Bank of Canada | 5/11/2017 | 449 | ||||||||||||||||||
130,204 | Norwegian Krone | 15,402 | Royal Bank of Canada | 5/11/2017 | 236 | ||||||||||||||||||
390,829 | Norwegian Krone | 45,735 | Royal Bank of Canada | 5/11/2017 | 211 | ||||||||||||||||||
165,595 | Norwegian Krone | 19,931 | Royal Bank of Canada | 5/11/2017 | 642 | ||||||||||||||||||
257,524 | Norwegian Krone | 30,205 | Royal Bank of Canada | 5/11/2017 | 208 | ||||||||||||||||||
359,022 | Norwegian Krone | 41,863 | Royal Bank of Canada | 5/11/2017 | 44 | ||||||||||||||||||
127,482 | Norwegian Krone | 14,813 | Royal Bank of Canada | 5/11/2017 | (36 | ) | |||||||||||||||||
708,898 | Norwegian Krone | 86,009 | Societe Generale | 5/11/2017 | 3,436 | ||||||||||||||||||
196,138 | Norwegian Krone | 23,261 | State Street Bank and Trust Company | 5/11/2017 | 415 | ||||||||||||||||||
88,622 | Norwegian Krone | 10,644 | State Street Bank and Trust Company | 5/11/2017 | 321 | ||||||||||||||||||
1,032,140 | Norwegian Krone | 120,436 | State Street Bank and Trust Company | 5/11/2017 | 212 | ||||||||||||||||||
42,843 | Pound Sterling | 53,351 | Goldman Sachs International | 5/11/2017 | (2,152 | ) | |||||||||||||||||
65,035 | Pound Sterling | 80,539 | Goldman Sachs International | 5/11/2017 | (3,713 | ) | |||||||||||||||||
11,396 | Pound Sterling | 13,973 | Royal Bank of Canada | 5/11/2017 | (790 | ) | |||||||||||||||||
32,172 | Pound Sterling | 40,169 | Royal Bank of Canada | 5/11/2017 | (1,510 | ) | |||||||||||||||||
48,900 | Pound Sterling | 60,979 | Royal Bank of Canada | 5/11/2017 | (2,370 | ) | |||||||||||||||||
34,383 | Pound Sterling | 42,160 | Royal Bank of Canada | 5/11/2017 | (2,383 | ) | |||||||||||||||||
70,203 | Pound Sterling | 87,544 | Royal Bank of Canada | 5/11/2017 | (3,404 | ) | |||||||||||||||||
9,367 | Pound Sterling | 11,721 | Royal Bank of Canada | 5/11/2017 | (414 | ) | |||||||||||||||||
51,312 | Pound Sterling | 65,775 | Royal Bank of Canada | 5/11/2017 | (700 | ) | |||||||||||||||||
35,892 | Pound Sterling | 44,831 | Societe Generale | 5/11/2017 | (1,667 | ) | |||||||||||||||||
18,198 | Pound Sterling | 23,320 | State Street Bank and Trust Company | 5/11/2017 | (256 | ) | |||||||||||||||||
8,951 | Pound Sterling | 11,164 | State Street Bank and Trust Company | 5/11/2017 | (432 | ) | |||||||||||||||||
21,027 | Pound Sterling | 26,488 | State Street Bank and Trust Company | 5/11/2017 | (753 | ) | |||||||||||||||||
68,023 | Pound Sterling | 87,236 | State Street Bank and Trust Company | 5/11/2017 | (887 | ) | |||||||||||||||||
24,418 | Pound Sterling | 30,515 | State Street Bank and Trust Company | 5/11/2017 | (1,118 | ) | |||||||||||||||||
59,814 | Pound Sterling | 75,241 | State Street Bank and Trust Company | 5/11/2017 | (2,248 | ) | |||||||||||||||||
54,526 | Pound Sterling | 68,115 | State Street Bank and Trust Company | 5/11/2017 | (2,523 | ) |
See Notes to Financial Statements
85
Schedule of Investments Multi-Asset Income Fund (Unaudited) (cont'd)
Contracts to Deliver | In Exchange For | Counterparty | Settlement Date | Net Unrealized Appreciation/ (Depreciation) | |||||||||||||||||||
77,622 | Pound Sterling | $ | 97,376 | State Street Bank and Trust Company | 5/11/2017 | $ | (3,183 | ) | |||||||||||||||
87,393 | Pound Sterling | 108,477 | State Street Bank and Trust Company | 5/11/2017 | (4,741 | ) | |||||||||||||||||
144,350 | Pound Sterling | 178,763 | State Street Bank and Trust Company | 5/11/2017 | (8,241 | ) | |||||||||||||||||
35,002 | Pound Sterling | 45,302 | Goldman Sachs International | 8/2/2017 | (151 | ) | |||||||||||||||||
346,140 | Swedish Krona | 39,398 | Goldman Sachs International | 5/11/2017 | 303 | ||||||||||||||||||
482,940 | Swedish Krona | 54,271 | Goldman Sachs International | 5/11/2017 | (275 | ) | |||||||||||||||||
148,513 | Swedish Krona | 16,458 | Goldman Sachs International | 5/11/2017 | (316 | ) | |||||||||||||||||
163,382 | Swedish Krona | 18,104 | Goldman Sachs International | 5/11/2017 | (349 | ) | |||||||||||||||||
357,471 | Swedish Krona | 39,931 | Goldman Sachs International | 5/11/2017 | (444 | ) | |||||||||||||||||
289,929 | Swedish Krona | 32,923 | Royal Bank of Canada | 5/11/2017 | 176 | ||||||||||||||||||
120,845 | Swedish Krona | 13,721 | Royal Bank of Canada | 5/11/2017 | 72 | ||||||||||||||||||
140,937 | Swedish Krona | 15,820 | Royal Bank of Canada | 5/11/2017 | (97 | ) | |||||||||||||||||
171,657 | Swedish Krona | 19,131 | Royal Bank of Canada | 5/11/2017 | (257 | ) | |||||||||||||||||
303,469 | Swedish Krona | 34,002 | Royal Bank of Canada | 5/11/2017 | (274 | ) | |||||||||||||||||
123,897 | Swedish Krona | 14,097 | Royal Bank of Canada | 5/11/2017 | 104 | ||||||||||||||||||
168,533 | Swedish Krona | 18,824 | Royal Bank of Canada | 5/11/2017 | (212 | ) | |||||||||||||||||
430,345 | Swedish Krona | 49,102 | Societe Generale | 5/11/2017 | 496 | ||||||||||||||||||
390,041 | Swedish Krona | 44,085 | Societe Generale | 5/11/2017 | 31 | ||||||||||||||||||
279,705 | Swedish Krona | 31,440 | Societe Generale | 5/11/2017 | (152 | ) | |||||||||||||||||
281,744 | Swedish Krona | 32,170 | State Street Bank and Trust Company | 5/11/2017 | 348 | ||||||||||||||||||
336,692 | Swedish Krona | 38,302 | State Street Bank and Trust Company | 5/11/2017 | 274 | ||||||||||||||||||
674,126 | Swedish Krona | 76,241 | State Street Bank and Trust Company | 5/11/2017 | 101 | ||||||||||||||||||
254,289 | Swedish Krona | 28,803 | State Street Bank and Trust Company | 5/11/2017 | 82 | ||||||||||||||||||
574,424 | Swedish Krona | 64,842 | State Street Bank and Trust Company | 5/11/2017 | (37 | ) | |||||||||||||||||
734,647 | Swedish Krona | 82,358 | State Street Bank and Trust Company | 5/11/2017 | (618 | ) | |||||||||||||||||
590,225 | Swedish Krona | 65,500 | State Street Bank and Trust Company | 5/11/2017 | (1,164 | ) | |||||||||||||||||
54,961 | Swiss Franc | 55,542 | Goldman Sachs International | 5/11/2017 | 278 | ||||||||||||||||||
8,902 | Swiss Franc | 8,947 | Goldman Sachs International | 5/11/2017 | (4 | ) | |||||||||||||||||
15,817 | Swiss Franc | 15,632 | Goldman Sachs International | 5/11/2017 | (272 | ) | |||||||||||||||||
261,336 | Swiss Franc | 263,001 | Royal Bank of Canada | 5/11/2017 | 227 | ||||||||||||||||||
16,023 | Swiss Franc | 16,014 | Royal Bank of Canada | 5/11/2017 | (98 | ) | |||||||||||||||||
36,336 | Swiss Franc | 36,405 | Royal Bank of Canada | 5/11/2017 | (131 | ) | |||||||||||||||||
24,838 | Swiss Franc | 24,643 | Royal Bank of Canada | 5/11/2017 | (332 | ) | |||||||||||||||||
35,126 | Swiss Franc | 34,918 | Royal Bank of Canada | 5/11/2017 | (401 | ) | |||||||||||||||||
49,518 | Swiss Franc | 49,020 | Royal Bank of Canada | 5/11/2017 | (770 | ) | |||||||||||||||||
100,857 | Swiss Franc | 100,114 | Royal Bank of Canada | 5/11/2017 | (1,298 | ) | |||||||||||||||||
59,258 | Swiss Franc | 59,832 | Royal Bank of Canada | 5/11/2017 | 248 | ||||||||||||||||||
54,951 | Swiss Franc | 55,303 | Royal Bank of Canada | 5/11/2017 | 50 | ||||||||||||||||||
508,306 | Swiss Franc | 511,207 | Societe Generale | 5/11/2017 | 105 | ||||||||||||||||||
51,538 | Swiss Franc | 51,375 | Societe Generale | 5/11/2017 | (446 | ) | |||||||||||||||||
16,381 | Swiss Franc | 16,685 | State Street Bank and Trust Company | 5/11/2017 | 214 | ||||||||||||||||||
67,350 | Swiss Franc | 67,777 | State Street Bank and Trust Company | 5/11/2017 | 57 | ||||||||||||||||||
62,897 | Swiss Franc | 63,279 | State Street Bank and Trust Company | 5/11/2017 | 36 | ||||||||||||||||||
24,719 | Swiss Franc | 24,857 | State Street Bank and Trust Company | 5/11/2017 | 2 |
See Notes to Financial Statements
86
Schedule of Investments Multi-Asset Income Fund (Unaudited) (cont'd)
Contracts to Deliver | In Exchange For | Counterparty | Settlement Date | Net Unrealized Appreciation/ (Depreciation) | |||||||||||||||||||
41,716 | Swiss Franc | $ | 41,911 | State Street Bank and Trust Company | 5/11/2017 | $ | (34 | ) | |||||||||||||||
53,210 | Swiss Franc | 53,109 | State Street Bank and Trust Company | 5/11/2017 | (394 | ) | |||||||||||||||||
92,272 | Swiss Franc | 93,317 | Goldman Sachs International | 8/2/2017 | 53 | ||||||||||||||||||
Total | $ | 56,512 |
For the six months ended April 30, 2017, the Fund's investments in forward contracts had an average notional value of $15,093,122.
Written option contracts ("options written")
At April 30, 2017, the Fund had outstanding options written as follows:
Name of Issuer | Contracts | Exercise Price | Expiration Date | Market Value of Options | |||||||||||||||
S&P 500 Mini Index, Call | 5 | $ | 240 | 5/5/2017 | $ | (112 | ) | ||||||||||||
S&P 500 Mini Index, Call | 16 | 240.5 | 5/5/2017 | (208 | ) | ||||||||||||||
S&P 500 Mini Index, Call | 7 | 239 | 5/12/2017 | (777 | ) | ||||||||||||||
S&P 500 Mini Index, Call | 7 | 239.5 | 5/12/2017 | (609 | ) | ||||||||||||||
S&P 500 Mini Index, Call | 7 | 240.5 | 5/12/2017 | (315 | ) | ||||||||||||||
S&P 500 Mini Index, Call | 18 | 239 | 5/19/2017 | (2,502 | ) | ||||||||||||||
S&P 500 Mini Index, Call | 3 | 240 | 5/19/2017 | (276 | ) | ||||||||||||||
S&P 500 Mini Index, Call | 7 | 242 | 5/26/2017 | (360 | ) | ||||||||||||||
S&P 500 Mini Index, Call | 7 | 243 | 5/26/2017 | (227 | ) | ||||||||||||||
S&P 500 Mini Index, Call | 6 | 243.5 | 5/26/2017 | (150 | ) | ||||||||||||||
S&P 500 Mini Index, Put | 6 | 232 | 5/5/2017 | (0 | )(a)(b) | ||||||||||||||
S&P 500 Mini Index, Put | 5 | 232.5 | 5/5/2017 | (0 | )(a)(b) | ||||||||||||||
S&P 500 Mini Index, Put | 10 | 229 | 5/12/2017 | (260 | ) | ||||||||||||||
S&P 500 Mini Index, Put | 11 | 230 | 5/12/2017 | (336 | ) | ||||||||||||||
S&P 500 Mini Index, Put | 13 | 230 | 5/19/2017 | (624 | ) | ||||||||||||||
S&P 500 Mini Index, Put | 9 | 231 | 5/19/2017 | (486 | ) | ||||||||||||||
S&P 500 Mini Index, Put | 1 | 230.5 | 5/26/2017 | (65 | ) | ||||||||||||||
S&P 500 Mini Index, Put | 3 | 232.5 | 5/26/2017 | (252 | ) | ||||||||||||||
S&P 500 Mini Index, Put | 9 | 234 | 5/26/2017 | (932 | ) | ||||||||||||||
S&P 500 Mini Index, Put | 8 | 235 | 5/26/2017 | (960 | ) | ||||||||||||||
S&P 500 Mini Index, Put | 5 | 234 | 6/2/2017 | (645 | ) | ||||||||||||||
S&P 500 Mini Index, Put | 5 | 235 | 6/2/2017 | (745 | ) | ||||||||||||||
Total (premium received: $19,071) | $ | (10,841 | ) |
See Notes to Financial Statements
87
Schedule of Investments Multi-Asset Income Fund (Unaudited) (cont'd)
Options written for the Fund for the six months ended April 30, 2017 were as follows:
Number of Contracts | Premium Received | ||||||||||
Outstanding 10/31/2016 | 152 | $ | 21,463 | ||||||||
Options Written | 1,181 | 115,447 | |||||||||
Options Expired | (10 | ) | (539 | ) | |||||||
Options Exercised | — | — | |||||||||
Options Closed | (1,155 | ) | (117,300 | ) | |||||||
Outstanding 4/30/2017 | 168 | $ | 19,071 |
For the six months ended April 30, 2017, the Fund had an average market value of $(11,279) in options written. At April 30, 2017, the Fund had securities pledged in the amount of $176,376 to cover collateral requirements for options written.
(a) Security fair valued as of April 30, 2017 in accordance with procedures approved by the Board.
(b) Amount less than one dollar.
The following is a summary, categorized by Level (see Note A of Notes to Financial Statements), of inputs used to value the Fund's investments as of April 30, 2017:
Asset Valuation Inputs | |||||||||||||||||||
(000's omitted) | Level 1 | Level 2 | Level 3 | Total | |||||||||||||||
Investments: | |||||||||||||||||||
Common Stocks(a) | $ | 7,624 | $ | — | $ | — | $ | 7,624 | |||||||||||
Convertible Preferred Stocks(a) | 61 | — | — | 61 | |||||||||||||||
Preferred Stocks(a) | 237 | — | — | 237 | |||||||||||||||
Convertible Bonds(a) | — | 148 | — | 148 | |||||||||||||||
Corporate Bonds(a) | — | 2,178 | — | 2,178 | |||||||||||||||
Mortgage-Backed Securities(a) | — | 2,791 | — | 2,791 | |||||||||||||||
U.S. Treasury Obligations | — | 3,183 | — | 3,183 | |||||||||||||||
U.S. Government Agency Securities | — | 200 | — | 200 | |||||||||||||||
Asset-Backed Securities | — | 480 | — | 480 | |||||||||||||||
Foreign Government Securities | — | 180 | — | 180 | |||||||||||||||
Exchange Traded Funds | 806 | — | — | 806 | |||||||||||||||
Master Limited Partnerships(a) | 506 | — | — | 506 | |||||||||||||||
Investment Companies | — | 5,204 | — | 5,204 | |||||||||||||||
Short-Term Investment | — | 751 | — | 751 | |||||||||||||||
Total Investments | $ | 9,234 | $ | 15,115 | $ | — | $ | 24,349 |
(a) The Schedule of Investments provides information on the industry categorization for the portfolio.
As of the six months ended April 30, 2017, no securities were transferred from one level (as of October 31, 2016) to another.
See Notes to Financial Statements
88
Schedule of Investments Multi-Asset Income Fund (Unaudited) (cont'd)
The following is a summary, categorized by Level (see Note A of Notes to Financial Statements), of inputs used to value the Fund's derivatives as of April 30, 2017:
Other Financial Instruments | |||||||||||||||||
(000's omitted) | Level 1 | Level 2 | Level 3(b) | Total | |||||||||||||
Futures(a) | |||||||||||||||||
Assets | $ | 24 | $ | — | $ | — | $ | 24 | |||||||||
Liabilities | (22 | ) | — | — | (22 | ) | |||||||||||
Forward Contracts(a) | |||||||||||||||||
Assets | — | 243 | — | 243 | |||||||||||||
Liabilities | — | (242 | ) | — | (242 | ) | |||||||||||
Options Written | |||||||||||||||||
Liabilities | (11 | ) | — | (0 | )(d) | (11 | ) | ||||||||||
Total | $ | (9 | ) | $ | 1 | $ | (0 | )(d) | $ | (8 | ) |
(a) Futures and forward contracts are reported at the cumulative unrealized appreciation/(depreciation) of the instrument.
(b) 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 11/1/2016 | 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 4/30/2017 | Net change in unrealized appreciation/ (depreciation) from investments still held as of 4/30/2017 | ||||||||||||||||||||||||||||||||||
Other Financial Instruments: | |||||||||||||||||||||||||||||||||||||||||||
(000's omitted) | |||||||||||||||||||||||||||||||||||||||||||
Options Written(c) | $ | — | $ | — | $ | 1 | $ | 1 | $ | — | $ | (2 | ) | $ | — | $ | — | $ | (0 | )(d) | $ | 2 | |||||||||||||||||||||
Total | $ | — | $ | — | $ | 1 | $ | 1 | $ | — | $ | (2 | ) | $ | — | $ | — | $ | (0 | )(d) | $ | 2 |
(c) As of the six months ended April 30, 2017, these investments were valued using methods the Board has approved in the good-faith belief that the resulting valuation will reflect the fair value of the security.
(d) Amount less than one thousand.
See Notes to Financial Statements
89
Consolidated Schedule of Investments Risk Balanced Commodity Strategy Fund (Unaudited) April 30, 2017
PRINCIPAL AMOUNT | VALUE | ||||||||||
(000's omitted) | (000's omitted) | ||||||||||
Asset-Backed Securities 19.0% | |||||||||||
Ally Auto Receivables Trust | |||||||||||
$ | 348 | Ser. 2016-3, Class A2, 1.19%, due 12/17/18 | $ | 348 | |||||||
875 | Ser. 2016-1, Class A3, 1.47%, due 4/15/20 | 875 | |||||||||
1,160 | American Express Credit Account Master Trust, Ser. 2013-1, Class A, 1.41%, due 2/16/21 | 1,164 | (a) | ||||||||
1,440 | BMW Vehicle Lease Trust, Ser. 2017-1, Class A2, 1.64%, due 7/22/19 | 1,442 | |||||||||
1,060 | BMW Vehicle Owner Trust, Ser. 2016-A, Class A2A, 0.99%, due 5/28/19 | 1,059 | |||||||||
1,800 | Capital One Multi-Asset Execution Trust, Ser. 2007-A7, Class A7, 5.75%, due 7/15/20 | 1,830 | |||||||||
2,100 | Chase Issuance Trust, Ser. 2015-A1, Class A1, 1.31%, due 2/18/20 | 2,104 | (a) | ||||||||
Citibank Credit Card Issuance Trust | |||||||||||
445 | Ser. 2013-A2, Class A2, 1.27%, due 5/26/20 | 446 | (a) | ||||||||
1,125 | Ser. 2017-A1, Class A1, 1.24%, due 1/19/21 | 1,127 | (a) | ||||||||
Ford Credit Auto Owner Trust | |||||||||||
590 | Ser. 2016-C, Class A2A, 1.04%, due 9/15/19 | 589 | |||||||||
700 | Ser. 2017-A, Class A2A, 1.33%, due 12/15/19 | 699 | |||||||||
Honda Auto Receivables Owner Trust | |||||||||||
261 | Ser. 2016-1, Class A2, 1.01%, due 6/18/18 | 260 | |||||||||
517 | Ser. 2016-2, Class A2, 1.13%, due 9/17/18 | 517 | |||||||||
955 | Huntington Auto Trust, Ser. 2016-1, Class A2, 1.29%, due 5/15/19 | 955 | |||||||||
263 | Hyundai Auto Receivables Trust, Ser. 2016-A, Class A2A, 1.21%, due 6/17/19 | 263 | |||||||||
1,504 | Mercedes-Benz Auto Receivables Trust, Ser. 2016-1, Class A2A, 1.11%, due 3/15/19 | 1,503 | |||||||||
873 | Navient Student Loan Trust, Ser. 2016-3A, Class A1, 1.59%, due 6/25/65 | 875 | (a)(b) | ||||||||
Nissan Auto Receivables Owner Trust | |||||||||||
218 | Ser. 2016-B, Class A2A, 1.05%, due 4/15/19 | 218 | |||||||||
967 | Ser. 2016-C, Class A2A, 1.07%, due 5/15/19 | 966 | |||||||||
590 | Penarth Master Issuer PLC, Ser. 2015-2A, Class A1, 1.39%, due 5/18/19 | 590 | (a)(b) | ||||||||
565 | Securitized Term Auto Receivables Trust, Ser. 2017-1A, Class A2A, 1.51%, due 4/25/19 | 564 | (b) | ||||||||
Toyota Auto Receivables Owner Trust | |||||||||||
239 | Ser. 2016-A, Class A2A, 1.03%, due 7/16/18 | 239 | |||||||||
352 | Ser. 2016-C, Class A2A, 1.00%, due 1/15/19 | 352 | |||||||||
192 | Ser. 2015-A, Class A3, 1.12%, due 2/15/19 | 192 | |||||||||
Total Asset-Backed Securities (Cost $19,186) | 19,177 | ||||||||||
Corporate Bonds 58.6% | |||||||||||
Aerospace & Defense 1.4% | |||||||||||
1,445 | United Technologies Corp., 1.80%, due 6/1/17 | 1,446 | |||||||||
Agriculture 0.5% | |||||||||||
495 | Philip Morris International, Inc., 1.47%, due 2/21/20 | 497 | (a) | ||||||||
Auto Manufacturers 5.0% | |||||||||||
785 | American Honda Finance Corp., 1.38%, due 2/14/20 | 787 | (a) | ||||||||
Daimler Finance N.A. LLC | 1,101 | (a)(b) | |||||||||
1,100 | 1.51%, due 8/1/17 | ||||||||||
735 | 1.60%, due 8/3/17 | 735 | (b) | ||||||||
1,220 | Ford Motor Credit Co. LLC, 3.00%, due 6/12/17 | 1,222 | |||||||||
Toyota Motor Credit Corp. | |||||||||||
335 | 1.87%, due 2/19/19 | 339 | (a) | ||||||||
880 | 1.42%, due 4/17/20 | 881 | (a) | ||||||||
5,065 |
See Notes to Financial Statements
90
Consolidated Schedule of Investments Risk Balanced Commodity Strategy Fund (Unaudited) (cont'd)
PRINCIPAL AMOUNT | VALUE | ||||||||||
(000's omitted) | (000's omitted) | ||||||||||
Banks 16.0% | |||||||||||
$ | 2,555 | Bank of America N.A.,1.43%, due 6/15/17 | $ | 2,556 | (a) | ||||||
1,820 | Citigroup, Inc., 1.96%, due 12/7/18 | 1,834 | (a) | ||||||||
Goldman Sachs Group, Inc. | |||||||||||
1,335 | 2.20%, due 4/25/19 | 1,350 | (a) | ||||||||
815 | 2.31%, due 4/23/20 | 827 | (a) | ||||||||
2,065 | JPMorgan Chase & Co., 2.11%, due 1/23/20 | 2,095 | (a) | ||||||||
1,905 | Morgan Stanley, 1.84%, due 2/14/20 | 1,910 | (a) | ||||||||
800 | National Australia Bank Ltd., 1.43%, due 6/30/17 | 800 | (a)(b) | ||||||||
420 | Royal Bank of Canada, 1.38%, due 6/16/17 | 420 | (a) | ||||||||
675 | U.S. Bank N.A., 1.47%, due 1/24/20 | 677 | (a) | ||||||||
1,965 | Wells Fargo & Co., 1.37%, due 9/8/17 | 1,966 | (a) | ||||||||
1,705 | Westpac Banking Corp., 1.53%, due 3/6/20 | 1,706 | (a) | ||||||||
16,141 | |||||||||||
Beverages 1.9% | |||||||||||
1,880 | Anheuser-Busch InBev Worldwide, Inc., 1.38%, due 7/15/17 | 1,880 | |||||||||
Commercial Services 2.2% | |||||||||||
1,195 | ERAC USA Finance LLC, 6.38%, due 10/15/17 | 1,219 | (b)(c) | ||||||||
940 | Moody's Corp., 1.41%, due 9/4/18 | 942 | (a) | ||||||||
2,161 | |||||||||||
Computers 1.8% | |||||||||||
900 | Apple, Inc., 1.87%, due 2/22/19 | 913 | (a) | ||||||||
Hewlett Packard Enterprise Co. | |||||||||||
168 | 2.45%, due 10/5/17 | 169 | |||||||||
750 | 2.89%, due 10/5/17 | 754 | (a) | ||||||||
1,836 | |||||||||||
Diversified Financial Services 2.2% | |||||||||||
1,000 | American Express Credit Corp., 1.81%, due 11/5/18 | 1,006 | (a) | ||||||||
1,170 | Capital One Bank USA N.A., 1.30%, due 6/5/17 | 1,170 | |||||||||
2,176 | |||||||||||
Electric 1.4% | |||||||||||
790 | Duke Energy Progress LLC, 1.26%, due 11/20/17 | 790 | (a) | ||||||||
635 | Georgia Power Co., Ser. B, 5.70%, due 6/1/17 | 637 | |||||||||
1,427 | |||||||||||
Insurance 1.7% | |||||||||||
470 | Berkshire Hathaway Finance Corp., 1.82%, due 3/15/19 | 475 | (a) | ||||||||
Principal Life Global Funding II | |||||||||||
400 | 1.20%, due 5/19/17 | 400 | (b) | ||||||||
870 | 1.35%, due 5/21/18 | 871 | (a)(b) | ||||||||
1,746 |
See Notes to Financial Statements
91
Consolidated Schedule of Investments Risk Balanced Commodity Strategy Fund (Unaudited) (cont'd)
PRINCIPAL AMOUNT | VALUE | ||||||||||
(000's omitted) | (000's omitted) | ||||||||||
Machinery—Construction & Mining 2.4% | |||||||||||
Caterpillar Financial Services Corp. | |||||||||||
$ | 1,100 | 1.30%, due 11/20/17 | $ | 1,101 | (a) | ||||||
1,250 | 1.75%, due 2/23/18 | 1,255 | (a) | ||||||||
2,356 | |||||||||||
Machinery-Diversified 0.8% | |||||||||||
820 | John Deere Capital Corp., 1.45%, due 1/16/18 | 821 | (a) | ||||||||
Media 1.6% | |||||||||||
1,600 | NBCUniversal Enterprise, Inc., 1.84%, due 4/15/18 | 1,610 | (a)(b) | ||||||||
Miscellaneous Manufacturer 3.3% | |||||||||||
1,350 | General Electric Co., 1.30%, due 8/7/18 | 1,353 | (a) | ||||||||
1,965 | Siemens Financieringsmaatschappij NV, 1.48%, due 3/16/20 | 1,968 | (a)(b) | ||||||||
3,321 | |||||||||||
Oil & Gas 6.8% | |||||||||||
BP Capital Markets PLC | |||||||||||
1,250 | 1.85%, due 5/5/17 | 1,250 | |||||||||
855 | 1.39%, due 8/14/18 | 857 | (a) | ||||||||
1,350 | Chevron Corp., 1.23%, due 3/2/18 | 1,352 | (a) | ||||||||
530 | Exxon Mobil Corp., 1.65%, due 2/28/18 | 533 | (a) | ||||||||
1,655 | Shell Int'l Finance BV, 1.35%, due 5/10/17 | 1,655 | (a) | ||||||||
1,195 | Total Capital Int'l SA, 1.55%, due 6/28/17 | 1,196 | |||||||||
6,843 | |||||||||||
Pharmaceuticals 2.8% | |||||||||||
1,220 | Express Scripts Holding Co., 1.25%, due 6/2/17 | 1,220 | |||||||||
1,570 | GlaxoSmithKline Capital PLC, 1.50%, due 5/8/17 | 1,570 | |||||||||
2,790 | |||||||||||
Pipelines 1.1% | |||||||||||
1,080 | Enterprise Products Operating LLC, Ser. L, 6.30%, due 9/15/17 | 1,099 | |||||||||
Real Estate Investment Trusts 1.0% | �� | ||||||||||
959 | Simon Property Group L.P., 2.15%, due 9/15/17 | 960 | |||||||||
Retail 1.6% | |||||||||||
1,645 | Wal-Mart Stores, Inc., 5.52%, due 6/1/17 | 1,650 | (c) |
See Notes to Financial Statements
92
Consolidated Schedule of Investments Risk Balanced Commodity Strategy Fund (Unaudited) (cont'd)
PRINCIPAL AMOUNT | VALUE | ||||||||||
(000's omitted) | (000's omitted) | ||||||||||
Telecommunications 3.1% | |||||||||||
$ | 1,790 | AT&T, Inc., 1.70%, due 6/1/17 | $ | 1,790 | |||||||
1,320 | Verizon Communications, Inc., 2.87%, due 9/14/18 | 1,347 | (a) | ||||||||
3,137 | |||||||||||
Total Corporate Bonds (Cost $58,927) | 58,962 | ||||||||||
Short-Term Investments 15.2% | |||||||||||
U.S. Treasury Obligation 6.9% | |||||||||||
7,000 | U.S. Treasury Bill, Disc. Notes, 0.12%, due 5/11/17 | 6,998 | (d) | ||||||||
NUMBER OF SHARES | |||||||||||
Investment Company 8.3% | |||||||||||
8,326,589 | State Street Institutional U.S. Government Money Market Fund Premier Class, 0.68% | 8,327 | (e)(f)(g) | ||||||||
Total Short-Term Investments (Cost $15,325) | 15,325 | ||||||||||
Total Investments 92.8% (Cost $93,438) | 93,464 | ||||||||||
Other Assets Less Liabilities 7.2% | 7,253 | (h) | |||||||||
Net Assets 100.0% | $ | 100,717 |
(a) Variable or floating rate security. The interest rate shown was the current rate as of April 30, 2017 and changes periodically.
(b) Securities were purchased under Rule 144A of the Securities Act of 1933, as amended (the "1933 Act"), or are otherwise restricted and, unless registered under the 1933 Act or exempted from registration, may only be sold to qualified institutional investors or may have other restrictions on resale. At April 30, 2017, these securities amounted to approximately $10,733,000 or 10.7% of net assets of the Fund. These securities have been deemed by the investment manager to be liquid.
(c) 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 predetermined trigger. The interest rate shown was the current rate as of April 30, 2017.
(d) Rate shown was the discount rate at the date of purchase.
(e) Represents 7-day effective yield as of April 30, 2017.
(f) All or a portion represents positions held by the Neuberger Berman Cayman Commodity Fund I Ltd. (the "Subsidiary").
(g) All or a portion of this security is segregated in connection with obligations for futures with a total value of approximately $8,327,000.
(h) Includes the impact of the Fund's open positions in derivatives at April 30, 2017.
See Notes to Financial Statements
93
Consolidated Schedule of Investments Risk Balanced Commodity Strategy Fund (Unaudited) (cont'd)
Derivative Instruments
Futures contracts ("futures")
At April 30, 2017, open positions in futures(a) for the Fund were as follows:
Expiration | Open Contracts | Position | Unrealized Appreciation/ (Depreciation) | ||||||||||||
6/12/2017 | 69 Low Sulphur Gasoil | Long | $ | (289,835 | ) | ||||||||||
6/19/2017 | 65 Lead | Long | (34,543 | ) | |||||||||||
6/19/2017 | 65 Nickel | Long | (554,588 | ) | |||||||||||
6/19/2017 | 60 Primary Aluminum | Long | (2,673 | ) | |||||||||||
6/19/2017 | 57 Zinc | Long | (277,884 | ) | |||||||||||
6/30/2017 | 62 Sugar 11 | Long | (199,473 | ) | |||||||||||
7/7/2017 | 75 Cotton No.2 | Long | 51,530 | ||||||||||||
7/14/2017 | 422 Corn | Long | 1,374 | ||||||||||||
7/14/2017 | 144 Hard Red Winter Wheat | Long | (52,817 | ) | |||||||||||
7/14/2017 | 61 Soybean | Long | (236,947 | ) | |||||||||||
7/14/2017 | 119 Soybean Meal | Long | (162,497 | ) | |||||||||||
7/14/2017 | 78 Soybean Oil | Long | (103,407 | ) | |||||||||||
7/14/2017 | 140 Wheat | Long | (47,310 | ) | |||||||||||
7/27/2017 | 66 High Grade Copper | Long | (151,232 | ) | |||||||||||
7/27/2017 | 105 Platinum | Long | (449,510 | ) | |||||||||||
7/27/2017 | 45 Silver | Long | (257,625 | ) | |||||||||||
8/29/2017 | 67 Gold 100 Oz. | Long | 137,562 | ||||||||||||
8/31/2017 | 23 Feeder Cattle | Long | 260,135 | ||||||||||||
8/31/2017 | 51 Live Cattle | Long | 48,446 | ||||||||||||
9/14/2017 | 64 Cocoa | Long | (19,587 | ) | |||||||||||
9/19/2017 | 26 Coffee 'C' | Long | 36,893 | ||||||||||||
9/27/2017 | 85 Natural Gas | Long | 43,193 | ||||||||||||
10/13/2017 | 110 Lean Hogs | Long | 28,561 | ||||||||||||
10/31/2017 | 119 Brent Crude Oil | Long | (78,097 | ) | |||||||||||
11/20/2017 | 115 WTI Crude Oil | Long | (134,730 | ) | |||||||||||
11/30/2017 | 102 RBOB Gasoline | Long | (231,920 | ) | |||||||||||
11/30/2017 | 94 New York Harbor ULSD | Long | (203,605 | ) | |||||||||||
6/19/2017 | 7 Lead | Short | 4,554 | ||||||||||||
6/19/2017 | 4 Primary Aluminum | Short | 1,268 | ||||||||||||
6/19/2017 | 8 Zinc | Short | 35,697 | ||||||||||||
Total | $ | (2,839,067 | ) |
(a) Commodity futures are held by the Subsidiary, a wholly-owned subsidiary of the Fund. See Note A in the Notes to Financial Statements.
See Notes to Financial Statements
94
Consolidated Schedule of Investments Risk Balanced Commodity Strategy Fund (Unaudited) (cont'd)
At April 30, 2017, the notional value of futures was $101,768,891 for long positions and $(1,108,525) for short positions. At April 30, 2017, the Fund had deposited $6,382,729 in a segregated account to cover margin requirements on open futures.
For the six months ended April 30, 2017, the average notional value of futures for the Fund was $105,500,918 for long positions and $(11,288,814) for short positions.
The following is a summary, categorized by Level (see Note A of Notes to Financial Statements), of inputs used to value the Fund's investments as of April 30, 2017:
Asset Valuation Inputs | |||||||||||||||||||
(000's omitted) | Level 1 | Level 2 | Level 3 | Total | |||||||||||||||
Investments: | |||||||||||||||||||
Asset-Backed Securities | $ | — | $ | 19,177 | $ | — | $ | 19,177 | |||||||||||
Corporate Bonds(a) | — | 58,962 | — | 58,962 | |||||||||||||||
Short-Term Investments(a) | — | 15,325 | — | 15,325 | |||||||||||||||
Total Investments | $ | — | $ | 93,464 | $ | — | $ | 93,464 |
(a) The Consolidated Schedule of Investments provides information on the industry or sector categorization for the portfolio.
As of the six months ended April 30, 2017, no securities were transferred from one level (as of October 31, 2016) to another.
The following is a summary, categorized by Level (see Note A of Notes to Financial Statements), of inputs used to value the Fund's derivatives as of April 30, 2017:
Other Financial Instruments | |||||||||||||||||
(000's omitted) | Level 1 | Level 2 | Level 3 | Total | |||||||||||||
Futures(a) | |||||||||||||||||
Assets | $ | 649 | $ | — | $ | — | $ | 649 | |||||||||
Liabilities | (3,488 | ) | — | — | (3,488 | ) | |||||||||||
Total | $ | (2,839 | ) | $ | — | $ | — | $ | (2,839 | ) |
(a) Futures are reported at the cumulative unrealized appreciation/(depreciation) of the instrument.
See Notes to Financial Statements
95
Schedule of Investments U.S. Equity Index PutWrite Strategy Fund (Unaudited) April 30, 2017
PRINCIPAL AMOUNT | VALUE | ||||||||||
(000's omitted) | (000's omitted) | ||||||||||
U.S. Treasury Obligations 97.7% | |||||||||||
U.S. Treasury Notes | |||||||||||
$ | 200 | 0.63%, due 11/30/17 | $ | 200 | |||||||
14,550 | 0.88%, due 6/15/17 — 9/15/19 | 14,420 | (a) | ||||||||
49,700 | 1.00%, due 9/15/17 — 3/15/19 | 49,580 | (a) | ||||||||
10,500 | 1.13%, due 6/15/18 | 10,495 | |||||||||
11,400 | 1.25%, due 12/15/18 | 11,404 | |||||||||
6,700 | 1.38%, due 12/15/19 | 6,698 | |||||||||
15,700 | 1.63%, due 3/15/20 | 15,783 | |||||||||
Total U.S. Treasury Obligations (Cost $108,681) | 108,580 | ||||||||||
NUMBER OF SHARES | |||||||||||
Short-Term Investment 1.8% | |||||||||||
Investment Company 1.8% | |||||||||||
2,038,995 | State Street Institutional U.S. Government Money Market Fund Premier Class, 0.68% (Cost $2,039) | 2,039 | (b)(c) | ||||||||
Total Investments 99.5% (Cost $110,720) | 110,619 | ||||||||||
Other Assets Less Liabilities 0.5% | 547 | (d) | |||||||||
Net Assets 100.0% | $ | 111,166 |
(a) All or a portion of the security is pledged as collateral for options written for the Fund.
(b) All or a portion of this security is segregated in connection with obligations for options written with a total value of approximately $2,039,000.
(c) Represents 7-day effective yield as of April 30, 2017.
(d) Includes the impact of the Fund's open positions in derivatives at April 30, 2017.
See Notes to Financial Statements
96
Schedule of Investments U.S. Equity Index PutWrite Strategy Fund (Unaudited) (cont'd)
Written option contracts ("options written")
At April 30, 2017, the Fund had outstanding options written as follows:
Name of Issuer | Contracts | Exercise Price | Expiration Date | Market Value of Options | |||||||||||||||
Russell 2000 Index, Put | 5 | $ | 1,370 | 5/5/2017 | $ | (1,000 | ) | ||||||||||||
Russell 2000 Index, Put | 7 | 1,385 | 5/5/2017 | (3,045 | ) | ||||||||||||||
Russell 2000 Index, Put | 6 | 1,405 | 5/5/2017 | (7,320 | ) | ||||||||||||||
Russell 2000 Index, Put | 10 | 1,415 | 5/5/2017 | (18,850 | ) | ||||||||||||||
Russell 2000 Index, Put | 3 | 1,350 | 5/12/2017 | (855 | ) | ||||||||||||||
Russell 2000 Index, Put | 17 | 1,360 | 5/12/2017 | (6,630 | ) | ||||||||||||||
Russell 2000 Index, Put | 3 | 1,405 | 5/12/2017 | (5,160 | ) | ||||||||||||||
Russell 2000 Index, Put | 6 | 1,415 | 5/12/2017 | (13,860 | ) | ||||||||||||||
Russell 2000 Index, Put | 21 | 1,350 | 5/19/2017 | (9,870 | ) | ||||||||||||||
Russell 2000 Index, Put | 1 | 1,370 | 5/19/2017 | (790 | ) | ||||||||||||||
Russell 2000 Index, Put | 3 | 1,375 | 5/19/2017 | (2,745 | ) | ||||||||||||||
Russell 2000 Index, Put | 5 | 1,380 | 5/19/2017 | (5,225 | ) | ||||||||||||||
Russell 2000 Index, Put | 10 | 1,375 | 5/26/2017 | (12,100 | ) | ||||||||||||||
Russell 2000 Index, Put | 7 | 1,395 | 5/26/2017 | (13,230 | ) | ||||||||||||||
Russell 2000 Index, Put | 6 | 1,410 | 5/26/2017 | (15,600 | ) | ||||||||||||||
Russell 2000 Index, Put | 1 | 1,415 | 5/26/2017 | (2,885 | ) | ||||||||||||||
Russell 2000 Index, Put | 6 | 1,425 | 5/26/2017 | (21,150 | ) | ||||||||||||||
Russell 2000 Index, Put | 3 | 1,400 | 6/2/2017 | (6,538 | ) | ||||||||||||||
Russell 2000 Index, Put | 2 | 1,410 | 6/2/2017 | (5,670 | ) | ||||||||||||||
S&P 500 Index, Put | 36 | 2,355 | 5/5/2017 | (7,650 | ) | ||||||||||||||
S&P 500 Index, Put | 31 | 2,360 | 5/5/2017 | (8,060 | ) | ||||||||||||||
S&P 500 Index, Put | 26 | 2,365 | 5/5/2017 | (8,450 | ) | ||||||||||||||
S&P 500 Index, Put | 1 | 2,370 | 5/5/2017 | (405 | ) | ||||||||||||||
S&P 500 Index, Put | 17 | 2,340 | 5/12/2017 | (9,435 | ) | ||||||||||||||
S&P 500 Index, Put | 23 | 2,350 | 5/12/2017 | (15,525 | ) | ||||||||||||||
S&P 500 Index, Put | 55 | 2,360 | 5/12/2017 | (45,925 | ) | ||||||||||||||
S&P 500 Index, Put | 6 | 2,335 | 5/19/2017 | (4,470 | ) | ||||||||||||||
S&P 500 Index, Put | 38 | 2,340 | 5/19/2017 | (30,590 | ) | ||||||||||||||
S&P 500 Index, Put | 41 | 2,350 | 5/19/2017 | (39,155 | ) | ||||||||||||||
S&P 500 Index, Put | 14 | 2,355 | 5/19/2017 | (14,630 | ) | ||||||||||||||
S&P 500 Index, Put | 18 | 2,350 | 5/26/2017 | (22,590 | ) | ||||||||||||||
S&P 500 Index, Put | 5 | 2,370 | 5/26/2017 | (8,625 | ) | ||||||||||||||
S&P 500 Index, Put | 55 | 2,385 | 5/26/2017 | (124,025 | ) | ||||||||||||||
S&P 500 Index, Put | 21 | 2,395 | 5/26/2017 | (57,015 | ) | ||||||||||||||
S&P 500 Index, Put | 11 | 2,385 | 6/2/2017 | (29,240 | ) | ||||||||||||||
Total (premium received: $1,406,727) | $ | (578,313 | ) |
See Notes to Financial Statements
97
Schedule of Investments U.S. Equity Index PutWrite Strategy Fund (Unaudited) (cont'd)
Options written for the Fund for the six months ended April 30, 2017 were as follows:
Number of Contracts | Premium Received | ||||||||
Outstanding 10/31/2016 | 138 | $ | 415,694 | ||||||
Options Written | 2,469 | 5,581,222 | |||||||
Options Expired | (81 | ) | (121,317 | ) | |||||
Options Exercised | (3 | ) | (7,469 | ) | |||||
Options Closed | (2,003 | ) | (4,461,403 | ) | |||||
Outstanding 4/30/2017 | 520 | $ | 1,406,727 |
For the six months ended April 30, 2017, the Fund had an average market value of $(529,270) in options written. At April 30, 2017, the Fund had securities pledged in the amount of $17,737,739 to cover collateral requirements for options written.
The following is a summary, categorized by Level (see Note A of Notes to Financial Statements), of inputs used to value the Fund's investments as of April 30, 2017:
Asset Valuation Inputs | |||||||||||||||||||
(000's omitted) | Level 1 | Level 2 | Level 3 | Total | |||||||||||||||
Investments: | |||||||||||||||||||
U.S. Treasury Obligations | $ | — | $ | 108,580 | $ | — | $ | 108,580 | |||||||||||
Short-Term Investment | — | 2,039 | — | 2,039 | |||||||||||||||
Total Investments | $ | — | $ | 110,619 | $ | — | $ | 110,619 |
As of the six months ended April 30, 2017, no securities were transferred from one level (as of October 31, 2016) to another.
The following is a summary, categorized by Level (see Note A of Notes to Financial Statements), of inputs used to value the Fund's derivatives as of April 30, 2017:
Other Financial Instruments | |||||||||||||||||
(000's omitted) | Level 1 | Level 2 | Level 3 | Total | |||||||||||||
Options Written | |||||||||||||||||
Liabilities | $ | (578 | ) | $ | — | $ | — | $ | (578 | ) | |||||||
Total | $ | (578 | ) | $ | — | $ | — | $ | (578 | ) |
See Notes to Financial Statements
98
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99
Statements of Assets and Liabilities (Unaudited)
Neuberger Berman Alternative Funds
(000's omitted except per share amounts)
GLOBAL ALLOCATION FUND | HEDGED OPTION PREMIUM STRATEGY FUND | LONG SHORT FUND | LONG SHORT CREDIT FUND | ||||||||||||||||
April 30, 2017 | April 30, 2017 | April 30, 2017 | April 30, 2017 | ||||||||||||||||
Assets | |||||||||||||||||||
Investments in securities, at value* (Notes A & F)—see Schedule of Investments: | |||||||||||||||||||
Unaffiliated issuers | $ | 11,289 | $ | 5,553 | $ | 2,346,399 | $ | 25,909 | |||||||||||
Affiliated issuers | 11,671 | — | — | — | |||||||||||||||
22,960 | 5,553 | 2,346,399 | 25,909 | ||||||||||||||||
Cash | 308 | — | — | — | |||||||||||||||
Foreign currency* | 28 | — | — | 51 | |||||||||||||||
Cash collateral segregated for short sales (Note A) | — | — | 431,768 | — | |||||||||||||||
Cash collateral segregated for futures contracts (Note A) | 117 | — | 20,386 | 66 | |||||||||||||||
Cash collateral segregated for swap contracts (Note A) | — | — | 12,850 | 573 | |||||||||||||||
Dividends and interest receivable | 48 | 9 | 6,054 | 342 | |||||||||||||||
Receivable for securities sold | 209 | 12 | 25,983 | 442 | |||||||||||||||
Receivable for variation margin on futures contracts (Note A) | 45 | — | 2,346 | 33 | |||||||||||||||
Receivable for Fund shares sold | — | — | 4,358 | — | |||||||||||||||
Receivable from broker | — | — | — | 3 | |||||||||||||||
Receivable from Management—net (Note B) | 49 | 108 | — | 11 | |||||||||||||||
OTC swap contracts, at value (Note A) | — | — | 1,205 | 54 | |||||||||||||||
Receivable for forward foreign currency contracts (Note A) | 262 | — | — | — | |||||||||||||||
Prepaid expenses and other assets | 41 | 4 | 120 | 41 | |||||||||||||||
Total Assets | 24,067 | 5,686 | 2,851,469 | 27,525 | |||||||||||||||
Liabilities | |||||||||||||||||||
Investments sold short, at value** (Note A) | — | — | 396,811 | — | |||||||||||||||
OTC swap contracts, at value (Note A) | — | — | 9,311 | 118 | |||||||||||||||
Dividends and interest payable for short sales and reverse repurchase agreements | — | — | 643 | 4 | |||||||||||||||
Payable for reverse repurchase agreements (Note A) | — | — | — | 803 | |||||||||||||||
Payable to investment manager—net (Notes A & B) | 5 | 1 | 2,179 | 17 | |||||||||||||||
Option contracts written, at value*** (Note A) | 15 | 22 | 4,472 | — | |||||||||||||||
Due to custodian | — | 4 | 1,430 | 627 | |||||||||||||||
Payable for securities purchased | 1,528 | 2 | 36,045 | 313 | |||||||||||||||
Payable for Fund shares redeemed | 30 | — | 3,744 | — | |||||||||||||||
Payable to administrator—net (Note B) | — | — | 430 | — | |||||||||||||||
Payable to trustees | 2 | 2 | — | 2 | |||||||||||||||
Payable for organization costs | — | 92 | — | — | |||||||||||||||
Payable for variation margin on futures contracts (Note A) | — | — | — | — | |||||||||||||||
Payable for forward foreign currency contracts (Note A) | 261 | — | — | 1 | |||||||||||||||
Distributions payable | — | — | — | — | |||||||||||||||
Accrued expenses and other payables | 195 | 15 | 261 | 83 | |||||||||||||||
Total Liabilities | 2,036 | 138 | 455,326 | 1,968 | |||||||||||||||
Net Assets | $ | 22,031 | $ | 5,548 | $ | 2,396,143 | $ | 25,557 |
See Notes to Financial Statements
100
MULTI-ASSET INCOME FUND | RISK BALANCED COMMODITY STRATEGY FUNDa | U.S. EQUITY INDEX PUTWRITE STRATEGY FUND | |||||||||||||
April 30, 2017 | April 30, 2017 | April 30, 2017 | |||||||||||||
Assets | |||||||||||||||
Investments in securities, at value* (Notes A & F)—see Schedule of Investments: | |||||||||||||||
Unaffiliated issuers | $ | 19,145 | $ | 93,464 | $ | 110,619 | |||||||||
Affiliated issuers | 5,204 | — | — | ||||||||||||
24,349 | 93,464 | 110,619 | |||||||||||||
Cash | 67 | — | 2 | ||||||||||||
Foreign currency* | 1 | — | — | ||||||||||||
Cash collateral segregated for short sales (Note A) | — | — | — | ||||||||||||
Cash collateral segregated for futures contracts (Note A) | 156 | 6,383 | — | ||||||||||||
Cash collateral segregated for swap contracts (Note A) | — | — | — | ||||||||||||
Dividends and interest receivable | 84 | 313 | 300 | ||||||||||||
Receivable for securities sold | 883 | 852 | 149 | ||||||||||||
Receivable for variation margin on futures contracts (Note A) | — | — | — | ||||||||||||
Receivable for Fund shares sold | — | 72 | 757 | ||||||||||||
Receivable from broker | — | — | 13 | ||||||||||||
Receivable from Management—net (Note B) | 37 | 33 | 11 | ||||||||||||
OTC swap contracts, at value (Note A) | — | — | — | ||||||||||||
Receivable for forward foreign currency contracts (Note A) | 243 | — | — | ||||||||||||
Prepaid expenses and other assets | 41 | 30 | 59 | ||||||||||||
Total Assets | 25,861 | 101,147 | 111,910 | ||||||||||||
Liabilities | |||||||||||||||
Investments sold short, at value** (Note A) | — | — | — | ||||||||||||
OTC swap contracts, at value (Note A) | — | — | — | ||||||||||||
Dividends and interest payable for short sales and reverse repurchase agreements | — | — | — | ||||||||||||
Payable for reverse repurchase agreements (Note A) | — | — | — | ||||||||||||
Payable to investment manager—net (Notes A & B) | 6 | 61 | 39 | ||||||||||||
Option contracts written, at value*** (Note A) | 11 | — | 578 | ||||||||||||
Due to custodian | — | — | — | ||||||||||||
Payable for securities purchased | 3,180 | 25 | 3 | ||||||||||||
Payable for Fund shares redeemed | 23 | 42 | 13 | ||||||||||||
Payable to administrator—net (Note B) | — | — | — | ||||||||||||
Payable to trustees | 1 | 2 | 5 | ||||||||||||
Payable for organization costs | — | — | — | ||||||||||||
Payable for variation margin on futures contracts (Note A) | 12 | 164 | — | ||||||||||||
Payable for forward foreign currency contracts (Note A) | 242 | — | — | ||||||||||||
Distributions payable | 10 | — | — | ||||||||||||
Accrued expenses and other payables | 145 | 136 | 106 | ||||||||||||
Total Liabilities | 3,630 | 430 | 744 | ||||||||||||
Net Assets | $ | 22,231 | $ | 100,717 | $ | 111,166 |
101
Statements of Assets and Liabilities (Unaudited) (cont'd)
GLOBAL ALLOCATION FUND | HEDGED OPTION PREMIUM STRATEGY FUND | LONG SHORT FUND | LONG SHORT CREDIT FUND | ||||||||||||||||
April 30, 2017 | April 30, 2017 | April 30, 2017 | April 30, 2017 | ||||||||||||||||
Net Assets consist of: | |||||||||||||||||||
Paid-in capital | $ | 20,910 | $ | 5,535 | $ | 2,126,898 | $ | 26,520 | |||||||||||
Undistributed net investment income (loss) | 110 | 1 | (7,401 | ) | — | ||||||||||||||
Distributions in excess of net investment income | — | — | — | (13 | ) | ||||||||||||||
Accumulated net realized gains (losses) on investments | (79 | ) | 5 | (91,369 | ) | (1,225 | ) | ||||||||||||
Net unrealized appreciation (depreciation) in value of investments | 1,090 | 7 | 368,015 | 275 | |||||||||||||||
Net Assets | $ | 22,031 | $ | 5,548 | $ | 2,396,143 | $ | 25,557 | |||||||||||
Net Assets | |||||||||||||||||||
Institutional Class | $ | 14,383 | $ | 3,543 | $ | 2,148,235 | $ | 15,028 | |||||||||||
Class A | 3,740 | 25 | 145,346 | 3,095 | |||||||||||||||
Class C | 3,908 | 25 | 102,562 | 989 | |||||||||||||||
Class R6 | — | 1,955 | — | 6,445 | |||||||||||||||
Shares Outstanding ($.001 par value; unlimited shares authorized) | |||||||||||||||||||
Institutional Class | 1,279 | 141 | 156,957 | 1,561 | |||||||||||||||
Class A | 335 | 1 | 10,789 | 322 | |||||||||||||||
Class C | 359 | 1 | 7,911 | 103 | |||||||||||||||
Class R6 | — | 78 | — | 669 | |||||||||||||||
Net Asset Value, offering and redemption price per share | |||||||||||||||||||
Institutional Class | $ | 11.25 | $ | 25.06 | $ | 13.69 | $ | 9.63 | |||||||||||
Class R6 | — | 25.06 | — | 9.63 | |||||||||||||||
Net Asset Value and redemption price per share | |||||||||||||||||||
Class A | $ | 11.17 | $ | 25.06 | $ | 13.47 | $ | 9.62 | |||||||||||
Offering Price per share | |||||||||||||||||||
Class A‡ | $ | 11.85 | $ | 26.59 | $ | 14.29 | $ | 10.05 | |||||||||||
Net Asset Value and offering price per share | |||||||||||||||||||
Class C^ | $ | 10.86 | $ | 25.05 | $ | 12.96 | $ | 9.62 | |||||||||||
*Cost of Investments: | |||||||||||||||||||
Unaffiliated issuers | $ | 10,564 | $ | 5,557 | $ | 1,955,668 | $ | 25,678 | |||||||||||
Affiliated issuers | 11,321 | — | — | — | |||||||||||||||
Total cost of investments | $ | 21,885 | $ | 5,557 | $ | 1,955,668 | $ | 25,678 | |||||||||||
Total cost of foreign currency | $ | 28 | $ | — | $ | — | $ | 41 | |||||||||||
**Proceeds from investments sold short | $ | — | $ | — | $ | 383,955 | $ | — | |||||||||||
***Premium received from option contracts written | $ | 21 | $ | 33 | $ | 3,941 | $ | 2 |
a 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
102
MULTI-ASSET INCOME FUND | RISK BALANCED COMMODITY STRATEGY FUNDa | U.S. EQUITY INDEX PUTWRITE STRATEGY FUND | |||||||||||||
April 30, 2017 | April 30, 2017 | April 30, 2017 | |||||||||||||
Net Assets consist of: | |||||||||||||||
Paid-in capital | $ | 22,175 | $ | 100,935 | $ | 107,056 | |||||||||
Undistributed net investment income (loss) | — | (304 | ) | 27 | |||||||||||
Distributions in excess of net investment income | (32 | ) | — | — | |||||||||||
Accumulated net realized gains (losses) on investments | (595 | ) | 2,899 | 3,355 | |||||||||||
Net unrealized appreciation (depreciation) in value of investments | 683 | (2,813 | ) | 728 | |||||||||||
Net Assets | $ | 22,231 | $ | 100,717 | $ | 111,166 | |||||||||
Net Assets | |||||||||||||||
Institutional Class | $ | 16,964 | $ | 61,990 | $ | 97,259 | |||||||||
Class A | 587 | 38,692 | 2,197 | ||||||||||||
Class C | 708 | 35 | 171 | ||||||||||||
Class R6 | 3,972 | — | 11,539 | ||||||||||||
Shares Outstanding ($.001 par value; unlimited shares authorized) | |||||||||||||||
Institutional Class | 1,719 | 10,304 | 8,964 | ||||||||||||
Class A | 60 | 6,543 | 203 | ||||||||||||
Class C | 72 | 6 | 16 | ||||||||||||
Class R6 | 403 | — | 1,062 | ||||||||||||
Net Asset Value, offering and redemption price per share | |||||||||||||||
Institutional Class | $ | 9.87 | $ | 6.02 | $ | 10.85 | |||||||||
Class R6 | 9.87 | — | 10.86 | ||||||||||||
Net Asset Value and redemption price per share | |||||||||||||||
Class A | $ | 9.87 | $ | 5.91 | $ | 10.84 | |||||||||
Offering Price per share | |||||||||||||||
Class A‡ | $ | 10.31 | $ | 6.27 | $ | 11.50 | |||||||||
Net Asset Value and offering price per share | |||||||||||||||
Class C^ | $ | 9.87 | $ | 5.66 | $ | 10.80 | |||||||||
*Cost of Investments: | |||||||||||||||
Unaffiliated issuers | $ | 18,561 | $ | 93,438 | $ | 110,720 | |||||||||
Affiliated issuers | 5,117 | — | — | ||||||||||||
Total cost of investments | $ | 23,678 | $ | 93,438 | $ | 110,720 | |||||||||
Total cost of foreign currency | $ | 1 | $ | — | $ | — | |||||||||
**Proceeds from investments sold short | $ | — | $ | — | $ | — | |||||||||
***Premium received from option contracts written | $ | 19 | $ | — | $ | 1,407 |
103
Statements of Operations (Unaudited)
Neuberger Berman Alternative Funds
(000's omitted)
GLOBAL ALLOCATION FUND | HEDGED OPTION PREMIUM STRATEGY FUND | LONG SHORT FUND | LONG SHORT CREDIT FUND | ||||||||||||||||
For the Six Months Ended April 30, 2017 | Period from April 12, 2017 (Commencement of Operations) to April 30, 2017 | For the Six Months Ended April 30, 2017 | For the Six Months Ended April 30, 2017 | ||||||||||||||||
Investment Income: | |||||||||||||||||||
Income (Note A): | |||||||||||||||||||
Dividend income-unaffiliated issuers | $ | 62 | $ | — | $ | 16,039 | $ | 26 | |||||||||||
Dividend income-affiliated issuers (Note F) | 141 | — | — | — | |||||||||||||||
Interest income-unaffiliated issuers | 32 | 3 | 8,085 | 751 | |||||||||||||||
Foreign taxes withheld (Note A) | (3 | ) | — | (227 | ) | — | |||||||||||||
Total income | $ | 232 | $ | 3 | $ | 23,897 | $ | 777 | |||||||||||
Expenses: | |||||||||||||||||||
Investment management fees (Note B) | 62 | 1 | 13,038 | 121 | |||||||||||||||
Administration fees (Note B) | 6 | — | 700 | 9 | |||||||||||||||
Administration fees (Note B): | |||||||||||||||||||
Institutional Class | 5 | 1 | 923 | 9 | |||||||||||||||
Class A | 5 | — | 175 | 2 | |||||||||||||||
Class C | 4 | — | 108 | 1 | |||||||||||||||
Class R6 | — | — | — | 1 | |||||||||||||||
Distribution fees (Note B): | |||||||||||||||||||
Class A | 7 | — | 218 | 3 | |||||||||||||||
Class C | 21 | — | 542 | 5 | |||||||||||||||
Shareholder servicing agent fees: | |||||||||||||||||||
Institutional Class | — | — | 112 | — | |||||||||||||||
Class A | 1 | — | 6 | — | |||||||||||||||
Class C | 1 | — | 2 | — | |||||||||||||||
Organization expense (Note A) | — | 92 | — | — | |||||||||||||||
Subsidiary Administration Fees | — | — | — | — | |||||||||||||||
Audit fees | 35 | 2 | 17 | 29 | |||||||||||||||
Custodian and accounting fees | 176 | 5 | 258 | 39 | |||||||||||||||
Insurance expense | — | — | 48 | 1 | |||||||||||||||
Legal fees | 49 | 5 | 46 | 48 | |||||||||||||||
Registration and filing fees | 31 | 1 | 103 | 22 | |||||||||||||||
Shareholder reports | 2 | — | 110 | — | |||||||||||||||
Trustees' fees and expenses | 22 | 2 | 24 | 22 | |||||||||||||||
Dividend and interest expense on securities sold short and reverse repurchase agreements (Note A) | 9 | — | 5,679 | 9 | |||||||||||||||
Interest expense | — | — | 1 | 1 | |||||||||||||||
Miscellaneous | 20 | 1 | 66 | 1 | |||||||||||||||
Total expenses | 456 | 110 | 22,176 | 323 |
See Notes to Financial Statements
104
MULTI-ASSET INCOME FUND | RISK BALANCED COMMODITY STRATEGY FUNDa | U.S. EQUITY INDEX PUTWRITE STRATEGY FUND | |||||||||||||
For the Six Months Ended April 30, 2017 | For the Six Months Ended April 30, 2017 | For the Six Months Ended April 30, 2017 | |||||||||||||
Investment Income: | |||||||||||||||
Income (Note A): | |||||||||||||||
Dividend income-unaffiliated issuers | $ | 158 | $ | — | $ | — | |||||||||
Dividend income-affiliated issuers (Note F) | 169 | — | — | ||||||||||||
Interest income-unaffiliated issuers | 40 | 491 | 316 | ||||||||||||
Foreign taxes withheld (Note A) | (3 | ) | — | — | |||||||||||
Total income | $ | 364 | $ | 491 | $ | 316 | |||||||||
Expenses: | |||||||||||||||
Investment management fees (Note B) | 43 | 344 | 137 | ||||||||||||
Administration fees (Note B) | 6 | 28 | 18 | ||||||||||||
Administration fees (Note B): | |||||||||||||||
Institutional Class | 6 | 26 | 24 | ||||||||||||
Class A | 1 | 36 | 1 | ||||||||||||
Class C | 1 | — | — | ||||||||||||
Class R6 | — | — | 1 | ||||||||||||
Distribution fees (Note B): | |||||||||||||||
Class A | 1 | 45 | 2 | ||||||||||||
Class C | 3 | 1 | 1 | ||||||||||||
Shareholder servicing agent fees: | |||||||||||||||
Institutional Class | — | — | — | ||||||||||||
Class A | — | 4 | — | ||||||||||||
Class C | — | 1 | — | ||||||||||||
Organization expense (Note A) | — | — | — | ||||||||||||
Subsidiary Administration Fees | — | 25 | — | ||||||||||||
Audit fees | 32 | 40 | 20 | ||||||||||||
Custodian and accounting fees | 132 | 37 | 56 | ||||||||||||
Insurance expense | — | 1 | — | ||||||||||||
Legal fees | 46 | 57 | 57 | ||||||||||||
Registration and filing fees | 12 | 29 | 53 | ||||||||||||
Shareholder reports | — | 7 | 5 | ||||||||||||
Trustees' fees and expenses | 22 | 22 | 21 | ||||||||||||
Dividend and interest expense on securities sold short and reverse repurchase agreements (Note A) | — | — | — | ||||||||||||
Interest expense | — | 1 | — | ||||||||||||
Miscellaneous | 2 | 22 | 1 | ||||||||||||
Total expenses | 307 | 726 | 397 |
105
Statements of Operations (Unaudited) (cont'd)
GLOBAL ALLOCATION FUND | HEDGED OPTION PREMIUM STRATEGY FUND | LONG SHORT FUND | LONG SHORT CREDIT FUND | ||||||||||||||||
For the Six Months Ended April 30, 2017 | Period from April 12, 2017 (Commencement of Operations) to April 30, 2017 | For the Six Months Ended April 30, 2017 | For the Six Months Ended April 30, 2017 | ||||||||||||||||
Expenses reimbursed by Management (Note B) | $ | (329 | ) | $ | (108 | ) | $ | — | $ | (124 | ) | ||||||||
Investment management fees waived (Note A) | (34 | ) | — | — | — | ||||||||||||||
Custodian out-of-pocket expenses refunded (Note G) | — | — | (5 | ) | — | ||||||||||||||
Total net expenses | 93 | 2 | 22,171 | 199 | |||||||||||||||
Net investment income (loss) | $ | 139 | $ | 1 | $ | 1,726 | $ | 578 | |||||||||||
Realized and Unrealized Gain (Loss) on Investments (Note A): | |||||||||||||||||||
Net realized gain (loss) on: | |||||||||||||||||||
Sales of investment securities of unaffiliated issuers | 300 | — | 71,579 | 181 | |||||||||||||||
Sales of investment securities of affiliated issuers | 143 | — | — | — | |||||||||||||||
Sales of investment securities of unaffiliated issuers sold short | (134 | ) | — | (17,644 | ) | — | |||||||||||||
Forward foreign currency contracts | (13 | ) | — | — | 13 | ||||||||||||||
Foreign currency | (1 | ) | — | 2 | (2 | ) | |||||||||||||
Futures contracts | (19 | ) | — | (41,217 | ) | (10 | ) | ||||||||||||
Option contracts and swaptions written | 43 | 5 | 3,490 | 7 | |||||||||||||||
Swap contracts | — | — | (8,965 | ) | (83 | ) | |||||||||||||
Net increase from payments by affiliates (Note B) | — | — | 37 | — | |||||||||||||||
Change in net unrealized appreciation (depreciation) in value of: | |||||||||||||||||||
Unaffiliated investment securities | 576 | (4 | ) | 185,823 | 219 | ||||||||||||||
Affiliated investment securities | 449 | — | — | — | |||||||||||||||
Unaffiliated investment securities sold short | (51 | ) | — | (7,430 | ) | — | |||||||||||||
Forward foreign currency contracts | 26 | — | — | (8 | ) | ||||||||||||||
Foreign currency | — | — | — | 1 | |||||||||||||||
Futures contracts | 20 | — | (14,410 | ) | (38 | ) | |||||||||||||
Option contracts and swaptions written | 3 | 11 | (2,438 | ) | 2 | ||||||||||||||
Swap contracts | — | — | (2,892 | ) | 3 | ||||||||||||||
Net gain (loss) on investments | 1,342 | 12 | 165,935 | 285 | |||||||||||||||
Net increase (decrease) in net assets resulting from operations | $ | 1,481 | $ | 13 | $ | 167,661 | $ | 863 |
a Consolidated financial statement, see Note A of the Notes to Financial Statements for additional information.
See Notes to Financial Statements
106
MULTI-ASSET INCOME FUND | RISK BALANCED COMMODITY STRATEGY FUNDa | U.S. EQUITY INDEX PUTWRITE STRATEGY FUND | |||||||||||||
For the Six Months Ended April 30, 2017 | For the Six Months Ended April 30, 2017 | For the Six Months Ended April 30, 2017 | |||||||||||||
Expenses reimbursed by Management (Note B) | $ | (240 | ) | $ | (149 | ) | $ | (198 | ) | ||||||
Investment management fees waived (Note A) | (19 | ) | (50 | ) | — | ||||||||||
Custodian out-of-pocket expenses refunded (Note G) | — | — | — | ||||||||||||
Total net expenses | 48 | 527 | 199 | ||||||||||||
Net investment income (loss) | $ | 316 | $ | (36 | ) | $ | 117 | ||||||||
Realized and Unrealized Gain (Loss) on Investments (Note A): | |||||||||||||||
Net realized gain (loss) on: | |||||||||||||||
Sales of investment securities of unaffiliated issuers | (53 | ) | 25 | — | |||||||||||
Sales of investment securities of affiliated issuers | (11 | ) | — | — | |||||||||||
Sales of investment securities of unaffiliated issuers sold short | — | — | — | ||||||||||||
Forward foreign currency contracts | (20 | ) | — | — | |||||||||||
Foreign currency | — | — | — | ||||||||||||
Futures contracts | (29 | ) | 2,972 | — | |||||||||||
Option contracts and swaptions written | 49 | — | 3,297 | ||||||||||||
Swap contracts | — | — | — | ||||||||||||
Net increase from payments by affiliates (Note B) | — | — | — | ||||||||||||
Change in net unrealized appreciation (depreciation) in value of: | |||||||||||||||
Unaffiliated investment securities | 541 | (27 | ) | (84 | ) | ||||||||||
Affiliated investment securities | 64 | — | — | ||||||||||||
Unaffiliated investment securities sold short | — | — | — | ||||||||||||
Forward foreign currency contracts | 23 | — | — | ||||||||||||
Foreign currency | — | — | — | ||||||||||||
Futures contracts | 21 | (3,504 | ) | — | |||||||||||
Option contracts and swaptions written | 5 | — | 887 | ||||||||||||
Swap contracts | — | — | — | ||||||||||||
Net gain (loss) on investments | 590 | (534 | ) | 4,100 | |||||||||||
Net increase (decrease) in net assets resulting from operations | $ | 906 | $ | (570 | ) | $ | 4,217 |
107
Statements of Changes in Net Assets
Neuberger Berman Alternative Funds
(000's omitted)
GLOBAL ALLOCATION FUND | HEDGED OPTION PREMIUM STRATEGY FUND | LONG SHORT FUND | |||||||||||||||||||||
Six Months Ended April 30, 2017 (Unaudited) | Year Ended October 31, 2016 | Period from April 12, 2017 (Commencement of Operations) to April 30, 2017 (Unaudited) | Six Months Ended April 30, 2017 (Unaudited) | Year Ended October 31, 2016 | |||||||||||||||||||
Increase (Decrease) in Net Assets: | |||||||||||||||||||||||
From Operations: | |||||||||||||||||||||||
Net investment income (loss) (Note A) | $ | 139 | $ | 125 | $ | 1 | $ | 1,726 | $ | (8,766 | ) | ||||||||||||
Net realized gain (loss) on investments (Note A) | 319 | (149 | ) | 5 | 7,245 | (94,760 | ) | ||||||||||||||||
Net increase from payments by affiliates (Note B) | — | — | — | 37 | — | ||||||||||||||||||
Change in net unrealized appreciation (depreciation) of investments (Note A) | 1,023 | 35 | 7 | 158,653 | 80,504 | ||||||||||||||||||
Net increase (decrease) in net assets resulting from operations | 1,481 | 11 | 13 | 167,661 | (23,022 | ) | |||||||||||||||||
Distributions to Shareholders From (Note A): | |||||||||||||||||||||||
Net investment income: | |||||||||||||||||||||||
Institutional Class | (44 | ) | — | — | — | (361 | ) | ||||||||||||||||
Class A | — | — | — | — | — | ||||||||||||||||||
Class C | — | — | — | — | — | ||||||||||||||||||
Class R6 | — | — | — | — | — | ||||||||||||||||||
Net realized gain on investments: | |||||||||||||||||||||||
Institutional Class | — | (16 | ) | — | — | — | |||||||||||||||||
Class A | — | (14 | ) | — | — | — | |||||||||||||||||
Class C | — | (13 | ) | — | — | — | |||||||||||||||||
Tax return of capital: | |||||||||||||||||||||||
Institutional Class | — | — | — | — | — | ||||||||||||||||||
Class A | — | — | — | — | — | ||||||||||||||||||
Class C | — | — | — | — | — | ||||||||||||||||||
Class R6 | — | — | — | — | — | ||||||||||||||||||
Total distributions to shareholders | (44 | ) | (43 | ) | — | — | (361 | ) | |||||||||||||||
From Fund Share Transactions (Note D): | |||||||||||||||||||||||
Proceeds from shares sold: | |||||||||||||||||||||||
Institutional Class | 5,302 | 3,603 | 3,535 | 344,801 | 858,721 | ||||||||||||||||||
Class A | 1,038 | 1,982 | 25 | 32,811 | 45,394 | ||||||||||||||||||
Class C | 126 | 826 | 25 | 5,112 | 9,572 | ||||||||||||||||||
Class R6 | — | — | 1,950 | — | — |
See Notes to Financial Statements
108
LONG SHORT CREDIT FUND | MULTI-ASSET INCOME FUND | RISK BALANCED COMMODITY STRATEGY FUNDa | |||||||||||||||||||||||||
Six Months Ended April 30, 2017 (Unaudited) | Year Ended October 31, 2016 | Six Months Ended April 30, 2017 (Unaudited) | Year Ended October 31, 2016 | Six Months Ended April 30, 2017 (Unaudited) | Year Ended October 31, 2016 | ||||||||||||||||||||||
Increase (Decrease) in Net Assets: | |||||||||||||||||||||||||||
From Operations: | |||||||||||||||||||||||||||
Net investment income (loss) (Note A) | $ | 578 | $ | 486 | $ | 316 | $ | 518 | $ | (36 | ) | $ | (463 | ) | |||||||||||||
Net realized gain (loss) on investments (Note A) | 106 | (926 | ) | (64 | ) | (383 | ) | 2,997 | (1,428 | ) | |||||||||||||||||
Net increase from payments by affiliates (Note B) | — | — | — | — | — | — | |||||||||||||||||||||
Change in net unrealized appreciation (depreciation) of investments (Note A) | 179 | 432 | 654 | 778 | (3,531 | ) | 201 | ||||||||||||||||||||
Net increase (decrease) in net assets resulting from operations | 863 | (8 | ) | 906 | 913 | (570 | ) | (1,690 | ) | ||||||||||||||||||
Distributions to Shareholders From (Note A): | |||||||||||||||||||||||||||
Net investment income: | |||||||||||||||||||||||||||
Institutional Class | (347 | ) | (499 | ) | (263 | ) | (344 | ) | — | — | |||||||||||||||||
Class A | (44 | ) | (21 | ) | (10 | ) | (14 | ) | — | — | |||||||||||||||||
Class C | (14 | ) | (11 | ) | (8 | ) | (10 | ) | — | — | |||||||||||||||||
Class R6 | (123 | ) | (102 | ) | (73 | ) | (122 | ) | — | — | |||||||||||||||||
Net realized gain on investments: | |||||||||||||||||||||||||||
Institutional Class | — | — | — | — | — | — | |||||||||||||||||||||
Class A | — | — | — | — | — | — | |||||||||||||||||||||
Class C | — | — | — | — | — | — | |||||||||||||||||||||
Tax return of capital: | |||||||||||||||||||||||||||
Institutional Class | — | — | — | (104 | ) | — | — | ||||||||||||||||||||
Class A | — | — | — | (5 | ) | — | — | ||||||||||||||||||||
Class C | — | — | — | (4 | ) | — | — | ||||||||||||||||||||
Class R6 | — | — | — | (36 | ) | — | — | ||||||||||||||||||||
Total distributions to shareholders | (528 | ) | (633 | ) | (354 | ) | (639 | ) | — | — | |||||||||||||||||
From Fund Share Transactions (Note D): | |||||||||||||||||||||||||||
Proceeds from shares sold: | |||||||||||||||||||||||||||
Institutional Class | 4,138 | 7,628 | 4,308 | 1,594 | 24,272 | 27,038 | |||||||||||||||||||||
Class A | 2,133 | 135 | 9 | 122 | 11,846 | 16,243 | |||||||||||||||||||||
Class C | — | 25 | 59 | 206 | — | 135 | |||||||||||||||||||||
Class R6 | 210 | 1,353 | — | — | — | — |
109
Statements of Changes in Net Assets (cont'd)
GLOBAL ALLOCATION FUND | HEDGED OPTION PREMIUM STRATEGY FUND | LONG SHORT FUND | |||||||||||||||||||||
Six Months Ended April 30, 2017 | Year Ended October 31, 2016 (Unaudited) | Period from April 12, 2017 (Commencement of Operations) to April 30, 2017 | Six Months Ended April 30, 2017 (Unaudited) | Year Ended October 31, 2016 (Unaudited) | |||||||||||||||||||
Proceeds from reinvestment of dividends and distributions: | |||||||||||||||||||||||
Institutional Class | $ | 44 | $ | 16 | $ | — | $ | — | $ | 185 | |||||||||||||
Class A | — | 14 | — | — | — | ||||||||||||||||||
Class C | — | 12 | — | — | — | ||||||||||||||||||
Class R6 | — | — | — | — | — | ||||||||||||||||||
Payments for shares redeemed: | |||||||||||||||||||||||
Institutional Class | (1,872 | ) | (2,526 | ) | — | (419,668 | ) | (1,488,015 | ) | ||||||||||||||
Class A | (3,598 | ) | (4,077 | ) | — | (105,993 | ) | (196,288 | ) | ||||||||||||||
Class C | (1,197 | ) | (2,625 | ) | — | (27,058 | ) | (79,785 | ) | ||||||||||||||
Class R6 | — | — | — | — | — | ||||||||||||||||||
Net increase (decrease) from Fund share transactions | (157 | ) | (2,775 | ) | 5,535 | (169,995 | ) | (850,216 | ) | ||||||||||||||
Net Increase (Decrease) in Net Assets | 1,280 | (2,807 | ) | 5,548 | (2,334 | ) | (873,599 | ) | |||||||||||||||
Net Assets: | |||||||||||||||||||||||
Beginning of period | 20,751 | 23,558 | — | 2,398,477 | 3,272,076 | ||||||||||||||||||
End of period | $ | 22,031 | $ | 20,751 | $ | 5,548 | $ | 2,396,143 | $ | 2,398,477 | |||||||||||||
Undistributed net investment income (loss) at end of period | $ | 110 | $ | 15 | $ | 1 | $ | (7,401 | ) | $ | — | ||||||||||||
Distributions in excess of net investment income at end of period | $ | — | $ | — | $ | — | $ | — | $ | (9,127 | ) |
a Consolidated financial statement, see Note A of the Notes to Financial Statements for additional information.
See Notes to Financial Statements
110
LONG SHORT CREDIT FUND | MULTI-ASSET INCOME FUND | RISK BALANCED COMMODITY STRATEGY FUNDa | |||||||||||||||||||||||||
Six Months Ended April 30, 2017 | Year Ended October 31, 2016 (Unaudited) | Six Months Ended April 30, 2017 | Year Ended October 31, 2016 (Unaudited) | Six Months Ended April 30, 2017 | Year Ended October 31, 2016 (Unaudited) | ||||||||||||||||||||||
Proceeds from reinvestment of dividends and distributions: | |||||||||||||||||||||||||||
Institutional Class | $ | 347 | $ | 399 | $ | 263 | $ | 306 | $ | — | $ | — | |||||||||||||||
Class A | 27 | 7 | 1 | 5 | — | — | |||||||||||||||||||||
Class C | — | 3 | 2 | 4 | — | — | |||||||||||||||||||||
Class R6 | 27 | 29 | — | 44 | — | — | |||||||||||||||||||||
Payments for shares redeemed: | |||||||||||||||||||||||||||
Institutional Class | (12,031 | ) | (7,971 | ) | (426 | ) | (279 | ) | (10,934 | ) | (9,690 | ) | |||||||||||||||
Class A | (92 | ) | (423 | ) | (2 | ) | (51 | ) | (6,215 | ) | (17,175 | ) | |||||||||||||||
Class C | — | (33 | ) | (12 | ) | (47 | ) | (50 | ) | (2,899 | ) | ||||||||||||||||
Class R6 | — | (14 | ) | — | (32 | ) | — | — | |||||||||||||||||||
Net increase (decrease) from Fund share transactions | (5,241 | ) | 1,138 | 4,202 | 1,872 | 18,919 | 13,652 | ||||||||||||||||||||
Net Increase (Decrease) in Net Assets | (4,906 | ) | 497 | 4,754 | 2,146 | 18,349 | 11,962 | ||||||||||||||||||||
Net Assets: | |||||||||||||||||||||||||||
Beginning of period | 30,463 | 29,966 | 17,477 | 15,331 | 82,368 | 70,406 | |||||||||||||||||||||
End of period | $ | 25,557 | $ | 30,463 | $ | 22,231 | $ | 17,477 | $ | 100,717 | $ | 82,368 | |||||||||||||||
Undistributed net investment income (loss) at end of period | $ | — | $ | — | $ | — | $ | 6 | $ | (304 | ) | $ | (268 | ) | |||||||||||||
Distributions in excess of net investment income at end of period | $ | (13 | ) | $ | (63 | ) | $ | (32 | ) | $ | — | $ | — | $ | — |
111
Statements of Changes in Net Assets (cont'd)
U.S. EQUITY INDEX PUTWRITE STRATEGY FUND | |||||||||||
Six Months Ended April 30, 2017 (Unaudited) | Period from September 16, 2016 (Commencement of Operations) to October 31, 2016 | ||||||||||
Increase (Decrease) in Net Assets: | |||||||||||
From Operations (Note A): | |||||||||||
Net investment income (loss) | $ | 117 | $ | 6 | |||||||
Net realized gain (loss) on investments | 3,297 | 161 | |||||||||
Change in net unrealized appreciation (depreciation) of investments | 803 | (75 | ) | ||||||||
Net increase (decrease) in net assets resulting from operations | 4,217 | 92 | |||||||||
Distributions to Shareholders From (Note A): | |||||||||||
Net investment income: | |||||||||||
Institutional Class | (84 | ) | — | ||||||||
Class R6 | (14 | ) | — | ||||||||
Net realized gain on investments: | |||||||||||
Institutional Class | (87 | ) | — | ||||||||
Class A | (2 | ) | — | ||||||||
Class R6 | (14 | ) | — | ||||||||
Total distributions to shareholders | (201 | ) | — | ||||||||
From Fund Share Transactions (Note D): | |||||||||||
Proceeds from shares sold: | |||||||||||
Institutional Class | 81,424 | 21,148 | |||||||||
Class A | 1,888 | 422 | |||||||||
Class C | 59 | 102 | |||||||||
Class R6 | 10,407 | 4,770 | |||||||||
Proceeds from reinvestment of dividends and distributions: | |||||||||||
Institutional Class | 170 | — | |||||||||
Class A | 2 | — | |||||||||
Class R6 | 24 | — | |||||||||
Payments for shares redeemed: | |||||||||||
Institutional Class | (9,062 | ) | — | ||||||||
Class A | (198 | ) | — | ||||||||
Class R6 | (4,098 | ) | — | ||||||||
Net increase (decrease) from Fund share transactions | 80,616 | 26,442 | |||||||||
Net Increase (Decrease) in Net Assets | 84,632 | 26,534 | |||||||||
Net Assets: | |||||||||||
Beginning of period | 26,534 | — | |||||||||
End of period | $ | 111,166 | $ | 26,534 | |||||||
Undistributed net investment income (loss) at end of period | $ | 27 | $ | 8 |
See Notes to Financial Statements
112
Notes to Financial Statements Alternative 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 Securities Act of 1933, as amended (the "1933 Act"). Each of Neuberger Berman Global Allocation Fund ("Global Allocation"), Neuberger Berman Hedged Option Premium Strategy Fund ("Hedged Option Premium Strategy"), 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"), Neuberger Berman Risk Balanced Commodity Strategy Fund ("Risk Balanced Commodity Strategy") and Neuberger Berman U.S. Equity Index PutWrite Strategy Fund ("U.S. Equity Index PutWrite Strategy"), (each individually a "Fund," and collectively, the "Funds") 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). Hedged Option Premium Strategy, Long Short Credit, Multi-Asset Income and U.S. Equity Index PutWrite Strategy are each diversified. U.S. Equity Index PutWrite Strategy had no operations until September 16, 2016, other than matters relating to its organization and its registration of shares under the 1933 Act. Hedged Option Premium Strategy had no operations until April 12, 2017, 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. Hedged Option Premium Strategy, Long Short Credit, Multi-Asset Income and U.S. Equity Index PutWrite Strategy also offer Class R6 shares. The Trust's 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 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.
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 ("NBIA" or "Management") to make estimates and assumptions at the date of the financial statements. Actual results could differ from those estimates.
Risk Balanced Commodity Strategy invests in commodity-related instruments through Neuberger Berman Cayman Commodity Fund I Ltd. (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, 2017, the value of Risk Balanced Commodity Strategy's investment in the Subsidiary was as follows:
Investment in Subsidiary | Percentage of Net Assets | ||||||
$ | 13,188,959 | 13.1 | % |
ß Consolidated Notes to Financial Statements for Risk Balanced Commodity Strategy
113
The Consolidated Financial Statements include all investments and other accounts of the Subsidiary as if held directly by Risk Balanced Commodity Strategy. A summary of the Subsidiary's financial information is presented below:
Subsidiary Financial Statement Information (000's omitted) | Amount | ||||||
Total Assets | $ | 13,441 | |||||
Total Liabilities | 252 | ||||||
Net Assets | 13,189 | ||||||
Net investment income (loss) | (84 | ) | |||||
Net realized gain (loss) | 2,972 | ||||||
Change in net unrealized appreciation\(depreciation) | (3,504 | ) | |||||
Net increase (decrease) in net assets resulting from operations | (616 | ) |
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: 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.
• 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 Funds' investments (long and short positions) in equity securities, convertible preferred stocks, exchange-traded funds, preferred stock, master limited partnerships, exchange-traded options purchased and options written, 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.
114
The value of the Funds' investments in debt securities for long and short positions is determined by Management primarily by obtaining valuations from independent pricing services based on readily available bid or offer 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 Bonds. Inputs used to value corporate debt securities generally include relative credit information, observed market movements, sector news, U.S. Treasury yield curve or relevant benchmark curve, 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").
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 Obligations. 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 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).
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).
Management has developed a process to periodically review information provided by independent pricing services for all types of securities.
115
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, securities within the same industry with recent highly correlated performance, 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 normally translated from the local currency into U.S. dollars using the exchange rates as of 4:00 p.m., Eastern Time on days the New York Stock Exchange ("NYSE") is open for business. The Board has approved the use of Interactive Data Pricing and Reference Data LLC ("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 debt securities as of the time as of which a Fund's share price is calculated. Interactive utilizes benchmark spread and yield curves and evaluates available market activity from the local close to the time as of which a Fund's share price is calculated (Level 2 inputs) to assist in determining prices for certain foreign debt 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 time as of which a Fund's share price is calculated, 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.
4 Foreign currency translation: The accounting records of the Funds and Subsidiary are maintained in U.S. dollars. Foreign currency amounts are normally translated into U.S. dollars using the exchange rate as of 4:00 p.m. Eastern Time, on days the NYSE is open for business 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 a 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.
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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, except Hedged Option Premium Strategy, to continue to, and the intention of Hedged Option Premium Strategy 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 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, 2017, 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.
As of April 30, 2017, selected Fund information on a U.S. federal income tax basis was as follows:
(000's omitted) | Cost | Gross Unrealized Appreciation | Gross Unrealized Depreciation | Appreciation/ (Depreciation) | |||||||||||||||
Global Allocation | $ | 21,948 | $ | 1,261 | $ | 249 | $ | 1,012 | |||||||||||
Hedged Option Premium Strategy | 5,557 | — | 4 | (4 | ) | ||||||||||||||
Long Short | 1,972,622 | 438,265 | 64,488 | 373,777 | |||||||||||||||
Long Short Credit | 25,702 | 433 | 226 | 207 | |||||||||||||||
Multi-Asset Income | 23,648 | 1,008 | 307 | 701 | |||||||||||||||
Risk Balanced Commodity Strategy | 93,438 | 65 | 39 | 26 | |||||||||||||||
U.S. Equity Index PutWrite Strategy | 110,720 | 29 | 130 | (101 | ) |
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, 2016, 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, tax adjustments related to short sales gains and losses from forwards, 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-indexed bonds ("TIPs"). These reclassifications
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had no effect on net income, net asset value ("NAV") or NAV per share of each Fund. For the year ended October 31, 2016, the Funds recorded the following permanent reclassifications:
Paid-in Capital | Undistributed Net Investment Income (Loss) | Accumulated Net Realized Gains (Losses) on Investments | |||||||||||||
Global Allocation | $ | (50,363 | ) | $ | 139,647 | $ | (89,284 | ) | |||||||
Long Short | (5,998,740 | ) | 6,400,392 | (401,652 | ) | ||||||||||
Long Short Credit | (1,049 | ) | 105,143 | (104,094 | ) | ||||||||||
Multi-Asset Income | (206 | ) | (15,419 | ) | 15,625 | ||||||||||
Risk Balanced Commodity Strategy | (2,093,593 | ) | 760,448 | 1,333,145 | |||||||||||
U.S. Equity Index PutWrite Strategy | (1,681 | ) | 1,681 | — |
The tax character of distributions paid during the years ended October 31, 2016 and October 31, 2015 was as follows:
Distributions Paid From: | |||||||||||||||||||||||||||||||||||||||||||
Ordinary Income | Tax-Exempt Income | Long-Term Capital Gain | Return of Capital | Total | |||||||||||||||||||||||||||||||||||||||
2016 | 2015 | 2016 | 2015 | 2016 | 2015 | 2016 | 2015 | 2016 | 2015 | ||||||||||||||||||||||||||||||||||
Global Allocation | $ | — | $ | 624,099 | $ | — | $ | — | $ | 43,247 | $ | 64 | $ | — | $ | — | $ | 43,247 | $ | 624,163 | |||||||||||||||||||||||
Long Short | 361,261 | 4,409,898 | — | — | — | 12,784,739 | — | — | 361,261 | 17,194,637 | |||||||||||||||||||||||||||||||||
Long Short Credit | 633,046 | 112,839 | (a) | — | — | (a) | — | — | (a) | — | — | (a) | 633,046 | 112,839 | (a) | ||||||||||||||||||||||||||||
Multi-Asset Income | 489,748 | 367,993 | (b) | — | — | (b) | — | — | (b) | 149,478 | — | (b) | 639,226 | 367,993 | (b) | ||||||||||||||||||||||||||||
Risk Balanced Commodity Strategy | — | 5,572 | — | — | — | 1,857 | — | — | — | 7,429 | |||||||||||||||||||||||||||||||||
U.S. Equity Index PutWrite Strategy | — | (c) | — | — | (c) | — | — | (c) | — | — | (c) | — | — | (c) | — |
(a) Period from June 29, 2015 (Commencement of Operations) to October 31, 2015.
(b) Period from March 27, 2015 (Commencement of Operations) to October 31, 2015.
(c) Period from September 16, 2016 (Commencement of Operations) to October 31, 2016.
As of October 31, 2016, 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 | ||||||||||||||||||||||
Global Allocation | $ | — | $ | — | $ | (7,524 | ) | $ | (265,750 | ) | $ | (42,213 | ) | $ | (315,487 | ) | |||||||||||
Long Short | — | — | 185,956,312 | (84,394,384 | ) | 21,714 | 101,583,642 | ||||||||||||||||||||
Long Short Credit | — | — | (11,093 | ) | (1,266,289 | ) | (20,636 | ) | (1,298,018 | ) | |||||||||||||||||
Multi-Asset Income | — | — | 85,667 | (560,863 | ) | (20,586 | ) | (495,782 | ) | ||||||||||||||||||
Risk Balanced Commodity Strategy | — | — | 53,071 | (366,023 | ) | 664,890 | 351,938 | ||||||||||||||||||||
U.S. Equity IndexPutWrite Strategy | 53,798 | 61,369 | (16,945 | ) | — | (5,170 | ) | 93,052 |
The temporary 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, mark-to-market adjustments on option
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contracts and tax adjustments related to REITs, TIPs, PFICs, short sales, partnerships, futures, swap contracts and other investments.
To the extent each Fund's net realized capital gains, if any, can be offset by capital loss carryforwards, 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, 2016, 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 | ||||||||||
Global Allocation | $ | — | $ | 265,750 | |||||||
Long Short | 14,737,120 | 55,591,523 | |||||||||
Long Short Credit | 89,293 | 1,176,996 | |||||||||
Multi-Asset Income | 85,276 | 475,587 | |||||||||
Risk Balanced Commodity Strategy | 89,554 | 8,790 |
Under current tax regulations, capital losses realized on investment transactions after October 31 may be deferred and treated as occurring on the first day of the following fiscal year. Under the Regulated Investment Company Modernization Act of 2010, the 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, 2016, Long Short and Risk Balanced Commodity Strategy elected to defer the following late-year ordinary losses:
Late-Year Ordinary Loss Deferral | |||||||
Long Short | $ | 14,065,741 | |||||
Risk Balanced Commodity Strategy | 267,679 |
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, 2017, 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 recorded on the ex-date and generally distributed once a year (usually in December) for Global Allocation, Long Short and Risk Balanced Commodity Strategy, monthly for Multi-Asset Income and quarterly for Hedged Option Premium Strategy, Long Short Credit (monthly prior to October 1, 2016) and U.S. Equity Index PutWrite Strategy. 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 Global Allocation, 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 April 30, 2017, Long Short and Multi-Asset Income estimated these amounts for the period January 1, 2017 to April 30, 2017 within the financial statements because the 2017 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 year ended October 31, 2016, the character of distributions paid to shareholders of Global Allocation,
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Long Short and Multi-Asset Income 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, 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 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 in the complex or series thereof on the basis of relative net assets, except where a more appropriate allocation of expenses to each of the investment companies in the complex or series thereof can otherwise be made fairly. Each Fund's expenses (other than those specific to each class) are allocated proportionally each day among the classes based upon the relative net assets of each class.
10 Investments in foreign securities: Investing in foreign securities may involve 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. 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 Reverse repurchase agreements: In a reverse repurchase agreement, a Fund sells portfolio securities to another party and agrees to repurchase the securities at an agreed-upon price and date, which reflects an interest payment. In periods of increased demand for a security, the Fund may receive a payment from the counterparty for the use of the security, which is recorded as interest income. Reverse repurchase agreements involve the risk that the other party will fail to return the securities in a timely manner, or at all, which may result in losses to a Fund. A Fund could lose money if it is unable to recover the securities and the value of the collateral held by the Fund is less than the value of the securities. Reverse repurchase agreements also involve the risk that the market value of the securities sold will decline below the price at which a Fund is obligated to repurchase them. Reverse repurchase agreements may be viewed as a form of borrowing by a Fund. When the Fund enters into a reverse repurchase agreement, any fluctuations in the market value of either the securities transferred to another party or the securities in which the proceeds may be invested would affect the market value of the Fund's assets. During the term of the
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agreement, the Fund may also be obligated to pledge additional cash and/or securities in the event of a decline in the fair value of the transferred security.
13 Securities sold short: Each Fund may engage in short sales, which are sales of securities which have been borrowed from a third party on the expectation that the market price will decline. If the price of the securities decreases, a Fund will make a profit by purchasing the securities in the open market at a price lower than the one at which it sold the securities. If the price of the securities increases, a Fund may have to cover its short positions at a price higher than the short sale price, resulting in a loss. Gains are limited to the price at which a Fund sold the security short, while losses are potentially unlimited in size. The Funds pledge securities and/or other assets, which may include cash collateral from securities lending activities, to the lender as collateral. Proceeds received from short sales may be maintained by the lender as collateral or may be released to the Funds and used to purchase additional securities or for any other purpose. Proceeds maintained by the lender are included in the "Cash collateral segregated for short sales" on the Statements of Assets and Liabilities. The Funds are required to segregate an amount of cash 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. A net negative expense, if any, represents a gain to the Fund as the total cash rebates received exceeded the other costs related to short sales. The net amount of fees incurred during the six months ended April 30, 2017, are included in the "Dividend and interest expense on securities sold short and reverse repurchase agreements" on the Statements of Operations and are as follows:
Global Allocation | $ | 2,518 | |||||
Long Short | $ | (63,743 | ) |
At April 30, 2017, Long Short had pledged cash in the amount of $431,767,534 to State Street to cover collateral requirements for borrowing in connection with securities sold short, respectively.
14 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, 2017, Global Allocation received net income under the securities lending arrangement of $56. 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, 2017, Global Allocation had no outstanding loans of securities.
15 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 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.
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16 Derivative instruments: Certain of the Funds' use of derivatives during the six months ended April 30, 2017, is described below. Please see the Schedule of Investments for each Fund's open positions in derivatives, if any, at April 30, 2017. 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.
Futures contracts: During the six months ended April 30, 2017, 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, 2017, 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, 2017, 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 the six months ended April 30, 2017, Multi-Asset Income 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, Multi-Asset Income also utilized futures to provide investment exposure to certain indices and markets other than the benchmark indices. During the six months ended April 30, 2017, 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, 2017, Global Allocation used forward contracts to obtain or reduce exposure to certain markets, establish net short or long positions for currencies and
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alter the Fund's exposure to markets and currencies. During the six months ended April 30, 2017, 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, 2017, 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.
Credit default swap contracts: During the six months ended April 30, 2017, 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. 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.
Centrally cleared swap contracts: 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 daily change in valuation is recorded as a receivable or
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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.
Equity swap contracts: During the six months ended April 30, 2017, Long Short Credit used equity swap contracts ("equity swaps") to replace more traditional direct investments and to hedge risk.
Equity swaps are two-party contracts in which counterparties exchange the return on a specified reference security, basket of securities, security index or index component for the return based on a fixed or floating interest rate during the period of the swap. Equity swaps are marked to market daily based on the value of the underlying reference entity and the change, if any, is recorded as an unrealized gain or loss. Equity swaps normally do not involve the delivery of securities or other underlying assets. If the other party to an equity swap defaults, the Fund's risk of loss consists of the net amount of payments that the Fund is contractually entitled to receive, if any. Equity swaps are derivatives and their value can be very volatile. To the extent that future market trends, the values of assets or economic factors are not accurately analyzed and predicted, the Fund may suffer a loss, which may exceed the related amounts shown in the Statements of Assets and Liabilities. Periodic payments received or paid by the Fund are recorded as realized gains or losses.
Total return basket swap contracts: During the six months ended April 30, 2017, Long Short used total return basket swaps to increase returns, reduce risks and for hedging purposes. During the six months ended April 30, 2017, 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.
Total return swap contracts: During the six months ended April 30, 2017, Long Short used total return swaps to increase returns, reduce risks and for hedging purposes. During the six months ended April 30, 2017, 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. 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.
124
Options: During the six months ended April 30, 2017, Global Allocation used options written to enhance returns, manage or adjust the risk profile of the Fund or the risk of individual positions, replace more traditional direct investments and obtain exposure to certain markets. During the period ended April 30, 2017, Hedged Option Premium Strategy used options written primarily to gain exposure to securities, markets, sectors or geographical areas and also to enhance income and gain exposure more efficiently than through a direct purchase of the underlying security. During the period ended April 30, 2017, Hedged Option Premium Strategy used options purchased primarily to hedge exposures to securities, markets, sectors or geographical areas while attempting to limit risk. During the six months ended April 30, 2017, Long Short used options written to generate incremental returns. During the six months ended April 30, 2017, Long Short Credit used options purchased (including options on futures) either for either for hedging purposes or to generate incremental returns. During the six months ended April 30, 2017, Long Short Credit used options written (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, 2017, Multi-Asset Income used options written primarily to seek to enhance yield. During the six months ended April 30, 2017, U.S. Equity Index PutWrite Strategy used options written primarily to gain exposure to securities, markets, sectors or geographical areas and also to enhance income and gain exposure more efficiently than through a direct purchase of the underlying security.
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.
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.
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 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.
125
At April 30, 2017, the Funds had the following derivatives (which did not qualify as hedging instruments under ASC 815), grouped by primary risk exposure:
Asset Derivatives (000's omitted) | |||||||||||||||||||||||||||||||
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(a) | $ | 9 | $ | 1 | $ | 11 | $ | — | $ | — | $ | 21 | ||||||||||||||||||
Forward contracts | Receivable for forward foreign currency contracts | — | 262 | — | — | — | 262 | ||||||||||||||||||||||||
Total Value—Assets | $ | 9 | $ | 263 | $ | 11 | $ | — | $ | — | $ | 283 | |||||||||||||||||||
Hedged Option Premium Strategy | |||||||||||||||||||||||||||||||
Options purchased | Investments in securities, at value | $ | — | $ | — | $ | 1 | $ | — | $ | — | $ | 1 | ||||||||||||||||||
Total Value—Assets | $ | — | $ | — | $ | 1 | $ | — | $ | — | $ | 1 | |||||||||||||||||||
Long Short | |||||||||||||||||||||||||||||||
Futures | Receivable/Payable for variation margin on futures contracts(a) | $ | — | $ | — | $ | 20 | $ | — | $ | — | $ | 20 | ||||||||||||||||||
OTC swaps | OTC swap contracts, at value(b) | — | — | 1,205 | — | — | 1,205 | ||||||||||||||||||||||||
Options purchased | Investments in securities, at value | — | — | 591 | — | — | 591 | ||||||||||||||||||||||||
Total Value—Assets | $ | — | $ | — | $ | 1,816 | $ | — | $ | — | $ | 1,816 | |||||||||||||||||||
Long Short Credit | |||||||||||||||||||||||||||||||
Futures | Receivable/Payable for variation margin on futures contracts(a) | $ | 1 | $ | — | $ | 16 | $ | — | $ | — | $ | 17 | ||||||||||||||||||
Forward contracts | Receivable for forward foreign currency contracts | — | 0 | (c) | — | — | — | 0 | (c) | ||||||||||||||||||||||
OTC swaps | OTC swap contracts, at value(b) | — | — | 51 | 3 | — | 54 | ||||||||||||||||||||||||
Total Value—Assets | $ | 1 | $ | 0 | $ | 67 | $ | 3 | $ | — | $ | 71 |
126
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(a) | $ | 6 | $ | 4 | $ | 14 | $ | — | $ | — | $ | 24 | ||||||||||||||||||
Forward contracts | Receivable for forward foreign currency contracts | — | 243 | — | — | — | 243 | ||||||||||||||||||||||||
Total Value—Assets | $ | 6 | $ | 247 | $ | 14 | $ | — | $ | — | $ | 267 | |||||||||||||||||||
Risk Balanced Commodity Strategy | |||||||||||||||||||||||||||||||
Futures | Receivable/Payable for variation margin on futures contracts(a) | $ | — | $ | — | $ | — | $ | — | $ | 649 | $ | 649 | ||||||||||||||||||
Total Value—Assets | $ | — | $ | — | $ | — | $ | — | $ | 649 | $ | 649 | |||||||||||||||||||
U.S. Equity Index PutWrite Strategy | |||||||||||||||||||||||||||||||
Options purchased | Investments in securities, at value | $ | — | $ | — | $ | — | $ | — | $ | — | $ | — | ||||||||||||||||||
Total Value—Assets | $ | — | $ | — | $ | — | $ | — | $ | — | $ | — | |||||||||||||||||||
Liability Derivatives (000's omitted) | |||||||||||||||||||||||||||||||
Global Allocation | |||||||||||||||||||||||||||||||
Futures | Receivable/Payable for variation margin on futures contracts(a) | $ | (8 | ) | $ | (2 | ) | $ | (2 | ) | $ | — | $ | — | $ | (12 | ) | ||||||||||||||
Forward contracts | Payable for forward foreign currency contracts | — | (261 | ) | — | — | — | (261 | ) | ||||||||||||||||||||||
Options written | Option contracts written, at value | — | — | (15 | ) | — | — | (15 | ) | ||||||||||||||||||||||
Total Value—Liabilities | $ | (8 | ) | $ | (263 | ) | $ | (17 | ) | $ | — | $ | — | $ | (288 | ) | |||||||||||||||
Hedged Option Premium Strategy | |||||||||||||||||||||||||||||||
Options written | Option contracts written, at value | $ | — | $ | — | $ | (22 | ) | $ | — | $ | — | $ | (22 | ) | ||||||||||||||||
Total Value—Liabilities | $ | — | $ | — | $ | (22 | ) | $ | — | $ | — | $ | (22 | ) | |||||||||||||||||
Long Short | |||||||||||||||||||||||||||||||
Futures | Receivable/Payable for variation margin on futures contracts(a) | $ | (546 | ) | $ | — | $ | (698 | ) | $ | — | $ | — | $ | (1,244 | ) | |||||||||||||||
OTC swaps | OTC swap contracts, at value(b) | — | — | (9,311 | ) | — | — | (9,311 | ) | ||||||||||||||||||||||
Options written | Option contracts written, at value | — | — | (4,472 | ) | — | — | (4,472 | ) | ||||||||||||||||||||||
Total Value—Liabilities | $ | (546 | ) | $ | — | $ | (14,481 | ) | $ | — | $ | — | $ | (15,027 | ) |
127
Derivative Type | Statements of Assets and Liabilities Location | Interest Rate Risk | Currency Risk | Equity Risk | Credit Risk | Commodity Risk | Total | ||||||||||||||||||||||||
Long Short Credit | |||||||||||||||||||||||||||||||
Forward contracts | Payable for forward foreign currency contracts | $ | — | $ | (1 | ) | $ | — | $ | — | $ | — | $ | (1 | ) | ||||||||||||||||
OTC swaps | OTC swap contracts, at value(b) | — | — | (9 | ) | (109 | ) | — | (118 | ) | |||||||||||||||||||||
Total Value—Liabilities | $ | — | $ | (1 | ) | $ | (9 | ) | $ | (109 | ) | $ | — | $ | (119 | ) | |||||||||||||||
Multi-Asset Income | |||||||||||||||||||||||||||||||
Futures | Receivable/Payable for variation margin on futures contracts(a) | $ | (13 | ) | $ | (7 | ) | $ | (2 | ) | $ | — | $ | — | $ | (22 | ) | ||||||||||||||
Forward contracts | Payable for forward foreign currency contracts | — | (242 | ) | — | — | — | (242 | ) | ||||||||||||||||||||||
Options written | Option contracts written, at value | — | — | (11 | ) | — | — | (11 | ) | ||||||||||||||||||||||
Total Value—Liabilities | $ | (13 | ) | $ | (249 | ) | $ | (13 | ) | $ | — | $ | — | $ | (275 | ) | |||||||||||||||
Risk Balanced Commodity Strategy | |||||||||||||||||||||||||||||||
Futures | Receivable/Payable for variation margin on futures contracts(a) | $ | — | $ | — | $ | — | $ | — | $ | (3,488 | ) | $ | (3,488 | ) | ||||||||||||||||
Total Value—Liabilities | $ | — | $ | — | $ | — | $ | — | $ | (3,488 | ) | $ | (3,488 | ) | |||||||||||||||||
U.S. Equity Index PutWrite Strategy | |||||||||||||||||||||||||||||||
Options written | Option contracts written, at value | $ | — | $ | — | $ | (578 | ) | $ | — | $ | — | $ | (578 | ) | ||||||||||||||||
Total Value—Liabilities | $ | — | $ | — | $ | (578 | ) | $ | — | $ | — | $ | (578 | ) |
(a) "Futures" reflects the cumulative unrealized appreciation/(depreciation) of futures contracts as of April 30, 2017, 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, 2017, if any, is reflected in the Statements of Assets and Liabilities under the caption "Receivable/Payable for variation margin on futures contracts."
(b) "OTC swaps" reflects the cumulative unrealized appreciation/(depreciation) of the OTC swap contracts plus accrued interest as of April 30, 2017 which is reflected in the Statements of Assets and Liabilities under the caption "OTC swap contracts, at value."
(c) Amount less than one thousand.
128
The impact of the use of these derivative instruments on the Statements of Operations during the six months ended April 30, 2017, was as follows:
Realized Gain (Loss) (000's omitted) | |||||||||||||||||||||||||||
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 | $ | (10 | ) | $ | (23 | ) | $ | 14 | $ | — | $ | — | $ | (19 | ) | |||||||||||
Forward contracts | Net realized gain (loss) on: forward foreign currency contracts | — | (13 | ) | — | — | — | (13 | ) | ||||||||||||||||||
Options written | Net realized gain (loss) on: option contracts and swaptions written | — | — | 43 | — | — | 43 | ||||||||||||||||||||
Total Realized Gain (Loss) | $ | (10 | ) | $ | (36 | ) | $ | 57 | $ | — | $ | — | $ | 11 | |||||||||||||
Hedged Option Premium Strategy | |||||||||||||||||||||||||||
Options purchased | Net realized gain (loss) on: sales of investment securities of unaffiliated issuers | $ | — | $ | — | $ | (0 | )(a) | $ | — | $ | — | $ | (0 | )(a) | ||||||||||||
Options written | Net realized gain (loss) on: option contracts and swaptions written | — | — | 5 | — | — | 5 | ||||||||||||||||||||
Total Realized Gain (Loss) | $ | — | $ | — | $ | 5 | $ | — | $ | — | $ | 5 | |||||||||||||||
Long Short | |||||||||||||||||||||||||||
Futures | Net realized gain (loss) on: futures contracts | $ | 1,270 | $ | — | $ | (42,487 | ) | $ | — | $ | — | $ | (41,217 | ) | ||||||||||||
Options purchased | Net realized gain (loss) on: sales of investment securities of unaffiliated issuers | — | — | (1,908 | ) | — | — | (1,908 | ) | ||||||||||||||||||
Options written | Net realized gain (loss) on: option contracts and swaptions written | — | — | 3,490 | — | — | 3,490 | ||||||||||||||||||||
Swaps | Net realized gain (loss) on: swap contracts | — | — | (8,965 | ) | — | — | (8,965 | ) | ||||||||||||||||||
Total Realized Gain (Loss) | $ | 1,270 | $ | — | $ | (49,870 | ) | $ | — | $ | — | $ | (48,600 | ) |
129
Derivative Type | Statements of Operations Location | Interest Rate Risk | Currency Risk | Equity Risk | Credit Risk | Commodity Risk | Total | ||||||||||||||||||||||||
Long Short Credit | |||||||||||||||||||||||||||||||
Futures | Net realized gain (loss) on: futures contracts | $ | (12 | ) | $ | — | $ | 2 | $ | — | $ | — | $ | (10 | ) | ||||||||||||||||
Forward contracts | Net realized gain (loss) on: forward foreign currency contracts | — | 13 | — | — | — | 13 | ||||||||||||||||||||||||
Swaps | Net realized gain (loss) on: swap contracts | — | — | (44 | ) | (39 | ) | — | (83 | ) | |||||||||||||||||||||
Options purchased | Net realized gain (loss) on: sales of investment securities of unaffiliated issuers | — | — | (11 | ) | — | — | (11 | ) | ||||||||||||||||||||||
Options and swaptions written | Net realized gain (loss) on: option contracts and swaptions written | 5 | — | 2 | — | — | 7 | ||||||||||||||||||||||||
Total Realized Gain (Loss) | $ | (7 | ) | $ | 13 | $ | (51 | ) | $ | (39 | ) | $ | — | $ | (84 | ) | |||||||||||||||
Multi-Asset Income | |||||||||||||||||||||||||||||||
Futures | Net realized gain (loss) on: futures contracts | $ | (16 | ) | $ | — | $ | (13 | ) | $ | — | $ | — | $ | (29 | ) | |||||||||||||||
Forward contracts | Net realized gain (loss) on: forward foreign currency contracts | — | (20 | ) | — | — | — | (20 | ) | ||||||||||||||||||||||
Options written | Net realized gain (loss) on: option contracts and swaptions written | — | — | 49 | — | — | 49 | ||||||||||||||||||||||||
Total Realized Gain (Loss) | $ | (16 | ) | $ | (20 | ) | $ | 36 | $ | — | $ | — | $ | 0 | (a) | ||||||||||||||||
Risk Balanced Commodity Strategy | |||||||||||||||||||||||||||||||
Futures | Net realized gain (loss) on: futures contracts | $ | — | $ | — | $ | — | $ | — | $ | 2,972 | $ | 2,972 | ||||||||||||||||||
Total Realized Gain (Loss) | $ | — | $ | — | $ | — | $ | — | $ | 2,972 | $ | 2,972 | |||||||||||||||||||
U.S. Equity Index PutWrite Strategy | |||||||||||||||||||||||||||||||
Options written | Net realized gain (loss) on: option contracts and swaptions written | $ | — | $ | — | $ | 3,297 | $ | — | $ | — | $ | 3,297 | ||||||||||||||||||
Total Realized Gain (Loss) | $ | — | $ | — | $ | 3,297 | $ | — | $ | — | $ | 3,297 |
(a) Amount less than one thousand.
130
Change in Appreciation/(Depreciation) (000's omitted) | |||||||||||||||||||||||||||
Derivative Type | Statements of Operations Location | Interest Rate Risk | Currency Risk | Equity Risk | Credit Risk | Commodity Risk | Total | ||||||||||||||||||||
Global Allocation | |||||||||||||||||||||||||||
Futures | Change in net unrealized appreciation (depreciation) in value of: futures contracts | $ | 16 | $ | (5 | ) | $ | 9 | $ | — | $ | — | $ | 20 | |||||||||||||
Forward contracts | Change in net unrealized appreciation (depreciation) in value of: forward foreign currency contracts | — | 26 | — | — | — | 26 | ||||||||||||||||||||
Options written | Change in net unrealized appreciation (depreciation) in value of: option contracts and swaptions written | — | — | 3 | — | — | 3 | ||||||||||||||||||||
Total Change in Appreciation/ (Depreciation) | $ | 16 | $ | 21 | $ | 12 | $ | — | $ | — | $ | 49 | |||||||||||||||
Hedged Option Premium Strategy | |||||||||||||||||||||||||||
Options purchased | Change in net unrealized appreciation (depreciation) in value of: unaffiliated investment securities | $ | — | $ | — | $ | (2 | ) | $ | — | $ | — | $ | (2 | ) | ||||||||||||
Options written | Change in net unrealized appreciation (depreciation) in value of: option contracts and swaptions written | — | — | 11 | — | — | 11 | ||||||||||||||||||||
Total Change in Appreciation/ (Depreciation) | $ | — | $ | — | $ | 9 | $ | — | $ | — | $ | 9 |
131
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 | $ | (699 | ) | $ | — | $ | (13,711 | ) | $ | — | $ | — | (14,410 | ) | ||||||||||||||||
Options purchased | Change in net unrealized appreciation (depreciation) in value of: unaffiliated investment securities | — | — | 1,528 | — | — | 1,528 | ||||||||||||||||||||||||
Options written | Change in net unrealized appreciation (depreciation) in value of: option contracts and swaptions written | — | — | (2,438 | ) | — | — | (2,438 | ) | ||||||||||||||||||||||
Swaps | Change in net unrealized appreciation (depreciation) in value of: swap contracts | — | — | (2,892 | ) | — | — | (2,892 | ) | ||||||||||||||||||||||
Total Change in Appreciation/ (Depreciation) | $ | (699 | ) | $ | — | $ | (17,513 | ) | $ | — | $ | — | $ | (18,212 | ) | ||||||||||||||||
Long Short Credit | |||||||||||||||||||||||||||||||
Futures | Change in net unrealized appreciation (depreciation) in value of: futures contracts | $ | (54 | ) | $ | — | $ | 16 | $ | — | $ | — | $ | (38 | ) | ||||||||||||||||
Forward contracts | Change in net unrealized appreciation (depreciation) in value of: forward foreign currency contracts | — | (8 | ) | — | — | — | (8 | ) | ||||||||||||||||||||||
Swaps | Change in net unrealized appreciation (depreciation) in value of: swap contracts | — | — | 24 | (21 | ) | — | 3 | |||||||||||||||||||||||
Options written | Change in net unrealized appreciation (depreciation) in value of: option contracts and swaptions written | — | — | 2 | — | — | 2 | ||||||||||||||||||||||||
Total Change in Appreciation/ (Depreciation) | $ | (54 | ) | $ | (8 | ) | $ | 42 | $ | (21 | ) | $ | — | $ | (41 | ) |
132
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 | $ | 15 | $ | (4 | ) | $ | 10 | $ | — | $ | — | $ | 21 | |||||||||||||||||
Forward contracts | Change in net unrealized appreciation (depreciation) in value of: forward foreign currency contracts | — | 23 | — | — | — | 23 | ||||||||||||||||||||||||
Options written | Change in net unrealized appreciation (depreciation) in value of: option contracts and swaptions written | — | — | 5 | — | — | 5 | ||||||||||||||||||||||||
Total Change in Appreciation/ (Depreciation) | $ | 15 | $ | 19 | $ | 15 | $ | — | $ | — | $ | 49 | |||||||||||||||||||
Risk Balanced Commodity Strategy | |||||||||||||||||||||||||||||||
Futures | Change in net unrealized appreciation (depreciation) in value of: futures contracts | $ | — | $ | — | $ | — | $ | — | $ | (3,504 | ) | $ | (3,504 | ) | ||||||||||||||||
Total Change in Appreciation/ (Depreciation) | $ | — | $ | — | $ | — | $ | — | $ | (3,504 | ) | $ | (3,504 | ) | |||||||||||||||||
U.S. Equity Index PutWrite Strategy | |||||||||||||||||||||||||||||||
Options written | Change in net unrealized appreciation (depreciation) in value of: option contracts and swaptions written | $ | — | $ | — | $ | 887 | $ | — | $ | — | $ | 887 | ||||||||||||||||||
Total Change in Appreciation/ (Depreciation) | $ | — | $ | — | $ | 887 | $ | — | $ | — | $ | 887 |
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.
The Funds adopted the provisions of Accounting Standards Update ("ASU") 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 Hedged Option Premium Strategy, Risk Balanced Commodity Strategy and U.S. Equity Index PutWrite Strategy, at April 30, 2017. 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, 2017.
133
Description (000's omitted) | 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 | $ | 262 | $ | — | $ | 262 | |||||||||
Total | $ | 262 | $ | — | $ | 262 | |||||||||
Long Short | |||||||||||||||
Swap contracts | $ | 1,205 | $ | — | $ | 1,205 | |||||||||
Total | $ | 1,205 | $ | — | $ | 1,205 | |||||||||
Long Short Credit | |||||||||||||||
OTC swaps | $ | 54 | $ | — | $ | 54 | |||||||||
Forward contracts | 0 | (d) | — | 0 | (d) | ||||||||||
Total | $ | 54 | $ | — | $ | 54 | |||||||||
Multi-Asset Income | |||||||||||||||
Forward contracts | $ | 243 | $ | — | $ | 243 | |||||||||
Total | $ | 243 | $ | — | $ | 243 |
Gross Amounts Not Offset in the Statements of Assets and Liabilities
Counterparty (000's omitted) | Net Amounts of Assets Presented in the Statements of Assets and Liabilities | Liabilities Available for Offset | Cash Collateral Received(a) | Net Amount(b) | |||||||||||||||
Global Allocation | |||||||||||||||||||
Goldman Sachs International | $ | 56 | $ | (30 | ) | $ | — | $ | 26 | ||||||||||
Royal Bank of Canada | 111 | (84 | ) | — | 27 | ||||||||||||||
Societe Generale | 57 | (55 | ) | — | 2 | ||||||||||||||
State Street Bank and Trust Company | 38 | (38 | ) | — | — | ||||||||||||||
Total | $ | 262 | $ | (207 | ) | $ | — | $ | 55 | ||||||||||
Long Short | |||||||||||||||||||
Citibank N.A. | $ | 1,205 | $ | (1,205 | ) | $ | — | $ | — | ||||||||||
Total | $ | 1,205 | $ | (1,205 | ) | $ | — | $ | — | ||||||||||
Long Short Credit | |||||||||||||||||||
BNP Paribas SA | $ | 3 | $ | (3 | ) | $ | — | $ | — | ||||||||||
Goldman Sachs International | 51 | (51 | ) | — | $ | — | |||||||||||||
Total | $ | 54 | (54 | ) | $ | — | $ | — | |||||||||||
Multi-Asset Income | |||||||||||||||||||
Goldman Sachs International | $ | 49 | $ | (33 | ) | $ | — | $ | 16 | ||||||||||
Royal Bank of Canada | 104 | (76 | ) | — | 28 | ||||||||||||||
Societe Generale | 48 | (46 | ) | — | 2 | ||||||||||||||
State Street Bank and Trust Company | 42 | (42 | ) | — | — | ||||||||||||||
Total | $ | 243 | $ | (197 | ) | $ | — | $ | 46 |
134
Description (000's omitted) | 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 | $ | (261 | ) | $ | — | $ | (261 | ) | |||||||
Total | $ | (261 | ) | $ | — | $ | (261 | ) | |||||||
Long Short | |||||||||||||||
OTC swaps | $ | (9,311 | ) | $ | — | $ | (9,311 | ) | |||||||
Total | $ | (9,311 | ) | $ | — | $ | (9,311 | ) | |||||||
Long Short Credit | |||||||||||||||
OTC swaps | (118 | ) | — | (118 | ) | ||||||||||
Forward contracts | (1 | ) | — | (1 | ) | ||||||||||
Total | $ | (119 | ) | $ | — | $ | (119 | ) | |||||||
Multi-Asset Income | |||||||||||||||
Forward contracts | $ | (242 | ) | $ | — | $ | (242 | ) | |||||||
Total | $ | (242 | ) | $ | — | $ | (242 | ) |
Gross Amounts Not Offset in the Statements of Assets and Liabilities
Counterparty (000's omitted) | Net Amounts of Liabilities Presented in the Statements of Assets and Liabilities | Assets Available for Offset | Cash Collateral Pledged(a) | Net Amount(c) | |||||||||||||||
Global Allocation | |||||||||||||||||||
Goldman Sachs International | $ | (30 | ) | $ | 30 | $ | — | $ | — | ||||||||||
Royal Bank of Canada | (84 | ) | 84 | — | — | ||||||||||||||
Societe Generale | (55 | ) | 55 | — | — | ||||||||||||||
State Street Bank and Trust Company | (92 | ) | 38 | — | (54 | ) | |||||||||||||
Total | $ | (261 | ) | $ | 207 | $ | — | $ | (54 | ) | |||||||||
Long Short | |||||||||||||||||||
Citibank N.A. | $ | (1,759 | ) | $ | 1,205 | $ | 554 | $ | — | ||||||||||
Goldman Sachs International | (7,552 | ) | — | 7,552 | — | ||||||||||||||
Total | $ | (9,311 | ) | $ | 1,205 | $ | 8,106 | $ | — | ||||||||||
Long Short Credit | |||||||||||||||||||
BNP Paribas SA | $ | (14 | ) | $ | 3 | $ | 11 | $ | — | ||||||||||
Goldman Sachs International | (105 | ) | 51 | 54 | — | ||||||||||||||
Total | $ | (119 | ) | $ | 54 | $ | 65 | $ | — | ||||||||||
Multi-Asset Income | |||||||||||||||||||
Goldman Sachs International | $ | (33 | ) | 33 | — | — | |||||||||||||
Royal Bank of Canada | (76 | ) | 76 | — | — | ||||||||||||||
Societe Generale | (46 | ) | 46 | — | — | ||||||||||||||
State Street Bank and Trust Company | (87 | ) | 42 | — | (45 | ) | |||||||||||||
Total | $ | (242 | ) | $ | 197 | $ | — | $ | (45 | ) |
(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, 2017, in the event of a counterparty failure.
135
(c) Net Amount represents amounts under-collateralized by Global Allocation and Multi-Asset Income to each counterparty as of April 30, 2017.
(d) Amount less than one thousand.
Reverse repurchase agreements entered into by a Fund are subject to Master Repurchase Agreements ("MRA") or Global Master Repurchase Agreement ("GMRA"), as applicable, (MRA and GMRA collectively, "Repos"), which permit the Fund, under certain circumstances, including an event of default (such as bankruptcy or insolvency), to offset payables and/or receivables under Repos with collateral held and/or posted to the counterparty and create one single net payment due to or from the Fund.
The following table presents Long Short Credit's reverse repurchase agreements net of amounts available for offset under Repos and net of the related collateral received and/or pledged by the Fund as of April 30, 2017.
Counterparty (000's omitted) | Reverse Repurchase Agreements | Assets Available for Offset | Securities Collateral Pledged(a) | Net Amount(b) | |||||||||||||||
Citigroup Global Markets, Inc. | $ | (807 | ) | $ | — | $ | 807 | $ | — | ||||||||||
Total | $ | (807 | ) | $ | — | $ | 807 | $ | — |
(a) In some instances, the actual collateral received and/or pledged may be more than the amount shown due to overcollateralization.
(b) Net amount represents the net amount payable to the counterparty in the event of default.
17 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.
18 Transactions with other funds managed by Neuberger Berman Investment Advisers 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, subject to the terms and conditions of such order. Through April 30, 2017, Global Allocation invested in Neuberger Berman Emerging Markets Debt Fund, Neuberger Berman Emerging Markets Equity Fund, Neuberger Berman Floating Rate Income Fund, Neuberger Berman Genesis Fund, Neuberger Berman High Income Bond Fund, Neuberger Berman International Select Fund, Long Short Credit, Risk Balanced Commodity Strategy and U.S. Equity Index PutWrite Strategy (collectively the "Underlying Funds"). Through April 30, 2017, Multi-Asset Income invested in Neuberger Berman Emerging Markets Debt Fund, Neuberger Berman Floating Rate Income Fund, Neuberger Berman High Income Bond Fund and Long Short Credit (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 six months ended April 30, 2017, management fees waived under this Arrangement are reflected in the Statements of Operations under the caption "Investment management fees waived." For the six months ended April 30, 2017, income earned under this Arrangement on Global Allocation's and Multi-Asset Income's investments is reflected in the Statements of Operations under the caption "Dividend income-affiliated issuers." For the six months ended April 30, 2017, management fees waived and income earned under this Arrangement on Global Allocation's and Multi-Asset Income's investments in the Underlying Funds were as follows:
Management fees waived | Income earned | ||||||||||
Global Allocation | $ | 34,451 | $ | 141,019 | |||||||
Multi-Asset Income | 19,481 | 168,715 |
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19 Organization expenses: Costs incurred by Hedged Option Premium Strategy in connection with its organization, which amounted to $92,317 and are reflected in Organization expense in the Statements of Operations, have been expensed as incurred.
20 Other: All net investment income and realized and unrealized capital gains and losses of each Fund are allocated, on the basis of relative net assets, pro rata among its respective classes.
Note B—Investment Management Fees, Administration Fees, Distribution Arrangements, and Other Transactions with Affiliates:
Each Fund retains Management as its investment manager under 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(a):
First $250 million | Next $250 million | Next $250 million | Next $250 million | Next $500 million | Next $500 million | Next $2 billion | Thereafter | ||||||||||||||||||||||||||||
For Global Allocation:(b) | |||||||||||||||||||||||||||||||||||
0.55 | % | 0.55 | % | 0.55 | % | 0.55 | % | 0.525 | % | 0.525 | % | 0.50 | % | 0.50 | % | ||||||||||||||||||||
For Long Short: | |||||||||||||||||||||||||||||||||||
1.20 | % | 1.175 | % | 1.15 | % | 1.125 | % | 1.10 | % | 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 | % | ||||||||||||||||||||
For Multi-Asset Income: | |||||||||||||||||||||||||||||||||||
0.45 | % | 0.425 | % | 0.40 | % | 0.375 | % | 0.350 | % | 0.325 | % | 0.325 | % | 0.30 | % | ||||||||||||||||||||
For Risk Balanced Commodity Strategy and Subsidiary:(c) | |||||||||||||||||||||||||||||||||||
0.50 | % | 0.475 | % | 0.45 | % | 0.425 | % | 0.40 | % | 0.375 | % | 0.375 | % | 0.35 | % | ||||||||||||||||||||
For Hedged Option Premium Strategy and U.S. Equity Index PutWrite Strategy: | |||||||||||||||||||||||||||||||||||
0.45 | % | 0.45 | % | �� | 0.45 | % | 0.45 | % | 0.45 | % | 0.45 | % | 0.45 | % | 0.45 | % |
(a) Less the net asset value of the Subsidiary for Risk Balanced Commodity Strategy Fund.
(b) 0.65% of the first $1 billion of the Fund's average daily net assets, 0.625% of the next $1 billion and 0.600% of average daily net assets in excess of $2 billion prior to February 28, 2017.
(c) 0.70% of the first $250 million of the Fund's average daily net assets, 0.675% of the next $250 million, 0.65% of the next $250 million, 0.625% of the next $250 million, 0.60% of the next $500 million, 0.575% of the next $2.5 billion, and 0.55% of average daily net assets in excess of $4 billion prior to February 28, 2017.
Accordingly, for the six months ended April 30, 2017, the investment management fee pursuant to the Management Agreement was equivalent to an annual effective rate of each Fund's average daily net assets(a), as follows:
Effective Rate | |||||||
Global Allocation | 0.30 | % | |||||
Long Short | 1.12 | % | |||||
Multi-Asset Income | 0.25 | % | |||||
Risk Balanced Commodity Strategy | 0.63 | % | |||||
Subsidiary | 0.63 | % |
(a) Less the net asset value of the Subsidiary for Risk Balanced Commodity Strategy.
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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. Hedged Option Premium Strategy's, Long Short Credit's, Multi-Asset Income's and U.S. Equity Index PutWrite Strategy's Class R6 pays Management an administration fee of 0.02% of its average daily net assets. Additionally, Management retains State Street as its sub-administrator under a Sub-Administration Agreement. Management pays State Street a fee for all services received under the agreement. 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, extraordinary expenses, and dividend and interest expenses relating to short sales, if any (commitment fees relating to borrowings are treated as interest for purposes of this exclusion); 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, 2017, these Subsidiary expenses amounted to $106,378.
During the six months ended April 30, 2017, there was no repayment to Management under these agreements.
At April 30, 2017, contingent liabilities to Management under the agreements were as follows:
Expenses Reimbursed in Year Ending October 31, | |||||||||||||||||||||||||||
2014 | 2015 | 2016 | 2017 | ||||||||||||||||||||||||
Subject to Repayment Until October 31, | |||||||||||||||||||||||||||
Class | Contractual Expense Limitation(a) | Expiration | 2017 | 2018 | 2019 | 2020 | |||||||||||||||||||||
Global Allocation Institutional Class | 0.75 | %(b) | 10/31/20 | 257,634 | 218,863 | 249,350 | 175,210 | ||||||||||||||||||||
Global Allocation Class A | 1.11 | %(b) | 10/31/20 | 147,092 | 186,931 | 182,783 | 86,085 | ||||||||||||||||||||
Global Allocation Class C | 1.86 | %(b) | 10/31/20 | 91,948 | 141,948 | 149,577 | 67,269 | ||||||||||||||||||||
Hedged Option Premium Strategy Institutional Class | 0.65 | % | 10/31/20 | — | — | — | 65,394 | (c) | |||||||||||||||||||
Hedged Option Premium Strategy Class A | 1.01 | % | 10/31/20 | — | — | — | 543 | (c) | |||||||||||||||||||
Hedged Option Premium Strategy Class C | 1.76 | % | 10/31/20 | — | — | — | 543 | (c) | |||||||||||||||||||
Hedged Option Premium Strategy Class R6 | 0.58 | % | 10/31/20 | — | — | — | 41,915 | (c) | |||||||||||||||||||
Long Short Institutional Class | 1.70 | % | 10/31/20 | — | — | — | — |
138
Expenses Reimbursed in Year Ending October 31, | |||||||||||||||||||||||||||
2014 | 2015 | 2016 | 2017 | ||||||||||||||||||||||||
Subject to Repayment Until October 31, | |||||||||||||||||||||||||||
Class | Contractual Expense Limitation(a) | Expiration | 2017 | 2018 | 2019 | 2020 | |||||||||||||||||||||
Long Short Class A | 2.06 | % | 10/31/20 | — | — | — | — | ||||||||||||||||||||
Long Short Class C | 2.81 | % | 10/31/20 | — | — | — | — | ||||||||||||||||||||
Long Short Credit Institutional Class | 1.20 | %(d) | 10/31/20 | — | 189,647 | (e) | 283,260 | 84,313 | |||||||||||||||||||
Long Short Credit Class A | 1.57 | %(d) | 10/31/20 | — | 11,941 | (e) | 14,957 | 9,988 | |||||||||||||||||||
Long Short Credit Class C | 2.32 | %(d) | 10/31/20 | — | 11,651 | (e) | 10,932 | 4,045 | |||||||||||||||||||
Long Short Credit Class R6 | 1.13 | %(d) | 10/31/20 | — | 51,813 | (e) | 56,434 | 25,456 | |||||||||||||||||||
Multi-Asset Income Institutional Class | 0.65 | %(f) | 10/31/20 | — | 211,942 | (g) | 349,252 | 176,678 | |||||||||||||||||||
Multi-Asset Income Class A | 1.02 | %(f) | 10/31/20 | — | 11,183 | (g) | 16,514 | 7,242 | |||||||||||||||||||
Multi-Asset Income Class C | 1.77 | %(f) | 10/31/20 | — | 11,072 | (g) | 15,614 | 8,060 | |||||||||||||||||||
Multi-Asset Income Class R6 | 0.58 | %(f) | 10/31/20 | — | 77,569 | (g) | 119,681 | 48,305 | |||||||||||||||||||
Risk Balanced Commodity Strategy Institutional Class | 0.73 | %(h) | 10/31/20 | 78,689 | 93,942 | 171,296 | 89,529 | ||||||||||||||||||||
Risk Balanced Commodity Strategy Class A | 1.09 | %(h) | 10/31/20 | 259,059 | 209,027 | 150,132 | 59,050 | ||||||||||||||||||||
Risk Balanced Commodity Strategy Class C | 1.84 | %(h) | 10/31/20 | 27,665 | 17,483 | 7,166 | 735 | ||||||||||||||||||||
U.S. Equity Index PutWrite Strategy Institutional Class | 0.65 | % | 10/31/20 | — | — | 154,906 | (i) | 173,136 | |||||||||||||||||||
U.S. Equity Index PutWrite Strategy Class A | 1.01 | % | 10/31/20 | — | — | 2,299 | (i) | 4,291 | |||||||||||||||||||
U.S. Equity Index PutWrite Strategy Class C | 1.76 | % | 10/31/20 | — | — | 912 | (i) | 556 | |||||||||||||||||||
U.S. Equity Index PutWrite Strategy Class R6 | 0.58 | % | 10/31/20 | — | — | 46,827 | (i) | 19,827 |
(a) Expense limitation per annum of the respective class' average daily net assets.
(b) Prior to February 28, 2017, the contractual expense limitation was 0.90% for Institutional Class, 1.26% for Class A and 2.01% for Class C.
(c) Period from April 12, 2017 (Commencement of Operations) to April 30, 2017.
(d) 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 year ended October 31, 2016, voluntary reimbursements for Institutional Class, Class A, Class C and Class R6 of Long Short Credit amounted to $26,236, $2,133, $2,908 and $4,880, respectively.
139
(e) Period from June 29, 2015 (Commencement of Operations) to October 31, 2015.
(f) 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.
(g) Period from March 27, 2015 (Commencement of Operations) to October 31, 2015.
(h) Prior to February 28, 2017, the contractual expense limitation was 1.10% for Institutional Class, 1.46% for Class A and 2.21% for Class C.
(i) Period from September 16, 2016 (Commencement of Operations) to October 31, 2016.
Until December 31, 2015, Neuberger Berman Fixed Income LLC ("NBFI"), as the sub-adviser to Global Allocation, 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 Berman"), was the sub-adviser to 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 Berman 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 Berman under the respective sub-advisory agreements are now provided by NBIA as of January 1, 2016.
Each Fund also has a distribution agreement with Neuberger Berman BD LLC (the "Distributor") with respect to each class of shares. The Distributor 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 the advertising and promotion expenses.
However, the Distributor 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, the Distributor's activities and expenses related to the sale and distribution of these classes, and ongoing services provided to investors in these classes, the Distributor 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. The Distributor 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.
140
For the six months ended April 30, 2017, Neuberger Berman, 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 | ||||||||||||||||
Global Allocation Class A | $ | 1,677 | $ | — | $ | — | $ | — | |||||||||||
Global Allocation Class C | — | 1,594 | — | — | |||||||||||||||
Hedged Option Premium Strategy Class A(a) | — | — | — | — | |||||||||||||||
Hedged Option Premium Strategy Class C(a) | — | — | — | — | |||||||||||||||
Long Short Class A | 5,153 | — | — | — | |||||||||||||||
Long Short Class C | — | 4,798 | — | — | |||||||||||||||
Long Short Credit Class A | — | — | — | — | |||||||||||||||
Long Short Credit Class C | — | 50 | — | — | |||||||||||||||
Multi-Asset Income Class A | — | — | — | — | |||||||||||||||
Multi-Asset Income Class C | — | — | — | — | |||||||||||||||
Risk Balanced Commodity Strategy Class A | — | — | — | — | |||||||||||||||
Risk Balanced Commodity Strategy Class C | — | — | — | — | |||||||||||||||
U.S. Equity Index PutWrite Strategy Class A | — | — | — | — | |||||||||||||||
U.S. Equity Index PutWrite Strategy Class C | — | — | — | — |
(a) Period from April 12, 2017 (Commencement of Operations) to April 30, 2017.
For the six months ended April 30, 2017, Long Short recorded a capital contribution from Management in the amount of $37,124. This amount was paid in connection with losses incurred in the execution of trades.
Note C—Securities Transactions:
During the six months ended April 30, 2017, 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 | |||||||||||||||||||||
Global Allocation | $ | 5,155 | $ | 12,713 | $ | 724 | $ | 3,453 | $ | 14,834 | $ | 3,121 | |||||||||||||||
Hedged Option Premium Strategy(a) | 2,007 | — | — | — | — | — | |||||||||||||||||||||
Long Short | — | 574,023 | 311,037 | — | 723,372 | 313,414 | |||||||||||||||||||||
Long Short Credit | — | 12,836,943 | — | — | 15,851,335 | — | |||||||||||||||||||||
Multi-Asset Income | 7,374,203 | 10,562,036 | — | 4,873.656 | 8,033,413 | — |
141
(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 | |||||||||||||||||||||
Risk Balanced Commodity Strategy | $ | — | $ | 36,241 | $ | — | $ | — | $ | 24,206 | $ | — | |||||||||||||||
U.S. Equity Index PutWrite Strategy | 84,146 | — | — | 675 | — | — |
(a) Period from April 12, 2017 (Commencement of Operations) to April 30, 2017.
During the six months ended April 30, 2017, 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, 2017 and for the year ended October 31, 2016 was as follows:
For the Six Months Ended April 30, 2017 | For the Year Ended October 31, 2016 | ||||||||||||||||||||||||||||||||||
(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 | |||||||||||||||||||||||||||
Global Allocation | |||||||||||||||||||||||||||||||||||
Institutional Class | 487 | 4 | (176 | ) | 315 | 350 | 2 | (244 | ) | 108 | |||||||||||||||||||||||||
Class A | 97 | — | (334 | ) | (237 | ) | 194 | 2 | (404 | ) | (208 | ) | |||||||||||||||||||||||
Class C | 12 | — | (116 | ) | (104 | ) | 83 | 1 | (266 | ) | (182 | ) | |||||||||||||||||||||||
Hedged Option Premium Strategy | |||||||||||||||||||||||||||||||||||
Institutional Class(a) | 141 | — | — | 141 | — | — | — | — | |||||||||||||||||||||||||||
Class A(a) | 1 | — | — | 1 | — | — | — | — | |||||||||||||||||||||||||||
Class C(a) | 1 | — | — | 1 | — | — | — | — | |||||||||||||||||||||||||||
Class R6(a) | 78 | — | — | 78 | — | — | — | — | |||||||||||||||||||||||||||
Long Short | |||||||||||||||||||||||||||||||||||
Institutional Class | 26,090 | — | (31,981 | ) | (5,891 | ) | 68,394 | 15 | (118,738 | ) | (50,329 | ) | |||||||||||||||||||||||
Class A | 2,531 | — | (8,173 | ) | (5,642 | ) | 3,664 | — | (15,880 | ) | (12,216 | ) | |||||||||||||||||||||||
Class C | 410 | — | (2,168 | ) | (1,758 | ) | 795 | — | (6,641 | ) | (5,846 | ) | |||||||||||||||||||||||
Long Short Credit | |||||||||||||||||||||||||||||||||||
Institutional Class | 433 | 36 | (1,251 | ) | (782 | ) | 811 | 42 | (847 | ) | 6 | ||||||||||||||||||||||||
Class A | 224 | 3 | (10 | ) | 217 | 14 | 1 | (45 | ) | (30 | ) | ||||||||||||||||||||||||
Class C | — | 0 | (c) | — | 0 | (c) | 3 | — | (3 | ) | — | ||||||||||||||||||||||||
Class R6 | 22 | 3 | — | 25 | 143 | 3 | (2 | ) | 144 |
142
For the Six Months Ended April 30, 2017 | For the Year Ended October 31, 2016 | ||||||||||||||||||||||||||||||||||
(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 | |||||||||||||||||||||||||||
Multi-Asset Income | |||||||||||||||||||||||||||||||||||
Institutional Class | 444 | 27 | (44 | ) | 427 | 166 | 32 | (29 | ) | 169 | |||||||||||||||||||||||||
Class A | 1 | 0 | (c) | (0 | )(c) | 1 | 13 | 1 | (6 | ) | 8 | ||||||||||||||||||||||||
Class C | 6 | 0 | (c) | (1 | ) | 5 | 22 | 0 | (c) | (5 | ) | 17 | |||||||||||||||||||||||
Class R6 | — | — | — | — | — | 5 | (3 | ) | 2 | ||||||||||||||||||||||||||
Risk Balanced Commodity Strategy | |||||||||||||||||||||||||||||||||||
Institutional Class | 3,918 | — | (1,791 | ) | 2,127 | 4,718 | — | (1,667 | ) | 3,051 | |||||||||||||||||||||||||
Class A | 1,923 | — | (1,032 | ) | 891 | 2,943 | — | (3,090 | ) | (147 | ) | ||||||||||||||||||||||||
Class C | — | — | (9 | ) | (9 | ) | 25 | — | (534 | ) | (509 | ) | |||||||||||||||||||||||
U.S. Equity Index PutWrite Strategy | |||||||||||||||||||||||||||||||||||
Institutional Class | 7,707 | 16 | (859 | ) | 6,864 | 2,100 | — | — | 2,100 | (b) | |||||||||||||||||||||||||
Class A | 179 | — | (18 | ) | 161 | 42 | — | — | 42 | (b) | |||||||||||||||||||||||||
Class C | 6 | — | — | 6 | 10 | — | — | 10 | (b) | ||||||||||||||||||||||||||
Class R6 | 973 | 2 | (389 | ) | 586 | 476 | — | — | 476 | (b) |
(a) Period from April 12, 2017 (Commencement of Operations) to April 30, 2017.
(b) Period from September 16, 2016 (Commencement of Operations) to October 31, 2016.
(c) A zero balance reflects actual amounts rounding to less than $1,000.
Note E—Line of Credit:
At April 30, 2017, 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. Interest is charged on borrowings under this Credit Facility at the highest of (a) a federal funds effective rate plus 1.00% per annum, (b) a Eurodollar rate for a one-month period plus 1.00% per annum, and (c) an overnight bank funding rate plus 1.00% per annum. The Credit Facility has an annual commitment fee of 0.15% per annum of the available line of credit, which is paid quarterly. Each Fund has agreed to pay its pro rata share of the annual commitment fee, based on the ratio of its individual net assets to the net assets of all participants at the time the fee is due and payable and 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, 2017. During the period ended April 30, 2017, none of the Funds utilized the line of credit.
143
Note F—Investments in Affiliates(a):
Balance of Shares Held October 31, 2016 | Gross Purchases and Additions | Gross Sales and Reductions | Balance of Shares Held April 30, 2017 | Value April 30, 2017 | Distributions from Investments in Affiliated Issuers(b) | Net Realized Gain (Loss) from Investments in Affiliated Issuers | |||||||||||||||||||||||||
Global Allocation | |||||||||||||||||||||||||||||||
Neuberger Berman Emerging Markets Debt Fund Institutional Class | 122,360 | 2,552 | 69,603 | 55,309 | $ | 492,239 | $ | 23,895 | $ | (21,086 | ) | ||||||||||||||||||||
Neuberger Berman Emerging Markets Equity Fund Class R6 | 83,409 | 3,934 | — | 87,343 | 1,549,261 | 7,540 | — | ||||||||||||||||||||||||
Neuberger Berman Floating Rate Income Fund Institutional Class | 155,344 | 2,254 | 114,919 | 42,679 | 424,417 | 22,903 | 1,743 | ||||||||||||||||||||||||
Neuberger Berman Genesis Fund Class R6 | 19,987 | 4,831 | — | 24,818 | 1,472,034 | 6,374 | — | ||||||||||||||||||||||||
Neuberger Berman High Income Bond Fund Class R6 | 48,844 | 110,036 | 28,848 | 130,032 | 1,147,046 | 11,534 | (981 | ) | |||||||||||||||||||||||
Neuberger Berman International Select Fund Institutional Class | 344,206 | 26,400 | 370,606 | — | — | 50,093 | 163,249 | ||||||||||||||||||||||||
Neuberger Berman International Select Fund Class R6 | — | 335,966 | — | 335,966 | 3,900,565 | — | — | ||||||||||||||||||||||||
Long Short Credit Class R6 | 82,815 | 1,661 | — | 84,476 | 813,463 | 15,801 | — | ||||||||||||||||||||||||
Risk Balanced Commodity Strategy Institutional Class | 97,139 | 31,746 | — | 128,885 | 775,890 | — | * | — | |||||||||||||||||||||||
U.S. Equity Index PutWrite Strategy Class R6 | 86,224 | 14,680 | — | 100,904 | 1,095,708 | 2,879 | — | ||||||||||||||||||||||||
Total | $ | 11,670,623 | $ | 141,019 | $ | 142,925 |
144
Balance of Shares Held October 31, 2016 | Gross Purchases and Additions | Gross Sales and Reductions | Balance of Shares Held April 30, 2017 | Value April 30, 2017 | Distributions from Investments in Affiliated Issuers(b) | Net Realized Gain (Loss) from Investments in Affiliated Issuers | |||||||||||||||||||||||||
Multi-Asset Income | |||||||||||||||||||||||||||||||
Neuberger Berman Emerging Markets Debt Fund Institutional Class | 156,831 | 26,882 | 62,359 | 121,354 | $ | 1,080,033 | $ | 35,521 | $ | (12,861 | ) | ||||||||||||||||||||
Neuberger Berman Floating Rate Income Fund Institutional Class | 322,521 | 45,176 | 244,960 | 122,737 | 1,220,551 | 52,848 | (2,706 | ) | |||||||||||||||||||||||
Neuberger Berman High Income Bond Fund Class R6 | 276,284 | 23,931 | 61,503 | 238,712 | 2,105,737 | 68,969 | 4,776 | ||||||||||||||||||||||||
Long Short Credit Class R6 | 59,625 | 23,208 | — | 82,833 | 797,647 | 11,377 | — | ||||||||||||||||||||||||
Total | $ | 5,203,968 | $ | 168,715 | $ | (10,791 | ) |
(a) Affiliated issuers, as defined in the 1940 Act.
(b) 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.
Other: At April 30, 2017, Global Allocation, which is also managed by Management, held 0.76% of the outstanding shares of Risk Balanced Commodity Strategy. Global Allocation and Multi-Asset Income, which are also managed by Management, held 3.18% and 3.12%, respectively, of the outstanding shares of Long Short Credit. At April 30, 2017, Global Allocation, which is also managed by Management, held 0.98% of the outstanding shares of U.S. Equity Index PutWrite Strategy.
In addition, at April 30, 2017, there were affiliated investors owning 0.01%, 90.24%, 39.27%, 66.98% and 5.66% of Global Allocation's, Hedged Option Premium Strategy's, Long Short Credit's, Multi-Asset Income's and U.S. Equity Index PutWrite Strategy's outstanding shares, respectively.
Note G—Custodian Out-of-Pocket Expenses Refunded:
In May 2016, the Funds' custodian, State Street, announced that it had identified inconsistencies in the way in which Long Short was invoiced for categories of expenses, particularly those deemed "out-of-pocket" costs, from 1998 through November 2015. The amounts in the table below represent the refunded expenses and interest determined to be payable to the Fund for the period in question. These amounts were refunded to the Fund by State Street during the period ended April 30, 2017.
Expenses Refunded | Interest Paid to the Funds | ||||||||||
Long Short | $ | 5,171 | $ | 32 |
145
Note H—Recent Accounting Pronouncements:
In October 2016, the SEC adopted new rules and forms, and amendments to certain current rules and forms, to modernize reporting and disclosure of information by registered investment companies. The amendments to Regulation S-X will require standardized, enhanced disclosure about derivatives in investment company financial statements, and will also change the rules governing the form and content of such financial statements. The compliance date for the amendments to Regulation S-X is August 1, 2017. Management is currently evaluating the impact that the adoption of the amendments to Regulation S-X will have on the Funds' financial statements and related disclosures.
In December 2016, FASB issued ASU No. 2016-19, "Technical Corrections and Improvements" ("ASU 2016-19"). The guidance includes an amendment to Topic 820, Fair Value Measurement, which clarifies the difference between a valuation approach and a valuation technique. The amendments also require an entity to disclose when it has changed either a valuation approach and/or a valuation technique. The guidance is effective for interim and annual reporting periods beginning after December 15, 2016. Management is currently evaluating the impact, if any, of applying this guidance.
Note I—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.
146
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147
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)% per share are presented as 0.00% or (0.00)%, respectively. Net Asset amounts with a zero balance, if any, may reflect actual amounts rounding to less than $0.1 million. A "—" indicates that the line item was not applicable in the corresponding period.
Net Asset Value, Beginning of Period | Net Investment Income (Loss)@ | Net Gains or Losses on Securities (both realized and unrealized) | Total From Investment Operations | Dividends from Net Investment Income | Distributions from Net Realized Capital Gains | Tax Return of Capital | Total Distributions | Voluntary Contribution from Management | Net Asset Value, End of Period | ||||||||||||||||||||||||||||||||||
Global Allocation Fund | |||||||||||||||||||||||||||||||||||||||||||
Institutional Class | |||||||||||||||||||||||||||||||||||||||||||
4/30/2017 (Unaudited) | $ | 10.49 | $ | 0.09 | $ | 0.72 | $ | 0.81 | $ | (0.05 | ) | $ | — | $ | — | $ | (0.05 | ) | $ | — | $ | 11.25 | |||||||||||||||||||||
10/31/2016 | $ | 10.42 | $ | 0.10 | $ | (0.01 | ) | $ | 0.09 | $ | — | $ | (0.02 | ) | $ | — | $ | (0.02 | ) | $ | — | $ | 10.49 | ||||||||||||||||||||
10/31/2015 | $ | 10.81 | $ | 0.06 | $ | (0.17 | ) | $ | (0.11 | ) | $ | (0.28 | ) | $ | (0.00 | ) | $ | — | $ | (0.28 | ) | $ | — | $ | 10.42 | ||||||||||||||||||
10/31/2014 | $ | 11.63 | $ | (0.12 | ) | $ | 0.29 | $ | 0.17 | $ | (0.99 | ) | $ | — | $ | — | $ | (0.99 | ) | $ | 0.00 | $ | 10.81 | ||||||||||||||||||||
10/31/2013 | $ | 10.30 | $ | (0.09 | ) | $ | 1.57 | $ | 1.48 | $ | (0.15 | ) | $ | — | $ | — | $ | (0.15 | ) | $ | — | $ | 11.63 | ||||||||||||||||||||
10/31/2012 | $ | 10.30 | $ | (0.12 | ) | $ | 1.02 | $ | 0.90 | $ | (0.21 | ) | $ | (0.69 | ) | $ | — | $ | (0.90 | ) | $ | — | $ | 10.30 | |||||||||||||||||||
Class A | |||||||||||||||||||||||||||||||||||||||||||
4/30/2017 (Unaudited) | $ | 10.40 | $ | 0.07 | $ | 0.70 | $ | 0.77 | $ | — | $ | — | $ | — | $ | — | $ | — | $ | 11.17 | |||||||||||||||||||||||
10/31/2016 | $ | 10.36 | $ | 0.06 | $ | (0.00 | ) | $ | 0.06 | $ | — | $ | (0.02 | ) | $ | — | $ | (0.02 | ) | $ | — | $ | 10.40 | ||||||||||||||||||||
10/31/2015 | $ | 10.76 | $ | 0.02 | $ | (0.18 | ) | $ | (0.16 | ) | $ | (0.24 | ) | $ | (0.00 | ) | $ | — | $ | (0.24 | ) | $ | — | $ | 10.36 | ||||||||||||||||||
10/31/2014 | $ | 11.57 | $ | (0.16 | ) | $ | 0.29 | $ | 0.13 | $ | (0.94 | ) | $ | — | $ | — | $ | (0.94 | ) | $ | 0.00 | $ | 10.76 | ||||||||||||||||||||
10/31/2013 | $ | 10.25 | $ | (0.14 | ) | $ | 1.58 | $ | 1.44 | $ | (0.12 | ) | $ | — | $ | — | $ | (0.12 | ) | $ | — | $ | 11.57 | ||||||||||||||||||||
10/31/2012 | $ | 10.27 | $ | (0.15 | ) | $ | 1.01 | $ | 0.86 | $ | (0.19 | ) | $ | (0.69 | ) | $ | — | $ | (0.88 | ) | $ | — | $ | 10.25 | |||||||||||||||||||
Class C | |||||||||||||||||||||||||||||||||||||||||||
4/30/2017 (Unaudited) | $ | 10.14 | $ | 0.03 | $ | 0.69 | $ | 0.72 | $ | — | $ | — | $ | — | $ | — | $ | — | $ | 10.86 | |||||||||||||||||||||||
10/31/2016 | $ | 10.18 | $ | (0.01 | ) | $ | (0.01 | ) | $ | (0.02 | ) | $ | — | $ | (0.02 | ) | $ | — | $ | (0.02 | ) | $ | — | $ | 10.14 | ||||||||||||||||||
10/31/2015 | $ | 10.60 | $ | (0.06 | ) | $ | (0.18 | ) | $ | (0.24 | ) | $ | (0.18 | ) | $ | (0.00 | ) | $ | — | $ | (0.18 | ) | $ | — | $ | 10.18 | |||||||||||||||||
10/31/2014 | $ | 11.43 | $ | (0.25 | ) | $ | 0.30 | $ | 0.05 | $ | (0.88 | ) | $ | — | $ | — | $ | (0.88 | ) | $ | 0.00 | $ | 10.60 | ||||||||||||||||||||
10/31/2013 | $ | 10.13 | $ | (0.21 | ) | $ | 1.55 | $ | 1.34 | $ | (0.04 | ) | $ | — | $ | — | $ | (0.04 | ) | $ | — | $ | 11.43 | ||||||||||||||||||||
10/31/2012 | $ | 10.21 | $ | (0.23 | ) | $ | 1.00 | $ | 0.77 | $ | (0.16 | ) | $ | (0.69 | ) | $ | — | $ | (0.85 | ) | $ | — | $ | 10.13 |
See Notes to Financial Highlights
148
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 and reverse repurchase agreements)# | 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 and reverse repurchase agreements) | 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 | |||||||||||||||||||||||||||||||||||||||
4/30/2017 (Unaudited) | 7.72 | %* | $ | 14.4 | 4.12 | %f** | 4.08 | %** | 0.54 | %f** | 0.51 | %** | 1.76 | %f** | 80 | %* | 72 | %* | |||||||||||||||||||||
10/31/2016 | 0.87 | % | $ | 10.1 | 4.17 | % | 3.66 | % | 1.11 | % | 0.60 | % | 0.97 | % | 176 | %a | 174 | %a | |||||||||||||||||||||
10/31/2015 | (1.12 | )% | $ | 8.9 | 3.29 | % | 2.94 | % | 1.03 | % | 0.69 | % | 0.51 | % | 195 | %a | 185 | %a | |||||||||||||||||||||
10/31/2014 | 1.37 | %b | $ | 12.5 | 3.25 | % | 2.72 | % | 1.50 | % | 0.98 | % | (1.12 | )% | 228 | % | 216 | % | |||||||||||||||||||||
10/31/2013 | 14.56 | % | $ | 17.2 | 3.23 | % | 2.73 | % | 1.48 | % | 0.98 | % | (0.85 | )% | 187 | % | 158 | % | |||||||||||||||||||||
10/31/2012 | 9.60 | % | $ | 8.9 | 5.01 | % | 4.55 | % | 1.68 | % | 1.22 | % | (1.19 | )% | 446 | % | 423 | % | |||||||||||||||||||||
Class A | |||||||||||||||||||||||||||||||||||||||
4/30/2017 (Unaudited) | 7.40 | %* | $ | 3.7 | 4.54 | %f** | 4.49 | %** | 0.93 | %f** | 0.88 | %** | 1.37 | %f** | 80 | %* | 72 | %* | |||||||||||||||||||||
10/31/2016 | 0.59 | % | $ | 5.9 | 4.53 | % | 4.01 | % | 1.49 | % | 0.96 | % | 0.64 | % | 176 | %a | 174 | %a | |||||||||||||||||||||
10/31/2015 | (1.52 | )% | $ | 8.1 | 3.69 | % | 3.34 | % | 1.39 | % | 1.04 | % | 0.16 | % | 195 | %a | 185 | %a | |||||||||||||||||||||
10/31/2014 | 1.03 | %b | $ | 9.6 | 3.68 | % | 3.16 | % | 1.86 | % | 1.35 | % | (1.49 | )% | 228 | % | 216 | % | |||||||||||||||||||||
10/31/2013 | 14.15 | % | $ | 7.9 | 3.58 | % | 3.07 | % | 1.84 | % | 1.33 | % | (1.25 | )% | 187 | % | 158 | % | |||||||||||||||||||||
10/31/2012 | 9.24 | % | $ | 3.4 | 5.41 | % | 4.93 | % | 2.07 | % | 1.59 | % | (1.48 | )% | 446 | % | 423 | % | |||||||||||||||||||||
Class C | |||||||||||||||||||||||||||||||||||||||
4/30/2017 (Unaudited) | 7.10 | %* | $ | 3.9 | 5.27 | %f** | 5.23 | %** | 1.67 | %f** | 1.63 | %** | 0.61 | %f** | 80 | %* | 72 | %* | |||||||||||||||||||||
10/31/2016 | (0.19 | )% | $ | 4.7 | 5.26 | % | 4.74 | % | 2.24 | % | 1.71 | % | (0.10 | )% | 176 | %a | 174 | %a | |||||||||||||||||||||
10/31/2015 | (2.29 | )% | $ | 6.6 | 4.45 | % | 4.10 | % | 2.14 | % | 1.79 | % | (0.57 | )% | 195 | %a | 185 | %a | |||||||||||||||||||||
10/31/2014 | 0.30 | %b | $ | 7.0 | 4.46 | % | 3.95 | % | 2.63 | % | 2.11 | % | (2.27 | )% | 228 | % | 216 | % | |||||||||||||||||||||
10/31/2013 | 13.30 | % | $ | 4.9 | 4.35 | % | 3.85 | % | 2.59 | % | 2.09 | % | (1.99 | )% | 187 | % | 158 | % | |||||||||||||||||||||
10/31/2012 | 8.34 | % | $ | 2.2 | 6.47 | % | 6.03 | % | 2.78 | % | 2.34 | % | (2.26 | )% | 446 | % | 423 | % |
149
Financial Highlights
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 | Voluntary Contribution from Management | Net Asset Value, End of Period | ||||||||||||||||||||||||||||||||||
Hedged Option Premium Strategy Fund | |||||||||||||||||||||||||||||||||||||||||||
Institutional Class | |||||||||||||||||||||||||||||||||||||||||||
Period from 4/12/2017^ to 4/30/2017 (Unaudited) | $ | 25.00 | $ | 0.00 | $ | 0.06 | $ | 0.06 | $ | — | $ | — | $ | — | $ | — | $ | — | $ | 25.06 | |||||||||||||||||||||||
Class A | |||||||||||||||||||||||||||||||||||||||||||
Period from 4/12/2017^ to 4/30/2017 (Unaudited) | $ | 25.00 | $ | (0.00 | ) | $ | 0.06 | $ | 0.06 | $ | — | $ | — | $ | — | $ | — | $ | — | $ | 25.06 | ||||||||||||||||||||||
Class C | |||||||||||||||||||||||||||||||||||||||||||
Period from 4/12/2017^ to 4/30/2017 (Unaudited) | $ | 25.00 | $ | (0.01 | ) | $ | 0.06 | $ | 0.05 | $ | — | $ | — | $ | — | $ | — | $ | — | $ | 25.05 | ||||||||||||||||||||||
Class R6 | |||||||||||||||||||||||||||||||||||||||||||
Period from 4/12/2017^ to 4/30/2017 (Unaudited) | $ | 25.00 | $ | 0.00 | $ | 0.06 | $ | 0.06 | $ | — | $ | — | $ | — | $ | — | $ | — | $ | 25.06 |
See Notes to Financial Highlights
150
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 and reverse repurchase agreements)# | 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 and reverse repurchase agreements) | Ratio of Net Investment Income/ (Loss) to Average Net Assets | Portfolio Turnover Rate (including securities sold short) | Portfolio Turnover Rate (excluding securities sold short) | |||||||||||||||||||||||||||||||
Hedged Option Premium Strategy Fund | |||||||||||||||||||||||||||||||||||||||
Institutional Class | |||||||||||||||||||||||||||||||||||||||
Period from 4/12/2017^ to 4/30/2017 (Unaudited) | 0.24 | %* | $ | 3.5 | 8.23 | %‡** | 8.23 | %؇** | 0.65 | %‡** | 0.65 | %؇** | 0.27 | %‡** | 0 | %* | 0 | %Ø* | |||||||||||||||||||||
Class A | |||||||||||||||||||||||||||||||||||||||
Period from 4/12/2017^ to 4/30/2017 (Unaudited) | 0.24 | %* | $ | 0.0 | 9.08 | %‡** | 9.08 | %؇** | 1.01 | %‡** | 1.01 | %؇** | (0.11 | )%‡** | 0 | %* | 0 | %Ø* | |||||||||||||||||||||
Class C | |||||||||||||||||||||||||||||||||||||||
Period from 4/12/2017^ to 4/30/2017 (Unaudited) | 0.20 | %* | $ | 0.0 | 9.83 | %‡** | 9.83 | %؇** | 1.76 | %‡** | 1.76 | %؇** | (0.85 | )%‡** | 0 | %* | 0 | %Ø* | |||||||||||||||||||||
Class R6 | |||||||||||||||||||||||||||||||||||||||
Period from 4/12/2017^ to 4/30/2017 (Unaudited) | 0.24 | %* | $ | 2.0 | 8.24 | %‡** | 8.24 | %؇** | 0.58 | %‡** | 0.58 | %؇** | 0.32 | %‡** | 0 | %* | 0 | %Ø* |
151
Financial Highlights
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 | Voluntary Contribution from Management | Net Asset Value, End of Period | ||||||||||||||||||||||||||||||||||
Long Short Fund | |||||||||||||||||||||||||||||||||||||||||||
Institutional Class | |||||||||||||||||||||||||||||||||||||||||||
4/30/2017 (Unaudited) | $ | 12.74 | $ | 0.01 | $ | 0.94 | $ | 0.95 | $ | — | $ | — | $ | — | $ | — | $ | — | $ | 13.69 | |||||||||||||||||||||||
10/31/2016 | $ | 12.76 | $ | (0.03 | ) | $ | 0.01 | $ | (0.02 | ) | $ | (0.00 | ) | $ | — | $ | — | $ | (0.00 | ) | $ | — | $ | 12.74 | |||||||||||||||||||
10/31/2015 | $ | 13.02 | $ | 0.02 | $ | (0.21 | ) | $ | (0.19 | ) | $ | (0.02 | ) | $ | (0.05 | ) | $ | — | $ | (0.07 | ) | $ | — | $ | 12.76 | ||||||||||||||||||
10/31/2014 | $ | 12.48 | $ | 0.02 | $ | 0.58 | $ | 0.60 | $ | — | $ | (0.06 | ) | $ | — | $ | (0.06 | ) | $ | 0.00 | $ | 13.02 | |||||||||||||||||||||
10/31/2013 | $ | 11.09 | $ | 0.01 | $ | 1.47 | $ | 1.48 | $ | (0.01 | ) | $ | (0.08 | ) | $ | — | $ | (0.09 | ) | $ | — | $ | 12.48 | ||||||||||||||||||||
Period from 12/29/2011^ to 10/31/2012 | $ | 10.00 | $ | 0.04 | $ | 1.05 | $ | 1.09 | $ | — | $ | — | $ | — | $ | — | $ | — | $ | 11.09 | |||||||||||||||||||||||
Class A | |||||||||||||||||||||||||||||||||||||||||||
4/30/2017 (Unaudited) | $ | 12.56 | $ | (0.01 | ) | $ | 0.92 | $ | 0.91 | $ | — | $ | — | $ | — | $ | — | $ | — | $ | 13.47 | ||||||||||||||||||||||
10/31/2016 | $ | 12.62 | $ | (0.07 | ) | $ | 0.01 | $ | (0.06 | ) | $ | — | $ | — | $ | — | $ | — | $ | — | $ | 12.56 | |||||||||||||||||||||
10/31/2015 | $ | 12.91 | $ | (0.03 | ) | $ | (0.21 | ) | $ | (0.24 | ) | $ | — | $ | (0.05 | ) | $ | — | $ | (0.05 | ) | $ | — | $ | 12.62 | ||||||||||||||||||
10/31/2014 | $ | 12.41 | $ | (0.03 | ) | $ | 0.58 | $ | 0.55 | $ | — | $ | (0.05 | ) | $ | — | $ | (0.05 | ) | $ | 0.00 | $ | 12.91 | ||||||||||||||||||||
10/31/2013 | $ | 11.06 | $ | (0.03 | ) | $ | 1.47 | $ | 1.44 | $ | (0.01 | ) | $ | (0.08 | ) | $ | — | $ | (0.09 | ) | $ | — | $ | 12.41 | |||||||||||||||||||
Period from 12/29/2011^ to 10/31/2012 | $ | 10.00 | $ | 0.00 | $ | 1.06 | $ | 1.06 | $ | — | $ | — | $ | — | $ | — | $ | — | $ | 11.06 | |||||||||||||||||||||||
Class C | |||||||||||||||||||||||||||||||||||||||||||
4/30/2017 (Unaudited) | $ | 12.13 | $ | (0.05 | ) | $ | 0.88 | $ | 0.83 | $ | — | $ | — | $ | — | $ | — | $ | — | $ | 12.96 | ||||||||||||||||||||||
10/31/2016 | $ | 12.29 | $ | (0.16 | ) | $ | 0.00 | $ | (0.16 | ) | $ | — | $ | — | $ | — | $ | — | $ | — | $ | 12.13 | |||||||||||||||||||||
10/31/2015 | $ | 12.66 | $ | (0.12 | ) | $ | (0.20 | ) | $ | (0.32 | ) | $ | — | $ | (0.05 | ) | $ | — | $ | (0.05 | ) | $ | — | $ | 12.29 | ||||||||||||||||||
10/31/2014 | $ | 12.26 | $ | (0.12 | ) | $ | 0.57 | $ | 0.45 | $ | — | $ | (0.05 | ) | $ | — | $ | (0.05 | ) | $ | 0.00 | $ | 12.66 | ||||||||||||||||||||
10/31/2013 | $ | 10.99 | $ | (0.12 | ) | $ | 1.46 | $ | 1.34 | $ | (0.00 | ) | $ | (0.07 | ) | $ | — | $ | (0.07 | ) | $ | — | $ | 12.26 | |||||||||||||||||||
Period from 12/29/2011^ to 10/31/2012 | $ | 10.00 | $ | (0.06 | ) | $ | 1.05 | $ | 0.99 | $ | — | $ | — | $ | — | $ | — | $ | — | $ | 10.99 |
See Notes to Financial Highlights
152
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 and reverse repurchase agreements)# | 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 and reverse repurchase agreements) | Ratio of Net Investment Income/ (Loss) to Average Net Assets | Portfolio Turnover Rate (including securities sold short) | Portfolio Turnover Rate (excluding securities sold short) | |||||||||||||||||||||||||||||||
Long Short Fund | |||||||||||||||||||||||||||||||||||||||
Institutional Class | |||||||||||||||||||||||||||||||||||||||
4/30/2017 (Unaudited) | 7.46 | %*c | $ | 2,148.2 | 1.82 | %** | 1.34 | %** | 1.82 | %**d | 1.34 | %**d | 0.22 | %**d | 35 | %* | 27 | %* | |||||||||||||||||||||
10/31/2016 | (0.14 | )% | $ | 2,074.7 | 1.91 | % | 1.33 | % | 1.91 | % | 1.33 | % | (0.22 | )% | 86 | % | 72 | % | |||||||||||||||||||||
10/31/2015 | (1.45 | )% | $ | 2,719.8 | 1.66 | % | 1.31 | % | 1.66 | % | 1.31 | % | 0.16 | % | 91 | % | 69 | % | |||||||||||||||||||||
10/31/2014 | 4.83 | %b | $ | 2,627.8 | 1.72 | % | 1.48 | % | 1.72 | % | 1.48 | % | 0.17 | % | 61 | % | 44 | % | |||||||||||||||||||||
10/31/2013 | 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 | 10.90 | %* | $ | 92.6 | 2.78 | %‡** | 2.65 | %‡** | 1.83 | %‡** | 1.70 | %‡** | 0.40 | %‡** | 93 | %* | 56 | %* | |||||||||||||||||||||
Class A | |||||||||||||||||||||||||||||||||||||||
4/30/2017 (Unaudited) | 7.25 | %*c | $ | 145.3 | 2.17 | %** | 1.69 | %** | 2.17 | %**d | 1.69 | %**d | (0.10 | )%**d | 35 | %* | 27 | %* | |||||||||||||||||||||
10/31/2016 | (0.48 | )% | $ | 206.4 | 2.28 | % | 1.69 | % | 2.28 | % | 1.69 | % | (0.59 | )% | 86 | % | 72 | % | |||||||||||||||||||||
10/31/2015 | (1.89 | )% | $ | 361.7 | 2.03 | % | 1.68 | % | 2.03 | % | 1.68 | % | (0.20 | )% | 91 | % | 69 | % | |||||||||||||||||||||
10/31/2014 | 4.47 | %b | $ | 388.6 | 2.09 | % | 1.85 | % | 2.09 | % | 1.85 | % | (0.20 | )% | 61 | % | 44 | % | |||||||||||||||||||||
10/31/2013 | 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 | 10.60 | %* | $ | 27.0 | 3.21 | %‡** | 3.11 | %‡** | 2.17 | %‡** | 2.06 | %‡** | 0.05 | %‡** | 93 | %* | 56 | %* | |||||||||||||||||||||
Class C | |||||||||||||||||||||||||||||||||||||||
4/30/2017 (Unaudited) | 6.84 | %*c | $ | 102.6 | 2.93 | %** | 2.44 | %** | 2.93 | %**d | 2.44 | %**d | (0.87 | )%**d | 35 | %* | 27 | %* | |||||||||||||||||||||
10/31/2016 | (1.30 | )% | $ | 117.3 | 3.02 | % | 2.44 | % | 3.02 | % | 2.44 | % | (1.33 | )% | 86 | % | 72 | % | |||||||||||||||||||||
10/31/2015 | (2.56 | )% | $ | 190.6 | 2.77 | % | 2.42 | % | 2.77 | % | 2.42 | % | (0.94 | )% | 91 | % | 69 | % | |||||||||||||||||||||
10/31/2014 | 3.71 | %b | $ | 211.0 | 2.84 | % | 2.60 | % | 2.84 | % | 2.60 | % | (0.94 | )% | 61 | % | 44 | % | |||||||||||||||||||||
10/31/2013 | 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 | 9.90 | %* | $ | 3.4 | 4.34 | %‡** | 4.20 | %‡** | 2.95 | %‡** | 2.81 | %‡** | (0.69 | )%‡** | 93 | %* | 56 | %* |
153
Financial Highlights
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 | Voluntary Contribution from Management | Net Asset Value, End of Period | ||||||||||||||||||||||||||||||||||
Long Short Credit Fund | |||||||||||||||||||||||||||||||||||||||||||
Institutional Class | |||||||||||||||||||||||||||||||||||||||||||
4/30/2017 (Unaudited) | $ | 9.53 | $ | 0.18 | $ | 0.11 | $ | 0.29 | $ | (0.19 | ) | $ | — | $ | — | $ | (0.19 | ) | $ | — | $ | 9.63 | |||||||||||||||||||||
10/31/2016 | $ | 9.75 | $ | 0.15 | $ | (0.18 | ) | $ | (0.03 | ) | $ | (0.19 | ) | $ | — | $ | — | $ | (0.19 | ) | $ | — | $ | 9.53 | |||||||||||||||||||
Period from 6/29/2015^ to 10/31/2015 | $ | 10.00 | $ | 0.02 | $ | (0.23 | ) | $ | (0.21 | ) | $ | (0.04 | ) | $ | — | $ | — | $ | (0.04 | ) | $ | — | $ | 9.75 | |||||||||||||||||||
Class A | |||||||||||||||||||||||||||||||||||||||||||
4/30/2017 (Unaudited) | $ | 9.53 | $ | 0.17 | $ | 0.09 | $ | 0.26 | $ | (0.17 | ) | $ | — | $ | — | $ | (0.17 | ) | $ | — | $ | 9.62 | |||||||||||||||||||||
10/31/2016 | $ | 9.75 | $ | 0.11 | $ | (0.17 | ) | $ | (0.06 | ) | $ | (0.16 | ) | $ | — | $ | — | $ | (0.16 | ) | $ | — | $ | 9.53 | |||||||||||||||||||
Period from 6/29/2015^ to 10/31/2015 | $ | 10.00 | $ | 0.01 | $ | (0.23 | ) | $ | (0.22 | ) | $ | (0.03 | ) | $ | — | $ | — | $ | (0.03 | ) | $ | — | $ | 9.75 | |||||||||||||||||||
Class C | |||||||||||||||||||||||||||||||||||||||||||
4/30/2017 (Unaudited) | $ | 9.53 | $ | 0.13 | $ | 0.09 | $ | 0.22 | $ | (0.13 | ) | $ | — | $ | — | $ | (0.13 | ) | $ | — | $ | 9.62 | |||||||||||||||||||||
10/31/2016 | $ | 9.75 | $ | 0.06 | $ | (0.17 | ) | $ | (0.11 | ) | $ | (0.11 | ) | $ | — | $ | — | $ | (0.11 | ) | $ | — | $ | 9.53 | |||||||||||||||||||
Period from 6/29/2015^ to 10/31/2015 | $ | 10.00 | $ | (0.01 | ) | $ | (0.23 | ) | $ | (0.24 | ) | $ | (0.01 | ) | $ | — | $ | — | $ | (0.01 | ) | $ | — | $ | 9.75 | ||||||||||||||||||
Class R6 | |||||||||||||||||||||||||||||||||||||||||||
4/30/2017 (Unaudited) | $ | 9.54 | $ | 0.19 | $ | 0.09 | $ | 0.28 | $ | (0.19 | ) | $ | — | $ | — | $ | (0.19 | ) | $ | — | $ | 9.63 | |||||||||||||||||||||
10/31/2016 | $ | 9.75 | $ | 0.16 | $ | (0.18 | ) | $ | (0.02 | ) | $ | (0.19 | ) | $ | — | $ | — | $ | (0.19 | ) | $ | — | $ | 9.54 | |||||||||||||||||||
Period from 6/29/2015^ to 10/31/2015 | $ | 10.00 | $ | 0.02 | $ | (0.22 | ) | $ | (0.20 | ) | $ | (0.05 | ) | $ | — | $ | — | $ | (0.05 | ) | $ | — | $ | 9.75 |
See Notes to Financial Highlights
154
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 and reverse repurchase agreements)# | 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 and reverse repurchase agreements) | Ratio of Net Investment Income/ (Loss) to Average Net Assets | Portfolio Turnover Rate (including securities sold short) | Portfolio Turnover Rate (excluding securities sold short) | |||||||||||||||||||||||||||||||
Long Short Credit Fund | |||||||||||||||||||||||||||||||||||||||
Institutional Class | |||||||||||||||||||||||||||||||||||||||
4/30/2017 (Unaudited) | 3.03 | %* | $ | 15.0 | 2.08 | %** | 2.02 | %Ø** | 1.26 | %** | 1.21 | %Ø** | 3.85 | %** | 47 | %* | 47 | %Ø* | |||||||||||||||||||||
10/31/2016 | (0.28 | )% | $ | 22.3 | 3.22 | % | 2.36 | % | 1.97 | % | 1.10 | % | 1.54 | % | 190 | % | 197 | % | |||||||||||||||||||||
Period from 6/29/2015^ to 10/31/2015 | (2.06 | )%* | $ | 22.8 | 3.50 | %‡** | 3.45 | %‡** | 1.21 | %‡** | 1.15 | %‡** | 0.64 | %‡** | 32 | %* | 18 | %* | |||||||||||||||||||||
Class A | |||||||||||||||||||||||||||||||||||||||
4/30/2017 (Unaudited) | 2.74 | %* | $ | 3.1 | 2.50 | %** | 2.42 | %Ø** | 1.66 | %** | 1.58 | %Ø** | 3.60 | %** | 47 | %* | 47 | %Ø* | |||||||||||||||||||||
10/31/2016 | (0.55 | )% | $ | 1.0 | 3.72 | % | 2.82 | % | 2.29 | % | 1.40 | % | 1.16 | % | 190 | % | 197 | % | |||||||||||||||||||||
Period from 6/29/2015^ to 10/31/2015 | (2.17 | )%* | $ | 1.3 | 4.28 | %‡** | 4.23 | %‡** | 1.55 | %‡** | 1.50 | %‡** | 0.28 | %‡** | 32 | %* | 18 | %* | |||||||||||||||||||||
Class C | |||||||||||||||||||||||||||||||||||||||
4/30/2017 (Unaudited) | 2.36 | %* | $ | 1.0 | 3.23 | %** | 3.16 | %Ø** | 2.40 | %** | 2.33 | %Ø** | 2.78 | %** | 47 | %* | 47 | %Ø* | |||||||||||||||||||||
10/31/2016 | (1.10 | )% | $ | 1.0 | 4.30 | % | 3.47 | % | 2.85 | % | 2.02 | % | 0.64 | % | 190 | % | 197 | % | |||||||||||||||||||||
Period from 6/29/2015^ to 10/31/2015 | (2.41 | )%* | $ | 1.0 | 5.04 | %‡** | 4.98 | %‡** | 2.26 | %‡** | 2.20 | %‡** | (0.43 | )%‡** | 32 | %* | 18 | %* | |||||||||||||||||||||
Class R6 | |||||||||||||||||||||||||||||||||||||||
4/30/2017 (Unaudited) | 2.97 | %* | $ | 6.4 | 2.03 | %** | 1.97 | %Ø** | 1.21 | %** | 1.14 | %Ø** | 3.97 | %** | 47 | %* | 47 | %Ø* | |||||||||||||||||||||
10/31/2016 | (0.12 | )% | $ | 6.1 | 3.05 | % | 2.26 | % | 1.83 | % | 1.04 | % | 1.71 | % | 190 | % | 197 | % | |||||||||||||||||||||
Period from 6/29/2015^ to 10/31/2015 | (2.03 | )%* | $ | 4.9 | 3.49 | %‡** | 3.44 | %‡** | 1.14 | %‡** | 1.08 | %‡** | 0.69 | %‡** | 32 | %* | 18 | %* |
155
Financial Highlights
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 | Voluntary Contribution from Management | Net Asset Value, End of Period | ||||||||||||||||||||||||||||||||||
Multi-Asset Income Fund | |||||||||||||||||||||||||||||||||||||||||||
Institutional Class | |||||||||||||||||||||||||||||||||||||||||||
4/30/2017 (Unaudited) | $ | 9.60 | $ | 0.16 | $ | 0.29 | $ | 0.45 | $ | (0.18 | ) | $ | — | $ | — | $ | (0.18 | ) | $ | — | $ | 9.87 | |||||||||||||||||||||
10/31/2016 | $ | 9.43 | $ | 0.31 | $ | 0.25 | $ | 0.56 | $ | (0.30 | ) | $ | — | $ | (0.09 | ) | $ | (0.39 | ) | $ | — | $ | 9.60 | ||||||||||||||||||||
Period from 3/27/2015^ to 10/31/2015 | $ | 10.00 | $ | 0.23 | $ | (0.57 | ) | $ | (0.34 | ) | $ | (0.23 | ) | $ | — | $ | — | $ | (0.23 | ) | $ | — | $ | 9.43 | |||||||||||||||||||
Class A | |||||||||||||||||||||||||||||||||||||||||||
4/30/2017 (Unaudited) | $ | 9.60 | $ | 0.14 | $ | 0.29 | $ | 0.43 | $ | (0.16 | ) | $ | — | $ | — | $ | (0.16 | ) | $ | — | $ | 9.87 | |||||||||||||||||||||
10/31/2016 | $ | 9.43 | $ | 0.28 | $ | 0.24 | $ | 0.52 | $ | (0.26 | ) | $ | — | $ | (0.09 | ) | $ | (0.35 | ) | $ | — | $ | 9.60 | ||||||||||||||||||||
Period from 3/27/2015^ to 10/31/2015 | $ | 10.00 | $ | 0.20 | $ | (0.56 | ) | $ | (0.36 | ) | $ | (0.21 | ) | $ | — | $ | — | $ | (0.21 | ) | $ | — | $ | 9.43 | |||||||||||||||||||
Class C | |||||||||||||||||||||||||||||||||||||||||||
4/30/2017 (Unaudited) | $ | 9.60 | $ | 0.11 | $ | 0.28 | $ | 0.39 | $ | (0.12 | ) | $ | — | $ | — | $ | (0.12 | ) | $ | — | $ | 9.87 | |||||||||||||||||||||
10/31/2016 | $ | 9.43 | $ | 0.20 | $ | 0.25 | $ | 0.45 | $ | (0.19 | ) | $ | — | $ | (0.09 | ) | $ | (0.28 | ) | $ | — | $ | 9.60 | ||||||||||||||||||||
Period from 3/27/2015^ to 10/31/2015 | $ | 10.00 | $ | 0.16 | $ | (0.56 | ) | $ | (0.40 | ) | $ | (0.17 | ) | $ | — | $ | — | $ | (0.17 | ) | $ | — | $ | 9.43 | |||||||||||||||||||
Class R6 | |||||||||||||||||||||||||||||||||||||||||||
4/30/2017 (Unaudited) | $ | 9.60 | $ | 0.16 | $ | 0.29 | $ | 0.45 | $ | (0.18 | ) | $ | — | $ | — | $ | (0.18 | ) | $ | — | $ | 9.87 | |||||||||||||||||||||
10/31/2016 | $ | 9.43 | $ | 0.32 | $ | 0.24 | $ | 0.56 | $ | (0.30 | ) | $ | — | $ | (0.09 | ) | $ | (0.39 | ) | $ | — | $ | 9.60 | ||||||||||||||||||||
Period from 3/27/2015^ to 10/31/2015 | $ | 10.00 | $ | 0.23 | $ | (0.57 | ) | $ | (0.34 | ) | $ | (0.23 | ) | $ | — | $ | — | $ | (0.23 | ) | $ | — | $ | 9.43 |
See Notes to Financial Highlights
156
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 and reverse repurchase agreements)# | 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 and reverse repurchase agreements) | Ratio of Net Investment Income/ (Loss) to Average Net Assets | Portfolio Turnover Rate (including securities sold short) | Portfolio Turnover Rate (excluding securities sold short) | |||||||||||||||||||||||||||||||
Multi-Asset Income Fund | |||||||||||||||||||||||||||||||||||||||
Institutional Class | |||||||||||||||||||||||||||||||||||||||
4/30/2017 (Unaudited) | 4.72 | %* | $ | 17.0 | 3.15 | %** | 3.15 | %Ø** | 0.46 | %** | 0.46 | %Ø** | 3.33 | %** | 68 | %* | 68 | %Ø* | |||||||||||||||||||||
10/31/2016 | 6.09 | % | $ | 12.4 | 3.86 | % | 3.86 | %Ø | 0.44 | % | 0.44 | %Ø | 3.33 | % | 94 | % | 94 | %Ø | |||||||||||||||||||||
Period from 3/27/2015^ to 10/31/2015 | (3.43 | )%* | $ | 10.6 | 3.66 | %‡** | 3.66 | %؇** | 0.43 | %‡** | 0.43 | %؇** | 3.87 | %‡** | 33 | %* | 33 | %Ø* | |||||||||||||||||||||
Class A | |||||||||||||||||||||||||||||||||||||||
4/30/2017 (Unaudited) | 4.53 | %* | $ | 0.6 | 3.57 | %** | 3.57 | %Ø** | 0.82 | %** | 0.82 | %Ø** | 2.95 | %** | 68 | %* | 68 | %Ø* | |||||||||||||||||||||
10/31/2016 | 5.70 | % | $ | 0.6 | 4.27 | % | 4.27 | %Ø | 0.81 | % | 0.81 | %Ø | 2.98 | % | 94 | % | 94 | %Ø | |||||||||||||||||||||
Period from 3/27/2015^ to 10/31/2015 | (3.64 | )%* | $ | 0.5 | 4.55 | %‡** | 4.55 | %؇** | 0.79 | %‡** | 0.79 | %؇** | 3.50 | %‡** | 33 | %* | 33 | %Ø* | |||||||||||||||||||||
Class C | |||||||||||||||||||||||||||||||||||||||
4/30/2017 (Unaudited) | 4.15 | %* | $ | 0.7 | 4.28 | %** | 4.28 | %Ø** | 1.57 | %** | 1.57 | %Ø** | 2.19 | %** | 68 | %* | 68 | %Ø* | |||||||||||||||||||||
10/31/2016 | 4.91 | % | $ | 0.6 | 4.99 | % | 4.99 | %Ø | 1.56 | % | 1.56 | %Ø | 2.20 | % | 94 | % | 94 | %Ø | |||||||||||||||||||||
Period from 3/27/2015^ to 10/31/2015 | (4.07 | )%* | $ | 0.5 | 5.29 | %‡** | 5.29 | %؇** | 1.53 | %‡** | 1.53 | %؇** | 2.76 | %‡** | 33 | %* | 33 | %Ø* | |||||||||||||||||||||
Class R6 | |||||||||||||||||||||||||||||||||||||||
4/30/2017 (Unaudited) | 4.76 | %* | $ | 4.0 | 3.09 | %** | 3.09 | %Ø** | 0.38 | %** | 0.38 | %Ø** | 3.39 | %** | 68 | %* | 68 | %Ø* | |||||||||||||||||||||
10/31/2016 | 6.16 | % | $ | 3.9 | 3.78 | % | 3.78 | %Ø | 0.37 | % | 0.37 | %Ø | 3.42 | % | 94 | % | 94 | %Ø | |||||||||||||||||||||
Period from 3/27/2015^ to 10/31/2015 | (3.39 | )%* | $ | 3.8 | 3.63 | %‡** | 3.63 | %؇** | 0.36 | %‡** | 0.36 | %؇** | 3.93 | %‡** | 33 | %* | 33 | %Ø* |
157
Financial Highlights
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 | Voluntary Contribution from Management | Net Asset Value, End of Period | ||||||||||||||||||||||||||||||||||
Risk Balanced Commodity Strategy Funde | |||||||||||||||||||||||||||||||||||||||||||
Institutional Class | |||||||||||||||||||||||||||||||||||||||||||
4/30/2017 (Unaudited) | $ | 5.99 | $ | 0.00 | $ | 0.03 | $ | 0.03 | $ | — | $ | — | $ | — | $ | — | $ | — | $ | 6.02 | |||||||||||||||||||||||
10/31/2016 | $ | 6.20 | $ | (0.03 | ) | $ | (0.18 | ) | $ | (0.21 | ) | $ | ��� | $ | — | $ | — | $ | — | $ | — | $ | 5.99 | ||||||||||||||||||||
10/31/2015 | $ | 8.39 | $ | (0.05 | ) | $ | (2.14 | ) | $ | (2.19 | ) | $ | — | $ | (0.00 | ) | $ | — | $ | (0.00 | ) | $ | — | $ | 6.20 | ||||||||||||||||||
10/31/2014 | $ | 9.01 | $ | (0.07 | ) | $ | (0.55 | ) | $ | (0.62 | ) | $ | — | $ | — | $ | — | $ | — | $ | — | $ | 8.39 | ||||||||||||||||||||
10/31/2013 | $ | 9.84 | $ | (0.09 | ) | $ | (0.74 | ) | $ | (0.83 | ) | $ | — | $ | — | $ | — | $ | — | $ | — | $ | 9.01 | ||||||||||||||||||||
Period from 8/27/2012^ to 10/31/2012 | $ | 10.00 | $ | (0.02 | ) | $ | (0.14 | ) | $ | (0.16 | ) | $ | — | $ | — | $ | — | $ | — | $ | — | $ | 9.84 | ||||||||||||||||||||
Class A | |||||||||||||||||||||||||||||||||||||||||||
4/30/2017 (Unaudited) | $ | 5.90 | $ | (0.01 | ) | $ | 0.02 | $ | 0.01 | $ | — | $ | — | $ | — | $ | — | $ | — | $ | 5.91 | ||||||||||||||||||||||
10/31/2016 | $ | 6.12 | $ | (0.05 | ) | $ | (0.17 | ) | $ | (0.22 | ) | $ | — | $ | — | $ | — | $ | — | $ | — | $ | 5.90 | ||||||||||||||||||||
10/31/2015 | $ | 8.32 | $ | (0.07 | ) | $ | (2.13 | ) | $ | (2.20 | ) | $ | — | $ | (0.00 | ) | $ | — | $ | (0.00 | ) | $ | — | $ | 6.12 | ||||||||||||||||||
10/31/2014 | $ | 8.97 | $ | (0.10 | ) | $ | (0.55 | ) | $ | (0.65 | ) | $ | — | $ | — | $ | — | $ | — | $ | — | $ | 8.32 | ||||||||||||||||||||
10/31/2013 | $ | 9.84 | $ | (0.12 | ) | $ | (0.75 | ) | $ | (0.87 | ) | $ | — | $ | — | $ | — | $ | — | $ | — | $ | 8.97 | ||||||||||||||||||||
Period from 8/27/2012^ to 10/31/2012 | $ | 10.00 | $ | (0.03 | ) | $ | (0.13 | ) | $ | (0.16 | ) | $ | — | $ | — | $ | — | $ | — | $ | — | $ | 9.84 | ||||||||||||||||||||
Class C | |||||||||||||||||||||||||||||||||||||||||||
4/30/2017 (Unaudited) | $ | 5.71 | $ | (0.03 | ) | $ | (0.02 | ) | $ | (0.05 | ) | $ | — | $ | — | $ | — | $ | — | $ | — | $ | 5.66 | ||||||||||||||||||||
10/31/2016 | $ | 5.98 | $ | (0.09 | ) | $ | (0.18 | ) | $ | (0.27 | ) | $ | — | $ | — | $ | — | $ | — | $ | — | $ | 5.71 | ||||||||||||||||||||
10/31/2015 | $ | 8.19 | $ | (0.12 | ) | $ | (2.09 | ) | $ | (2.21 | ) | $ | — | $ | (0.00 | ) | $ | — | $ | (0.00 | ) | $ | — | $ | 5.98 | ||||||||||||||||||
10/31/2014 | $ | 8.88 | $ | (0.16 | ) | $ | (0.53 | ) | $ | (0.69 | ) | $ | — | $ | — | $ | — | $ | — | $ | — | $ | 8.19 | ||||||||||||||||||||
10/31/2013 | $ | 9.83 | $ | (0.18 | ) | $ | (0.77 | ) | $ | (0.95 | ) | $ | — | $ | — | $ | — | $ | — | $ | — | $ | 8.88 | ||||||||||||||||||||
Period from 8/27/2012^ to 10/31/2012 | $ | 10.00 | $ | (0.04 | ) | $ | (0.13 | ) | $ | (0.17 | ) | $ | — | $ | — | $ | — | $ | — | $ | — | $ | 9.83 |
See Notes to Financial Highlights
158
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 and reverse repurchase agreements)# | 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 and reverse repurchase agreements) | 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 Funde | |||||||||||||||||||||||||||||||||||||||
Institutional Class | |||||||||||||||||||||||||||||||||||||||
4/30/2017 (Unaudited) | 0.50 | %* | $ | 62.0 | 1.40 | %** | 1.40 | %Ø** | 0.98 | %** | 0.98 | %Ø** | 0.07 | %** | 53 | %* | 53 | %Ø* | |||||||||||||||||||||
10/31/2016 | (3.39 | )% | $ | 49.0 | 1.65 | % | 1.65 | %Ø | 1.10 | % | 1.10 | %Ø | (0.44 | )% | 58 | % | 58 | %Ø | |||||||||||||||||||||
10/31/2015 | (26.09 | )% | $ | 31.8 | 1.47 | % | 1.47 | %Ø | 1.10 | % | 1.10 | %Ø | (0.67 | )% | 35 | % | 35 | %Ø | |||||||||||||||||||||
10/31/2014 | (6.88 | )% | $ | 20.5 | 1.62 | % | 1.62 | %Ø | 1.10 | % | 1.10 | %Ø | (0.73 | )% | 21 | % | 21 | %Ø | |||||||||||||||||||||
10/31/2013 | (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 | (1.60 | )%* | $ | 5.0 | 25.60 | %‡** | 25.60 | %؇** | 1.10 | %‡** | 1.10 | %؇** | (0.99 | )%‡** | 0 | %* | 0 | %Ø* | |||||||||||||||||||||
Class A | |||||||||||||||||||||||||||||||||||||||
4/30/2017 (Unaudited) | 0.17 | %* | $ | 38.7 | 1.78 | %** | 1.78 | %Ø** | 1.34 | %** | 1.34 | %Ø** | (0.30 | )% ** | 53 | %* | 53 | %Ø* | |||||||||||||||||||||
10/31/2016 | (3.59 | )% | $ | 33.3 | 2.04 | % | 2.04 | %Ø | 1.46 | % | 1.46 | %Ø | (0.82 | )% | 58 | % | 58 | %Ø | |||||||||||||||||||||
10/31/2015 | (26.43 | )% | $ | 35.5 | 1.84 | % | 1.84 | %Ø | 1.46 | % | 1.46 | %Ø | (1.05 | )% | 35 | % | 35 | %Ø | |||||||||||||||||||||
10/31/2014 | (7.25 | )% | $ | 66.8 | 1.98 | % | 1.98 | %Ø | 1.46 | % | 1.46 | %Ø | (1.09 | )% | 21 | % | 21 | %Ø | |||||||||||||||||||||
10/31/2013 | (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 | (1.60 | )%* | $ | 0.1 | 33.04 | %‡** | 33.04 | %؇** | 1.46 | %‡** | 1.46 | %؇** | (1.36 | )%‡** | 0 | %* | 0 | %Ø* | |||||||||||||||||||||
Class C | |||||||||||||||||||||||||||||||||||||||
4/30/2017 (Unaudited) | (0.88 | )%* | $ | 0.0 | 4.58 | %** | 4.58 | %Ø** | 2.13 | %** | 2.13 | %Ø** | (1.14 | )%** | 53 | %* | 53 | %Ø* | |||||||||||||||||||||
10/31/2016 | (4.52 | )% | $ | 0.1 | 3.06 | % | 3.06 | %Ø | 2.21 | % | 2.21 | %Ø | (1.65 | )% | 58 | % | 58 | %Ø | |||||||||||||||||||||
10/31/2015 | (26.98 | )% | $ | 3.1 | 2.70 | % | 2.70 | %Ø | 2.21 | % | 2.21 | %Ø | (1.79 | )% | 35 | % | 35 | %Ø | |||||||||||||||||||||
10/31/2014 | (7.77 | )% | $ | 4.2 | 2.84 | % | 2.84 | %Ø | 2.21 | % | 2.21 | %Ø | (1.84 | )% | 21 | % | 21 | %Ø | |||||||||||||||||||||
10/31/2013 | (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 | (1.70 | )%* | $ | 0.1 | 35.12 | %‡** | 35.12 | %؇** | 2.21 | %‡** | 2.21 | %؇** | (2.11 | )%‡** | 0 | %* | 0 | %Ø* |
159
Financial Highlights
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 | Voluntary Contribution from Management | Net Asset Value, End of Period | ||||||||||||||||||||||||||||||||||
U.S. Equity Index PutWrite Strategy Fund | |||||||||||||||||||||||||||||||||||||||||||
Institutional Class | |||||||||||||||||||||||||||||||||||||||||||
4/30/2017 (Unaudited) | $ | 10.09 | $ | 0.02 | $ | 0.79 | $ | 0.81 | $ | (0.02 | ) | $ | (0.03 | ) | $ | — | $ | (0.05 | ) | $ | — | $ | 10.85 | ||||||||||||||||||||
Period from 9/16/2016^ to 10/31/2016 | $ | 10.00 | $ | 0.00 | $ | 0.09 | $ | 0.09 | $ | — | $ | — | $ | — | $ | — | $ | — | $ | 10.09 | |||||||||||||||||||||||
Class A | |||||||||||||||||||||||||||||||||||||||||||
4/30/2017 (Unaudited) | $ | 10.09 | $ | 0.00 | $ | 0.78 | $ | 0.78 | $ | (0.00 | ) | $ | (0.03 | ) | $ | — | $ | (0.03 | ) | $ | — | $ | 10.84 | ||||||||||||||||||||
Period from 9/16/2016^ to 10/31/2016 | $ | 10.00 | $ | (0.00 | ) | $ | 0.09 | $ | 0.09 | $ | — | $ | — | $ | — | $ | — | $ | — | $ | 10.09 | ||||||||||||||||||||||
Class C | |||||||||||||||||||||||||||||||||||||||||||
4/30/2017 (Unaudited) | $ | 10.08 | $ | (0.04 | ) | $ | 0.79 | $ | 0.75 | $ | — | $ | (0.03 | ) | $ | — | $ | (0.03 | ) | $ | — | $ | 10.80 | ||||||||||||||||||||
Period from 9/16/2016^ to 10/31/2016 | $ | 10.00 | $ | (0.01 | ) | $ | 0.09 | $ | 0.08 | $ | — | $ | — | $ | — | $ | — | $ | — | $ | 10.08 | ||||||||||||||||||||||
Class R6 | |||||||||||||||||||||||||||||||||||||||||||
4/30/2017 (Unaudited) | $ | 10.10 | $ | 0.02 | $ | 0.79 | $ | 0.81 | $ | (0.02 | ) | $ | (0.03 | ) | $ | — | $ | (0.05 | ) | $ | — | $ | 10.86 | ||||||||||||||||||||
Period from 9/16/2016^ to 10/31/2016 | $ | 10.00 | $ | 0.00 | $ | 0.10 | $ | 0.10 | $ | — | $ | — | $ | — | $ | — | $ | — | $ | 10.10 |
See Notes to Financial Highlights
160
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 and reverse repurchase agreements)# | 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 and reverse repurchase agreements) | Ratio of Net Investment Income/ (Loss) to Average Net Assets | Portfolio Turnover Rate (including securities sold short) | Portfolio Turnover Rate (excluding securities sold short) | |||||||||||||||||||||||||||||||
U.S. Equity Index PutWrite Strategy Fund | |||||||||||||||||||||||||||||||||||||||
Institutional Class | |||||||||||||||||||||||||||||||||||||||
4/30/2017 (Unaudited) | 8.01 | %* | $ | 97.3 | 1.30 | %** | 1.30 | %Ø** | 0.65 | %** | 0.65 | %Ø** | 0.39 | %** | 0 | %* | 0 | %Ø* | |||||||||||||||||||||
Period from 9/16/2016^ to 10/31/2016 | 0.90 | %* | $ | 21.2 | 3.84 | %‡** | 3.84 | %؇** | 0.65 | %‡** | 0.65 | %؇** | 0.26 | %‡** | 0 | %* | 0 | %Ø* | |||||||||||||||||||||
Class A | |||||||||||||||||||||||||||||||||||||||
4/30/2017 (Unaudited) | 7.76 | %* | $ | 2.2 | 1.66 | %** | 1.66 | %Ø** | 1.01 | %** | 1.01 | %Ø** | 0.03 | %** | 0 | %* | 0 | %Ø* | |||||||||||||||||||||
Period from 9/16/2016^ to 10/31/2016 | 0.90 | %* | $ | 0.4 | 4.26 | %‡** | 4.26 | %؇** | 1.01 | %‡** | 1.01 | %؇** | (0.05 | )%‡** | 0 | %* | 0 | %Ø* | |||||||||||||||||||||
Class C | |||||||||||||||||||||||||||||||||||||||
4/30/2017 (Unaudited) | 7.44 | %* | $ | 0.2 | 2.55 | %** | 2.55 | %Ø** | 1.76 | %** | 1.76 | %Ø** | (0.73 | )%** | 0 | %* | 0 | %Ø* | |||||||||||||||||||||
Period from 9/16/2016^ to 10/31/2016 | 0.80 | %* | $ | 0.1 | 5.10 | %‡** | 5.10 | %؇** | 1.76 | %‡** | 1.76 | %؇** | (0.86 | )%‡** | 0 | %* | 0 | %Ø* | |||||||||||||||||||||
Class R6 | |||||||||||||||||||||||||||||||||||||||
4/30/2017 (Unaudited) | 8.01 | %* | $ | 11.5 | 1.21 | %** | 1.21 | %Ø** | 0.58 | %** | 0.58 | %Ø** | 0.46 | %** | 0 | %* | 0 | %Ø* | |||||||||||||||||||||
Period from 9/16/2016^ to 10/31/2016 | 1.00 | %* | $ | 4.8 | 3.77 | %‡** | 3.77 | %؇** | 0.58 | %‡** | 0.58 | %؇** | 0.26 | %‡** | 0 | %* | 0 | %Ø* |
161
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 and/or waived certain expenses. Total return would have been higher if Management had not recouped previously reimbursed and/or waived expenses. Total return would have been the same for each of the respective years if Long Short had not received the refund listed in Note G of the Notes to Financial Statements.
# 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.
* Not annualized.
** Annualized.
Ø Hedged Option Premium Strategy, Multi-Asset Income, Risk Balanced Commodity Strategy and U.S. Equity Index PutWrite Strategy did not engage in short sales. For the six months ended April 30, 2017, Long Short Credit did not engage in short sales.
‡ Organization expense, which is a non-recurring expense, is included in these ratios on a non-annualized basis.
§ 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 and Reverse Repurchase Agreements | Excluding Dividend and Interest Expense Relating to Short Sales and Reverse Repurchase Agreements | ||||||||||
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 | % |
^ The date investment operations commenced.
a The portfolio turnover rates including mortgage dollar roll transactions, including and excluding securities sold short, were 88% and 87%, respectively, for the six months ended April 30, 2017, 182% and 183%, respectively, for the year ended October 31, 2016 and 198% and 189%, respectively, for the year ended October 31, 2015, for Global Allocation. The portfolio turnover rate including mortgage dollar roll transactions was 63% for the six months ended April 30 2017, for Multi-Asset Income.
b The voluntary contributions received in 2014 had no impact on the Funds' total returns for the year ended October 31, 2014.
162
Notes to Financial Highlights (Unaudited) (cont'd)
c The voluntary contribution listed in Note B of the Notes to Financial Statements had no impact on the Fund's total return for the six months ended April 30, 2017.
d Custodian Out-of-Pocket Expenses Refunded, as listed in Note G of the Notes to Financial Statements, which is non-recurring, is included in these ratios on a non-annualized basis. Had the Funds not received the refund the annualized ratios of net expenses to average net assets and net investment income/(loss) to average net assets would have been:
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 and reverse repurchase agreements) | Ratio of Net Investment Income/ (Loss) to Average Net Assets | |||||||||||||
Six Months Ended April 30, 2017 | |||||||||||||||
Long Short Institutional Class | 1.82 | % | 1.34 | % | 0.22 | % | |||||||||
Long Short Class A | 2.17 | % | 1.69 | % | (0.10 | )% | |||||||||
Long Short Class C | 2.93 | % | 2.44 | % | (0.87 | )% |
e Consolidated financial highlights, see Note A in the Notes to Financial Statements.
f Dividend and interest expense relating to short sales, which is a non-recurring expense for Global Allocation, is included in these ratios on a non-annualized basis.
163
Directory
Investment Manager and Administrator
Neuberger Berman Investment Advisers LLC
1290 Avenue of the Americas
New York, NY 10104-0002
800.877.9700 or 212.476.8800
Intermediary Client Services 800.366.6264
Distributor
Neuberger Berman BD LLC
1290 Avenue of the Americas
New York, NY 10104-0002
800.877.9700 or 212.476.8800
Intermediary Client Services 800.366.6264
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
1290 Avenue of the Americas, 22nd Floor
New York, NY 10104-0002
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 Firms
Ernst & Young LLP
200 Clarendon Street
Boston, MA 02116
Tait, Weller & Baker LLP
1818 Market Street
Suite 2400
Philadelphia, PA 19103
164
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).
165
Neuberger Berman Hedged Option Premium Strategy Fund: Initial Consideration of the Management Agreement
At a meeting held on December 13-14, 2016, the Board of Trustees (the "Board") of Neuberger Berman Alternative Funds (the "Trust"), including the Trustees who are not "interested persons" of Neuberger Berman Investment Advisers LLC ("Management") (including its affiliates) or the Trust ("Independent Fund Trustees"), evaluated and approved the management agreement with Management (the "Agreement") with respect to Neuberger Berman Hedged Option Premium Strategy Fund (the "Fund"). Throughout the process, the Independent Fund Trustees are advised by counsel that is experienced in Investment Company Act of 1940 matters and that is independent of Management ("Independent Counsel").
In evaluating the Agreement, the Board, including the Independent Fund Trustees, reviewed 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. To assist the Board in its deliberations regarding the annual contract review, the Board has established a Contract Review Committee comprised of Independent Fund Trustees. 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. Those committees provide reports that feed into the Contract Review Committee, which reviews and takes account of the information.
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 Agreement, the Independent Fund Trustees met with Independent Counsel separately from representatives of Management.
In connection with its approval of the Agreement, the Board evaluated the terms of the Agreement, the overall fairness of the Agreement to the Fund and whether the Agreement was 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; (2) the expected costs of the services to be provided by Management; (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 Agreement 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 Agreement 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 the qualifications, experience, and capabilities of, and the resources available to, the portfolio management personnel of Management 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. The Board also considered that Management's responsibilities include daily management of investment, operational, enterprise, legal, regulatory and compliance risks as they relate to the Fund, and considered information regarding Management's processes for managing risk. In addition, the Board noted the positive compliance history of Management as no significant compliance problems were reported to the
166
Board with respect to the firm. The Board also considered the general structure of the portfolio manager compensation program and whether this structure provides appropriate incentives to act in the best interests of the Fund.
The Board also considered the manner in which Management addressed various non-routine matters that have arisen in the past, some of them a result of developments in the broader fund industry or the regulations governing it. In addition, the Board considered actions taken by Management in response to recent market conditions, such as regulatory concerns about current trading issues, market liquidity and potential volatility, and considered the overall performance of Management in this context.
With respect to the overall fairness of the Agreement, the Board considered the fee structures proposed for the Fund under the Agreement for the four classes to be registered initially as compared to a peer group of comparable funds. The Board also considered any fall-out (i.e., indirect) benefits likely to accrue to Management or its affiliates from their relationship with the Fund. The Board reviewed a comparison of the Fund's proposed management fee and total expense ratio for one of the four classes to a peer group of comparable funds and determined that the total expenses projected for that class were below the median relative to the peer group. The Board considered that for the other three classes the peer group was too small to provide a basis for comparison and reviewed a comparison of the Fund's proposed management fee and total expense ratio to the relevant Morningstar category. Based on this review, the Board determined that the total expenses projected for the other three classes were below the median relative to the Morningstar category. The Board noted that the comparative management fee analysis includes, in the Fund's management fee, the separate administrative fees paid to Management, but it was not clear whether this was the case for all funds in the peer group or Morningstar category. 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 Agreement, the Board concluded that the terms of the Agreement are fair and reasonable to the Fund and that approval of the Agreement is in the best interests of the Fund and its shareholders. In reaching this determination, the Board considered that Management 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.
167
Neuberger Berman Investment Advisers LLC
1290 Avenue of the Americas
New York, NY 10104-0002
Retail Services: 800.877.9700
Broker-Dealer and Institutional Services: 800.366.6264/888.556.9030
Web site: 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 carefully a Fund's investment objectives, risks and fees and expenses, which are described in its prospectus, before investing.
L0088 06/17
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
Semi-Annual Report
April 30, 2017
Contents
PRESIDENT'S LETTER | 1 | ||||||
PORTFOLIO COMMENTARY | |||||||
Absolute Return Multi-Manager Fund | 2 | ||||||
FUND EXPENSE INFORMATION | 6 | ||||||
CONSOLIDATED SCHEDULE OF INVESTMENTS | 8 | ||||||
CONSOLIDATED FINANCIAL STATEMENTS | 68 | ||||||
FINANCIAL HIGHLIGHTS (ALL CLASSES)/ PER SHARE DATA | 91 | ||||||
Directory | 95 | ||||||
Proxy Voting Policies and Procedures | 96 | ||||||
Quarterly Portfolio Schedule | 96 | ||||||
Board Consideration of New Sub-Advisory Agreement: TPH Asset Management, LP | 97 |
The "Neuberger Berman" name and logo and "Neuberger Berman Investment Advisers LLC" name are registered service marks of Neuberger Berman Group LLC. The individual Fund name in this piece is either a service mark or registered service mark of Neuberger Berman Investment Advisers LLC, an affiliate of Neuberger Berman BD LLC, distributor, member FINRA. ©2017 Neuberger Berman BD 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.
The U.S. equity market generated strong results during the six-month reporting period, primarily driven by strong corporate earnings, as well as expectations for meaningful fiscal stimulus in the form of tax reform and infrastructure spending. Fixed income markets in the U.S. sold off as the U.S. Federal Reserve increased interest rates twice during the period and market participants began to price in potentially higher rates of inflation. In the currency market, the U.S. dollar initially rallied, but later weakened somewhat amid skepticism regarding the Trump administration's ability to quickly deliver on its growth-oriented agenda.
We continue to favor credit strategies, both corporate credit long/short and asset-backed, where we believe our subadvisers are well-positioned during periods of rising rates given their significant allocation to floating rate debt, low duration and attractive yields. We have maintained our substantial allocation to long/short equity strategies, as we anticipate equity correlations to remain low and dispersion to remain high. Shorts may become increasingly productive, as rising rates have the potential to expose companies that have survived due solely to access to cheap financing. We have also maintained our allocation to merger arbitrage, as rising rates have historically translated into more attractive spreads. Lastly, we have maintained our exposure to global macro/managed futures given our anticipation of increased volatility, which we believe should result in opportunities across asset classes.
Thank you for your continued support and trust. We look forward to continue serving your investment needs in the years to come.
Sincerely,
ROBERT CONTI
PRESIDENT AND CEO
NEUBERGER BERMAN MUTUAL FUNDS
1
Absolute Return Multi-Manager Fund Commentary (Unaudited)
Neuberger Berman Absolute Return Multi-Manager Fund Institutional Class generated a 3.05% total return for the six months ended April 30, 2017, and underperformed its primary benchmark, the HFRX Global Hedge Fund Index, which posted a 3.86% return for the same period. (Performance for all share classes is provided in the table following this letter.)
The U.S. equity market generated strong results during the reporting period, primarily driven by strong corporate earnings, as well as expectations for meaningful fiscal stimulus in the form of tax reform and infrastructure spending. Fixed income markets in the U.S. sold off as the U.S. Federal Reserve increased interest rates twice during the period and market participants began to price in potentially higher rates of inflation. In the currency market, the U.S. dollar initially rallied, but later weakened somewhat amid skepticism regarding the Trump administration's ability to quickly deliver on its growth-oriented agenda.
The Fund's allocation to credit was the largest contributor to performance, followed by gains from long/short equity, merger arbitrage/event driven and global macro/managed futures.
Gains from credit were driven by the Fund's asset-backed securities (ABS) strategy and, to a lesser extent, the Fund's corporate credit long/short strategy. The gains generated from ABS were across sectors, while the gains generated from credit long/short were predominantly in floating rate bank debt.
Positive performance from the Fund's long/short equity allocation was driven by gains from longs, which outweighed losses from shorts. From a sector perspective, the largest positive contributors were Health Care, Information Technology and Materials, while the largest detractors were Equity Index Hedges and Real Estate.
Merger arbitrage/event driven strategies were the next largest contributors as several mergers progressed in the right direction and others came to a close. The small remaining allocation to softer catalyst special situations (e.g., spinoffs, divestitures, restructurings, share buybacks) contributed as well, as a number of idiosyncratic events occurred during the period.
The Fund's allocation to global macro/managed futures strategies was a small contributor as well for the period. Our global macro strategy focused on systematic currency trading, which generated gains from its long positions in the U.S. dollar versus the euro and yen. The Fund's managed futures strategy was a detractor, as losses from commodities, interest rates and currencies outpaced gains from equities.
The Fund's aggregate use of futures, forward foreign currency, swap and option contracts detracted from performance during the reporting period.
We continue to favor credit strategies, both corporate credit long/short and asset-backed, where we believe our subadvisers are currently well-positioned for periods of rising rates given their significant allocation to floating rate debt, low duration and attractive yields. We have maintained our substantial allocation to long/short equity strategies, as we anticipate equity correlations to remain low and dispersion to remain high. We believe shorts have the potential to become increasingly productive as rising rates have the potential to expose companies that have survived due solely to access to cheap financing. We have also maintained our allocation to merger arbitrage, as rising rates have historically translated into more attractive spreads. Lastly, we have maintained our exposure to global macro/managed futures given our anticipation of increased volatility, which we believe should result in opportunities across asset classes.
Sincerely,
DAVID KUPPERMAN AND JEFF MAJIT
PORTFOLIO MANAGERS
Information about principal risks of investing in the Fund is set forth in the prospectus and statement of additional information.
The portfolio composition, industries and holdings of the Fund are subject to change without notice.
The opinions expressed are those of the Fund's portfolio managers and subadvisers. The opinions are as of the date of this report and are subject to change without notice.
2
Absolute Return Multi-Manager Fund (Unaudited)
TICKER SYMBOLS
Institutional Class | NABIX | ||||||
Class A | NABAX | ||||||
Class C | NABCX | ||||||
Class R6 | NRABX |
PORTFOLIO BY TYPE OF SECURITY
(as a % of Total Net Assets)
Long | Short | ||||||||||
Asset-Backed Securities | 5.9 | % | — | % | |||||||
Collateralized Mortgage Obligations | 1.7 | — | |||||||||
Commercial Mortgage-Backed Securities | 7.7 | — | |||||||||
Common Stocks | 44.1 | (15.6 | ) | ||||||||
Convertible Bonds | 0.9 | — | |||||||||
Corporate Bonds | 8.2 | (1.5 | ) | ||||||||
Exchange Traded Funds | — | (1.2 | ) | ||||||||
Exchange Traded Note | — | (0.2 | ) | ||||||||
Loan Assignments | 7.5 | — | |||||||||
Master Limited Partnerships | 2.9 | (0.6 | ) | ||||||||
Options Purchased | 0.1 | — | |||||||||
Preferred Stock | 0.0 | — | |||||||||
Rights | 0.6 | — | |||||||||
U.S. Treasury Obligation | 0.2 | — | |||||||||
Warrants | 0.1 | — | |||||||||
Short-Term Investments | 17.3 | — | |||||||||
Other Assets Less Liabilities | 21.9 | * | — | ||||||||
Total | 119.1 | % | (19.1 | )% |
* Includes the impact of the Fund's open positions in derivatives, if any.
PERFORMANCE HIGHLIGHTS
Inception | Six Month Period Ended | Average Annual Total Return Ended 04/30/2017 | |||||||||||||||||
Date | 04/30/2017 | 1 Year | Life of Fund | ||||||||||||||||
At NAV | |||||||||||||||||||
Institutional Class | 05/15/2012 | 3.05 | % | 6.07 | % | 2.04 | % | ||||||||||||
Class A | 05/15/2012 | 2.87 | % | 5.70 | % | 1.67 | % | ||||||||||||
Class C | 05/15/2012 | 2.56 | % | 4.92 | % | 0.92 | % | ||||||||||||
Class R63 | 12/31/2013 | 3.15 | % | 6.07 | % | 2.07 | % | ||||||||||||
With Sales Charge | |||||||||||||||||||
Class A | –3.08 | % | –0.38 | % | 0.46 | % | |||||||||||||
Class C | 1.56 | % | 3.92 | % | 0.92 | % | |||||||||||||
Index | |||||||||||||||||||
HFRX Global Hedge Fund Index1,2 | 3.86 | % | 6.21 | % | 1.64 | % | |||||||||||||
S&P 500® Index1,2 | 13.32 | % | 17.92 | % | 14.75 | % | |||||||||||||
Bloomberg Barclays U.S. Aggregate Bond Index*1,2 | –0.67 | % | 0.83 | % | 2.19 | % |
*Effective August 24, 2016, the Barclays U.S. Aggregate Bond Index changed its name to the Bloomberg Barclays U.S. Aggregate Bond Index.
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 Consolidated 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 2016 were 2.88%, 3.25%, 4.01% and 2.76% 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 2.83%, 3.18%, 3.94% and 2.74% 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, 2017 can be found in the Financial Highlights section of this report.
Returns shown with a sales charge reflect the deduction of the current maximum initial sales charge of 5.75% for Class A shares and the contingent deferred sales charge (CDSC) for Class C shares. The CDSC for Class C shares is 1%, which is reduced to 0% after 1 year. The performance of the Fund's share classes will differ primarily due to different sales charge structures and class expenses. Please see the prospectus for more information about sales charge structures, if any, and class expenses for your share class.
3
Endnotes
1 Please see "Glossary of Indices" on page 5 for a description of indices. Please note that individuals cannot invest directly in any index. The S&P 500® and the Bloomberg 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 Global Hedge Fund index does take into account fees and expenses, but not tax consequences, of investing since it is 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 performance information for Class R6 prior to the class's 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 ("Neuberger Berman") 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 such transfer, NBFI was renamed Neuberger Berman Investment Advisers LLC ("NBIA" or "Management"). In addition, since the date of the transfer, the services previously provided by NB Alternative Investment Management LLC ("NBAIM") have been provided by NBIA.
Following the consolidation, the investment professionals of NBM 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 any Fund pays under its Agreements.
On July 1, 2016, NBM was reorganized into Neuberger Berman (the "Reorganization"). Upon the completion of the Reorganization, Neuberger Berman assumed all rights and obligations pertaining to all services NBM provided to the Fund under any distribution agreement or distribution and services agreement (the "Agreements") or plan adopted pursuant to Rule 12b-1 under the Investment Company Act of 1940, as amended, (the "Plans"). Accordingly, after the Reorganization, Neuberger Berman became the Fund's distributor and the services previously provided by NBM under the Agreements and Plans are provided by Neuberger Berman.
Following the Reorganization, the employees of NBM provide the same services to the Fund under the Agreements and Plans, except that they provide those services in their capacities as employees of Neuberger Berman. Further, the Reorganization did not result in any change in the nature or level of services provided to the Fund, or the fees, if any, the Fund pays under the Agreements or the Plans.
On January 1, 2017, the Fund's distributor, Neuberger Berman, changed its name to Neuberger Berman BD LLC.
For more complete information on any of the Neuberger Berman Alternative and Multi-Asset Class Funds, see the Fund's prospectus, which can be obtained by calling us at (800) 877-9700, or visiting our website at www.nb.com.
4
Glossary of Indices
Bloomberg 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 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. |
5
Information About Your Fund's Expenses (Unaudited)
As a Fund shareholder, you incur two types of costs: (1) transaction costs, including sales charges (loads) on purchase payments or redemption proceeds (if applicable); and (2) ongoing costs, including management fees, distribution and/or service (12b-1) fees (if applicable), and other Fund expenses. This example is intended to help you understand your ongoing costs (in U.S. dollars) of investing in a Fund and compare these costs with the ongoing costs of investing in other mutual funds.
This table is designed to provide information regarding costs related to your investments. The following examples are based on an investment of $1,000 made at the beginning of the six month period ended April 30, 2017 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.
6
Expense Example (Unaudited)
Neuberger Berman Alternative Funds | |||||||||||||||||||||||||||||||||
ACTUAL | HYPOTHETICAL (5% ANNUAL RETURN BEFORE EXPENSES) | ||||||||||||||||||||||||||||||||
Beginning Account Value 11/1/2016 | Ending Account Value 4/30/2017 | Expenses Paid During the Period(1) 11/1/2016 - 4/30/2017 | Expense Ratio | Beginning Account Value 11/1/2016 | Ending Account Value 4/30/2017 | Expenses Paid During the Period(2) 11/1/2016 - 4/30/2017 | Expense Ratio | ||||||||||||||||||||||||||
Absolute Return Multi-Manager Fund | |||||||||||||||||||||||||||||||||
Institutional Class | $ | 1,000.00 | $ | 1,030.50 | $ | 13.24 | (3) | 2.63 | % | $ | 1,000.00 | $ | 1,011.75 | $ | 13.12 | (3) | 2.63 | % | |||||||||||||||
Class A | $ | 1,000.00 | $ | 1,028.70 | $ | 15.09 | (3) | 3.00 | % | $ | 1,000.00 | $ | 1,009.92 | $ | 14.95 | (3) | 3.00 | % | |||||||||||||||
Class C | $ | 1,000.00 | $ | 1,025.60 | $ | 18.83 | (3) | 3.75 | % | $ | 1,000.00 | $ | 1,006.20 | $ | 18.65 | (3) | 3.75 | % | |||||||||||||||
Class R6 | $ | 1,000.00 | $ | 1,031.50 | $ | 12.89 | (3) | 2.56 | % | $ | 1,000.00 | $ | 1,012.10 | $ | 12.77 | (3) | 2.56 | % |
(1) For each class, expenses are equal to the annualized expense ratio for the class, multiplied by the average account value over the period, multiplied by 181/365 (to reflect the one-half year period shown), unless otherwise indicated.
(2) Hypothetical 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 181/365 (to reflect the one-half year period shown).
(3) Includes expenses of the Fund's subsidiary (See Note A of the Notes to Consolidated Financial Statements).
7
Consolidated Schedule of Investments Neuberger Berman Absolute Return Multi-Manager Fund (Unaudited) April 30, 2017
Investments | Shares | Value (000) | |||||||||
Long Positions 97.2% | |||||||||||
Common Stocks 44.1% | |||||||||||
Aerospace & Defense 0.2% | |||||||||||
DigitalGlobe, Inc.* | 7,500 | $ | 241 | ||||||||
General Dynamics Corp.(a) | 1,825 | 354 | |||||||||
Raytheon Co.(a) | 2,450 | 380 | |||||||||
Ste Industrielle d'Aviation Latecoere SA (France)* | 54,247 | 214 | |||||||||
1,189 | |||||||||||
Air Freight & Logistics 0.5% | |||||||||||
FedEx Corp.(a) | 10,220 | 1,939 | |||||||||
XPO Logistics Europe SADIR (France)*(a) | 2,000 | 427 | |||||||||
2,366 | |||||||||||
Airlines 0.0%(b) | |||||||||||
AMR Corp. Escrow*(c) | 14,383 | 17 | |||||||||
Auto Components 0.1% | |||||||||||
Delphi Automotive plc(a) | 5,075 | 408 | |||||||||
Automobiles 0.0%(b) | |||||||||||
General Motors Co.(a) | 6,150 | 213 | |||||||||
Banks 1.4% | |||||||||||
Bank of America Corp. | 24,700 | 577 | |||||||||
Barclays plc (United Kingdom)(a) | 136,811 | 376 | |||||||||
Cascade Bancorp*(a) | 24,900 | 186 | |||||||||
Citigroup, Inc.(a) | 10,525 | 622 | |||||||||
Comerica, Inc.(a) | 8,550 | 605 | |||||||||
CU Bancorp* | 11,200 | 418 | |||||||||
JPMorgan Chase & Co.(a) | 6,775 | 589 | |||||||||
Pacific Continental Corp.(a) | 21,000 | 525 | |||||||||
PrivateBancorp, Inc.(a) | 22,005 | 1,271 | |||||||||
Societe Generale SA (France)(a) | 15,815 | 865 | |||||||||
SVB Financial Group* | 3,200 | 563 | |||||||||
6,597 |
Investments | Shares | Value (000) | |||||||||
Beverages 0.1% | |||||||||||
Cott Corp. (Canada)(d) | 17,763 | $ | 234 | ||||||||
PepsiCo, Inc.(a) | 2,400 | 272 | |||||||||
506 | |||||||||||
Biotechnology 1.7% | |||||||||||
ACADIA Pharmaceuticals, Inc.*(d) | 1,963 | 67 | |||||||||
Biogen, Inc.* | 5,453 | 1,479 | |||||||||
BioMarin Pharmaceutical, Inc.* | 15,201 | 1,457 | |||||||||
Clovis Oncology, Inc.* | 19,134 | 1,108 | |||||||||
Incyte Corp.* | 8,569 | 1,065 | |||||||||
Neurocrine Biosciences, Inc.* | 22,991 | 1,228 | |||||||||
Novelion Therapeutics, Inc. (Canada)*(d) | 11,677 | 119 | |||||||||
TESARO, Inc.* | 10,513 | 1,551 | |||||||||
8,074 | |||||||||||
Building Products 0.4% | |||||||||||
Johnson Controls International plc(a) | 50,127 | 2,084 | |||||||||
Capital Markets 0.4% | |||||||||||
Aretec Group, Inc., Class A*(c)(e)(f) | 183,806 | — | |||||||||
Electrum Special Acquisition Corp.*(d) | 4,546 | 46 | |||||||||
Goldman Sachs Group, Inc. (The)(a) | 2,675 | 599 | |||||||||
Janus Capital Group, Inc.(d) | 39,200 | 535 | |||||||||
KCG Holdings, Inc., Class A* | 10,200 | 203 | |||||||||
Matlin and Partners Acquisition Corp.* | 32,244 | 323 | |||||||||
1,706 | |||||||||||
Chemicals 2.0% | |||||||||||
Air Products & Chemicals, Inc. | 9,305 | 1,307 | |||||||||
Croda International plc (United Kingdom)(a) | 12,203 | 595 | |||||||||
Dow Chemical Co. (The)(a) | 5,275 | 331 |
Investments | Shares | Value (000) | |||||||||
EI du Pont de Nemours & Co. | 1,200 | $ | 96 | ||||||||
Monsanto Co.(d) | 5,964 | 695 | |||||||||
PPG Industries, Inc. | 11,885 | 1,305 | |||||||||
Syngenta AG, ADR (Switzerland)*(d) | 21,120 | 1,965 | |||||||||
Valspar Corp. (The)(d) | 16,600 | 1,867 | |||||||||
WR Grace & Co.(a) | 19,015 | 1,326 | |||||||||
9,487 | |||||||||||
Commercial Services & Supplies 0.0%(b) | |||||||||||
TRC Cos., Inc.* | 5,600 | 98 | |||||||||
Communications Equipment 0.7% | |||||||||||
Brocade Communications Systems, Inc.(a) | 61,495 | 773 | |||||||||
Cisco Systems, Inc. | 9,100 | 310 | |||||||||
Digi International, Inc.*(d) | 3,400 | 42 | |||||||||
Lumentum Holdings, Inc.* | 18,165 | 777 | |||||||||
Motorola Solutions, Inc.(a) | 4,875 | 419 | |||||||||
Palo Alto Networks, Inc.* | 8,635 | 936 | |||||||||
3,257 | |||||||||||
Construction Materials 0.6% | |||||||||||
Forterra, Inc.* | 55,684 | 1,071 | |||||||||
Headwaters, Inc.*(a) | 31,100 | 739 | |||||||||
HeidelbergCement AG (Germany)(a) | 9,958 | 922 | |||||||||
2,732 | |||||||||||
Containers & Packaging 0.1% | |||||||||||
Ball Corp.(a) | 6,841 | 526 | |||||||||
Multi Packaging Solutions International Ltd.*(a) | 6,000 | 108 | |||||||||
634 | |||||||||||
Diversified Consumer Services 0.1% | |||||||||||
Houghton Mifflin Harcourt Co.* | 32,175 | 370 | |||||||||
Nord Anglia Education, Inc. (Hong Kong)* | 1,200 | 39 | |||||||||
409 |
See Notes to Consolidated Financial Statements
8
Consolidated Schedule of Investments Neuberger Berman Absolute Return Multi-Manager Fund (Unaudited) (cont'd)
Investments | Shares | Value (000) | |||||||||
Diversified Telecommunication Services 0.2% | |||||||||||
General Communication, Inc., Class A* | 4,500 | $ | 168 | ||||||||
Level 3 Communications, Inc.*(a) | 14,352 | 872 | |||||||||
Lumos Networks Corp.* | 1,500 | 27 | |||||||||
1,067 | |||||||||||
Electric Utilities 1.0% | |||||||||||
ALLETE, Inc. | 3,490 | 244 | |||||||||
Great Plains Energy, Inc.(a) | 16,754 | 496 | |||||||||
NextEra Energy, Inc. | 18,876 | 2,521 | |||||||||
PG&E Corp. | 11,398 | 764 | |||||||||
Westar Energy, Inc.(d) | 13,003 | 677 | |||||||||
4,702 | |||||||||||
Electronic Equipment, Instruments & Components 0.3% | |||||||||||
Axis Communications AB (Sweden)(a) | 16,400 | 630 | |||||||||
FLIR Systems, Inc. | 17,211 | 632 | |||||||||
InvenSense, Inc.*(a) | 11,300 | 145 | |||||||||
1,407 | |||||||||||
Energy Equipment & Services 0.3% | |||||||||||
C&J Energy Services, Inc.*(a) | 20,651 | 603 | |||||||||
Fairmount Santrol Holdings, Inc.* | 65,202 | 336 | |||||||||
US Silica Holdings, Inc.(a) | 14,012 | 582 | |||||||||
1,521 | |||||||||||
Equity Real Estate Investment Trusts (REITs) 0.3% | |||||||||||
Colony NorthStar, Inc., Class A | 9,076 | 119 | |||||||||
FelCor Lodging Trust, Inc.(d) | 5,800 | 45 | |||||||||
New Senior Investment Group, Inc. | 18,896 | 197 | |||||||||
New York REIT, Inc.(a) | 101,763 | 971 | |||||||||
Silver Bay Realty Trust Corp.(d) | 8,000 | 171 | |||||||||
1,503 |
Investments | Shares | Value (000) | |||||||||
Food & Staples Retailing 0.5% | |||||||||||
Cia Brasileira de Distribuicao, ADR (Brazil)*(a) | 9,229 | $ | 208 | ||||||||
Magnit PJSC, GDR (Russia)(a) | 9,084 | 317 | |||||||||
Rite Aid Corp.*(d) | 211,137 | 845 | |||||||||
Wal-Mart de Mexico SAB de CV (Mexico)(a) | 111,179 | 251 | |||||||||
X5 Retail Group NV, GDR (Russia)*(a) | 22,741 | 802 | |||||||||
2,423 | |||||||||||
Food Products 1.1% | |||||||||||
AdvancePierre Foods Holdings, Inc. | 9,100 | 370 | |||||||||
Kraft Heinz Co. (The) | 13,315 | 1,204 | |||||||||
Mead Johnson Nutrition Co.(d) | 23,477 | 2,083 | |||||||||
Mondelez International, Inc., Class A(a) | 20,530 | 924 | |||||||||
Nomad Foods Ltd. (United Kingdom)*(d) | 36,229 | 427 | |||||||||
Pinnacle Foods, Inc. | 1,126 | 65 | |||||||||
5,073 | |||||||||||
Gas Utilities 0.5% | |||||||||||
Atmos Energy Corp. | 24,545 | 1,989 | |||||||||
WGL Holdings, Inc.(d) | 2,000 | 165 | |||||||||
2,154 | |||||||||||
Health Care Equipment & Supplies 2.2% | |||||||||||
ABIOMED, Inc.*(a) | 10,625 | 1,385 | |||||||||
Alere, Inc.*(a)(d) | 36,473 | 1,793 | |||||||||
CR Bard, Inc. | 3,548 | 1,091 | |||||||||
Edwards Lifesciences Corp.* | 13,250 | 1,453 | |||||||||
Nevro Corp.* | 9,329 | 879 | |||||||||
NuVasive, Inc.* | 16,998 | 1,232 | |||||||||
Smith & Nephew plc (United Kingdom)(a) | 7,345 | 121 | |||||||||
Syneron Medical Ltd. (Israel)*(d) | 2,000 | 22 | |||||||||
Wright Medical Group NV* | 26,606 | 809 | |||||||||
Zimmer Biomet Holdings, Inc.(d) | 13,140 | 1,572 | |||||||||
10,357 |
Investments | Shares | Value (000) | |||||||||
Health Care Providers & Services 1.6% | |||||||||||
Aetna, Inc.(a) | 19,750 | $ | 2,668 | ||||||||
Anthem, Inc.(a) | 2,825 | 503 | |||||||||
Brookdale Senior Living, Inc.*(d) | 63,782 | 829 | |||||||||
Cigna Corp. | 5,934 | 928 | |||||||||
Kindred Healthcare, Inc. | 2,200 | 21 | |||||||||
Shanghai Pharmaceuticals Holding Co. Ltd., Class H (China)(a) | 72,564 | 192 | |||||||||
Sinopharm Group Co. Ltd., Class H (China)(a) | 40,735 | 183 | |||||||||
Universal Health Services, Inc., Class B | 8,400 | 1,014 | |||||||||
VCA, Inc.*(d) | 16,026 | 1,467 | |||||||||
7,805 | |||||||||||
Health Care Technology 0.2% | |||||||||||
Allscripts Healthcare Solutions, Inc.* | 86,480 | 1,035 | |||||||||
Hotels, Restaurants & Leisure 1.4% | |||||||||||
Belmond Ltd., Class A (United Kingdom)*(d) | 3,000 | 37 | |||||||||
Drive Shack, Inc.(d) | 13,511 | 55 | |||||||||
Hilton Worldwide Holdings, Inc.(a) | 30,621 | 1,806 | |||||||||
Isle of Capri Casinos, Inc.*(a) | 4,900 | 113 | |||||||||
Panera Bread Co., Class A* | 3,600 | 1,126 | |||||||||
Pinnacle Entertainment, Inc.* | 30,007 | 617 | |||||||||
Playa Hotels & Resorts NV*(d) | 169,253 | 1,759 | |||||||||
Vail Resorts, Inc.(a) | 6,320 | 1,249 | |||||||||
6,762 | |||||||||||
Household Durables 0.5% | |||||||||||
Lennar Corp., Class B(d) | 25,500 | 1,087 | |||||||||
Mohawk Industries, Inc.*(d) | 5,870 | 1,378 | |||||||||
2,465 | |||||||||||
Household Products 0.0%(b) | |||||||||||
Colgate-Palmolive Co.(d) | 894 | 64 |
See Notes to Consolidated Financial Statements
9
Consolidated Schedule of Investments Neuberger Berman Absolute Return Multi-Manager Fund (Unaudited) (cont'd)
Investments | Shares | Value (000) | |||||||||
Independent Power and Renewable Electricity Producers 0.4% | |||||||||||
Atlantica Yield plc (Spain) | 7,717 | $ | 161 | ||||||||
NextEra Energy Partners LP(a) | 16,989 | 589 | |||||||||
Pattern Energy Group, Inc.(a) | 27,626 | 608 | |||||||||
TerraForm Global, Inc., Class A*(d) | 77,000 | 366 | |||||||||
1,724 | |||||||||||
Industrial Conglomerates 0.1% | |||||||||||
General Electric Co. | 2,226 | 64 | |||||||||
Smiths Group plc (United Kingdom)(a) | 9,113 | 194 | |||||||||
258 | |||||||||||
Insurance 1.5% | |||||||||||
Admiral Group plc (United Kingdom)(a) | 9,710 | 253 | |||||||||
AIA Group Ltd. (Hong Kong)(a) | 187,760 | 1,300 | |||||||||
Allied World Assurance Co. Holdings AG(a) | 25,200 | 1,338 | |||||||||
American International Group, Inc. | 16,260 | 990 | |||||||||
Aon plc | 5,400 | 647 | |||||||||
Athene Holding Ltd., Class A* | 8,500 | 453 | |||||||||
Chubb Ltd.(a) | 4,525 | 621 | |||||||||
Lincoln National Corp.(a) | 8,775 | 578 | |||||||||
RSA Insurance Group plc (United Kingdom)(a) | 69,411 | 536 | |||||||||
Syncora Holdings Ltd.*(a) | 82,749 | 203 | |||||||||
WMIH Corp.*(d) | 60,581 | 91 | |||||||||
7,010 | |||||||||||
Internet & Direct Marketing Retail 0.5% | |||||||||||
Amazon.com, Inc.*(a) | 752 | 696 | |||||||||
ASOS plc (United Kingdom)*(a) | 2,559 | 193 | |||||||||
Expedia, Inc.(a) | 5,350 | 715 | |||||||||
Priceline Group, Inc. (The)*(a) | 428 | 790 | |||||||||
2,394 |
Investments | Shares | Value (000) | |||||||||
Internet Software & Services 2.1% | |||||||||||
Alibaba Group Holding Ltd., ADR (China)*(a) | 11,027 | $ | 1,274 | ||||||||
Alphabet, Inc., Class A*(a) | 2,237 | 2,068 | |||||||||
Baidu, Inc., ADR (China)*(a) | 2,205 | 397 | |||||||||
eBay, Inc.*(a) | 12,378 | 413 | |||||||||
Facebook, Inc., Class A*(a) | 12,185 | 1,831 | |||||||||
Mail.Ru Group Ltd., GDR (Russia)*(a) | 7,718 | 203 | |||||||||
MercadoLibre, Inc. (Argentina)(a) | 2,731 | 625 | |||||||||
Pandora Media, Inc.*(d) | 12,691 | 138 | |||||||||
RetailMeNot, Inc.* | 18,500 | 215 | |||||||||
Tencent Holdings Ltd. (China)(a) | 24,746 | 774 | |||||||||
Yahoo!, Inc.*(d) | 36,790 | 1,774 | |||||||||
Yandex NV, Class A (Russia)*(a) | 7,919 | 216 | |||||||||
9,928 | |||||||||||
IT Services 1.1% | |||||||||||
DH Corp. (Canada) | 9,400 | 175 | |||||||||
Fidelity National Information Services, Inc.(a) | 4,900 | 412 | |||||||||
MoneyGram International, Inc.* | 5,200 | 92 | |||||||||
NeuStar, Inc., Class A*(a)(d) | 21,900 | 727 | |||||||||
PayPal Holdings, Inc.*(a) | 12,377 | 591 | |||||||||
Total System Services, Inc. | 45,190 | 2,590 | |||||||||
Visa, Inc., Class A(a) | 4,425 | 404 | |||||||||
4,991 | |||||||||||
Leisure Products 0.0%(b) | |||||||||||
Acushnet Holdings Corp.(d) | 3,738 | 68 | |||||||||
Life Sciences Tools & Services 1.6% | |||||||||||
Bio-Rad Laboratories, Inc., Class A*(a) | 9,505 | 2,075 | |||||||||
Gerresheimer AG (Germany)(a) | 14,040 | 1,101 | |||||||||
Illumina, Inc.* | 4,686 | 866 |
Investments | Shares | Value (000) | |||||||||
INC Research Holdings, Inc., Class A* | 26,221 | $ | 1,180 | ||||||||
PRA Health Sciences, Inc.*(a) | 19,134 | 1,224 | |||||||||
QIAGEN NV* | 40,669 | 1,224 | |||||||||
7,670 | |||||||||||
Machinery 1.0% | |||||||||||
Dover Corp.(a) | 24,555 | 1,937 | |||||||||
EnPro Industries, Inc.(a) | 21,588 | 1,525 | |||||||||
Pentair plc (United Kingdom)(a) | 20,625 | 1,331 | |||||||||
4,793 | |||||||||||
Media 3.1% | |||||||||||
CBS Corp. (Non-Voting), Class B(a) | 20,612 | 1,372 | |||||||||
Charter Communications, Inc.*(a) | 1,225 | 423 | |||||||||
Comcast Corp., Class A(a) | 8,425 | 330 | |||||||||
DISH Network Corp., Class A* | 21,429 | 1,381 | |||||||||
Global Eagle Entertainment, Inc.* | 45,873 | 142 | |||||||||
Gray Television, Inc.*(a) | 85,499 | 1,253 | |||||||||
ITV plc (United Kingdom)(a) | 369,442 | 1,005 | |||||||||
Liberty Global plc, Class C (United Kingdom)*(a) | 11,454 | 396 | |||||||||
Liberty Global plc LiLAC, Class C (United Kingdom)*(a) | 1,668 | 36 | |||||||||
Liberty Media Corp.-Liberty SiriusXM*(d) | 3,348 | 127 | |||||||||
Loral Space & Communications, Inc.*(d) | 31,835 | 1,221 | |||||||||
Nexstar Media Group, Inc.(a) | 13,792 | 952 | |||||||||
Sinclair Broadcast Group, Inc., Class A | 23,555 | 929 | |||||||||
Sirius XM Canada Holdings, Inc. (Canada)(a) | 43,400 | 178 |
See Notes to Consolidated Financial Statements
10
Consolidated Schedule of Investments Neuberger Berman Absolute Return Multi-Manager Fund (Unaudited) (cont'd)
Investments | Shares | Value (000) | |||||||||
Stroeer SE & Co. KGaA (Germany)(a) | 47,839 | $ | 2,767 | ||||||||
Time Warner, Inc.(d) | 20,362 | 2,021 | |||||||||
Time, Inc. | 581 | 9 | |||||||||
Tribune Co. Litigation, Class 1C*(c) | 300,000 | 1 | |||||||||
Twenty-First Century Fox, Inc., Class B(d) | 11,700 | 349 | |||||||||
14,892 | |||||||||||
Metals & Mining 0.3% | |||||||||||
Constellium NV, Class A (Netherlands)* | 130,018 | 903 | |||||||||
Dominion Diamond Corp. (Canada)(d) | 27,868 | 339 | |||||||||
Stillwater Mining Co.*(d) | 7,500 | 135 | |||||||||
1,377 | |||||||||||
Multiline Retail 0.3% | |||||||||||
Dollar Tree, Inc.* | 16,620 | 1,376 | |||||||||
Multi-Utilities 0.6% | |||||||||||
Avista Corp.(a) | 6,242 | 252 | |||||||||
Black Hills Corp.(a) | 23,547 | 1,602 | |||||||||
CMS Energy Corp. | 3,662 | 166 | |||||||||
Sempra Energy | 6,747 | 762 | |||||||||
2,782 | |||||||||||
Oil, Gas & Consumable Fuels 1.5% | |||||||||||
Cheniere Energy, Inc.*(a) | 22,672 | 1,028 | |||||||||
Devon Energy Corp.(a) | 5,400 | 213 | |||||||||
EOG Resources, Inc. | 3,100 | 287 | |||||||||
Golar LNG Ltd.(a) | 20,787 | 530 | |||||||||
InterOil Corp. (Singapore)*(c)(e) | 11,200 | 47 | |||||||||
Kinder Morgan, Inc. | 46,074 | 951 | |||||||||
Midstates Petroleum Co., Inc.*(a) | 75,763 | 1,406 | |||||||||
Pioneer Natural Resources Co.(a) | 1,300 | 225 | |||||||||
SemGroup Corp., Class A(a) | 10,070 | 335 | |||||||||
Targa Resources Corp.(a) | 20,342 | 1,122 | |||||||||
TransCanada Corp. (Canada)(a) | 14,666 | 681 |
Investments | Shares | Value (000) | |||||||||
Williams Cos., Inc. (The) | 6,343 | $ | 194 | ||||||||
7,019 | |||||||||||
Pharmaceuticals 1.5% | |||||||||||
Akorn, Inc.* | 10,000 | 335 | |||||||||
Allergan plc(d) | 7,571 | 1,846 | |||||||||
Aralez Pharmaceuticals, Inc. (Canada)* | 345 | 1 | |||||||||
Bristol-Myers Squibb Co.(a) | 25,358 | 1,421 | |||||||||
Depomed, Inc.*(d) | 7,039 | 84 | |||||||||
Dermira, Inc.* | 27,796 | 947 | |||||||||
Dr Reddy's Laboratories Ltd., ADR (India)(a) | 7,332 | 300 | |||||||||
Hikma Pharmaceuticals plc (Jordan)(a) | 17,797 | 446 | |||||||||
Nektar Therapeutics* | 35,378 | 671 | |||||||||
Perrigo Co. plc | 10,013 | 740 | |||||||||
Teva Pharmaceutical Industries Ltd., ADR (Israel)(a) | 4,006 | 127 | |||||||||
6,918 | |||||||||||
Professional Services 0.4% | |||||||||||
Dun & Bradstreet Corp. (The)(a) | 16,600 | 1,820 | |||||||||
Intertrust NV (Netherlands)(a)(g) | 1,072 | 21 | |||||||||
1,841 | |||||||||||
Road & Rail 1.1% | |||||||||||
CSX Corp.(a) | 61,745 | 3,139 | |||||||||
Norfolk Southern Corp.(a) | 16,425 | 1,930 | |||||||||
5,069 | |||||||||||
Semiconductors & Semiconductor Equipment 2.4% | |||||||||||
Broadcom Ltd.(a) | 7,856 | 1,735 | |||||||||
Exar Corp.* | 20,100 | 262 | |||||||||
Lattice Semiconductor Corp.*(a) | 21,700 | 149 | |||||||||
Microchip Technology, Inc.(a) | 34,935 | 2,640 | |||||||||
NXP Semiconductors NV (Netherlands)* | 59,644 | 6,307 | |||||||||
Xcerra Corp.*(d) | 8,300 | 81 | |||||||||
11,174 |
Investments | Shares | Value (000) | |||||||||
Software 0.9% | |||||||||||
Activision Blizzard, Inc.(a) | 4,200 | $ | 219 | ||||||||
Dell Technologies, Inc., Class V*(d) | 2,814 | 189 | |||||||||
Mobileye NV*(d) | 29,762 | 1,843 | |||||||||
PTC, Inc.* | 19,805 | 1,070 | |||||||||
salesforce.com, Inc.*(a)(d) | 4,550 | 392 | |||||||||
Symantec Corp.(a) | 14,025 | 444 | |||||||||
4,157 | |||||||||||
Specialty Retail 1.5% | |||||||||||
AutoZone, Inc.*(a) | 3,593 | 2,487 | |||||||||
Cabela's, Inc.* | 19,400 | 1,059 | |||||||||
CST Brands, Inc.(a) | 26,500 | 1,280 | |||||||||
Hennes & Mauritz AB, Class B (Sweden)(a) | 28,584 | 708 | |||||||||
Pets at Home Group plc (United Kingdom)(a) | 18,604 | 45 | |||||||||
Sports Direct International plc (United Kingdom)*(a) | 426,928 | 1,696 | |||||||||
7,275 | |||||||||||
Technology Hardware, Storage & Peripherals 0.8% | |||||||||||
Apple, Inc.(a) | 8,389 | 1,205 | |||||||||
Hewlett Packard Enterprise Co.(d) | 80,520 | 1,500 | |||||||||
Samsung Electronics Co. Ltd., GDR (South Korea)(a) | 869 | 853 | |||||||||
Western Digital Corp.(a) | 4,225 | 376 | |||||||||
3,934 | |||||||||||
Textiles, Apparel & Luxury Goods 1.3% | |||||||||||
Burberry Group plc (United Kingdom)(a) | 4,013 | 84 | |||||||||
Coach, Inc.(a) | 17,472 | 688 | |||||||||
Deckers Outdoor Corp.*(a) | 33,735 | 2,010 | |||||||||
Kate Spade & Co.* | 3,804 | 66 | |||||||||
Michael Kors Holdings Ltd.*(a) | 10,776 | 402 | |||||||||
NIKE, Inc., Class B(a) | 14,996 | 831 |
See Notes to Consolidated Financial Statements
11
Consolidated Schedule of Investments Neuberger Berman Absolute Return Multi-Manager Fund (Unaudited) (cont'd)
Investments | Shares | Value (000) | |||||||||
PVH Corp.(a) | 19,730 | $ | 1,994 | ||||||||
6,075 | |||||||||||
Thrifts & Mortgage Finance 0.1% | |||||||||||
Astoria Financial Corp.(d) | 2,835 | 58 | |||||||||
EverBank Financial Corp. | 23,056 | 450 | |||||||||
Ocwen Financial Corp.* | 89,574 | 205 | |||||||||
713 | |||||||||||
Tobacco 0.3% | |||||||||||
Altria Group, Inc.(a) | 3,125 | 224 | |||||||||
Reynolds American, Inc.(d) | 20,495 | 1,322 | |||||||||
1,546 | |||||||||||
Trading Companies & Distributors 0.4% | |||||||||||
Brenntag AG (Germany)(a) | 33,588 | 1,992 | |||||||||
Transportation Infrastructure 0.5% | |||||||||||
Macquarie Infrastructure Corp.(a) | 26,361 | 2,145 | |||||||||
Water Utilities 0.3% | |||||||||||
American Water Works Co., Inc. | 11,210 | 894 | |||||||||
Aqua America, Inc.(a) | 9,183 | 304 | |||||||||
1,198 | |||||||||||
Wireless Telecommunication Services 0.1% | |||||||||||
T-Mobile US, Inc.*(a) | 6,175 | 415 | |||||||||
Total Common Stocks (Cost $199,320) | 208,849 | ||||||||||
Principal Amount | |||||||||||
Corporate Bonds 8.2% | |||||||||||
Banks 2.2% | |||||||||||
Emigrant Capital Trust V 2.70%, 7/1/2037(c)(e)(g)(h) | $ | 10,000,000 | 6,250 | ||||||||
First National of Colorado Statutory Trust 5.91%, 9/15/2037(c)(e)(h) | 5,000,000 | 3,350 |
Investments | Principal Amount | Value (000) | |||||||||
Hongkong & Shanghai Banking Corp. Ltd. (The) (Hong Kong) Series 3H, 1.38%, 7/27/2017(h)(i) | $ | 450,000 | $ | 362 | |||||||
HSBC Bank plc (United Kingdom) Series 2M, 1.69%, 9/29/2017(h)(i) | 130,000 | 105 | |||||||||
Royal Bank of Scotland Group plc (United Kingdom) Series U, 7.64%, 9/30/2017(h)(i) | 500,000 | 468 | |||||||||
10,535 | |||||||||||
Beverages 0.2% | |||||||||||
CEDC Finance Corp. International, Inc. (Poland) 10.00%, 12/31/2022(g) | 874,671 | 837 | |||||||||
Capital Markets 2.0% | |||||||||||
Sterling Capital Corp. 2.25%, 10/1/2037(c)(e)(h) | 14,000,000 | 9,590 | |||||||||
Chemicals 0.0% | |||||||||||
Momentive Performance Materials, Inc. Escrow 10.00%, 10/15/2020(c)(e)(j) | 613,000 | — | |||||||||
Commercial Services & Supplies 0.7% | |||||||||||
Corporate Risk Holdings LLC 9.50%, 7/1/2019(g) | 3,108,000 | 3,310 | |||||||||
Communications Equipment 0.2% | |||||||||||
Gogo Intermediate Holdings LLC 12.50%, 7/1/2022(g) | 688,000 | 788 | |||||||||
Diversified Financial Services 0.1% | |||||||||||
ASP AMC Merger Sub, Inc. 8.00%, 5/15/2025(g) | 608,000 | 603 | |||||||||
Tempo Acquisition LLC 6.75%, 6/1/2025(g) | 61,000 | 63 | |||||||||
666 |
Investments | Principal Amount | Value (000) | |||||||||
Energy Equipment & Services 0.2% | |||||||||||
FTS International, Inc. 8.63%, 6/15/2020(g)(h) | $229,000 | $ | 231 | ||||||||
6.25%, 5/1/2022 | 575,000 | 498 | |||||||||
729 | |||||||||||
Hotels, Restaurants & Leisure 0.4% | |||||||||||
Caesars Entertainment Operating Co., Inc. 9.13%, 2/15/2020(j) | 1,445,829 | 1,768 | |||||||||
Sugarhouse HSP Gaming Prop Mezz LP 5.88%, 5/15/2025(c)(g) | 122,000 | 122 | |||||||||
1,890 | |||||||||||
Independent Power and Renewable Electricity Producers 0.3% | |||||||||||
GenOn Energy, Inc. 9.50%, 10/15/2018 | 650,000 | 406 | |||||||||
9.88%, 10/15/2020 | 1,453,000 | 901 | |||||||||
1,307 | |||||||||||
Insurance 0.2% | |||||||||||
Ambac Assurance Corp. 5.10%, 6/7/2020(g) | 784,981 | 956 | |||||||||
Internet & Direct Marketing Retail 0.2% | |||||||||||
Netflix, Inc. 4.38%, 11/15/2026(g) | 1,127,000 | 1,110 | |||||||||
Media 0.6% | |||||||||||
Cenveo Corp. 6.00%, 8/1/2019(a)(g) | 3,050,000 | 2,486 | |||||||||
LBI Media, Inc. 10.00%, 4/15/2019(g) | 363,000 | 360 | |||||||||
2,846 | |||||||||||
Oil, Gas & Consumable Fuels 0.4% | |||||||||||
Cobalt International Energy, Inc. 10.75%, 12/1/2021(d)(g) | 1,664,000 | 1,643 | |||||||||
7.75%, 12/1/2023(g) | 576,000 | 354 |
See Notes to Consolidated Financial Statements
12
Consolidated Schedule of Investments Neuberger Berman Absolute Return Multi-Manager Fund (Unaudited) (cont'd)
Investments | Principal Amount | Value (000) | |||||||||
Midstates Petroleum Co., Inc. Escrow 10.00%, 6/1/2020(c)(e)(j) | $ | 1,848,000 | $ | — | |||||||
1,997 | |||||||||||
Pharmaceuticals 0.3% | |||||||||||
Endo Ltd. 6.00%, 2/1/2025(g) | 1,516,000 | 1,280 | |||||||||
Technology Hardware, Storage & Peripherals 0.2% | |||||||||||
Everi Payments, Inc. 10.00%, 1/15/2022 | 1,082,000 | 1,162 | |||||||||
Total Corporate Bonds (Cost $40,063) | 39,003 | ||||||||||
Commercial Mortgage-Backed Securities 7.7% | |||||||||||
BAMLL Commercial Mortgage Securities Trust Series 2016-ASMZ, Class MZA, 10.24%, 12/15/2017(c)(g)(h) | 5,000,000 | 5,007 | |||||||||
Class F, 4.49%, 9/15/2026(a)(g)(h) Series 2013-DSNY, | 4,600,000 | 4,590 | |||||||||
Class E, 3.94%, 6/15/2028(a)(g)(h) Series 2014-ICTS, | 3,450,000 | 3,368 | |||||||||
CDGJ Commercial Mortgage Trust Series 2014-BXCH, Class EPA, 5.24%, 12/15/2027(g)(h) | 1,778,391 | 1,790 | |||||||||
COMM Mortgage Trust Series 2014-PAT, Class E, 4.14%, 8/13/2027(a)(g)(h) | 4,800,000 | 4,821 | |||||||||
CSMC Trust Series 2015-DEAL, Class E, 4.99%, 4/15/2029(g)(h) | 1,000,000 | 1,006 | |||||||||
Class D, 4.09%, 4/15/2029(g)(h) Series 2015-DEAL, | 1,661,000 | 1,667 |
Investments | Principal Amount | Value (000) | |||||||||
EQTY Mortgage Trust Series 2014-INNS, Class E, 4.44%, 5/8/2031(g)(h) | $ | 1,000,000 | $ | 1,002 | |||||||
GS Mortgage Securities Trust Series 2013-GC12, Class D, 4.58%, 6/10/2046(g)(h) | 2,000,000 | 1,770 | |||||||||
JP Morgan Chase Commercial Mortgage Securities Trust Series 2014-PHH, Class E, 4.29%, 8/15/2027(g)(h) | 1,910,000 | 1,906 | |||||||||
Class E, 4.59%, 6/15/2029(g)(h) Series 2014-INN, | 3,000,000 | 3,000 | |||||||||
Class E, 4.84%, 10/15/2029(g)(h) Series 2014-CBM, | 1,700,000 | 1,710 | |||||||||
Class D, 4.29%, 12/15/2047(h) Series 2013-C10, | 1,000,000 | 907 | |||||||||
Lone Star Portfolio Trust Series 2015-LSP, Class E, 6.59%, 9/15/2028(g)(h) | 1,109,189 | 1,130 | |||||||||
Palisades Center Trust Series 2016-PLSD, Class D, 4.74%, 4/13/2033(g) | 1,000,000 | 998 | |||||||||
Wells Fargo Commercial Mortgage Trust Series 2014-TISH, Class WTS2, 4.24%, 2/15/2027(g)(h) | 1,700,000 | 1,726 | |||||||||
Total Commercial Mortgage-Backed Securities (Cost $36,336) | 36,398 | ||||||||||
Loan Assignments 7.5%(h) | |||||||||||
Auto Components 0.1% | |||||||||||
Innovative Xcessories & Services LLC, Term Loan B 5.75%, 11/29/2022 | 524,000 | 528 |
Investments | Principal Amount | Value (000) | |||||||||
Commercial Services & Supplies 0.1% | |||||||||||
Harland Clarke Holdings Corp., Term Loan, 2/3/2022(k) | $ | 72,000 | $ | 72 | |||||||
Lonestar Intermediate Super Holdings LLC, Term Loan 10.00%, 8/10/2021 | 249,000 | 259 | |||||||||
331 | |||||||||||
Containers & Packaging 0.1% | |||||||||||
Industrial Container Services LLC, Term Loan, 4.00%, 4/28/2024 | 360,000 | 359 | |||||||||
Diversified Consumer Services 0.7% | |||||||||||
Affinion Group, Inc., Tranche B Term Loan 6.75%, 4/30/2018 | 3,174,995 | 3,166 | |||||||||
Laureate Education, Inc., Term Loan B 5.50%, 4/21/2024 | 137,000 | 137 | |||||||||
3,303 | |||||||||||
Diversified Telecommunication Services 0.1% | |||||||||||
Securus Holdings, Inc., Term Loan 9.00%, 4/30/2021 | 382,000 | 381 | |||||||||
US TelePacific Corp., Term Loan 6.00%, 4/13/2023 | 101,000 | 100 | |||||||||
481 | |||||||||||
Energy Equipment & Services 0.2% | |||||||||||
CGG Holding US, Inc., Term Loan (France) 6.65%, 5/15/2019 | 712,615 | 683 | |||||||||
Pacific Drilling SA, Term Loan 4.63%, 6/3/2018(k) | 231,584 | 107 | |||||||||
Vertiv Co., Term Loan B 5.03%, 11/30/2023 | 297,440 | 299 | |||||||||
1,089 |
See Notes to Consolidated Financial Statements
13
Consolidated Schedule of Investments Neuberger Berman Absolute Return Multi-Manager Fund (Unaudited) (cont'd)
Investments | Principal Amount | Value (000) | |||||||||
Food Products 0.0%(b) | |||||||||||
Del Monte Foods, Inc., 1st Lien Term Loan 4.31%, 2/18/2021 | $ | 82,573 | $ | 69 | |||||||
Health Care Equipment & Supplies 0.0%(b) | |||||||||||
Tecomet, Inc., Term Loan B 4/18/2024(k) | 82,000 | 82 | |||||||||
Health Care Providers & Services 1.2% | |||||||||||
21st Century Oncology, Inc., Term Loan 7.28%, 4/30/2022 | 3,315,638 | 2,994 | |||||||||
FHC Health Systems, Inc., Term Loan 5.00%, 9/30/2021 | 591,278 | 553 | |||||||||
Highland Acquisition Holdings LLC, Term Loan B 6.50%, 11/30/2022(k) | 1,069,463 | 1,059 | |||||||||
Quorum Health Corp., Term Loan 7.75%, 4/29/2022 | 1,087,750 | 1,085 | |||||||||
5,691 | |||||||||||
Household Durables 0.1% | |||||||||||
NBG Home, Term Loan B 4/13/2024(k) | 250,000 | 249 | |||||||||
Independent Power and Renewable Electricity Producers 0.4% | |||||||||||
Nautilus Power LLC, Term Loan B 4/28/2024(k) | 180,000 | 179 | |||||||||
Star West Generation LLC, Term Loan B 5.90%, 3/13/2020 | 1,929,231 | 1,741 | |||||||||
1,920 | |||||||||||
Insurance 1.2% | |||||||||||
Asurion LLC, 2nd Lien Term Loan 8.50%, 3/3/2021 | 1,509,000 | 1,531 | |||||||||
Confie Seguros Holding II Co., 2nd Lien Term Loan 10.25%, 5/8/2019 | 1,275,000 | 1,267 |
Investments | Principal Amount | Value (000) | |||||||||
Confie Seguros Holding II Co., Term Loan B 5.75%, 4/19/2022 | $ | 868,823 | $ | 868 | |||||||
Cunningham Lindsey US, Inc., 1st Lien Term Loan 5.03%, 12/10/2019 | 2,420,506 | 2,172 | |||||||||
5,838 | |||||||||||
Internet Software & Services 0.1% | |||||||||||
TierPoint LLC, 1st Lien Term Loan, 3.75%, 4/28/2024 | 479,000 | 481 | |||||||||
IT Services 0.1% | |||||||||||
Global Cash Access (BVI), Inc., 1st Lien Term Loan B 6.30%, 12/18/2020 | 240,314 | 241 | |||||||||
Media 0.1% | |||||||||||
Global Eagle Entertainment, Inc., Term Loan 7.32%, 1/6/2023 | 706,000 | 649 | |||||||||
Oil, Gas & Consumable Fuels 0.1% | |||||||||||
Gulf Finance LLC, Term Loan B 6.25%, 8/25/2023 | 326,360 | 326 | |||||||||
Pharmaceuticals 0.3% | |||||||||||
Valeant Pharmaceuticals International, Inc., 1st Lien Term Loan BF1 5.74%, 4/1/2022(k) | 1,519,742 | 1,528 | |||||||||
Professional Services 1.0% | |||||||||||
Duff & Phelps Corp., 2nd Lien Term Loan 9.65%, 8/19/2021 | 2,009,250 | 2,014 | |||||||||
Emerald 2 Ltd., Term Loan B1 5.15%, 5/14/2021 | 2,881,000 | 2,708 | |||||||||
4,722 |
Investments | Principal Amount | Value (000) | |||||||||
Real Estate Management & Development 0.0%(b) | |||||||||||
Lightstone Holdco LLC, Term Loan B 5.50%, 1/30/2024 | $ | 200,151 | $ | 201 | |||||||
Lightstone Holdco LLC, Term Loan C 5.50%, 1/30/2024 | 12,348 | 12 | |||||||||
213 | |||||||||||
Semiconductors & Semiconductor Equipment 1.0% | |||||||||||
MaxLinear, Inc., Term Loan B 4/13/2024(k) | 73,000 | 73 | |||||||||
SunEdison, Inc., 1st Lien Term Loan B 12.00%, 4/26/2017 | 1,002,091 | 1,005 | |||||||||
SunEdison, Inc., 2nd Lien Term Loan A2 12.75%, 7/2/2018(j) | 1,852,000 | 259 | |||||||||
SunEdison, Inc., DIP Term Loan 5/26/2017(e)(k) | 2,725,000 | 2,725 | |||||||||
SunEdison, Inc., Initial Tranche Term Loan A 12.00%, 5/26/2017 | 662,396 | 664 | |||||||||
4,726 | |||||||||||
Software 0.3% | |||||||||||
Aptean, Inc., 1st Lien Term Loan 6.04%, 12/20/2022 | 265,000 | 269 | |||||||||
Information Resources, Inc., 1st Lien Term Loan B 5.25%, 1/18/2024 | 325,000 | 328 | |||||||||
Micro Focus US, Inc., 1st Lien Term Loan B3 4/19/2024(k) | 220,000 | 221 | |||||||||
Misys Ltd., 1st Lien Term Loan B 5/3/2024(k) | 479,000 | 482 | |||||||||
Misys Ltd., 2nd Lien Term Loan 5/3/2025(k) | 144,000 | 147 |
See Notes to Consolidated Financial Statements
14
Consolidated Schedule of Investments Neuberger Berman Absolute Return Multi-Manager Fund (Unaudited) (cont'd)
Investments | Principal Amount | Value (000) | |||||||||
Qlik Technologies, Inc., Term Loan 4/19/2024(k) | $ | 72,000 | $ | 72 | |||||||
1,519 | |||||||||||
Specialty Retail 0.0%(b) | |||||||||||
A2Z Wireless Holdings, Inc., Term Loan 4/21/2023(k) | 151,000 | 151 | |||||||||
Technology Hardware, Storage & Peripherals 0.1% | |||||||||||
Eastman Kodak Co., Term Loan 1 7.42%, 9/3/2019 | 330,554 | 331 | |||||||||
Thrifts & Mortgage Finance 0.2% | |||||||||||
Walter Investment Management Corp., Tranche B Term Loan 4.75%, 12/18/2020(k) | 1,000,000 | 901 | |||||||||
Total Loan Assignments (Cost $37,221) | 35,728 | ||||||||||
Asset-Backed Securities 5.9% | |||||||||||
Allegro CLO I Ltd. Series 2013-1A, Class C, 4.48%, 1/30/2026(g)(h) | 1,000,000 | 1,000 | |||||||||
Babson CLO Ltd. Series 2013-IA, Class D, 4.66%, 4/20/2025(g)(h) | 1,450,000 | 1,453 | |||||||||
Series 2015-2A, Class E, 6.71%, 7/20/2027(g)(h) | 1,000,000 | 985 | |||||||||
Catamaran CLO Ltd. Series 2012-1A, Class E, 6.77%, 12/20/2023(g)(h) | 1,000,000 | 993 | |||||||||
Series 2013-1A, Class D, 4.92%, 1/27/2025(g)(h) | 1,000,000 | 1,005 | |||||||||
Series 2015-1A, Class E, 6.30%, 4/22/2027(g)(h) | 800,000 | 750 | |||||||||
Series 2015-1A, Class D, 4.80%, 4/22/2027(g)(h) | 1,000,000 | 993 |
Investments | Principal Amount | Value (000) | |||||||||
CIFC Funding Ltd. Series 2016-1A, Class D, 5.16%, 10/21/2028(g)(h) | $ | 1,000,000 | $ | 1,011 | |||||||
Covenant Credit Partners CLO II Ltd. Series 2014-2A, Class D, 4.81%, 10/17/2026(g)(h) | 2,000,000 | 1,988 | |||||||||
CWABS Asset-Backed Certificates Trust Series 2005-7, Class AF4, 4.87%, 10/25/2035(h) | 230,480 | 234 | |||||||||
Denali Capital CLO X Ltd. Series 2013-1A, Class B2L, 5.92%, 4/28/2025(g)(h) | 1,000,000 | 981 | |||||||||
DT Auto Owner Trust Series 2015-1A, Class D, 4.26%, 2/15/2022(g) | 1,500,000 | 1,531 | |||||||||
Golub Capital Partners CLO 22B Ltd. Series 2015-22A, Class C, 5.20%, 2/20/2027(g)(h) | 900,000 | 901 | |||||||||
Halcyon Loan Advisors Funding Ltd. Series 2012-2A, Class E, 6.55%, 12/20/2024(g)(h) | 300,000 | 283 | |||||||||
JP Morgan Mortgage Acquisition Trust Series 2007-CH1, Class AF6, 4.98%, 11/25/2036(l) | 277,176 | 277 | |||||||||
KKR CLO Trust Series 2012-1A, Class C, 5.63%, 12/15/2024(g)(h) | 600,000 | 602 | |||||||||
Madison Park Funding XIV Ltd. Series 2014-14A, Class DR, 4.41%, 7/20/2026(g)(h) | 1,000,000 | 1,000 |
Investments | Principal Amount | Value (000) | |||||||||
Nomad CLO Ltd. Series 2013-1A, Class D, 5.91%, 1/15/2025(g)(h) | $ | 1,400,000 | $ | 1,393 | |||||||
Ocean Trails CLO V Series 2014-5A, Class E, 6.51%, 10/13/2026(g)(h) | 1,000,000 | 975 | |||||||||
Series 2014-5A, Class DR, 4.76%, 10/13/2026(g)(h) | 3,050,000 | 3,050 | |||||||||
Octagon Investment Partners XX Ltd. Series 2014-1A, Class E, 6.28%, 8/12/2026(g)(h) | 250,000 | 237 | |||||||||
Octagon Investment Partners XXII Ltd. Series 2014-1A, Class E1, 6.40%, 11/25/2025(g)(h) | 600,000 | 585 | |||||||||
OFSI Fund V Ltd. Series 2013-5A, Class B2L, 6.41%, 4/17/2025(g)(h) | 1,000,000 | 1,002 | |||||||||
OHA Loan Funding Ltd. Series 2012-1A, Class DR, 5.30%, 1/23/2027(g)(h) | 1,000,000 | 1,010 | |||||||||
OZLM XI Ltd. Series 2015-11A, Class D, 6.44%, 1/30/2027(g)(h) | 1,200,000 | 1,170 | |||||||||
OZLM XII Ltd. Series 2015-12A, Class C, 4.74%, 4/30/2027(g)(h) | 1,000,000 | 1,003 | |||||||||
Sound Harbor Loan Fund Ltd. Series 2014-1A, Class CR, 5.07%, 10/30/2026(g)(h) | 1,000,000 | 1,000 | |||||||||
Sound Point CLO I Ltd. Series 2012-1A, Class E, 7.16%, 10/20/2023(g)(h) | 300,000 | 300 | |||||||||
Total Asset-Backed Securities (Cost $27,102) | 27,712 |
See Notes to Consolidated Financial Statements
15
Consolidated Schedule of Investments Neuberger Berman Absolute Return Multi-Manager Fund (Unaudited) (cont'd)
Investments | Shares | Value (000) | |||||||||
Master Limited Partnerships 2.9% | |||||||||||
Energy Equipment & Services 0.1% | |||||||||||
USA Compression Partners LP(a) | 24,874 | $ | 417 | ||||||||
Oil, Gas & Consumable Fuels 2.8% | |||||||||||
Antero Midstream Partners LP | 26,874 | 914 | |||||||||
Boardwalk Pipeline Partners LP | 51,445 | 933 | |||||||||
Calumet Specialty Products Partners LP*(a) | 48,699 | 175 | |||||||||
Enable Midstream Partners LP(a) | 18,622 | 304 | |||||||||
Enbridge Energy Partners LP(a) | 9,864 | 191 | |||||||||
Energy Transfer Equity LP | 34,654 | 647 | |||||||||
EnLink Midstream Partners LP(a) | 16,193 | 287 | |||||||||
Enterprise Products Partners LP(a) | 35,415 | 968 | |||||||||
EQT Midstream Partners LP | 1,833 | 143 | |||||||||
MPLX LP(a) | 13,176 | 464 | |||||||||
NGL Energy Partners LP | 31,561 | 505 | |||||||||
Noble Midstream Partners LP(a) | 3,206 | 161 | |||||||||
NuStar GP Holdings LLC | 10,928 | 300 | |||||||||
ONEOK Partners LP | 9,984 | 514 | |||||||||
PennTex Midstream Partners LP | 17,724 | 296 | |||||||||
Plains All American Pipeline LP(a) | 32,669 | 956 | |||||||||
Rice Midstream Partners LP(a) | 19,271 | 486 | |||||||||
Shell Midstream Partners LP | 28,259 | 905 | |||||||||
Summit Midstream Partners LP(a) | 27,386 | 645 | |||||||||
Sunoco Logistics Partners LP | 29,924 | 716 | |||||||||
Valero Energy Partners LP | 10,092 | 479 | |||||||||
Western Gas Equity Partners LP(d) | 17,650 | 808 |
Investments | Shares | Value (000) | |||||||||
Western Gas Partners LP | 5,665 | $ | 333 | ||||||||
Western Refining Logistics LP | 36,162 | 918 | |||||||||
Williams Partners LP(a) | 11,227 | 460 | |||||||||
13,508 | |||||||||||
Total Master Limited Partnerships (Cost $13,159) | 13,925 | ||||||||||
Principal Amount | |||||||||||
Collateralized Mortgage Obligations 1.7% | |||||||||||
Alternative Loan Trust Series 2005-21CB, Class A17, 6.00%, 6/25/2035 | $ | 1,205,074 | 1,196 | ||||||||
Chase Mortgage Finance Trust Series 2007-A2, Class 3A2, 3.38%, 7/25/2037(h) | 324,065 | 310 | |||||||||
Citicorp Mortgage Securities Trust Series 2006-3, Class 1A10, 6.25%, 6/25/2036 | 1,944,901 | 1,937 | |||||||||
FNMA Series 2016-C05, Class 2M2, 5.44%, 1/25/2029(h) | 1,000,000 | 1,091 | |||||||||
Series 2016-C06, Class 1M2, 5.24%, 4/25/2029(h) | 1,000,000 | 1,087 | |||||||||
MASTR Alternative Loan Trust Series 2004-10, Class 4A1, 6.00%, 9/25/2019 | 63,429 | 65 | |||||||||
Oaktown Re Ltd. Series 2017-1A, Class M2, 0.00%, 4/25/2027(e)(g) | 1,000,000 | 1,000 | |||||||||
WaMu Mortgage Pass-Through Certificates Trust Series 2004-S1, Class 1A11, 5.50%, 3/25/2034 | 124,352 | 129 |
Investments | Principal Amount | Value (000) | |||||||||
Washington Mutual Mortgage Pass-Through Certificates WMALT Trust Series 2005-1, Class 1A1, 5.50%, 3/25/2035 | $ | 551,686 | $ | 560 | |||||||
Wells Fargo Mortgage Backed Securities Trust Series 2007-14, Class 1A1, 6.00%, 10/25/2037(a) | 509,207 | 500 | |||||||||
Total Collateralized Mortgage Obligations (Cost $7,922) | 7,875 | ||||||||||
Convertible Bonds 0.9% | |||||||||||
Capital Markets 0.0%(b) | |||||||||||
Walter Investment Management Corp. 4.50%, 11/1/2019 | 295,000 | 95 | |||||||||
Diversified Consumer Services 0.3% | |||||||||||
Ascent Capital Group, Inc. 4.00%, 7/15/2020 | 1,497,000 | 1,137 | |||||||||
Energy Equipment & Services 0.0%(b) | |||||||||||
Hornbeck Offshore Services, Inc. 1.50%, 9/1/2019 | 173,000 | 115 | |||||||||
Internet Software & Services 0.1% | |||||||||||
Twitter, Inc. 0.25%, 9/15/2019 | 678,000 | 642 | |||||||||
Media 0.2% | |||||||||||
DISH Network Corp. 3.38%, 8/15/2026(g) | 900,000 | 1,101 | |||||||||
Oil, Gas & Consumable Fuels 0.1% | |||||||||||
Cobalt International Energy, Inc. 3.13%, 5/15/2024 | 859,000 | 247 |
See Notes to Consolidated Financial Statements
16
Consolidated Schedule of Investments Neuberger Berman Absolute Return Multi-Manager Fund (Unaudited) (cont'd)
Investments | Principal Amount | Value (000) | |||||||||
Semiconductors & Semiconductor Equipment 0.2% | |||||||||||
SunEdison, Inc. 5.00%, 7/2/2018(e)(g)(j) | $ | 2,809,000 | $ | 730 | |||||||
Total Convertible Bonds (Cost $5,264) | 4,067 | ||||||||||
No. of Rights | |||||||||||
Rights 0.6% | |||||||||||
Biotechnology 0.1% | |||||||||||
Ambit Biosciences Corp. (Daiichi Sankyo Co. Ltd.) CVR*(c)(e) | 70,000 | 42 | |||||||||
Chelsea Therapeutics, Inc. (H Lundbeck A/S) CVR (Denmark)*(c)(e) | 3,500 | — | (m) | ||||||||
Durata Therapeutics, Inc. (Actavis plc) CVR*(c)(e) | 40,000 | — | |||||||||
Dyax Corp. CVR*(c) | 40,350 | 51 | |||||||||
Tobira Therapeutics, Inc.*(c)(e) | 6,900 | 95 | |||||||||
188 | |||||||||||
Food & Staples Retailing 0.0%(b) | |||||||||||
Safeway, Inc. (Casa Ley) CVR*(c) | 112,000 | 28 | |||||||||
Safeway, Inc. (Property Development Centers) CVR*(c) | 112,000 | 2 | |||||||||
30 | |||||||||||
Health Care Providers & Services 0.0%(b) | |||||||||||
Community Health Systems, Inc.* | 19,082 | — | (m) | ||||||||
Media 0.0%(b) | |||||||||||
Media General, Inc. CVR*(c)(e) | 76,116 | 122 | |||||||||
Pharmaceuticals 0.0% | |||||||||||
Omthera Pharmaceuticals, Inc. (AstraZeneca plc) CVR (United Kingdom)*(c)(e) | 100 | — |
Investments | No. of Rights | Value (000) | |||||||||
Semiconductors & Semiconductor Equipment 0.5% | |||||||||||
SunEdison, Inc., 2nd Lien DIP Roll Up Rights, expiring 4/26/2017*(e) | 3,662,393 | $ | 2,307 | ||||||||
Total Rights (Cost $1,059) | 2,647 | ||||||||||
Principal Amount | |||||||||||
U.S. Treasury Obligation 0.2% | |||||||||||
U.S. Treasury Bond 2.88%, 11/15/2046 (Cost $794) | $ | 817,000 | 803 | ||||||||
No. of Contracts | |||||||||||
Options Purchased 0.1% | |||||||||||
Call Options 0.0%(b) | |||||||||||
Energy Equipment & Services 0.0%(b) | |||||||||||
Fairmount Santrol Holdings, Inc. 6/16/2017 @ 7.50 | 324 | 6 | |||||||||
Seadrill Partners LLC 6/16/2017 @ 5.00 | 116 | — | (m) | ||||||||
Total Call Options | 6 | ||||||||||
Put Options 0.1% | |||||||||||
Exchange Traded Funds 0.1% | |||||||||||
iShares Russell 2000 Index Fund 6/30/2017 @ 130.00 | 777 | 78 | |||||||||
Russell 2000 Index 6/30/2017 @ 1,350.00 | 35 | 63 | |||||||||
S&P 500 Index 6/15/2018 @ 2,150.00 | 8 | 58 | |||||||||
S&P 500 Index 6/16/2017 @ 2,200.00 | 405 | 203 | |||||||||
SPDR S&P 500 Fund Trust 9/15/2017 @ 215.00 | 245 | 49 | |||||||||
Total Put Options | 451 | ||||||||||
Total Options Purchased (Cost $1,458) | 457 |
Investments | No. of Warrants | Value (000) | |||||||||
Warrants 0.1% | |||||||||||
Biotechnology 0.0% | |||||||||||
Novelion Therapeutics, Inc., expiring 12/30/2016 (Canada)*(c)(e) | 757,716 | $ | — | ||||||||
Capital Markets 0.1% | |||||||||||
Acasta Enterprises, Inc., expiring 1/3/2022 (Canada)* | 219,049 | 164 | |||||||||
Electrum Special Acquisition Corp., expiring 6/11/2021*(d) | 3,600 | 1 | |||||||||
165 | |||||||||||
Hotels, Restaurants & Leisure 0.0%(b) | |||||||||||
Playa Hotels & Resorts NV, expiring 3/10/2022*(d) | 159,945 | 123 | |||||||||
Total Warrants (Cost $—) | 288 | ||||||||||
Shares | |||||||||||
Preferred Stock 0.0%(b) | |||||||||||
Thrifts & Mortgage Finance 0.0%(b) | |||||||||||
FNMA, Series S, 8.25%, 12/31/2020 (Cost $242)*(h)(i) | 24,800 | 182 | |||||||||
Short-Term Investments 17.3% | |||||||||||
Investment Companies 17.3% | |||||||||||
Dreyfus Treasury Securities Cash Management Institutional Class, 0.58%(n) | 461,577 | 462 | |||||||||
Morgan Stanley Institutional Liquidity Funds Treasury Portfolio Institutional Class, 0.57%(a)(n) | 67,809,984 | 67,810 | |||||||||
Western Asset Institutional U.S. Treasury Reserves Ltd., 1.00%(a)(n)(o) | 13,755,482 | 13,755 | |||||||||
Total Investment Companies (Cost $82,027) | 82,027 | ||||||||||
Total Long Positions (Cost $451,967) | 459,961 |
See Notes to Consolidated Financial Statements
17
Consolidated Schedule of Investments Neuberger Berman Absolute Return Multi-Manager Fund (Unaudited) (cont'd)
Investments | Shares | Value (000) | |||||||||
Short Positions (19.1)%(p) | |||||||||||
Common Stocks (15.6)% | |||||||||||
Aerospace & Defense (0.1)% | |||||||||||
Triumph Group, Inc. | (22,365 | ) | $ | (586 | ) | ||||||
Air Freight & Logistics (0.1)% | |||||||||||
CH Robinson Worldwide, Inc. | (4,570 | ) | (332 | ) | |||||||
Airlines (0.2)% | |||||||||||
Deutsche Lufthansa AG (Registered) (Germany)* | (41,175 | ) | (710 | ) | |||||||
Exchange Income Corp. (Canada) | (14,600 | ) | (375 | ) | |||||||
(1,085 | ) | ||||||||||
Auto Components (0.5)% | |||||||||||
Autoliv, Inc. (Sweden) | (9,299 | ) | (932 | ) | |||||||
BorgWarner, Inc. | (19,835 | ) | (838 | ) | |||||||
Goodyear Tire & Rubber Co. (The) | (15,544 | ) | (563 | ) | |||||||
(2,333 | ) | ||||||||||
Automobiles (0.1)% | |||||||||||
Ford Motor Co. | (57,265 | ) | (657 | ) | |||||||
Banks (0.5)% | |||||||||||
Canadian Imperial Bank of Commerce (Canada) | (8,908 | ) | (720 | ) | |||||||
Canadian Western Bank (Canada) | (13,585 | ) | (267 | ) | |||||||
Columbia Banking System, Inc. | (13,504 | ) | (534 | ) | |||||||
First Interstate BancSystem, Inc., Class A | (3,698 | ) | (140 | ) | |||||||
National Bank of Canada (Canada) | (8,015 | ) | (311 | ) | |||||||
PacWest Bancorp | (5,941 | ) | (293 | ) | |||||||
(2,265 | ) | ||||||||||
Beverages (0.2)% | |||||||||||
Brown-Forman Corp., Class B | (17,480 | ) | (827 | ) | |||||||
Biotechnology (0.3)% | |||||||||||
Amgen, Inc. | (3,256 | ) | (532 | ) | |||||||
Celgene Corp.* | (3,519 | ) | (437 | ) | |||||||
United Therapeutics Corp.* | (2,390 | ) | (300 | ) | |||||||
(1,269 | ) |
Investments | Shares | Value (000) | |||||||||
Capital Markets (0.6)% | |||||||||||
Deutsche Bank AG (Registered) (Germany)* | (29,400 | ) | $ | (530 | ) | ||||||
Evercore Partners, Inc., Class A | (8,845 | ) | (652 | ) | |||||||
Federated Investors, Inc., Class B | (13,200 | ) | (354 | ) | |||||||
Franklin Resources, Inc. | (11,250 | ) | (485 | ) | |||||||
Moody's Corp. | (3,650 | ) | (432 | ) | |||||||
T Rowe Price Group, Inc. | (4,350 | ) | (308 | ) | |||||||
(2,761 | ) | ||||||||||
Chemicals (0.3)% | |||||||||||
Dow Chemical Co. (The) | (1,538 | ) | (97 | ) | |||||||
Praxair, Inc. | (6,920 | ) | (865 | ) | |||||||
Scotts Miracle-Gro Co. (The) | (7,115 | ) | (687 | ) | |||||||
(1,649 | ) | ||||||||||
Commercial Services & Supplies (0.1)% | |||||||||||
Stericycle, Inc.* | (4,950 | ) | (422 | ) | |||||||
Construction & Engineering (0.1)% | |||||||||||
Badger Daylighting Ltd. (Canada) | (17,400 | ) | (414 | ) | |||||||
Consumer Finance (0.1)% | |||||||||||
Credit Acceptance Corp.* | (2,375 | ) | (483 | ) | |||||||
Diversified Consumer Services (0.2)% | |||||||||||
ServiceMaster Global Holdings, Inc.* | (19,235 | ) | (733 | ) | |||||||
Diversified Telecommunication Services (0.1)% | |||||||||||
AT&T, Inc. | (4,826 | ) | (191 | ) | |||||||
CenturyLink, Inc. | (10,845 | ) | (279 | ) | |||||||
(470 | ) | ||||||||||
Electric Utilities (1.0)% | |||||||||||
American Electric Power Co., Inc. | (17,535 | ) | (1,190 | ) | |||||||
Duke Energy Corp. | (18,639 | ) | (1,538 | ) | |||||||
Eversource Energy | (7,294 | ) | (433 | ) | |||||||
Hawaiian Electric Industries, Inc. | (19,100 | ) | (640 | ) | |||||||
Southern Co. (The) | (19,221 | ) | (957 | ) | |||||||
Xcel Energy, Inc. | (2,181 | ) | (98 | ) | |||||||
(4,856 | ) |
Investments | Shares | Value (000) | |||||||||
Electrical Equipment (0.3)% | |||||||||||
Emerson Electric Co. | (11,060 | ) | $ | (667 | ) | ||||||
Regal Beloit Corp. | (11,285 | ) | (890 | ) | |||||||
(1,557 | ) | ||||||||||
Electronic Equipment, Instruments & Components (0.0)%(b) | |||||||||||
InvenSense, Inc.* | (10,225 | ) | (132 | ) | |||||||
Energy Equipment & Services (0.1)% | |||||||||||
Helmerich & Payne, Inc. | (2,817 | ) | (171 | ) | |||||||
Keane Group, Inc.* | (1,127 | ) | (16 | ) | |||||||
Patterson-UTI Energy, Inc. | (4,225 | ) | (92 | ) | |||||||
ProPetro Holding Corp.* | (5,633 | ) | (76 | ) | |||||||
RPC, Inc. | (5,633 | ) | (102 | ) | |||||||
Superior Energy Services, Inc.* | (5,633 | ) | (68 | ) | |||||||
(525 | ) | ||||||||||
Equity Real Estate Investment Trusts (REITs) (0.5)% | |||||||||||
DCT Industrial Trust, Inc. | (13,575 | ) | (686 | ) | |||||||
Equity Residential | (7,800 | ) | (504 | ) | |||||||
Park Hotels & Resorts, Inc. | (32,210 | ) | (827 | ) | |||||||
Simon Property Group, Inc. | (3,300 | ) | (545 | ) | |||||||
(2,562 | ) | ||||||||||
Food & Staples Retailing (0.4)% | |||||||||||
CVS Health Corp. | (7,150 | ) | (590 | ) | |||||||
Kroger Co. (The) | (16,200 | ) | (480 | ) | |||||||
Walgreens Boots Alliance, Inc. | (6,947 | ) | (601 | ) | |||||||
(1,671 | ) | ||||||||||
Food Products (0.4)% | |||||||||||
B&G Foods, Inc. | (15,200 | ) | (639 | ) | |||||||
Hormel Foods Corp. | (22,670 | ) | (795 | ) | |||||||
Kellogg Co. | (8,915 | ) | (633 | ) | |||||||
(2,067 | ) | ||||||||||
Health Care Equipment & Supplies (0.6)% | |||||||||||
Abbott Laboratories | (11,031 | ) | (481 | ) | |||||||
ABIOMED, Inc.* | (5,700 | ) | (743 | ) | |||||||
Becton Dickinson and Co. | (1,803 | ) | (337 | ) | |||||||
DENTSPLY SIRONA, Inc. | (7,974 | ) | (504 | ) | |||||||
LivaNova plc* | (14,115 | ) | (744 | ) | |||||||
(2,809 | ) |
See Notes to Consolidated Financial Statements
18
Consolidated Schedule of Investments Neuberger Berman Absolute Return Multi-Manager Fund (Unaudited) (cont'd)
Investments | Shares | Value (000) | |||||||||
Health Care Providers & Services (1.2)% | |||||||||||
AmerisourceBergen Corp. | (7,118 | ) | $ | (584 | ) | ||||||
Cardinal Health, Inc. | (7,678 | ) | (557 | ) | |||||||
Express Scripts Holding Co.* | (9,289 | ) | (570 | ) | |||||||
HCA Holdings, Inc.* | (7,133 | ) | (601 | ) | |||||||
Henry Schein, Inc.* | (2,556 | ) | (444 | ) | |||||||
Laboratory Corp. of America Holdings* | (3,860 | ) | (541 | ) | |||||||
McKesson Corp. | (4,183 | ) | (579 | ) | |||||||
Patterson Cos., Inc. | (14,230 | ) | (633 | ) | |||||||
UnitedHealth Group, Inc. | (2,976 | ) | (520 | ) | |||||||
Universal Health Services, Inc., Class B | (4,782 | ) | (578 | ) | |||||||
(5,607 | ) | ||||||||||
Hotels, Restaurants & Leisure (0.1)% | |||||||||||
Darden Restaurants, Inc. | (4,775 | ) | (407 | ) | |||||||
Eldorado Resorts, Inc.* | (3,308 | ) | (63 | ) | |||||||
(470 | ) | ||||||||||
Household Durables (0.5)% | |||||||||||
Leggett & Platt, Inc. | (16,930 | ) | (890 | ) | |||||||
Lennar Corp., Class A | (20,400 | ) | (1,030 | ) | |||||||
Whirlpool Corp. | (3,575 | ) | (664 | ) | |||||||
(2,584 | ) | ||||||||||
Household Products (0.1)% | |||||||||||
Church & Dwight Co., Inc. | (12,090 | ) | (599 | ) | |||||||
Independent Power and Renewable Electricity Producers (0.1)% | |||||||||||
TerraForm Power, Inc., Class A* | (44,230 | ) | (557 | ) | |||||||
Industrial Conglomerates (0.1)% | |||||||||||
Carlisle Cos., Inc. | (3,100 | ) | (314 | ) | |||||||
Insurance 0.3% | |||||||||||
Axis Capital Holdings Ltd. | (10,120 | ) | (667 | ) | |||||||
Everest Re Group Ltd. | (2,890 | ) | (727 | ) | |||||||
(1,394 | ) | ||||||||||
Internet Software & Services (0.3)% | |||||||||||
Alibaba Group Holding Ltd., ADR (China)* | (12,937 | ) | (1,494 | ) |
Investments | Shares | Value (000) | |||||||||
IT Services (0.2)% | |||||||||||
Alliance Data Systems Corp. | (1,925 | ) | $ | (481 | ) | ||||||
iPayment Holdings, Inc.* | (14,043 | ) | (3 | ) | |||||||
Western Union Co. (The) | (15,500 | ) | (308 | ) | |||||||
(792 | ) | ||||||||||
Leisure Products (0.1)% | |||||||||||
Hasbro, Inc. | (6,760 | ) | (670 | ) | |||||||
Life Sciences Tools & Services (0.4)% | |||||||||||
Bruker Corp. | (34,565 | ) | (843 | ) | |||||||
Charles River Laboratories International, Inc.* | (4,993 | ) | (448 | ) | |||||||
Quintiles IMS Holdings, Inc.* | (6,377 | ) | (537 | ) | |||||||
(1,828 | ) | ||||||||||
Media (0.4)% | |||||||||||
New Media Investment Group, Inc. | (45,519 | ) | (599 | ) | |||||||
Omnicom Group, Inc. | (5,825 | ) | (478 | ) | |||||||
SES SA FDR (Luxembourg) | (20,375 | ) | (446 | ) | |||||||
Sirius XM Holdings, Inc. | (30,682 | ) | (152 | ) | |||||||
Twenty-First Century Fox, Inc., Class A | (11,700 | ) | (357 | ) | |||||||
(2,032 | ) | ||||||||||
Multiline Retail (0.4)% | |||||||||||
Dillard's, Inc., Class A | (8,684 | ) | (481 | ) | |||||||
JC Penney Co., Inc.* | (53,005 | ) | (285 | ) | |||||||
Kohl's Corp. | (17,601 | ) | (687 | ) | |||||||
Macy's, Inc. | (3,239 | ) | (94 | ) | |||||||
Nordstrom, Inc. | (11,305 | ) | (546 | ) | |||||||
(2,093 | ) | ||||||||||
Multi-Utilities (0.6)% | |||||||||||
CenterPoint Energy, Inc. | (2,362 | ) | (67 | ) | |||||||
Consolidated Edison, Inc. | (28,223 | ) | (2,237 | ) | |||||||
Dominion Resources, Inc. | (4,206 | ) | (326 | ) | |||||||
Public Service Enterprise Group, Inc. | (3,102 | ) | (137 | ) | |||||||
(2,767 | ) | ||||||||||
Oil, Gas & Consumable Fuels (0.1)% | |||||||||||
Tallgrass Energy GP LP | (9,263 | ) | (250 | ) |
Investments | Shares | Value (000) | |||||||||
Personal Products (0.2)% | |||||||||||
Coty, Inc., Class A | (18,400 | ) | $ | (329 | ) | ||||||
Herbalife Ltd.* | (7,450 | ) | (471 | ) | |||||||
(800 | ) | ||||||||||
Pharmaceuticals (1.4)% | |||||||||||
Allergan plc | (2,191 | ) | (534 | ) | |||||||
Eli Lilly & Co. | (5,759 | ) | (473 | ) | |||||||
Johnson & Johnson | (4,526 | ) | (559 | ) | |||||||
Merck & Co., Inc. | (7,184 | ) | (448 | ) | |||||||
Mylan NV* | (16,341 | ) | (610 | ) | |||||||
Novartis AG, ADR (Switzerland) | (5,965 | ) | (459 | ) | |||||||
Pfizer, Inc. | (13,419 | ) | (455 | ) | |||||||
Roche Holding AG (Switzerland) | (4,080 | ) | (1,067 | ) | |||||||
Sanofi, ADR (France) | (10,224 | ) | (484 | ) | |||||||
Teva Pharmaceutical Industries Ltd., ADR (Israel) | (18,990 | ) | (600 | ) | |||||||
UCB SA (Belgium) | (5,491 | ) | (428 | ) | |||||||
Valeant Pharmaceuticals International, Inc.* | (61,846 | ) | (572 | ) | |||||||
(6,689 | ) | ||||||||||
Professional Services (0.1)% | |||||||||||
WageWorks, Inc.* | (4,455 | ) | (329 | ) | |||||||
Semiconductors & Semiconductor Equipment (0.2)% | |||||||||||
Advanced Energy Industries, Inc.* | (7,340 | ) | (542 | ) | |||||||
QUALCOMM, Inc. | (4,825 | ) | (259 | ) | |||||||
(801 | ) | ||||||||||
Software (0.2)% | |||||||||||
Workday, Inc., Class A* | (9,935 | ) | (868 | ) | |||||||
Specialty Retail (0.7)% | |||||||||||
AutoZone, Inc.* | (325 | ) | (225 | ) | |||||||
Bed Bath & Beyond, Inc. | (12,400 | ) | (480 | ) | |||||||
Best Buy Co., Inc. | (2,170 | ) | (112 | ) | |||||||
CarMax, Inc.* | (3,900 | ) | (228 | ) | |||||||
Gap, Inc. (The) | (9,992 | ) | (262 | ) | |||||||
GNC Holdings, Inc., Class A | (8,567 | ) | (67 | ) | |||||||
L Brands, Inc. | (1,590 | ) | (84 | ) |
See Notes to Consolidated Financial Statements
19
Consolidated Schedule of Investments Neuberger Berman Absolute Return Multi-Manager Fund (Unaudited) (cont'd)
Investments | Shares | Value (000) | |||||||||
Ross Stores, Inc. | (5,100 | ) | $ | (331 | ) | ||||||
Staples, Inc. | (10,618 | ) | (104 | ) | |||||||
Tractor Supply Co. | (9,370 | ) | (580 | ) | |||||||
Ulta Beauty, Inc.* | (2,855 | ) | (804 | ) | |||||||
Williams-Sonoma, Inc. | (1,944 | ) | (105 | ) | |||||||
(3,382 | ) | ||||||||||
Textiles, Apparel & Luxury Goods (0.4)% | |||||||||||
Fossil Group, Inc.* | (72,508 | ) | (1,251 | ) | |||||||
NIKE, Inc., Class B | (3,665 | ) | (203 | ) | |||||||
VF Corp. | (6,400 | ) | (349 | ) | |||||||
(1,803 | ) | ||||||||||
Thrifts & Mortgage Finance (0.3)% | |||||||||||
BofI Holding, Inc.* | (29,474 | ) | (704 | ) | |||||||
Genworth MI Canada, Inc. (Canada) | (22,725 | ) | (564 | ) | |||||||
Home Capital Group, Inc. (Canada) | (27,132 | ) | (160 | ) | |||||||
(1,428 | ) | ||||||||||
Tobacco (0.1)% | |||||||||||
British American Tobacco plc, ADR (United Kingdom) | (4,559 | ) | (310 | ) | |||||||
Trading Companies & Distributors (0.3)% | |||||||||||
GATX Corp. | (10,855 | ) | (650 | ) | |||||||
WESCO International, Inc.* | (4,890 | ) | (298 | ) | |||||||
WW Grainger, Inc. | (2,125 | ) | (410 | ) | |||||||
(1,358 | ) | ||||||||||
Total Common Stocks (Proceeds $(72,536)) | (73,684 | ) | |||||||||
Principal Amount | |||||||||||
Corporate Bonds (1.5)% | |||||||||||
Air Freight & Logistics (0.0)%(b) | |||||||||||
XPO Logistics, Inc. 6.50%, 6/15/2022(g) | $ | (155,000 | ) | (165 | ) | ||||||
Food Products (0.2)% | |||||||||||
Flowers Foods, Inc. 4.38%, 4/1/2022 | (965,000 | ) | (1,030 | ) |
Investments | Principal Amount | Value (000) | |||||||||
Hotels, Restaurants & Leisure (0.0)%(b) | |||||||||||
Wynn Las Vegas LLC 5.50%, 3/1/2025(g) | $ | (102,000 | ) | $ | (107 | ) | |||||
Independent Power and Renewable Electricity Producers (0.0)%(b) | |||||||||||
GenOn Energy, Inc. 7.88%, 6/15/2017 | (132,000 | ) | (92 | ) | |||||||
IT Services (0.2)% | |||||||||||
iPayment, Inc. 9.50%, 12/15/2019(g) | (312,962 | ) | (328 | ) | |||||||
Sungard Availability Services Capital, Inc. 8.75%, 4/1/2022(g) | (444,000 | ) | (347 | ) | |||||||
(675 | ) | ||||||||||
Multiline Retail (0.3)% | |||||||||||
Macy's Retail Holdings, Inc. 4.50%, 12/15/2034 | (1,533,000 | ) | (1,336 | ) | |||||||
Pharmaceuticals (0.4)% | |||||||||||
Endo Finance LLC 5.75%, 1/15/2022(g) | (1,516,000 | ) | (1,417 | ) | |||||||
Valeant Pharmaceuticals International, Inc. 6.75%, 8/15/2018(g) | (661,000 | ) | (662 | ) | |||||||
(2,079 | ) | ||||||||||
Road & Rail (0.3)% | |||||||||||
Hertz Corp. (The) 6.75%, 4/15/2019 | (1,552,000 | ) | (1,552 | ) | |||||||
Specialty Retail (0.1)% | |||||||||||
Gap, Inc. (The) 5.95%, 4/12/2021 | (226,000 | ) | (245 | ) | |||||||
Total Corporate Bonds (Proceeds $(7,165)) | (7,281 | ) | |||||||||
Shares | |||||||||||
Exchange Traded Funds (1.2)% | |||||||||||
Alerian MLP Fund | (138,087 | ) | (1,740 | ) | |||||||
Energy Select Sector SPDR Fund | (7,702 | ) | (523 | ) |
Investments | Shares | Value (000) | |||||||||
Health Care Select Sector SPDR Fund | (3,333 | ) | $ | (252 | ) | ||||||
iShares Russell 2000 Fund | (2,285 | ) | (318 | ) | |||||||
iShares U.S. Real Estate Fund | (4,580 | ) | (361 | ) | |||||||
SPDR S&P MidCap 400 Fund Trust | (1,516 | ) | (477 | ) | |||||||
SPDR S&P Oil & Gas Equipment & Services Fund | (5,633 | ) | (100 | ) | |||||||
SPDR S&P500 Fund Trust | (2,370 | ) | (564 | ) | |||||||
Utilities Select Sector SPDR Fund | (25,385 | ) | (1,312 | ) | |||||||
VanEck Vectors Oil Services Fund | (563 | ) | (16 | ) | |||||||
Total Exchange Traded Funds (Proceeds $(5,310)) | (5,663 | ) | |||||||||
Master Limited Partnerships (0.6)% | |||||||||||
Gas Utilities (0.0)%(b) | |||||||||||
Ferrellgas Partners LP | (18,341 | ) | (108 | ) | |||||||
Oil, Gas & Consumable Fuels (0.6)% | |||||||||||
Crestwood Equity Partners LP | (1,247 | ) | (32 | ) | |||||||
DCP Midstream LP | (8,798 | ) | (333 | ) | |||||||
Golar LNG Partners LP (United Kingdom) | (7,828 | ) | (179 | ) | |||||||
Holly Energy Partners LP | (6,615 | ) | (246 | ) | |||||||
Magellan Midstream Partners LP | (8,602 | ) | (639 | ) | |||||||
Phillips 66 Partners LP | (7,017 | ) | (370 | ) | |||||||
Spectra Energy Partners LP | (14,226 | ) | (642 | ) | |||||||
TC PipeLines LP | (6,833 | ) | (413 | ) | |||||||
(2,854 | ) | ||||||||||
Total Master Limited Partnerships (Proceeds $(3,086)) | (2,962 | ) |
See Notes to Consolidated Financial Statements
20
Consolidated Schedule of Investments Neuberger Berman Absolute Return Multi-Manager Fund (Unaudited) (cont'd)
Investments | Shares | Value (000) | |||||||||
Exchange Traded Note (0.2)% | |||||||||||
JPMorgan Alerian MLP Index ETN (Proceeds $(799)) | (26,323 | ) | $ | (838 | ) | ||||||
Total Short Positions (Proceeds $(88,896)) | (90,428 | ) | |||||||||
Total Investments 78.1% (Cost $363,071) | 369,533 | ||||||||||
Other Assets Less Liabilities 21.9%(q) | 103,751 | ||||||||||
Net assets 100.0% | $ | 473,284 |
* Non-income producing security.
(a) All or a portion of this security is segregated in connection with obligations for futures, swaps, options written, and/or forward foreign currency contracts with a total value of approximately $176,131,000.
(b) Represents less than 0.05% of net assets.
(c) Illiquid security.
(d) All or a portion of this security is pledged with the custodian for securities sold short and/or options written.
(e) Security fair valued as of April 30, 2017 in accordance with procedures approved by the Board of Trustees. Total value of all such securities at April 30, 2017 amounted to approximately $26,258,000, which represents 5.5% of net assets of the Fund.
(f) Issuer filed for bankruptcy.
(g) 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 April 30, 2017, these securities amounted to approximately $85,937,000 of long positions and $(3,026,000) of short positions, or 18.2% and (0.6%), respectively, of net assets of the Fund. Securities denoted with "(g)" but without "(c)" have been deemed by the investment manager to be liquid.
(h) Variable or floating rate security. The interest rate shown was the current rate as of April 30, 2017 and changes periodically.
(i) Perpetual security. The rate reflected was the rate in effect on April 30, 2017. The maturity date reflects the next call date.
(j) Defaulted security.
(k) All or a portion of this security had not settled as of April 30, 2017 and thus may not have an interest rate in effect. Interest rates do not take effect until settlement.
(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 at a contingent upon predetermined trigger. The interest rate shown was the current rate as of April 30, 2017.
(m) Amount less than one thousand.
(n) Represents 7-day effective yield as of April 30, 2017.
See Notes to Consolidated Financial Statements
21
Consolidated Schedule of Investments Neuberger Berman Absolute Return Multi-Manager Fund (Unaudited) (cont'd)
(o) All or a portion represents positions held by Neuberger Berman Cayman ARMM Fund I Ltd. (the "Subsidiary") (See Note A in Notes to Consolidated Financial Statements).
(p) At April 30, 2017 the Fund had approximately $83,156,000 deposited in one or more accounts to satisfy collateral requirements for borrowing in connection with securities sold short.
(q) Includes the impact of the Fund's open positions in derivatives at April 30, 2017.
Abbreviations
ADR American Depositary Receipt
CLO Collateralized Loan Obligations
CVR Contingent Value Rights
DIP Debtor-in-Possession
FDR Fiduciary Depositary Receipt
FNMA Federal National Mortgage Association
GDR Global Depositary Receipt
PJSC Public Joint Stock Company
SPDR Standard & Poor's Depositary Receipt
Derivative Instruments
Futures contracts ("futures")
At April 30, 2017, open positions in futures for the Fund were as follows:
Expiration | Open Contracts | Position | Unrealized Appreciation/ (Depreciation) | ||||||||||||
5/11/2017 | 10 Low Sulphur Gas Oil(a) | Long | $ | (38,666 | ) | ||||||||||
5/15/2017 | 32 Aluminum(a) | Long | 18,296 | ||||||||||||
5/15/2017 | 7 Copper(a) | Long | (71,118 | ) | |||||||||||
5/15/2017 | 4 Lead(a) | Long | (19,317 | ) | |||||||||||
5/15/2017 | 8 Nickel(a) | Long | (65,232 | ) | |||||||||||
5/15/2017 | 10 Zinc(a) | Long | (84,927 | ) | |||||||||||
5/19/2017 | 3 Amsterdam Index(a) | Long | 7,397 | ||||||||||||
5/19/2017 | 4 CAC 40 Index(a) | Long | 7,742 | ||||||||||||
5/19/2017 | 19 OMXS30 Index(a) | Long | 15,379 | ||||||||||||
5/25/2017 | 5 SGX Nifty 50 Index(a) | Long | 439 | ||||||||||||
5/26/2017 | 37 FTSE China A50 Index(a) | Long | (100 | ) | |||||||||||
5/26/2017 | 10 MSCI Taiwan Stock Index(a) | Long | 510 | ||||||||||||
5/29/2017 | 1 Hang Seng Index(a) | Long | 820 | ||||||||||||
5/29/2017 | 2 H-SHARES Index(a) | Long | (884 | ) | |||||||||||
5/30/2017 | 11 MSCI Singapore Index(a) | Long | 2,228 | ||||||||||||
5/31/2017 | 4 Brent Crude Oil(a) | Long | (5,286 | ) | |||||||||||
6/8/2017 | 70 Euro—Bobl(a) | Long | (19,667 | ) | |||||||||||
6/8/2017 | 28 Euro-BTP Italian Government Bond(a) | Long | 10,179 | ||||||||||||
6/8/2017 | 29 Euro—Bund(a) | Long | (25,343 | ) |
See Notes to Consolidated Financial Statements
22
Consolidated Schedule of Investments Neuberger Berman Absolute Return Multi-Manager Fund (Unaudited) (cont'd)
Expiration | Open Contracts | Position | Unrealized Appreciation/ (Depreciation) | ||||||||||||
6/8/2017 | 190 Euro—SCHATZ(a) | Long | $ | (20,191 | ) | ||||||||||
6/8/2017 | 1 Nikkei 225(a) | Long | 221 | ||||||||||||
6/8/2017 | 1 TOPIX Index(a) | Long | (1,257 | ) | |||||||||||
6/13/2017 | 4 10-Year Japanese Government Bond(a) | Long | (3,060 | ) | |||||||||||
6/15/2017 | 2 S&P/Toronto Stock Exchange 60 Index(a) | Long | 686 | ||||||||||||
6/15/2017 | 3 SPI 200 Index(a) | Long | 9,217 | ||||||||||||
6/16/2017 | 1 DAX Index(a) | Long | 11,384 | ||||||||||||
6/16/2017 | 3 E-Mini DJIA CBOT(a) | Long | 1,984 | ||||||||||||
6/16/2017 | 3 E-Mini MSCI EAFE Index(a) | Long | 10,929 | ||||||||||||
6/16/2017 | 4 E-Mini MSCI Emerging Markets Index(a) | Long | 2,882 | ||||||||||||
6/16/2017 | 2 E-Mini Russell 2000(a) | Long | 1,397 | ||||||||||||
6/16/2017 | 3 FTSE 100 Index(a) | Long | (6,983 | ) | |||||||||||
6/16/2017 | 1 FTSE/MIB Index(a) | Long | 6,067 | ||||||||||||
6/16/2017 | 3 NASDAQ 100 E-Mini(a) | Long | 10,873 | ||||||||||||
6/16/2017 | 3 S&P 500 E-Mini Index(a) | Long | 1,315 | ||||||||||||
6/16/2017 | 1 S&P MID 400 E-Mini(a) | Long | 1,593 | ||||||||||||
6/16/2017 | 8 Stoxx Europe 600 Index(a) | Long | 6,485 | ||||||||||||
6/16/2017 | 6 The EURO STOXX 50 Index(a) | Long | 11,471 | ||||||||||||
6/19/2017 | 26 Aluminum(a) | Long | 3,111 | ||||||||||||
6/19/2017 | 28 Australian Dollar(a) | Long | (15,659 | ) | |||||||||||
6/19/2017 | 8 Copper(a) | Long | (15,044 | ) | |||||||||||
6/19/2017 | 3 Lead(a) | Long | (2,998 | ) | |||||||||||
6/19/2017 | 34 Mexican Peso(a) | Long | (351 | ) | |||||||||||
6/19/2017 | 7 Nickel(a) | Long | (26,534 | ) | |||||||||||
6/19/2017 | 19 U.S. Dollar Index(a) | Long | (48,588 | ) | |||||||||||
6/19/2017 | 2 USD/Norwegian Krone Cross Rate | Long | 1,213 | ||||||||||||
6/19/2017 | 2 USD/Swedish Krona Cross Rate | Long | (3,981 | ) | |||||||||||
6/19/2017 | 10 Zinc(a) | Long | (36,634 | ) | |||||||||||
6/21/2017 | 2 Canadian 10-Year Bond | Long | 1,273 | ||||||||||||
6/21/2017 | 1 Canadian 10-Year Bond(a) | Long | 615 | ||||||||||||
6/28/2017 | 6 Gold 100 OZ(a) | Long | (7,774 | ) | |||||||||||
6/28/2017 | 37 Long Gilt(a) | Long | 36,964 | ||||||||||||
6/28/2017 | 6 Nymex Palladium(a) | Long | 24,624 | ||||||||||||
6/30/2017 | 28 Live Cattle(a) | Long | 152,511 | ||||||||||||
7/7/2017 | 22 Cotton No. 2(a) | Long | 6,803 | ||||||||||||
7/14/2017 | 2 Canola (WCE)(a) | Long | 468 | ||||||||||||
7/17/2017 | 20 Aluminum(a) | Long | 1,011 | ||||||||||||
7/17/2017 | 7 Copper(a) | Long | 6,547 | ||||||||||||
7/17/2017 | 3 Lead(a) | Long | 329 |
See Notes to Consolidated Financial Statements
23
Consolidated Schedule of Investments Neuberger Berman Absolute Return Multi-Manager Fund (Unaudited) (cont'd)
Expiration | Open Contracts | Position | Unrealized Appreciation/ (Depreciation) | ||||||||||||
7/17/2017 | 1 Nickel(a) | Long | $ | (1,647 | ) | ||||||||||
7/17/2017 | 9 Zinc(a) | Long | 8,323 | ||||||||||||
7/27/2017 | 11 Copper(a) | Long | 6,438 | ||||||||||||
7/27/2017 | 8 Silver(a) | Long | (26,178 | ) | |||||||||||
7/31/2017 | 15 Robusta Coffee(a) | Long | (34,959 | ) | |||||||||||
8/31/2017 | 5 Feeder Cattle(a) | Long | 29,846 | ||||||||||||
12/7/2017 | 26 ASX 90-Day Bank Accepted Bills(a) | Long | 1,150 | ||||||||||||
3/21/2018 | 51 90-Day Sterling(a) | Long | 3,968 | ||||||||||||
5/15/2017 | 32 Aluminum(a) | Short | (16,357 | ) | |||||||||||
5/15/2017 | 7 Copper(a) | Short | 19,348 | ||||||||||||
5/15/2017 | 4 Lead(a) | Short | 2,794 | ||||||||||||
5/15/2017 | 8 Nickel(a) | Short | 30,810 | ||||||||||||
5/15/2017 | 10 Zinc(a) | Short | 38,333 | ||||||||||||
5/22/2017 | 9 WTI Crude Oil(a) | Short | (2,331 | ) | |||||||||||
5/26/2017 | 7 Natural Gas(a) | Short | (5,526 | ) | |||||||||||
5/31/2017 | 6 RBOB Gasoline(a) | Short | 2,438 | ||||||||||||
6/8/2017 | 15 Euro-BTP Italian Government Bond(a) | Short | (25,212 | ) | |||||||||||
6/8/2017 | 5 Euro-BTP Italian Government Bond | Short | (2,649 | ) | |||||||||||
6/8/2017 | 2 Euro—Bund | Short | 2,125 | ||||||||||||
6/8/2017 | 2 Euro-Buxl 30-Year Bond(a) | Short | (1,066 | ) | |||||||||||
6/8/2017 | 1 Euro—OAT(a) | Short | (424 | ) | |||||||||||
6/8/2017 | 2 Euro—OAT | Short | (3,243 | ) | |||||||||||
6/14/2017 | 17 Lean Hogs Livestock(a) | Short | (17,728 | ) | |||||||||||
6/15/2017 | 9 Australia 10-Year Bond(a) | Short | (23,760 | ) | |||||||||||
6/15/2017 | 45 Australia 3-Year Bond(a) | Short | (32,418 | ) | |||||||||||
6/15/2017 | 2 FTSE/JSE Top 40 Index(a) | Short | (3,454 | ) | |||||||||||
6/16/2017 | 36 S&P 500 E-Mini Index | Short | (15,928 | ) | |||||||||||
6/16/2017 | 273 The EURO STOXX 50 Index | Short | (553,142 | ) | |||||||||||
6/19/2017 | 26 Aluminum(a) | Short | (6,977 | ) | |||||||||||
6/19/2017 | 70 Australian Dollar | Short | (5,788 | ) | |||||||||||
6/19/2017 | 9 British Pound | Short | (11,192 | ) | |||||||||||
6/19/2017 | 10 British Pound(a) | Short | (33,055 | ) | |||||||||||
6/19/2017 | 8 Copper(a) | Short | (2,711 | ) | |||||||||||
6/19/2017 | 16 Euro Fx Future with American Style Options(a) | Short | (52,857 | ) | |||||||||||
6/19/2017 | 111 Euro Fx Future with American Style Options | Short | (402,044 | ) | |||||||||||
6/19/2017 | 251 Japanese Yen | Short | (651,480 | ) | |||||||||||
6/19/2017 | 12 Japanese Yen(a) | Short | 448 | ||||||||||||
6/19/2017 | 3 Lead(a) | Short | (759 | ) | |||||||||||
6/19/2017 | 2 New Zealand Dollar | Short | 635 |
See Notes to Consolidated Financial Statements
24
Consolidated Schedule of Investments Neuberger Berman Absolute Return Multi-Manager Fund (Unaudited) (cont'd)
Expiration | Open Contracts | Position | Unrealized Appreciation/ (Depreciation) | ||||||||||||
6/19/2017 | 11 New Zealand Dollar(a) | Short | $ | 7,070 | |||||||||||
6/19/2017 | 7 Nickel(a) | Short | 23,373 | ||||||||||||
6/19/2017 | 1 Polish Zloty | Short | (6,528 | ) | |||||||||||
6/19/2017 | 12 Swiss Franc(a) | Short | (25,642 | ) | |||||||||||
6/19/2017 | 4 Swiss Franc | Short | (8,662 | ) | |||||||||||
6/19/2017 | 10 Zinc(a) | Short | (3,130 | ) | |||||||||||
6/20/2017 | 31 Canadian Dollar(a) | Short | 37,434 | ||||||||||||
6/20/2017 | 2 Canadian Dollar | Short | 2,125 | ||||||||||||
6/21/2017 | 2 U.S. Treasury 10-Year Note | Short | 1,246 | ||||||||||||
6/21/2017 | 14 U.S. Treasury 10-Year Note(a) | Short | (30,600 | ) | |||||||||||
6/21/2017 | 1 U.S. Treasury 10-Year Ultra Bond(a) | Short | (1,345 | ) | |||||||||||
6/21/2017 | 2 U.S. Treasury 10-Year Ultra Note(a) | Short | (2,534 | ) | |||||||||||
6/21/2017 | 5 U.S. Treasury Long Bond(a) | Short | (15,884 | ) | |||||||||||
6/28/2017 | 1 Long Gilt | Short | (194 | ) | |||||||||||
6/30/2017 | 43 Sugar No. 11(a) | Short | 12,548 | ||||||||||||
6/30/2017 | 30 U.S. Treasury 2-Year Note(a) | Short | (1,746 | ) | |||||||||||
6/30/2017 | 21 U.S. Treasury 5-Year Note(a) | Short | (29,468 | ) | |||||||||||
7/14/2017 | 22 Cocoa(a) | Short | 53,273 | ||||||||||||
7/14/2017 | 12 Cocoa(a) | Short | 30,051 | ||||||||||||
7/14/2017 | 46 Corn(a) | Short | 3,319 | ||||||||||||
7/14/2017 | 11 Hard Red Winter Wheat(a) | Short | (3,072 | ) | |||||||||||
7/14/2017 | 41 Soybean(a) | Short | 4,340 | ||||||||||||
7/14/2017 | 28 Soybean Meal(a) | Short | (7,088 | ) | |||||||||||
7/14/2017 | 35 Soybean Oil(a) | Short | 5,771 | ||||||||||||
7/14/2017 | 35 Wheat(a) | Short | 3,540 | ||||||||||||
7/14/2017 | 4 White Sugar(a) | Short | 1,315 | ||||||||||||
7/17/2017 | 1 Copper(a) | Short | (1,084 | ) | |||||||||||
7/17/2017 | 7 Nickel(a) | Short | (2,256 | ) | |||||||||||
7/17/2017 | 1 Zinc(a) | Short | (972 | ) | |||||||||||
7/19/2017 | 18 Coffee 'C'(a) | Short | 19,689 | ||||||||||||
7/27/2017 | 12 Platinum(a) | Short | $ | 7,321 | |||||||||||
12/18/2017 | 6 Euro CHF 3-Month LIFFE(a) | Short | 596 | ||||||||||||
3/19/2018 | 52 3-Month Euro Euribor(a) | Short | (7,353 | ) | |||||||||||
3/19/2018 | 18 Canadian 3-Month Bank Acceptance(a) | Short | (3,515 | ) | |||||||||||
6/18/2018 | 65 90-Day Euro Dollar(a) | Short | (21,546 | ) | |||||||||||
Total futures | $ | (1,890,468 | ) |
(a) The investment is held by the Subsidiary (see Note A in Notes to Consolidated Financial Statements.)
See Notes to Consolidated Financial Statements
25
Consolidated Schedule of Investments Neuberger Berman Absolute Return Multi-Manager Fund (Unaudited) (cont'd)
At April 30, 2017, the notional value of futures for the Fund was $109,141,780 for long positions and $(147,945,521) for short positions.
For the six months ended April 30, 2017, the average notional value of futures for the Fund was $93,115,053 for long positions and $(126,309,841) for short positions. The Fund had $4,564,904 deposited in segregated accounts to cover margin requirements on open futures.
Forward foreign currency contracts ("forward contracts")
At April 30, 2017, open forward contracts for the Fund were as follows:
Contracts to Receive | In Exchange For | Counterparty | Settlement Date | Net Unrealized Appreciation/ (Depreciation) | |||||||||||||||||||
4,104 | Brazilian Real | $ | 1,299 | Bank of America, NA(a) | 5/3/2017 | $ | (7 | ) | |||||||||||||||
4,002 | Brazilian Real | 1,278 | Bank of America, NA(a) | 5/3/2017 | (17 | ) | |||||||||||||||||
40,035 | Brazilian Real | 12,785 | Bank of America, NA(a) | 5/3/2017 | (175 | ) | |||||||||||||||||
40,031 | Brazilian Real | 12,786 | Bank of America, NA(a) | 5/3/2017 | (177 | ) | |||||||||||||||||
35,148 | Brazilian Real | 11,228 | Bank of America, NA(a) | 5/3/2017 | (157 | ) | |||||||||||||||||
4,001 | Brazilian Real | 1,278 | Bank of America, NA(a) | 5/3/2017 | (18 | ) | |||||||||||||||||
4,102 | Brazilian Real | 1,299 | Bank of America, NA(a) | 5/3/2017 | (7 | ) | |||||||||||||||||
4,101 | Brazilian Real | 1,298 | Bank of America, NA(a) | 5/3/2017 | (6 | ) | |||||||||||||||||
4,104 | Brazilian Real | 1,299 | Bank of America, NA(a) | 5/3/2017 | (6 | ) | |||||||||||||||||
41,014 | Brazilian Real | 12,990 | Bank of America, NA(a) | 5/3/2017 | (72 | ) | |||||||||||||||||
4,001 | Brazilian Real | 1,278 | Bank of America, NA(a) | 5/3/2017 | (18 | ) | |||||||||||||||||
41,034 | Brazilian Real | 12,990 | Bank of America, NA(a) | 5/3/2017 | (66 | ) | |||||||||||||||||
39,012 | Brazilian Real | 12,473 | Bank of America, NA(a) | 5/3/2017 | (185 | ) | |||||||||||||||||
39,006 | Brazilian Real | 12,473 | Bank of America, NA(a) | 5/3/2017 | (187 | ) | |||||||||||||||||
3,900 | Brazilian Real | 1,247 | Bank of America, NA(a) | 5/3/2017 | (18 | ) | |||||||||||||||||
88,719 | Brazilian Real | 27,830 | Bank of America, NA(a) | 5/3/2017 | 114 | ||||||||||||||||||
39,034 | Brazilian Real | 12,474 | Bank of America, NA(a) | 5/3/2017 | (179 | ) | |||||||||||||||||
3,902 | Brazilian Real | 1,247 | Bank of America, NA(a) | 5/3/2017 | (18 | ) | |||||||||||||||||
3,900 | Brazilian Real | 1,247 | Bank of America, NA(a) | 5/3/2017 | (19 | ) | |||||||||||||||||
39,006 | Brazilian Real | 12,473 | Bank of America, NA(a) | 5/3/2017 | (187 | ) | |||||||||||||||||
40,038 | Brazilian Real | 12,785 | Bank of America, NA(a) | 5/3/2017 | (174 | ) | |||||||||||||||||
88,678 | Brazilian Real | 27,830 | Bank of America, NA(a) | 5/3/2017 | 101 | ||||||||||||||||||
1,772 | Brazilian Real | 556 | Bank of America, NA(a) | 5/3/2017 | 2 | ||||||||||||||||||
3,900 | Brazilian Real | 1,247 | Bank of America, NA(a) | 5/3/2017 | (19 | ) | |||||||||||||||||
40,044 | Brazilian Real | 12,786 | Bank of America, NA(a) | 5/3/2017 | (173 | ) | |||||||||||||||||
113,046 | Brazilian Real | 36,045 | Bank of America, NA(a) | 5/3/2017 | (439 | ) | |||||||||||||||||
6,480 | Brazilian Real | 2,093 | Bank of America, NA(a) | 5/3/2017 | (52 | ) | |||||||||||||||||
40,038 | Brazilian Real | 12,785 | Bank of America, NA(a) | 5/3/2017 | (174 | ) | |||||||||||||||||
4,002 | Brazilian Real | 1,278 | Bank of America, NA(a) | 5/3/2017 | (17 | ) | |||||||||||||||||
40,035 | Brazilian Real | 12,785 | Bank of America, NA(a) | 5/3/2017 | (175 | ) | |||||||||||||||||
41,040 | Brazilian Real | 12,990 | Bank of America, NA(a) | 5/3/2017 | (63 | ) | |||||||||||||||||
100,582 | Brazilian Real | 31,984 | Bank of America, NA(a) | 5/3/2017 | (304 | ) | |||||||||||||||||
4,431 | Brazilian Real | 1,403 | Bank of America, NA(a) | 5/3/2017 | (8 | ) | |||||||||||||||||
4,102 | Brazilian Real | 1,299 | Bank of America, NA(a) | 5/3/2017 | (7 | ) | |||||||||||||||||
4,104 | Brazilian Real | 1,299 | Bank of America, NA(a) | 5/3/2017 | (6 | ) |
See Notes to Consolidated Financial Statements
26
Consolidated Schedule of Investments Neuberger Berman Absolute Return Multi-Manager Fund (Unaudited) (cont'd)
Contracts to Receive | In Exchange For | Counterparty | Settlement Date | Net Unrealized Appreciation/ (Depreciation) | |||||||||||||||||||
40,035 | Brazilian Real | $ | 12,785 | Bank of America, NA(a) | 5/3/2017 | $ | (175 | ) | |||||||||||||||
400,477 | Brazilian Real | 127,851 | Bank of America, NA(a) | 5/3/2017 | (1,712 | ) | |||||||||||||||||
40,035 | Brazilian Real | 12,785 | Bank of America, NA(a) | 5/3/2017 | (175 | ) | |||||||||||||||||
40,038 | Brazilian Real | 12,786 | Bank of America, NA(a) | 5/3/2017 | (175 | ) | |||||||||||||||||
4,002 | Brazilian Real | 1,278 | Bank of America, NA(a) | 5/3/2017 | (17 | ) | |||||||||||||||||
4,105 | Brazilian Real | 1,299 | Bank of America, NA(a) | 5/3/2017 | (6 | ) | |||||||||||||||||
41,040 | Brazilian Real | 12,990 | Bank of America, NA(a) | 5/3/2017 | (63 | ) | |||||||||||||||||
4,002 | Brazilian Real | 1,278 | Bank of America, NA(a) | 5/3/2017 | (17 | ) | |||||||||||||||||
41,047 | Brazilian Real | 12,990 | Bank of America, NA(a) | 5/3/2017 | (61 | ) | |||||||||||||||||
41,040 | Brazilian Real | 12,990 | Bank of America, NA(a) | 5/3/2017 | (63 | ) | |||||||||||||||||
41,047 | Brazilian Real | 12,990 | Bank of America, NA(a) | 5/3/2017 | (61 | ) | |||||||||||||||||
41,038 | Brazilian Real | 12,990 | Bank of America, NA(a) | 5/3/2017 | (64 | ) | |||||||||||||||||
40,028 | Brazilian Real | 12,785 | Bank of America, NA(a) | 5/3/2017 | (177 | ) | |||||||||||||||||
74,746 | Brazilian Real | 23,700 | Bank of America, NA(a) | 5/3/2017 | (157 | ) | |||||||||||||||||
3,898 | Brazilian Real | 1,247 | Bank of America, NA(a) | 5/3/2017 | (19 | ) | |||||||||||||||||
24,375 | Brazilian Real | 7,797 | Bank of America, NA(a) | 5/3/2017 | (119 | ) | |||||||||||||||||
163,299 | Brazilian Real | 52,243 | Bank of America, NA(a) | 5/3/2017 | (809 | ) | |||||||||||||||||
17,723 | Brazilian Real | 5,565 | Bank of America, NA(a) | 5/3/2017 | 17 | ||||||||||||||||||
17,727 | Brazilian Real | 5,565 | Bank of America, NA(a) | 5/3/2017 | 19 | ||||||||||||||||||
2,172 | Brazilian Real | 695 | Bank of America, NA(a) | 5/3/2017 | (11 | ) | |||||||||||||||||
4,101 | Brazilian Real | 1,298 | Bank of America, NA(a) | 5/3/2017 | (6 | ) | |||||||||||||||||
41,044 | Brazilian Real | 12,989 | Bank of America, NA(a) | 5/3/2017 | (61 | ) | |||||||||||||||||
124,299 | Brazilian Real | 39,565 | Bank of America, NA(a) | 5/3/2017 | (414 | ) | |||||||||||||||||
41,031 | Brazilian Real | 12,989 | Bank of America, NA(a) | 5/3/2017 | (66 | ) | |||||||||||||||||
67,811 | Brazilian Real | 21,786 | Bank of America, NA(a) | 5/3/2017 | (427 | ) | |||||||||||||||||
4,102 | Brazilian Real | 1,298 | Bank of America, NA(a) | 5/3/2017 | (6 | ) | |||||||||||||||||
1,773 | Brazilian Real | 556 | Bank of America, NA(a) | 5/3/2017 | 2 | ||||||||||||||||||
3,899 | Brazilian Real | 1,247 | Bank of America, NA(a) | 5/3/2017 | (19 | ) | |||||||||||||||||
39,000 | Brazilian Real | 12,473 | Bank of America, NA(a) | 5/3/2017 | (189 | ) | |||||||||||||||||
88,713 | Brazilian Real | 27,828 | Bank of America, NA(a) | 5/3/2017 | 114 | ||||||||||||||||||
1,772 | Brazilian Real | 556 | Bank of America, NA(a) | 5/3/2017 | 2 | ||||||||||||||||||
17,736 | Brazilian Real | 5,565 | Bank of America, NA(a) | 5/3/2017 | 21 | ||||||||||||||||||
3,901 | Brazilian Real | 1,247 | Bank of America, NA(a) | 5/3/2017 | (18 | ) | |||||||||||||||||
88,666 | Brazilian Real | 27,829 | Bank of America, NA(a) | 5/3/2017 | 98 | ||||||||||||||||||
88,660 | Brazilian Real | 27,829 | Bank of America, NA(a) | 5/3/2017 | 97 | ||||||||||||||||||
177,435 | Brazilian Real | 55,657 | Bank of America, NA(a) | 5/3/2017 | 230 | ||||||||||||||||||
1,773 | Brazilian Real | 556 | Bank of America, NA(a) | 5/3/2017 | 2 | ||||||||||||||||||
2,863 | Brazilian Real | 915 | Bank of America, NA(a) | 5/3/2017 | (13 | ) | |||||||||||||||||
39,006 | Brazilian Real | 12,473 | Bank of America, NA(a) | 5/3/2017 | (187 | ) | |||||||||||||||||
38,994 | Brazilian Real | 12,473 | Bank of America, NA(a) | 5/3/2017 | (191 | ) | |||||||||||||||||
4,101 | Brazilian Real | 1,298 | Bank of America, NA(a) | 5/3/2017 | (6 | ) | |||||||||||||||||
4,102 | Brazilian Real | 1,298 | Bank of America, NA(a) | 5/3/2017 | (6 | ) | |||||||||||||||||
3,899 | Brazilian Real | 1,247 | Bank of America, NA(a) | 5/3/2017 | (19 | ) |
See Notes to Consolidated Financial Statements
27
Consolidated Schedule of Investments Neuberger Berman Absolute Return Multi-Manager Fund (Unaudited) (cont'd)
Contracts to Receive | In Exchange For | Counterparty | Settlement Date | Net Unrealized Appreciation/ (Depreciation) | |||||||||||||||||||
3,899 | Brazilian Real | $ | 1,247 | Bank of America, NA(a) | 5/3/2017 | $ | (19 | ) | |||||||||||||||
39,028 | Brazilian Real | 12,474 | Bank of America, NA(a) | 5/3/2017 | (181 | ) | |||||||||||||||||
3,900 | Brazilian Real | 1,247 | Bank of America, NA(a) | 5/3/2017 | (18 | ) | |||||||||||||||||
39,022 | Brazilian Real | 12,474 | Bank of America, NA(a) | 5/3/2017 | (183 | ) | |||||||||||||||||
3,900 | Brazilian Real | 1,247 | Bank of America, NA(a) | 5/3/2017 | (19 | ) | |||||||||||||||||
3,899 | Brazilian Real | 1,247 | Bank of America, NA(a) | 5/3/2017 | (19 | ) | |||||||||||||||||
3,902 | Brazilian Real | 1,247 | Bank of America, NA(a) | 5/3/2017 | (18 | ) | |||||||||||||||||
41,037 | Brazilian Real | 12,989 | Bank of America, NA(a) | 5/3/2017 | (63 | ) | |||||||||||||||||
176,201 | Brazilian Real | 55,762 | Bank of America, NA(a) | 5/3/2017 | (264 | ) | |||||||||||||||||
60,073 | Brazilian Real | 18,841 | Bank of America, NA(a) | 5/3/2017 | 80 | ||||||||||||||||||
4,103 | Brazilian Real | 1,298 | Bank of America, NA(a) | 5/3/2017 | (6 | ) | |||||||||||||||||
9,428,055 | Brazilian Real | 2,998,221 | Bank of America, NA(a) | 5/3/2017 | (28,647 | ) | |||||||||||||||||
39,006 | Brazilian Real | 12,473 | Bank of America, NA(a) | 5/3/2017 | (187 | ) | |||||||||||||||||
39,012 | Brazilian Real | 12,473 | Bank of America, NA(a) | 5/3/2017 | (185 | ) | |||||||||||||||||
3,900 | Brazilian Real | 1,247 | Bank of America, NA(a) | 5/3/2017 | (18 | ) | |||||||||||||||||
1,772 | Brazilian Real | 556 | Bank of America, NA(a) | 5/3/2017 | 2 | ||||||||||||||||||
39,004 | Brazilian Real | 12,473 | Bank of America, NA(a) | 5/3/2017 | (188 | ) | |||||||||||||||||
17,736 | Brazilian Real | 5,566 | Bank of America, NA(a) | 5/3/2017 | 20 | ||||||||||||||||||
28,336 | Brazilian Real | 8,969 | Bank of America, NA(a) | 5/3/2017 | (44 | ) | |||||||||||||||||
12,305,225 | Brazilian Real | 3,826,430 | Bank of America, NA(a) | 6/2/2017 | 17,838 | ||||||||||||||||||
200,000 | Canadian Dollar | 149,211 | JPMorgan Chase Bank, NA | 6/15/2017 | (2,598 | ) | |||||||||||||||||
146,830 | Canadian Dollar | 110,232 | JPMorgan Chase Bank, NA | 6/30/2017 | (2,568 | ) | |||||||||||||||||
187,433 | Canadian Dollar | 140,173 | JPMorgan Chase Bank, NA | 6/30/2017 | �� | (2,737 | ) | ||||||||||||||||
4,917,374 | Chilean Peso | 7,591 | Bank of America, NA(a) | 6/21/2017 | (241 | ) | |||||||||||||||||
42,797 | Chilean Peso | 65 | Bank of America, NA(a) | 6/21/2017 | (1 | ) | |||||||||||||||||
481,121 | Chilean Peso | 727 | Bank of America, NA(a) | 6/21/2017 | (8 | ) | |||||||||||||||||
477,375 | Chilean Peso | 723 | Bank of America, NA(a) | 6/21/2017 | (9 | ) | |||||||||||||||||
973,419 | Chilean Peso | 1,465 | Bank of America, NA(a) | 6/21/2017 | (10 | ) | |||||||||||||||||
38,196 | Chilean Peso | 58 | Bank of America, NA(a) | 6/21/2017 | (1 | ) | |||||||||||||||||
2,161,366 | Chilean Peso | 3,285 | Bank of America, NA(a) | 6/21/2017 | (55 | ) | |||||||||||||||||
1,943,509 | Chilean Peso | 2,929 | Bank of America, NA(a) | 6/21/2017 | (24 | ) | |||||||||||||||||
587,072 | Chilean Peso | 886 | Bank of America, NA(a) | 6/21/2017 | (9 | ) | |||||||||||||||||
490,153 | Chilean Peso | 754 | Bank of America, NA(a) | 6/21/2017 | (21 | ) | |||||||||||||||||
2,776,870 | Chilean Peso | 4,177 | Bank of America, NA(a) | 6/21/2017 | (27 | ) | |||||||||||||||||
98,756 | Chilean Peso | 147 | Bank of America, NA(a) | 6/21/2017 | 1 | ||||||||||||||||||
781,389,546 | Chilean Peso | 1,175,658 | Bank of America, NA(a) | 6/21/2017 | (7,757 | ) | |||||||||||||||||
42,781 | Chilean Peso | 65 | Bank of America, NA(a) | 6/21/2017 | (1 | ) | |||||||||||||||||
178,241 | Czech Koruna | 7,146 | Bank of America, NA(a) | 6/21/2017 | 111 | ||||||||||||||||||
201,919 | Czech Koruna | 8,130 | Bank of America, NA(a) | 6/21/2017 | 91 | ||||||||||||||||||
2,342,959 | Czech Koruna | 94,360 | Bank of America, NA(a) | 6/21/2017 | 1,029 | ||||||||||||||||||
200,186 | Czech Koruna | 8,023 | Bank of America, NA(a) | 6/21/2017 | 127 | ||||||||||||||||||
183,799 | Czech Koruna | 7,368 | Bank of America, NA(a) | 6/21/2017 | 115 | ||||||||||||||||||
204,990 | Czech Koruna | 8,342 | Bank of America, NA(a) | 6/21/2017 | 4 |
See Notes to Consolidated Financial Statements
28
Consolidated Schedule of Investments Neuberger Berman Absolute Return Multi-Manager Fund (Unaudited) (cont'd)
Contracts to Receive | In Exchange For | Counterparty | Settlement Date | Net Unrealized Appreciation/ (Depreciation) | |||||||||||||||||||
75,518 | Czech Koruna | $ | 3,015 | Bank of America, NA(a) | 6/21/2017 | $ | 60 | ||||||||||||||||
1,660 | Czech Koruna | 67 | Bank of America, NA(a) | 6/21/2017 | 1 | ||||||||||||||||||
3,149,950 | Czech Koruna | 125,496 | Bank of America, NA(a) | 6/21/2017 | 2,748 | ||||||||||||||||||
5,031 | Czech Koruna | 202 | Bank of America, NA(a) | 6/21/2017 | 3 | ||||||||||||||||||
48,220 | Czech Koruna | 1,961 | Bank of America, NA(a) | 6/21/2017 | 2 | ||||||||||||||||||
563,928 | Czech Koruna | 22,873 | Bank of America, NA(a) | 6/21/2017 | 86 | ||||||||||||||||||
2,464,920 | Czech Koruna | 98,518 | Bank of America, NA(a) | 6/21/2017 | 1,836 | ||||||||||||||||||
587,978 | Czech Koruna | 23,699 | Bank of America, NA(a) | 6/21/2017 | 239 | ||||||||||||||||||
553,300 | Czech Koruna | 22,482 | Bank of America, NA(a) | 6/21/2017 | 44 | ||||||||||||||||||
550,000 | Euro | 584,320 | JPMorgan Chase Bank, NA | 6/15/2017 | 16,173 | ||||||||||||||||||
170,610 | Hungarian Forint | 583 | Bank of America, NA(a) | 6/21/2017 | 11 | ||||||||||||||||||
6,123,393 | Hungarian Forint | 21,420 | Bank of America, NA(a) | 6/21/2017 | (85 | ) | |||||||||||||||||
6,562,968 | Hungarian Forint | 22,945 | Bank of America, NA(a) | 6/21/2017 | (79 | ) | |||||||||||||||||
2,185,610 | Hungarian Forint | 7,501 | Bank of America, NA(a) | 6/21/2017 | 114 | ||||||||||||||||||
824,273 | Hungarian Forint | 2,848 | Bank of America, NA(a) | 6/21/2017 | 24 | ||||||||||||||||||
2,579,737 | Hungarian Forint | 9,053 | Bank of America, NA(a) | 6/21/2017 | (65 | ) | |||||||||||||||||
2,358,438 | Hungarian Forint | 8,233 | Bank of America, NA(a) | 6/21/2017 | (16 | ) | |||||||||||||||||
121,576 | Hungarian Forint | 425 | Bank of America, NA(a) | 6/21/2017 | (1 | ) | |||||||||||||||||
289,424 | Hungarian Forint | 1,014 | Bank of America, NA(a) | 6/21/2017 | (6 | ) | |||||||||||||||||
4,003,980 | Hungarian Forint | 13,821 | Bank of America, NA(a) | 6/21/2017 | 129 | ||||||||||||||||||
3,802,565 | Hungarian Forint | 13,153 | Bank of America, NA(a) | 6/21/2017 | 96 | ||||||||||||||||||
1,635,786 | Hungarian Forint | 5,703 | Bank of America, NA(a) | 6/21/2017 | (4 | ) | |||||||||||||||||
4,191,719 | Hungarian Forint | 14,536 | Bank of America, NA(a) | 6/21/2017 | 69 | ||||||||||||||||||
2,879,964 | Hungarian Forint | 9,891 | Bank of America, NA(a) | 6/21/2017 | 143 | ||||||||||||||||||
1,646,877 | Hungarian Forint | 5,618 | Bank of America, NA(a) | 6/21/2017 | 120 | ||||||||||||||||||
128,912 | Hungarian Forint | 451 | Bank of America, NA(a) | 6/21/2017 | (2 | ) | |||||||||||||||||
5,666,261 | Hungarian Forint | 19,859 | Bank of America, NA(a) | 6/21/2017 | (117 | ) | |||||||||||||||||
648,638 | Indian Rupee | 9,632 | Bank of America, NA(a) | 6/21/2017 | 403 | ||||||||||||||||||
185,037 | Indian Rupee | 2,853 | Bank of America, NA(a) | 6/21/2017 | 10 | ||||||||||||||||||
596,765 | Indian Rupee | 9,113 | Bank of America, NA(a) | 6/21/2017 | 119 | ||||||||||||||||||
1,230,061 | Indian Rupee | 18,879 | Bank of America, NA(a) | 6/21/2017 | 150 | ||||||||||||||||||
243,277,230 | Indian Rupee | 3,612,000 | Bank of America, NA(a) | 6/21/2017 | 151,578 | ||||||||||||||||||
121,579,920 | Indian Rupee | 1,806,000 | Bank of America, NA(a) | 6/21/2017 | 74,881 | ||||||||||||||||||
12,653,742 | Indian Rupee | 187,455 | Bank of America, NA(a) | 6/21/2017 | 8,303 | ||||||||||||||||||
548,510 | Indian Rupee | 8,324 | Bank of America, NA(a) | 6/21/2017 | 162 | ||||||||||||||||||
412,803 | Indian Rupee | 6,361 | Bank of America, NA(a) | 6/21/2017 | 25 | ||||||||||||||||||
432,160 | Indian Rupee | 6,602 | Bank of America, NA(a) | 6/21/2017 | 84 | ||||||||||||||||||
408,531 | Indian Rupee | 6,259 | Bank of America, NA(a) | 6/21/2017 | 61 | ||||||||||||||||||
796,738 | Indian Rupee | 12,179 | Bank of America, NA(a) | 6/21/2017 | 147 | ||||||||||||||||||
296,256 | Indian Rupee | 4,554 | Bank of America, NA(a) | 6/21/2017 | 29 | ||||||||||||||||||
3,457 | Israeli New Shekel | 953 | Bank of America, NA(a) | 6/21/2017 | 3 | ||||||||||||||||||
4,622,829 | Israeli New Shekel | 1,261,066 | Bank of America, NA(a) | 6/21/2017 | 17,436 | ||||||||||||||||||
4,713 | Israeli New Shekel | 1,305 | Bank of America, NA(a) | 6/21/2017 | (1 | ) |
See Notes to Consolidated Financial Statements
29
Consolidated Schedule of Investments Neuberger Berman Absolute Return Multi-Manager Fund (Unaudited) (cont'd)
Contracts to Receive | In Exchange For | Counterparty | Settlement Date | Net Unrealized Appreciation/ (Depreciation) | |||||||||||||||||||
9,885 | Israeli New Shekel | $ | 2,741 | Bank of America, NA(a) | 6/21/2017 | $ | (7 | ) | |||||||||||||||
16,911 | Israeli New Shekel | 4,691 | Bank of America, NA(a) | 6/21/2017 | (14 | ) | |||||||||||||||||
13,154 | Israeli New Shekel | 3,610 | Bank of America, NA(a) | 6/21/2017 | 28 | ||||||||||||||||||
11,265 | Israeli New Shekel | 3,086 | Bank of America, NA(a) | 6/21/2017 | 30 | ||||||||||||||||||
3,667,778 | Korean Won | 3,235 | Bank of America, NA(a) | 6/21/2017 | (10 | ) | |||||||||||||||||
146,377,715 | Korean Won | 129,802 | Bank of America, NA(a) | 6/21/2017 | (1,079 | ) | |||||||||||||||||
917,390 | Korean Won | 809 | Bank of America, NA(a) | 6/21/2017 | (2 | ) | |||||||||||||||||
917,228 | Korean Won | 809 | Bank of America, NA(a) | 6/21/2017 | (2 | ) | |||||||||||||||||
3,086,432 | Korean Won | 2,669 | Bank of America, NA(a) | 6/21/2017 | 45 | ||||||||||||||||||
1,505,288 | Korean Won | 1,328 | Bank of America, NA(a) | 6/21/2017 | (4 | ) | |||||||||||||||||
9,175,193 | Korean Won | 8,090 | Bank of America, NA(a) | 6/21/2017 | (21 | ) | |||||||||||||||||
9,172,523 | Korean Won | 8,090 | Bank of America, NA(a) | 6/21/2017 | (24 | ) | |||||||||||||||||
917,390 | Korean Won | 809 | Bank of America, NA(a) | 6/21/2017 | (2 | ) | |||||||||||||||||
9,174,707 | Korean Won | 8,090 | Bank of America, NA(a) | 6/21/2017 | (22 | ) | |||||||||||||||||
917,479 | Korean Won | 809 | Bank of America, NA(a) | 6/21/2017 | (2 | ) | |||||||||||||||||
917,519 | Korean Won | 809 | Bank of America, NA(a) | 6/21/2017 | (2 | ) | |||||||||||||||||
917,519 | Korean Won | 809 | Bank of America, NA(a) | 6/21/2017 | (2 | ) | |||||||||||||||||
9,172,523 | Korean Won | 8,090 | Bank of America, NA(a) | 6/21/2017 | (24 | ) | |||||||||||||||||
5,052,573 | Korean Won | 4,454 | Bank of America, NA(a) | 6/21/2017 | (11 | ) | |||||||||||||||||
3,841,835 | Korean Won | 3,407 | Bank of America, NA(a) | 6/21/2017 | (29 | ) | |||||||||||||||||
5,052,796 | Korean Won | 4,454 | Bank of America, NA(a) | 6/21/2017 | (11 | ) | |||||||||||||||||
1,103,866,376 | Korean Won | 954,035 | Bank of America, NA(a) | 6/21/2017 | 16,696 | ||||||||||||||||||
504,848 | Korean Won | 445 | Bank of America, NA(a) | 6/21/2017 | (1 | ) | |||||||||||||||||
504,804 | Korean Won | 445 | Bank of America, NA(a) | 6/21/2017 | (1 | ) | |||||||||||||||||
504,848 | Korean Won | 445 | Bank of America, NA(a) | 6/21/2017 | (1 | ) | |||||||||||||||||
917,519 | Korean Won | 809 | Bank of America, NA(a) | 6/21/2017 | (2 | ) | |||||||||||||||||
9,171,714 | Korean Won | 8,090 | Bank of America, NA(a) | 6/21/2017 | (24 | ) | |||||||||||||||||
917,179 | Korean Won | 809 | Bank of America, NA(a) | 6/21/2017 | (2 | ) | |||||||||||||||||
504,848 | Korean Won | 445 | Bank of America, NA(a) | 6/21/2017 | (1 | ) | |||||||||||||||||
5,053,018 | Korean Won | 4,454 | Bank of America, NA(a) | 6/21/2017 | (10 | ) | |||||||||||||||||
5,052,796 | Korean Won | 4,454 | Bank of America, NA(a) | 6/21/2017 | (11 | ) | |||||||||||||||||
9,173,332 | Korean Won | 8,090 | Bank of America, NA(a) | 6/21/2017 | (23 | ) | |||||||||||||||||
3,841,938 | Korean Won | 3,407 | Bank of America, NA(a) | 6/21/2017 | (28 | ) | |||||||||||||||||
5,053,108 | Korean Won | 4,454 | Bank of America, NA(a) | 6/21/2017 | (10 | ) | |||||||||||||||||
5,053,018 | Korean Won | 4,454 | Bank of America, NA(a) | 6/21/2017 | (10 | ) | |||||||||||||||||
8,374,003 | Korean Won | 7,412 | Bank of America, NA(a) | 6/21/2017 | (48 | ) | |||||||||||||||||
8,374,003 | Korean Won | 7,412 | Bank of America, NA(a) | 6/21/2017 | (48 | ) | |||||||||||||||||
837,182 | Korean Won | 741 | Bank of America, NA(a) | 6/21/2017 | (5 | ) | |||||||||||||||||
504,946 | Korean Won | 445 | Bank of America, NA(a) | 6/21/2017 | (1 | ) | |||||||||||||||||
504,759 | Korean Won | 445 | Bank of America, NA(a) | 6/21/2017 | (1 | ) | |||||||||||||||||
5,052,796 | Korean Won | 4,454 | Bank of America, NA(a) | 6/21/2017 | (11 | ) | |||||||||||||||||
504,946 | Korean Won | 445 | Bank of America, NA(a) | 6/21/2017 | (1 | ) | |||||||||||||||||
504,893 | Korean Won | 445 | Bank of America, NA(a) | 6/21/2017 | (1 | ) |
See Notes to Consolidated Financial Statements
30
Consolidated Schedule of Investments Neuberger Berman Absolute Return Multi-Manager Fund (Unaudited) (cont'd)
Contracts to Receive | In Exchange For | Counterparty | Settlement Date | Net Unrealized Appreciation/ (Depreciation) | |||||||||||||||||||
504,826 | Korean Won | $ | 445 | Bank of America, NA(a) | 6/21/2017 | $ | (1 | ) | |||||||||||||||
504,812 | Korean Won | 445 | Bank of America, NA(a) | 6/21/2017 | (1 | ) | |||||||||||||||||
8,374,003 | Korean Won | 7,412 | Bank of America, NA(a) | 6/21/2017 | (48 | ) | |||||||||||||||||
8,374,078 | Korean Won | 7,412 | Bank of America, NA(a) | 6/21/2017 | (48 | ) | |||||||||||||||||
6,484,995 | Korean Won | 5,740 | Bank of America, NA(a) | 6/21/2017 | (37 | ) | |||||||||||||||||
2,980,434 | Korean Won | 2,604 | Bank of America, NA(a) | 6/21/2017 | 17 | ||||||||||||||||||
837,174 | Korean Won | 741 | Bank of America, NA(a) | 6/21/2017 | (5 | ) | |||||||||||||||||
8,374,003 | Korean Won | 7,412 | Bank of America, NA(a) | 6/21/2017 | (48 | ) | |||||||||||||||||
837,174 | Korean Won | 741 | Bank of America, NA(a) | 6/21/2017 | (5 | ) | |||||||||||||||||
837,182 | Korean Won | 741 | Bank of America, NA(a) | 6/21/2017 | (5 | ) | |||||||||||||||||
8,374,078 | Korean Won | 7,412 | Bank of America, NA(a) | 6/21/2017 | (48 | ) | |||||||||||||||||
837,174 | Korean Won | 741 | Bank of America, NA(a) | 6/21/2017 | (5 | ) | |||||||||||||||||
837,174 | Korean Won | 741 | Bank of America, NA(a) | 6/21/2017 | (5 | ) | |||||||||||||||||
8,375,133 | Korean Won | 7,413 | Bank of America, NA(a) | 6/21/2017 | (48 | ) | |||||||||||||||||
837,174 | Korean Won | 741 | Bank of America, NA(a) | 6/21/2017 | (5 | ) | |||||||||||||||||
837,174 | Korean Won | 741 | Bank of America, NA(a) | 6/21/2017 | (5 | ) | |||||||||||||||||
9,175,597 | Korean Won | 8,090 | Bank of America, NA(a) | 6/21/2017 | (21 | ) | |||||||||||||||||
6,766,436 | Korean Won | 6,042 | Bank of America, NA(a) | 6/21/2017 | (92 | ) | |||||||||||||||||
8,372,874 | Korean Won | 7,411 | Bank of America, NA(a) | 6/21/2017 | (48 | ) | |||||||||||||||||
6,767,040 | Korean Won | 6,042 | Bank of America, NA(a) | 6/21/2017 | (91 | ) | |||||||||||||||||
447,980 | Korean Won | 400 | Bank of America, NA(a) | 6/21/2017 | (6 | ) | |||||||||||||||||
837,174 | Korean Won | 741 | Bank of America, NA(a) | 6/21/2017 | (5 | ) | |||||||||||||||||
8,372,948 | Korean Won | 7,411 | Bank of America, NA(a) | 6/21/2017 | (48 | ) | |||||||||||||||||
6,766,738 | Korean Won | 6,042 | Bank of America, NA(a) | 6/21/2017 | (91 | ) | |||||||||||||||||
6,680,588 | Korean Won | 5,975 | Bank of America, NA(a) | 6/21/2017 | (100 | ) | |||||||||||||||||
4,765,496 | Korean Won | 4,218 | Bank of America, NA(a) | 6/21/2017 | (27 | ) | |||||||||||||||||
475,646 | Korean Won | 421 | Bank of America, NA(a) | 6/21/2017 | (3 | ) | |||||||||||||||||
475,642 | Korean Won | 421 | Bank of America, NA(a) | 6/21/2017 | (3 | ) | |||||||||||||||||
4,765,454 | Korean Won | 4,218 | Bank of America, NA(a) | 6/21/2017 | (27 | ) | |||||||||||||||||
475,646 | Korean Won | 421 | Bank of America, NA(a) | 6/21/2017 | (3 | ) | |||||||||||||||||
465,473 | Korean Won | 412 | Bank of America, NA(a) | 6/21/2017 | (3 | ) | |||||||||||||||||
8,374,003 | Korean Won | 7,412 | Bank of America, NA(a) | 6/21/2017 | (48 | ) | |||||||||||||||||
837,182 | Korean Won | 741 | Bank of America, NA(a) | 6/21/2017 | (5 | ) | |||||||||||||||||
837,174 | Korean Won | 741 | Bank of America, NA(a) | 6/21/2017 | (5 | ) | |||||||||||||||||
837,182 | Korean Won | 741 | Bank of America, NA(a) | 6/21/2017 | (5 | ) | |||||||||||||||||
8,374,003 | Korean Won | 7,412 | Bank of America, NA(a) | 6/21/2017 | (48 | ) | |||||||||||||||||
837,174 | Korean Won | 741 | Bank of America, NA(a) | 6/21/2017 | (5 | ) | |||||||||||||||||
8,374,078 | Korean Won | 7,412 | Bank of America, NA(a) | 6/21/2017 | (48 | ) | |||||||||||||||||
8,374,003 | Korean Won | 7,412 | Bank of America, NA(a) | 6/21/2017 | (48 | ) | |||||||||||||||||
837,174 | Korean Won | 741 | Bank of America, NA(a) | 6/21/2017 | (5 | ) | |||||||||||||||||
8,374,003 | Korean Won | 7,412 | Bank of America, NA(a) | 6/21/2017 | (48 | ) | |||||||||||||||||
67,648,826 | Korean Won | 60,418 | Bank of America, NA(a) | 6/21/2017 | (928 | ) | |||||||||||||||||
837,174 | Korean Won | 741 | Bank of America, NA(a) | 6/21/2017 | (5 | ) |
See Notes to Consolidated Financial Statements
31
Consolidated Schedule of Investments Neuberger Berman Absolute Return Multi-Manager Fund (Unaudited) (cont'd)
Contracts to Receive | In Exchange For | Counterparty | Settlement Date | Net Unrealized Appreciation/ (Depreciation) | |||||||||||||||||||
837,182 | Korean Won | $ | 741 | Bank of America, NA(a) | 6/21/2017 | $ | (5 | ) | |||||||||||||||
4,765,454 | Korean Won | 4,218 | Bank of America, NA(a) | 6/21/2017 | (27 | ) | |||||||||||||||||
6,766,134 | Korean Won | 6,042 | Bank of America, NA(a) | 6/21/2017 | (92 | ) | |||||||||||||||||
6,767,644 | Korean Won | 6,042 | Bank of America, NA(a) | 6/21/2017 | (91 | ) | |||||||||||||||||
6,767,644 | Korean Won | 6,042 | Bank of America, NA(a) | 6/21/2017 | (91 | ) | |||||||||||||||||
6,766,738 | Korean Won | 6,042 | Bank of America, NA(a) | 6/21/2017 | (91 | ) | |||||||||||||||||
837,182 | Korean Won | 741 | Bank of America, NA(a) | 6/21/2017 | (5 | ) | |||||||||||||||||
6,767,342 | Korean Won | 6,042 | Bank of America, NA(a) | 6/21/2017 | (91 | ) | |||||||||||||||||
8,374,003 | Korean Won | 7,412 | Bank of America, NA(a) | 6/21/2017 | (48 | ) | |||||||||||||||||
383,350 | Korean Won | 340 | Bank of America, NA(a) | 6/21/2017 | (3 | ) | |||||||||||||||||
9,175,597 | Korean Won | 8,090 | Bank of America, NA(a) | 6/21/2017 | (21 | ) | |||||||||||||||||
9,174,788 | Korean Won | 8,090 | Bank of America, NA(a) | 6/21/2017 | (22 | ) | |||||||||||||||||
504,848 | Korean Won | 445 | Bank of America, NA(a) | 6/21/2017 | (1 | ) | |||||||||||||||||
5,053,018 | Korean Won | 4,454 | Bank of America, NA(a) | 6/21/2017 | (10 | ) | |||||||||||||||||
5,053,018 | Korean Won | 4,454 | Bank of America, NA(a) | 6/21/2017 | (10 | ) | |||||||||||||||||
6,768,248 | Korean Won | 6,042 | Bank of America, NA(a) | 6/21/2017 | (90 | ) | |||||||||||||||||
6,764,321 | Korean Won | 6,042 | Bank of America, NA(a) | 6/21/2017 | (94 | ) | |||||||||||||||||
6,764,321 | Korean Won | 6,042 | Bank of America, NA(a) | 6/21/2017 | (94 | ) | |||||||||||||||||
6,764,925 | Korean Won | 6,042 | Bank of America, NA(a) | 6/21/2017 | (93 | ) | |||||||||||||||||
4,765,454 | Korean Won | 4,218 | Bank of America, NA(a) | 6/21/2017 | (27 | ) | |||||||||||||||||
66,832,535 | Korean Won | 59,753 | Bank of America, NA(a) | 6/21/2017 | (981 | ) | |||||||||||||||||
6,765,832 | Korean Won | 6,042 | Bank of America, NA(a) | 6/21/2017 | (92 | ) | |||||||||||||||||
6,764,321 | Korean Won | 6,042 | Bank of America, NA(a) | 6/21/2017 | (94 | ) | |||||||||||||||||
6,764,019 | Korean Won | 6,042 | Bank of America, NA(a) | 6/21/2017 | (94 | ) | |||||||||||||||||
6,766,134 | Korean Won | 6,042 | Bank of America, NA(a) | 6/21/2017 | (92 | ) | |||||||||||||||||
6,768,551 | Korean Won | 6,042 | Bank of America, NA(a) | 6/21/2017 | (90 | ) | |||||||||||||||||
6,764,321 | Korean Won | 6,042 | Bank of America, NA(a) | 6/21/2017 | (94 | ) | |||||||||||||||||
6,764,321 | Korean Won | 6,042 | Bank of America, NA(a) | 6/21/2017 | (94 | ) | |||||||||||||||||
6,764,019 | Korean Won | 6,042 | Bank of America, NA(a) | 6/21/2017 | (94 | ) | |||||||||||||||||
50,582,385 | Korean Won | 44,544 | Bank of America, NA(a) | 6/21/2017 | (62 | ) | |||||||||||||||||
55,456,991 | Korean Won | 49,471 | Bank of America, NA(a) | 6/21/2017 | (703 | ) | |||||||||||||||||
383,391 | Korean Won | 340 | Bank of America, NA(a) | 6/21/2017 | (3 | ) | |||||||||||||||||
5,545,340 | Korean Won | 4,947 | Bank of America, NA(a) | 6/21/2017 | (70 | ) | |||||||||||||||||
475,642 | Korean Won | 421 | Bank of America, NA(a) | 6/21/2017 | (3 | ) | |||||||||||||||||
18,145,578 | Korean Won | 16,191 | Bank of America, NA(a) | 6/21/2017 | (234 | ) | |||||||||||||||||
3,006,461 | Korean Won | 2,702 | Bank of America, NA(a) | 6/21/2017 | (58 | ) | |||||||||||||||||
475,646 | Korean Won | 421 | Bank of America, NA(a) | 6/21/2017 | (3 | ) | |||||||||||||||||
383,384 | Korean Won | 340 | Bank of America, NA(a) | 6/21/2017 | (3 | ) | |||||||||||||||||
4,765,454 | Korean Won | 4,218 | Bank of America, NA(a) | 6/21/2017 | (27 | ) | |||||||||||||||||
475,646 | Korean Won | 421 | Bank of America, NA(a) | 6/21/2017 | (3 | ) | |||||||||||||||||
5,544,845 | Korean Won | 4,947 | Bank of America, NA(a) | 6/21/2017 | (71 | ) | |||||||||||||||||
4,765,454 | Korean Won | 4,218 | Bank of America, NA(a) | 6/21/2017 | (27 | ) | |||||||||||||||||
475,642 | Korean Won | 421 | Bank of America, NA(a) | 6/21/2017 | (3 | ) |
See Notes to Consolidated Financial Statements
32
Consolidated Schedule of Investments Neuberger Berman Absolute Return Multi-Manager Fund (Unaudited) (cont'd)
Contracts to Receive | In Exchange For | Counterparty | Settlement Date | Net Unrealized Appreciation/ (Depreciation) | |||||||||||||||||||
6,566,467 | Korean Won | $ | 5,858 | Bank of America, NA(a) | 6/21/2017 | $ | (84 | ) | |||||||||||||||
6,566,349 | Korean Won | 5,858 | Bank of America, NA(a) | 6/21/2017 | (84 | ) | |||||||||||||||||
6,569,278 | Korean Won | 5,858 | Bank of America, NA(a) | 6/21/2017 | (81 | ) | |||||||||||||||||
6,408,403 | Korean Won | 5,760 | Bank of America, NA(a) | 6/21/2017 | (125 | ) | |||||||||||||||||
32,834,282 | Korean Won | 29,292 | Bank of America, NA(a) | 6/21/2017 | (418 | ) | |||||||||||||||||
6,569,103 | Korean Won | 5,858 | Bank of America, NA(a) | 6/21/2017 | (81 | ) | |||||||||||||||||
6,566,408 | Korean Won | 5,858 | Bank of America, NA(a) | 6/21/2017 | (84 | ) | |||||||||||||||||
6,568,693 | Korean Won | 5,858 | Bank of America, NA(a) | 6/21/2017 | (82 | ) | |||||||||||||||||
4,765,707 | Korean Won | 4,218 | Bank of America, NA(a) | 6/21/2017 | (27 | ) | |||||||||||||||||
4,765,454 | Korean Won | 4,218 | Bank of America, NA(a) | 6/21/2017 | (27 | ) | |||||||||||||||||
6,565,295 | Korean Won | 5,858 | Bank of America, NA(a) | 6/21/2017 | (85 | ) | |||||||||||||||||
475,642 | Korean Won | 421 | Bank of America, NA(a) | 6/21/2017 | (3 | ) | |||||||||||||||||
4,765,454 | Korean Won | 4,218 | Bank of America, NA(a) | 6/21/2017 | (27 | ) | |||||||||||||||||
475,642 | Korean Won | 421 | Bank of America, NA(a) | 6/21/2017 | (3 | ) | |||||||||||||||||
5,543,905 | Korean Won | 4,947 | Bank of America, NA(a) | 6/21/2017 | (72 | ) | |||||||||||||||||
553,404 | Korean Won | 494 | Bank of America, NA(a) | 6/21/2017 | (7 | ) | |||||||||||||||||
6,680,946 | Korean Won | 5,975 | Bank of America, NA(a) | 6/21/2017 | (100 | ) | |||||||||||||||||
33,413,318 | Korean Won | 29,876 | Bank of America, NA(a) | 6/21/2017 | (493 | ) | |||||||||||||||||
6,685,069 | Korean Won | 5,975 | Bank of America, NA(a) | 6/21/2017 | (96 | ) | |||||||||||||||||
4,765,496 | Korean Won | 4,218 | Bank of America, NA(a) | 6/21/2017 | (27 | ) | |||||||||||||||||
475,642 | Korean Won | 421 | Bank of America, NA(a) | 6/21/2017 | (3 | ) | |||||||||||||||||
475,642 | Korean Won | 421 | Bank of America, NA(a) | 6/21/2017 | (3 | ) | |||||||||||||||||
30,136,554 | Korean Won | 26,943 | Bank of America, NA(a) | 6/21/2017 | (441 | ) | |||||||||||||||||
6,685,129 | Korean Won | 5,975 | Bank of America, NA(a) | 6/21/2017 | (96 | ) | |||||||||||||||||
1,463,106 | Korean Won | 1,298 | Bank of America, NA(a) | 6/21/2017 | (11 | ) | |||||||||||||||||
4,765,454 | Korean Won | 4,218 | Bank of America, NA(a) | 6/21/2017 | (27 | ) | |||||||||||||||||
4,765,454 | Korean Won | 4,218 | Bank of America, NA(a) | 6/21/2017 | (27 | ) | |||||||||||||||||
6,684,233 | Korean Won | 5,975 | Bank of America, NA(a) | 6/21/2017 | (97 | ) | |||||||||||||||||
6,682,321 | Korean Won | 5,975 | Bank of America, NA(a) | 6/21/2017 | (99 | ) | |||||||||||||||||
27,720,166 | Korean Won | 24,738 | Bank of America, NA(a) | 6/21/2017 | (361 | ) | |||||||||||||||||
553,404 | Korean Won | 494 | Bank of America, NA(a) | 6/21/2017 | (7 | ) | |||||||||||||||||
5,354,296 | Korean Won | 4,779 | Bank of America, NA(a) | 6/21/2017 | (70 | ) | |||||||||||||||||
5,542,916 | Korean Won | 4,947 | Bank of America, NA(a) | �� | 6/21/2017 | (73 | ) | ||||||||||||||||
27,715,699 | Korean Won | 24,736 | Bank of America, NA(a) | 6/21/2017 | (363 | ) | |||||||||||||||||
5,543,096 | Korean Won | 4,948 | Bank of America, NA(a) | 6/21/2017 | (73 | ) | |||||||||||||||||
5,542,421 | Korean Won | 4,947 | Bank of America, NA(a) | 6/21/2017 | (73 | ) | |||||||||||||||||
475,642 | Korean Won | 421 | Bank of America, NA(a) | 6/21/2017 | (3 | ) | |||||||||||||||||
3,841,052 | Korean Won | 3,407 | Bank of America, NA(a) | 6/21/2017 | (29 | ) | |||||||||||||||||
6,682,619 | Korean Won | 5,975 | Bank of America, NA(a) | 6/21/2017 | (98 | ) | |||||||||||||||||
5,542,421 | Korean Won | 4,947 | Bank of America, NA(a) | 6/21/2017 | (73 | ) | |||||||||||||||||
5,542,223 | Korean Won | 4,947 | Bank of America, NA(a) | 6/21/2017 | (73 | ) | |||||||||||||||||
5,542,223 | Korean Won | 4,947 | Bank of America, NA(a) | 6/21/2017 | (73 | ) | |||||||||||||||||
32,044,569 | Korean Won | 28,801 | Bank of America, NA(a) | 6/21/2017 | (621 | ) |
See Notes to Consolidated Financial Statements
33
Consolidated Schedule of Investments Neuberger Berman Absolute Return Multi-Manager Fund (Unaudited) (cont'd)
Contracts to Receive | In Exchange For | Counterparty | Settlement Date | Net Unrealized Appreciation/ (Depreciation) | |||||||||||||||||||
6,408,403 | Korean Won | $ | 5,760 | Bank of America, NA(a) | 6/21/2017 | $ | (125 | ) | |||||||||||||||
32,046,009 | Korean Won | 28,801 | Bank of America, NA(a) | 6/21/2017 | (620 | ) | |||||||||||||||||
4,765,454 | Korean Won | 4,218 | Bank of America, NA(a) | 6/21/2017 | (27 | ) | |||||||||||||||||
5,908,335 | Korean Won | 5,239 | Bank of America, NA(a) | 6/21/2017 | (43 | ) | |||||||||||||||||
6,569,278 | Korean Won | 5,858 | Bank of America, NA(a) | 6/21/2017 | (81 | ) | |||||||||||||||||
640,863 | Korean Won | 576 | Bank of America, NA(a) | 6/21/2017 | (12 | ) | |||||||||||||||||
6,408,403 | Korean Won | 5,760 | Bank of America, NA(a) | 6/21/2017 | (125 | ) | |||||||||||||||||
6,563,580 | Korean Won | 5,865 | Bank of America, NA(a) | 6/21/2017 | (93 | ) | |||||||||||||||||
6,562,998 | Korean Won | 5,866 | Bank of America, NA(a) | 6/21/2017 | (95 | ) | |||||||||||||||||
475,646 | Korean Won | 421 | Bank of America, NA(a) | 6/21/2017 | (3 | ) | |||||||||||||||||
475,646 | Korean Won | 421 | Bank of America, NA(a) | 6/21/2017 | (3 | ) | |||||||||||||||||
65,703,814 | Korean Won | 58,582 | Bank of America, NA(a) | 6/21/2017 | (803 | ) | |||||||||||||||||
3,841,563 | Korean Won | 3,407 | Bank of America, NA(a) | 6/21/2017 | (29 | ) | |||||||||||||||||
4,765,454 | Korean Won | 4,218 | Bank of America, NA(a) | 6/21/2017 | (27 | ) | |||||||||||||||||
504,870 | Korean Won | 445 | Bank of America, NA(a) | 6/21/2017 | (1 | ) | |||||||||||||||||
504,857 | Korean Won | 445 | Bank of America, NA(a) | 6/21/2017 | (1 | ) | |||||||||||||||||
5,056,448 | Korean Won | 4,454 | Bank of America, NA(a) | 6/21/2017 | (7 | ) | |||||||||||||||||
505,209 | Korean Won | 445 | Bank of America, NA(a) | 6/21/2017 | (1 | ) | |||||||||||||||||
383,350 | Korean Won | 340 | Bank of America, NA(a) | 6/21/2017 | (3 | ) | |||||||||||||||||
3,841,563 | Korean Won | 3,407 | Bank of America, NA(a) | 6/21/2017 | (29 | ) | |||||||||||||||||
5,055,780 | Korean Won | 4,454 | Bank of America, NA(a) | 6/21/2017 | (8 | ) | |||||||||||||||||
6,408,979 | Korean Won | 5,760 | Bank of America, NA(a) | 6/21/2017 | (124 | ) | |||||||||||||||||
4,765,454 | Korean Won | 4,218 | Bank of America, NA(a) | 6/21/2017 | (27 | ) | |||||||||||||||||
475,642 | Korean Won | 421 | Bank of America, NA(a) | 6/21/2017 | (3 | ) | |||||||||||||||||
475,642 | Korean Won | 421 | Bank of America, NA(a) | 6/21/2017 | (3 | ) | |||||||||||||||||
475,642 | Korean Won | 421 | Bank of America, NA(a) | 6/21/2017 | (3 | ) | |||||||||||||||||
475,642 | Korean Won | 421 | Bank of America, NA(a) | 6/21/2017 | (3 | ) | |||||||||||||||||
65,652,326 | Korean Won | 58,659 | Bank of America, NA(a) | 6/21/2017 | (925 | ) | |||||||||||||||||
475,667 | Korean Won | 421 | Bank of America, NA(a) | 6/21/2017 | (3 | ) | |||||||||||||||||
475,667 | Korean Won | 421 | Bank of America, NA(a) | 6/21/2017 | (3 | ) | |||||||||||||||||
64,098,969 | Korean Won | 57,601 | Bank of America, NA(a) | 6/21/2017 | (1,233 | ) | |||||||||||||||||
32,044,896 | Korean Won | 28,800 | Bank of America, NA(a) | 6/21/2017 | (620 | ) | |||||||||||||||||
6,409,613 | Korean Won | 5,760 | Bank of America, NA(a) | 6/21/2017 | (123 | ) | |||||||||||||||||
13,684,640 | Korean Won | 12,135 | Bank of America, NA(a) | 6/21/2017 | (101 | ) | |||||||||||||||||
640,863 | Korean Won | 576 | Bank of America, NA(a) | 6/21/2017 | (12 | ) | |||||||||||||||||
6,408,403 | Korean Won | 5,760 | Bank of America, NA(a) | 6/21/2017 | (125 | ) | |||||||||||||||||
640,869 | Korean Won | 576 | Bank of America, NA(a) | 6/21/2017 | (12 | ) | |||||||||||||||||
640,777 | Korean Won | 576 | Bank of America, NA(a) | 6/21/2017 | (13 | ) | |||||||||||||||||
32,045,721 | Korean Won | 28,801 | Bank of America, NA(a) | 6/21/2017 | (620 | ) | |||||||||||||||||
6,408,403 | Korean Won | 5,760 | Bank of America, NA(a) | 6/21/2017 | (125 | ) | |||||||||||||||||
47,660,176 | Korean Won | 42,182 | Bank of America, NA(a) | 6/21/2017 | (270 | ) | |||||||||||||||||
6,409,498 | Korean Won | 5,760 | Bank of America, NA(a) | 6/21/2017 | (124 | ) | |||||||||||||||||
4,765,496 | Korean Won | 4,218 | Bank of America, NA(a) | 6/21/2017 | (27 | ) |
See Notes to Consolidated Financial Statements
34
Consolidated Schedule of Investments Neuberger Berman Absolute Return Multi-Manager Fund (Unaudited) (cont'd)
Contracts to Receive | In Exchange For | Counterparty | Settlement Date | Net Unrealized Appreciation/ (Depreciation) | |||||||||||||||||||
6,561,884 | Korean Won | $ | 5,866 | Bank of America, NA(a) | 6/21/2017 | $ | (96 | ) | |||||||||||||||
475,642 | Korean Won | 421 | Bank of America, NA(a) | 6/21/2017 | (3 | ) | |||||||||||||||||
4,765,454 | Korean Won | 4,218 | Bank of America, NA(a) | 6/21/2017 | (27 | ) | |||||||||||||||||
4,765,454 | Korean Won | 4,218 | Bank of America, NA(a) | 6/21/2017 | (27 | ) | |||||||||||||||||
6,562,700 | Korean Won | 5,865 | Bank of America, NA(a) | 6/21/2017 | (94 | ) | |||||||||||||||||
23,713,743 | Korean Won | 21,201 | Bank of America, NA(a) | 6/21/2017 | (347 | ) | |||||||||||||||||
655,511 | Korean Won | 586 | Bank of America, NA(a) | 6/21/2017 | (10 | ) | |||||||||||||||||
4,765,454 | Korean Won | 4,218 | Bank of America, NA(a) | 6/21/2017 | (27 | ) | |||||||||||||||||
6,409,555 | Korean Won | 5,760 | Bank of America, NA(a) | 6/21/2017 | (123 | ) | |||||||||||||||||
32,805,898 | Korean Won | 29,330 | Bank of America, NA(a) | 6/21/2017 | (481 | ) | |||||||||||||||||
6,562,118 | Korean Won | 5,866 | Bank of America, NA(a) | 6/21/2017 | (95 | ) | |||||||||||||||||
6,561,297 | Korean Won | 5,866 | Bank of America, NA(a) | 6/21/2017 | (96 | ) | |||||||||||||||||
837,174 | Korean Won | 741 | Bank of America, NA(a) | 6/21/2017 | (5 | ) | |||||||||||||||||
14,634,779 | Korean Won | 12,981 | Bank of America, NA(a) | 6/21/2017 | (111 | ) | |||||||||||||||||
6,569,744 | Korean Won | 5,914 | Bank of America, NA(a) | 6/21/2017 | (137 | ) | |||||||||||||||||
5,807,733 | Korean Won | 5,228 | Bank of America, NA(a) | 6/21/2017 | (121 | ) | |||||||||||||||||
6,569,047 | Korean Won | 5,913 | Bank of America, NA(a) | 6/21/2017 | (136 | ) | |||||||||||||||||
1,463,326 | Korean Won | 1,298 | Bank of America, NA(a) | 6/21/2017 | (11 | ) | |||||||||||||||||
14,633,481 | Korean Won | 12,981 | Bank of America, NA(a) | 6/21/2017 | (112 | ) | |||||||||||||||||
14,630,537 | Korean Won | 12,980 | Bank of America, NA(a) | 6/21/2017 | (114 | ) | |||||||||||||||||
42,439,174 | Korean Won | 37,765 | Bank of America, NA(a) | 6/21/2017 | (444 | ) | |||||||||||||||||
14,637,505 | Korean Won | 12,981 | Bank of America, NA(a) | 6/21/2017 | (109 | ) | |||||||||||||||||
25,594,630 | Korean Won | 23,000 | Bank of America, NA(a) | 6/21/2017 | (492 | ) | |||||||||||||||||
63,914,886 | Korean Won | 57,480 | Bank of America, NA(a) | 6/21/2017 | (1,274 | ) | |||||||||||||||||
8,488,817 | Korean Won | 7,553 | Bank of America, NA(a) | 6/21/2017 | (88 | ) | |||||||||||||||||
6,390,684 | Korean Won | 5,748 | Bank of America, NA(a) | 6/21/2017 | (128 | ) | |||||||||||||||||
6,567,806 | Korean Won | 5,913 | Bank of America, NA(a) | 6/21/2017 | (137 | ) | |||||||||||||||||
14,630,018 | Korean Won | 12,980 | Bank of America, NA(a) | 6/21/2017 | (114 | ) | |||||||||||||||||
6,568,397 | Korean Won | 5,913 | Bank of America, NA(a) | 6/21/2017 | (137 | ) | |||||||||||||||||
8,485,418 | Korean Won | 7,553 | Bank of America, NA(a) | 6/21/2017 | (91 | ) | |||||||||||||||||
6,568,338 | Korean Won | 5,913 | Bank of America, NA(a) | 6/21/2017 | (137 | ) | |||||||||||||||||
32,838,365 | Korean Won | 29,566 | Bank of America, NA(a) | 6/21/2017 | (688 | ) | |||||||||||||||||
65,694,469 | Korean Won | 59,132 | Bank of America, NA(a) | 6/21/2017 | (1,361 | ) | |||||||||||||||||
1,462,989 | Korean Won | 1,298 | Bank of America, NA(a) | 6/21/2017 | (11 | ) | |||||||||||||||||
6,567,806 | Korean Won | 5,913 | Bank of America, NA(a) | 6/21/2017 | (137 | ) | |||||||||||||||||
6,568,397 | Korean Won | 5,913 | Bank of America, NA(a) | 6/21/2017 | (137 | ) | |||||||||||||||||
6,567,806 | Korean Won | 5,913 | Bank of America, NA(a) | 6/21/2017 | (137 | ) | |||||||||||||||||
6,390,224 | Korean Won | 5,748 | Bank of America, NA(a) | 6/21/2017 | (128 | ) | |||||||||||||||||
32,842,800 | Korean Won | 29,566 | Bank of America, NA(a) | 6/21/2017 | (684 | ) | |||||||||||||||||
656,382 | Korean Won | 591 | Bank of America, NA(a) | 6/21/2017 | (14 | ) | |||||||||||||||||
6,569,744 | Korean Won | 5,914 | Bank of America, NA(a) | 6/21/2017 | (137 | ) | |||||||||||||||||
2,954,394 | Korean Won | 2,658 | Bank of America, NA(a) | 6/21/2017 | (60 | ) | |||||||||||||||||
8,483,454 | Korean Won | 7,553 | Bank of America, NA(a) | 6/21/2017 | (93 | ) |
See Notes to Consolidated Financial Statements
35
Consolidated Schedule of Investments Neuberger Berman Absolute Return Multi-Manager Fund (Unaudited) (cont'd)
Contracts to Receive | In Exchange For | Counterparty | Settlement Date | Net Unrealized Appreciation/ (Depreciation) | |||||||||||||||||||
8,483,907 | Korean Won | $ | 7,553 | Bank of America, NA(a) | 6/21/2017 | $ | (92 | ) | |||||||||||||||
8,487,599 | Korean Won | 7,554 | Bank of America, NA(a) | 6/21/2017 | (90 | ) | |||||||||||||||||
3,931,376 | Korean Won | 3,537 | Bank of America, NA(a) | 6/21/2017 | (80 | ) | |||||||||||||||||
3,932,876 | Korean Won | 3,538 | Bank of America, NA(a) | 6/21/2017 | (79 | ) | |||||||||||||||||
8,483,379 | Korean Won | 7,553 | Bank of America, NA(a) | 6/21/2017 | (93 | ) | |||||||||||||||||
8,483,001 | Korean Won | 7,553 | Bank of America, NA(a) | 6/21/2017 | (93 | ) | |||||||||||||||||
8,090,266 | Korean Won | 7,203 | Bank of America, NA(a) | 6/21/2017 | (88 | ) | |||||||||||||||||
38,328,170 | Korean Won | 34,091 | Bank of America, NA(a) | 6/21/2017 | (386 | ) | |||||||||||||||||
8,485,493 | Korean Won | 7,553 | Bank of America, NA(a) | 6/21/2017 | (91 | ) | |||||||||||||||||
8,486,022 | Korean Won | 7,553 | Bank of America, NA(a) | 6/21/2017 | (90 | ) | |||||||||||||||||
848,386 | Korean Won | 755 | Bank of America, NA(a) | 6/21/2017 | (9 | ) | |||||||||||||||||
848,303 | Korean Won | 755 | Bank of America, NA(a) | 6/21/2017 | (9 | ) | |||||||||||||||||
32,847,163 | Korean Won | 29,567 | Bank of America, NA(a) | 6/21/2017 | (681 | ) | |||||||||||||||||
6,568,633 | Korean Won | 5,913 | Bank of America, NA(a) | 6/21/2017 | (137 | ) | |||||||||||||||||
6,568,988 | Korean Won | 5,913 | Bank of America, NA(a) | 6/21/2017 | (136 | ) | |||||||||||||||||
6,569,047 | Korean Won | 5,913 | Bank of America, NA(a) | 6/21/2017 | (136 | ) | |||||||||||||||||
6,568,456 | Korean Won | 5,913 | Bank of America, NA(a) | 6/21/2017 | (137 | ) | |||||||||||||||||
6,568,456 | Korean Won | 5,913 | Bank of America, NA(a) | 6/21/2017 | (137 | ) | |||||||||||||||||
6,567,214 | Korean Won | 5,913 | Bank of America, NA(a) | 6/21/2017 | (138 | ) | |||||||||||||||||
656,447 | Korean Won | 591 | Bank of America, NA(a) | 6/21/2017 | (14 | ) | |||||||||||||||||
6,567,214 | Korean Won | 5,913 | Bank of America, NA(a) | 6/21/2017 | (138 | ) | |||||||||||||||||
848,303 | Korean Won | 755 | Bank of America, NA(a) | 6/21/2017 | (9 | ) | |||||||||||||||||
6,569,212 | Korean Won | 5,914 | Bank of America, NA(a) | 6/21/2017 | (137 | ) | |||||||||||||||||
1,463,119 | Korean Won | 1,298 | Bank of America, NA(a) | 6/21/2017 | (11 | ) | |||||||||||||||||
32,845,021 | Korean Won | 29,568 | Bank of America, NA(a) | 6/21/2017 | (684 | ) | |||||||||||||||||
11,958,204 | Korean Won | 10,423 | Bank of America, NA(a) | 6/21/2017 | 93 | ||||||||||||||||||
1,463,820 | Korean Won | 1,298 | Bank of America, NA(a) | 6/21/2017 | (11 | ) | |||||||||||||||||
31,947,959 | Korean Won | 28,740 | Bank of America, NA(a) | 6/21/2017 | (645 | ) | |||||||||||||||||
638,070 | Korean Won | 574 | Bank of America, NA(a) | 6/21/2017 | (13 | ) | |||||||||||||||||
6,389,074 | Korean Won | 5,748 | Bank of America, NA(a) | 6/21/2017 | (130 | ) | |||||||||||||||||
31,952,232 | Korean Won | 28,741 | Bank of America, NA(a) | 6/21/2017 | (642 | ) | |||||||||||||||||
6,389,592 | Korean Won | 5,748 | Bank of America, NA(a) | 6/21/2017 | (129 | ) | |||||||||||||||||
33,116,366 | Korean Won | 29,663 | Bank of America, NA(a) | 6/21/2017 | (541 | ) | |||||||||||||||||
6,622,070 | Korean Won | 5,932 | Bank of America, NA(a) | 6/21/2017 | (109 | ) | |||||||||||||||||
6,621,476 | Korean Won | 5,932 | Bank of America, NA(a) | 6/21/2017 | (109 | ) | |||||||||||||||||
33,108,880 | Korean Won | 29,664 | Bank of America, NA(a) | 6/21/2017 | (548 | ) | |||||||||||||||||
6,622,603 | Korean Won | 5,932 | Bank of America, NA(a) | 6/21/2017 | (108 | ) | |||||||||||||||||
6,622,663 | Korean Won | 5,932 | Bank of America, NA(a) | 6/21/2017 | (108 | ) | |||||||||||||||||
6,622,603 | Korean Won | 5,932 | Bank of America, NA(a) | 6/21/2017 | (108 | ) | |||||||||||||||||
6,389,592 | Korean Won | 5,748 | Bank of America, NA(a) | 6/21/2017 | (129 | ) | |||||||||||||||||
3,831,332 | Korean Won | 3,446 | Bank of America, NA(a) | 6/21/2017 | (77 | ) | |||||||||||||||||
6,391,853 | Korean Won | 5,749 | Bank of America, NA(a) | 6/21/2017 | (128 | ) | |||||||||||||||||
1,463,638 | Korean Won | 1,298 | Bank of America, NA(a) | 6/21/2017 | (11 | ) |
See Notes to Consolidated Financial Statements
36
Consolidated Schedule of Investments Neuberger Berman Absolute Return Multi-Manager Fund (Unaudited) (cont'd)
Contracts to Receive | In Exchange For | Counterparty | Settlement Date | Net Unrealized Appreciation/ (Depreciation) | |||||||||||||||||||
31,951,370 | Korean Won | $ | 28,741 | Bank of America, NA(a) | 6/21/2017 | $ | (643 | ) | |||||||||||||||
638,173 | Korean Won | 574 | Bank of America, NA(a) | 6/21/2017 | (13 | ) | |||||||||||||||||
6,390,109 | Korean Won | 5,748 | Bank of America, NA(a) | 6/21/2017 | (129 | ) | |||||||||||||||||
31,947,671 | Korean Won | 28,740 | Bank of America, NA(a) | 6/21/2017 | (645 | ) | |||||||||||||||||
6,391,259 | Korean Won | 5,748 | Bank of America, NA(a) | 6/21/2017 | (128 | ) | |||||||||||||||||
6,390,799 | Korean Won | 5,748 | Bank of America, NA(a) | 6/21/2017 | (128 | ) | |||||||||||||||||
8,486,777 | Korean Won | 7,553 | Bank of America, NA(a) | 6/21/2017 | (90 | ) | |||||||||||||||||
638,127 | Korean Won | 574 | Bank of America, NA(a) | 6/21/2017 | (13 | ) | |||||||||||||||||
6,390,741 | Korean Won | 5,748 | Bank of America, NA(a) | 6/21/2017 | (128 | ) | |||||||||||||||||
6,389,649 | Korean Won | 5,748 | Bank of America, NA(a) | 6/21/2017 | (129 | ) | |||||||||||||||||
6,620,765 | Korean Won | 5,932 | Bank of America, NA(a) | 6/21/2017 | (110 | ) | |||||||||||||||||
6,568,633 | Korean Won | 5,913 | Bank of America, NA(a) | 6/21/2017 | (137 | ) | |||||||||||||||||
6,568,633 | Korean Won | 5,913 | Bank of America, NA(a) | 6/21/2017 | (137 | ) | |||||||||||||||||
6,568,456 | Korean Won | 5,913 | Bank of America, NA(a) | 6/21/2017 | (137 | ) | |||||||||||||||||
6,622,010 | Korean Won | 5,932 | Bank of America, NA(a) | 6/21/2017 | (109 | ) | |||||||||||||||||
902,188 | Korean Won | 797 | Bank of America, NA(a) | 6/21/2017 | (4 | ) | |||||||||||||||||
6,621,773 | Korean Won | 5,932 | Bank of America, NA(a) | 6/21/2017 | (109 | ) | |||||||||||||||||
656,412 | Korean Won | 591 | Bank of America, NA(a) | 6/21/2017 | (14 | ) | |||||||||||||||||
10,352,565 | Korean Won | 9,073 | Bank of America, NA(a) | 6/21/2017 | 31 | ||||||||||||||||||
6,568,456 | Korean Won | 5,913 | Bank of America, NA(a) | 6/21/2017 | (137 | ) | |||||||||||||||||
32,846,052 | Korean Won | 29,566 | Bank of America, NA(a) | 6/21/2017 | (681 | ) | |||||||||||||||||
6,568,752 | Korean Won | 5,913 | Bank of America, NA(a) | 6/21/2017 | (136 | ) | |||||||||||||||||
32,850,191 | Korean Won | 29,566 | Bank of America, NA(a) | 6/21/2017 | (678 | ) | |||||||||||||||||
6,568,929 | Korean Won | 5,913 | Bank of America, NA(a) | 6/21/2017 | (136 | ) | |||||||||||||||||
33,110,137 | Korean Won | 29,663 | Bank of America, NA(a) | 6/21/2017 | (546 | ) | |||||||||||||||||
6,621,476 | Korean Won | 5,932 | Bank of America, NA(a) | 6/21/2017 | (109 | ) | |||||||||||||||||
662,090 | Korean Won | 593 | Bank of America, NA(a) | 6/21/2017 | (11 | ) | |||||||||||||||||
6,624,372 | Korean Won | 5,933 | Bank of America, NA(a) | 6/21/2017 | (108 | ) | |||||||||||||||||
6,621,417 | Korean Won | 5,932 | Bank of America, NA(a) | 6/21/2017 | (109 | ) | |||||||||||||||||
33,120,153 | Korean Won | 29,664 | Bank of America, NA(a) | 6/21/2017 | (538 | ) | |||||||||||||||||
661,918 | Korean Won | 593 | Bank of America, NA(a) | 6/21/2017 | (11 | ) | |||||||||||||||||
66,232,140 | Korean Won | 59,326 | Bank of America, NA(a) | 6/21/2017 | (1,082 | ) | |||||||||||||||||
8,310,854 | Korean Won | 7,370 | Bank of America, NA(a) | 6/21/2017 | (62 | ) | |||||||||||||||||
6,791,782 | Korean Won | 5,997 | Bank of America, NA(a) | 6/21/2017 | (24 | ) | |||||||||||||||||
6,621,773 | Korean Won | 5,932 | Bank of America, NA(a) | 6/21/2017 | (109 | ) | |||||||||||||||||
33,810,965 | Korean Won | 29,781 | Bank of America, NA(a) | 6/21/2017 | (48 | ) | |||||||||||||||||
848,378 | Korean Won | 755 | Bank of America, NA(a) | 6/21/2017 | (9 | ) | |||||||||||||||||
848,416 | Korean Won | 755 | Bank of America, NA(a) | 6/21/2017 | (9 | ) | |||||||||||||||||
808,690 | Korean Won | 720 | Bank of America, NA(a) | 6/21/2017 | (9 | ) | |||||||||||||||||
808,610 | Korean Won | 720 | Bank of America, NA(a) | 6/21/2017 | (9 | ) | |||||||||||||||||
808,726 | Korean Won | 720 | Bank of America, NA(a) | 6/21/2017 | (9 | ) | |||||||||||||||||
808,596 | Korean Won | 720 | Bank of America, NA(a) | 6/21/2017 | (9 | ) | |||||||||||||||||
8,090,770 | Korean Won | 7,203 | Bank of America, NA(a) | 6/21/2017 | (88 | ) |
See Notes to Consolidated Financial Statements
37
Consolidated Schedule of Investments Neuberger Berman Absolute Return Multi-Manager Fund (Unaudited) (cont'd)
Contracts to Receive | In Exchange For | Counterparty | Settlement Date | Net Unrealized Appreciation/ (Depreciation) | |||||||||||||||||||
808,380 | Korean Won | $ | 720 | Bank of America, NA(a) | 6/21/2017 | $ | (9 | ) | |||||||||||||||
808,373 | Korean Won | 720 | Bank of America, NA(a) | 6/21/2017 | (9 | ) | |||||||||||||||||
8,089,473 | Korean Won | 7,203 | Bank of America, NA(a) | 6/21/2017 | (89 | ) | |||||||||||||||||
6,015,185 | Korean Won | 5,378 | Bank of America, NA(a) | 6/21/2017 | (88 | ) | |||||||||||||||||
30,073,776 | Korean Won | 26,890 | Bank of America, NA(a) | 6/21/2017 | (443 | ) | |||||||||||||||||
808,783 | Korean Won | 720 | Bank of America, NA(a) | 6/21/2017 | (9 | ) | |||||||||||||||||
600,565 | Korean Won | 537 | Bank of America, NA(a) | 6/21/2017 | (9 | ) | |||||||||||||||||
6,014,594 | Korean Won | 5,378 | Bank of America, NA(a) | 6/21/2017 | (89 | ) | |||||||||||||||||
1,892,333 | Korean Won | 1,692 | Bank of America, NA(a) | 6/21/2017 | (28 | ) | |||||||||||||||||
8,484,502 | Korean Won | 7,554 | Bank of America, NA(a) | 6/21/2017 | (93 | ) | |||||||||||||||||
6,790,890 | Korean Won | 5,996 | Bank of America, NA(a) | 6/21/2017 | (24 | ) | |||||||||||||||||
33,109,700 | Korean Won | 29,665 | Bank of America, NA(a) | 6/21/2017 | (549 | ) | |||||||||||||||||
661,794 | Korean Won | 593 | Bank of America, NA(a) | 6/21/2017 | (11 | ) | |||||||||||||||||
33,955,148 | Korean Won | 29,983 | Bank of America, NA(a) | 6/21/2017 | (123 | ) | |||||||||||||||||
10,235,646 | Korean Won | 9,170 | Bank of America, NA(a) | 6/21/2017 | (169 | ) | |||||||||||||||||
6,790,950 | Korean Won | 5,996 | Bank of America, NA(a) | 6/21/2017 | (24 | ) | |||||||||||||||||
6,623,720 | Korean Won | 5,933 | Bank of America, NA(a) | 6/21/2017 | (108 | ) | |||||||||||||||||
8,486,541 | Korean Won | 7,554 | Bank of America, NA(a) | 6/21/2017 | (91 | ) | |||||||||||||||||
8,483,746 | Korean Won | 7,554 | Bank of America, NA(a) | 6/21/2017 | (93 | ) | |||||||||||||||||
847,827 | Korean Won | 755 | Bank of America, NA(a) | 6/21/2017 | (9 | ) | |||||||||||||||||
6,013,626 | Korean Won | 5,378 | Bank of America, NA(a) | 6/21/2017 | (90 | ) | |||||||||||||||||
848,054 | Korean Won | 755 | Bank of America, NA(a) | 6/21/2017 | (9 | ) | |||||||||||||||||
8,091,490 | Korean Won | 7,203 | Bank of America, NA(a) | 6/21/2017 | (87 | ) | |||||||||||||||||
8,089,977 | Korean Won | 7,203 | Bank of America, NA(a) | 6/21/2017 | (89 | ) | |||||||||||||||||
6,764,321 | Korean Won | 6,042 | Bank of America, NA(a) | 6/21/2017 | (94 | ) | |||||||||||||||||
6,764,019 | Korean Won | 6,042 | Bank of America, NA(a) | 6/21/2017 | (94 | ) | |||||||||||||||||
6,763,113 | Korean Won | 6,042 | Bank of America, NA(a) | 6/21/2017 | (95 | ) | |||||||||||||||||
6,763,202 | Korean Won | 6,041 | Bank of America, NA(a) | 6/21/2017 | (94 | ) | |||||||||||||||||
6,764,019 | Korean Won | 6,042 | Bank of America, NA(a) | 6/21/2017 | (94 | ) | |||||||||||||||||
6,763,717 | Korean Won | 6,042 | Bank of America, NA(a) | 6/21/2017 | (94 | ) | |||||||||||||||||
6,764,623 | Korean Won | 6,042 | Bank of America, NA(a) | 6/21/2017 | (93 | ) | |||||||||||||||||
837,174 | Korean Won | 741 | Bank of America, NA(a) | 6/21/2017 | (5 | ) | |||||||||||||||||
8,374,078 | Korean Won | 7,412 | Bank of America, NA(a) | 6/21/2017 | (48 | ) | |||||||||||||||||
8,374,003 | Korean Won | 7,412 | Bank of America, NA(a) | 6/21/2017 | (48 | ) | |||||||||||||||||
6,764,321 | Korean Won | 6,042 | Bank of America, NA(a) | 6/21/2017 | (94 | ) | |||||||||||||||||
6,764,019 | Korean Won | 6,042 | Bank of America, NA(a) | 6/21/2017 | (94 | ) | |||||||||||||||||
8,374,003 | Korean Won | 7,412 | Bank of America, NA(a) | 6/21/2017 | (48 | ) | |||||||||||||||||
6,762,899 | Korean Won | 6,041 | Bank of America, NA(a) | 6/21/2017 | (94 | ) | |||||||||||||||||
808,711 | Korean Won | 720 | Bank of America, NA(a) | 6/21/2017 | (9 | ) | |||||||||||||||||
8,090,842 | Korean Won | 7,203 | Bank of America, NA(a) | 6/21/2017 | (88 | ) | |||||||||||||||||
8,090,770 | Korean Won | 7,203 | Bank of America, NA(a) | 6/21/2017 | (88 | ) | |||||||||||||||||
808,805 | Korean Won | 720 | Bank of America, NA(a) | 6/21/2017 | (9 | ) | |||||||||||||||||
129,160 | Korean Won | 115 | Bank of America, NA(a) | 6/21/2017 | (1 | ) |
See Notes to Consolidated Financial Statements
38
Consolidated Schedule of Investments Neuberger Berman Absolute Return Multi-Manager Fund (Unaudited) (cont'd)
Contracts to Receive | In Exchange For | Counterparty | Settlement Date | Net Unrealized Appreciation/ (Depreciation) | |||||||||||||||||||
8,484,567 | Korean Won | $ | 7,555 | Bank of America, NA(a) | 6/21/2017 | $ | (94 | ) | |||||||||||||||
6,762,477 | Korean Won | 6,041 | Bank of America, NA(a) | 6/21/2017 | (94 | ) | |||||||||||||||||
8,372,874 | Korean Won | 7,411 | Bank of America, NA(a) | 6/21/2017 | (48 | ) | |||||||||||||||||
6,763,141 | Korean Won | 6,041 | Bank of America, NA(a) | 6/21/2017 | (94 | ) | |||||||||||||||||
6,762,658 | Korean Won | 6,041 | Bank of America, NA(a) | 6/21/2017 | (94 | ) | |||||||||||||||||
6,762,718 | Korean Won | 6,041 | Bank of America, NA(a) | 6/21/2017 | (94 | ) | |||||||||||||||||
6,762,899 | Korean Won | 6,041 | Bank of America, NA(a) | 6/21/2017 | (94 | ) | |||||||||||||||||
6,762,658 | Korean Won | 6,041 | Bank of America, NA(a) | 6/21/2017 | (94 | ) | |||||||||||||||||
6,623,067 | Korean Won | 5,933 | Bank of America, NA(a) | 6/21/2017 | (109 | ) | |||||||||||||||||
5,506,794 | Korean Won | 4,928 | Bank of America, NA(a) | 6/21/2017 | (85 | ) | |||||||||||||||||
549,840 | Korean Won | 492 | Bank of America, NA(a) | 6/21/2017 | (8 | ) | |||||||||||||||||
5,506,695 | Korean Won | 4,928 | Bank of America, NA(a) | 6/21/2017 | (85 | ) | |||||||||||||||||
5,506,547 | Korean Won | 4,928 | Bank of America, NA(a) | 6/21/2017 | (86 | ) | |||||||||||||||||
27,537,550 | Korean Won | 24,641 | Bank of America, NA(a) | 6/21/2017 | (425 | ) | |||||||||||||||||
5,507,188 | Korean Won | 4,928 | Bank of America, NA(a) | 6/21/2017 | (85 | ) | |||||||||||||||||
27,539,274 | Korean Won | 24,641 | Bank of America, NA(a) | 6/21/2017 | (423 | ) | |||||||||||||||||
1,263,024 | Korean Won | 1,130 | Bank of America, NA(a) | 6/21/2017 | (19 | ) | |||||||||||||||||
549,963 | Korean Won | 492 | Bank of America, NA(a) | 6/21/2017 | (8 | ) | |||||||||||||||||
27,547,310 | Korean Won | 24,644 | Bank of America, NA(a) | 6/21/2017 | (419 | ) | |||||||||||||||||
27,532,375 | Korean Won | 24,641 | Bank of America, NA(a) | 6/21/2017 | (429 | ) | |||||||||||||||||
549,721 | Korean Won | 492 | Bank of America, NA(a) | 6/21/2017 | (9 | ) | |||||||||||||||||
5,506,153 | Korean Won | 4,928 | Bank of America, NA(a) | 6/21/2017 | (86 | ) | |||||||||||||||||
5,507,237 | Korean Won | 4,928 | Bank of America, NA(a) | 6/21/2017 | (85 | ) | |||||||||||||||||
8,089,977 | Korean Won | 7,203 | Bank of America, NA(a) | 6/21/2017 | (89 | ) | |||||||||||||||||
3,931,588 | Korean Won | 3,537 | Bank of America, NA(a) | 6/21/2017 | (80 | ) | |||||||||||||||||
19,660,869 | Korean Won | 17,687 | Bank of America, NA(a) | 6/21/2017 | (397 | ) | |||||||||||||||||
8,089,617 | Korean Won | 7,203 | Bank of America, NA(a) | 6/21/2017 | (89 | ) | |||||||||||||||||
140,498 | Korean Won | 123 | Bank of America, NA(a) | 6/21/2017 | 1 | ||||||||||||||||||
8,090,338 | Korean Won | 7,203 | Bank of America, NA(a) | 6/21/2017 | (88 | ) | |||||||||||||||||
3,931,340 | Korean Won | 3,537 | Bank of America, NA(a) | 6/21/2017 | (80 | ) | |||||||||||||||||
848,076 | Korean Won | 755 | Bank of America, NA(a) | 6/21/2017 | (9 | ) | |||||||||||||||||
27,547,538 | Korean Won | 24,642 | Bank of America, NA(a) | 6/21/2017 | (417 | ) | |||||||||||||||||
5,509,603 | Korean Won | 4,928 | Bank of America, NA(a) | 6/21/2017 | (83 | ) | |||||||||||||||||
39,330,228 | Korean Won | 35,374 | Bank of America, NA(a) | 6/21/2017 | (787 | ) | |||||||||||||||||
808,654 | Korean Won | 720 | Bank of America, NA(a) | 6/21/2017 | (9 | ) | |||||||||||||||||
3,931,199 | Korean Won | 3,537 | Bank of America, NA(a) | 6/21/2017 | (80 | ) | |||||||||||||||||
848,046 | Korean Won | 755 | Bank of America, NA(a) | 6/21/2017 | (9 | ) | |||||||||||||||||
6,012,508 | Korean Won | 5,377 | Bank of America, NA(a) | 6/21/2017 | (90 | ) | |||||||||||||||||
30,067,591 | Korean Won | 26,890 | Bank of America, NA(a) | 6/21/2017 | (449 | ) | |||||||||||||||||
8,090,727 | Korean Won | 7,202 | Bank of America, NA(a) | 6/21/2017 | (87 | ) | |||||||||||||||||
848,394 | Korean Won | 755 | Bank of America, NA(a) | 6/21/2017 | (9 | ) | |||||||||||||||||
8,485,267 | Korean Won | 7,553 | Bank of America, NA(a) | 6/21/2017 | (91 | ) | |||||||||||||||||
808,855 | Korean Won | 720 | Bank of America, NA(a) | 6/21/2017 | (9 | ) |
See Notes to Consolidated Financial Statements
39
Consolidated Schedule of Investments Neuberger Berman Absolute Return Multi-Manager Fund (Unaudited) (cont'd)
Contracts to Receive | In Exchange For | Counterparty | Settlement Date | Net Unrealized Appreciation/ (Depreciation) | |||||||||||||||||||
60,136,753 | Korean Won | $ | 53,779 | Bank of America, NA(a) | 6/21/2017 | $ | (895 | ) | |||||||||||||||
6,790,230 | Korean Won | 5,996 | Bank of America, NA(a) | 6/21/2017 | (25 | ) | |||||||||||||||||
33,121,862 | Korean Won | 29,665 | Bank of America, NA(a) | 6/21/2017 | (538 | ) | |||||||||||||||||
6,790,583 | Korean Won | 5,997 | Bank of America, NA(a) | 6/21/2017 | (25 | ) | |||||||||||||||||
6,012,400 | Korean Won | 5,377 | Bank of America, NA(a) | 6/21/2017 | (90 | ) | |||||||||||||||||
6,620,753 | Korean Won | 5,933 | Bank of America, NA(a) | 6/21/2017 | (111 | ) | |||||||||||||||||
6,790,050 | Korean Won | 5,996 | Bank of America, NA(a) | 6/21/2017 | (25 | ) | |||||||||||||||||
8,487,382 | Korean Won | 7,553 | Bank of America, NA(a) | 6/21/2017 | (89 | ) | |||||||||||||||||
5,505,759 | Korean Won | 4,928 | Bank of America, NA(a) | 6/21/2017 | (86 | ) | |||||||||||||||||
5,505,315 | Korean Won | 4,928 | Bank of America, NA(a) | 6/21/2017 | (87 | ) | |||||||||||||||||
549,864 | Korean Won | 492 | Bank of America, NA(a) | 6/21/2017 | (8 | ) | |||||||||||||||||
8,484,134 | Korean Won | 7,553 | Bank of America, NA(a) | 6/21/2017 | (92 | ) | |||||||||||||||||
848,046 | Korean Won | 755 | Bank of America, NA(a) | 6/21/2017 | (9 | ) | |||||||||||||||||
5,508,617 | Korean Won | 4,928 | Bank of America, NA(a) | 6/21/2017 | (84 | ) | |||||||||||||||||
55,053,284 | Korean Won | 49,281 | Bank of America, NA(a) | 6/21/2017 | (868 | ) | |||||||||||||||||
848,394 | Korean Won | 755 | Bank of America, NA(a) | 6/21/2017 | (9 | ) | |||||||||||||||||
8,486,853 | Korean Won | 7,553 | Bank of America, NA(a) | 6/21/2017 | (90 | ) | |||||||||||||||||
14,237,889 | Korean Won | 12,501 | Bank of America, NA(a) | 6/21/2017 | 20 | ||||||||||||||||||
5,504,280 | Korean Won | 4,928 | Bank of America, NA(a) | 6/21/2017 | (88 | ) | |||||||||||||||||
5,508,124 | Korean Won | 4,928 | Bank of America, NA(a) | 6/21/2017 | (84 | ) | |||||||||||||||||
67,910,962 | Korean Won | 59,965 | Bank of America, NA(a) | 6/21/2017 | (245 | ) | |||||||||||||||||
45,487 | Malaysian Ringgit | 10,185 | Bank of America, NA(a) | 6/21/2017 | 301 | ||||||||||||||||||
54,437 | Malaysian Ringgit | 12,219 | Bank of America, NA(a) | 6/21/2017 | 330 | ||||||||||||||||||
30,122 | Malaysian Ringgit | 6,909 | Bank of America, NA(a) | 6/21/2017 | 35 | ||||||||||||||||||
28,232 | Malaysian Ringgit | 6,415 | Bank of America, NA(a) | 6/21/2017 | 93 | ||||||||||||||||||
39,237 | Malaysian Ringgit | 8,809 | Bank of America, NA(a) | 6/21/2017 | 236 | ||||||||||||||||||
48,351 | Malaysian Ringgit | 10,990 | Bank of America, NA(a) | 6/21/2017 | 156 | ||||||||||||||||||
26,311 | Malaysian Ringgit | 5,855 | Bank of America, NA(a) | 6/21/2017 | 210 | ||||||||||||||||||
39,232 | Malaysian Ringgit | 8,934 | Bank of America, NA(a) | 6/21/2017 | 110 | ||||||||||||||||||
46,097 | Malaysian Ringgit | 10,491 | Bank of America, NA(a) | 6/21/2017 | 135 | ||||||||||||||||||
24,302 | Malaysian Ringgit | 5,611 | Bank of America, NA(a) | 6/21/2017 | (9 | ) | |||||||||||||||||
120,766 | Malaysian Ringgit | 27,886 | Bank of America, NA(a) | 6/21/2017 | (47 | ) | |||||||||||||||||
56,347 | Malaysian Ringgit | 12,812 | Bank of America, NA(a) | 6/21/2017 | 177 | ||||||||||||||||||
19,034 | Malaysian Ringgit | 4,313 | Bank of America, NA(a) | 6/21/2017 | 75 | ||||||||||||||||||
118,894 | Malaysian Ringgit | 27,419 | Bank of America, NA(a) | 6/21/2017 | (11 | ) | |||||||||||||||||
24,301 | Malaysian Ringgit | 5,611 | Bank of America, NA(a) | 6/21/2017 | (9 | ) | |||||||||||||||||
35,257 | Malaysian Ringgit | 7,908 | Bank of America, NA(a) | 6/21/2017 | 219 | ||||||||||||||||||
30,577 | Malaysian Ringgit | 6,975 | Bank of America, NA(a) | 6/21/2017 | 74 | ||||||||||||||||||
45,651 | Malaysian Ringgit | 10,527 | Bank of America, NA(a) | 6/21/2017 | (3 | ) | |||||||||||||||||
59,419 | New Taiwan Dollar | 1,946 | Bank of America, NA(a) | 6/21/2017 | 25 | ||||||||||||||||||
117,192 | New Taiwan Dollar | 3,833 | Bank of America, NA(a) | 6/21/2017 | 55 | ||||||||||||||||||
112,169 | New Taiwan Dollar | 3,667 | Bank of America, NA(a) | 6/21/2017 | 54 | ||||||||||||||||||
241,794 | New Taiwan Dollar | 7,980 | Bank of America, NA(a) | 6/21/2017 | 41 | ||||||||||||||||||
111,325 | New Taiwan Dollar | 3,647 | Bank of America, NA(a) | 6/21/2017 | 46 |
See Notes to Consolidated Financial Statements
40
Consolidated Schedule of Investments Neuberger Berman Absolute Return Multi-Manager Fund (Unaudited) (cont'd)
Contracts to Receive | In Exchange For | Counterparty | Settlement Date | Net Unrealized Appreciation/ (Depreciation) | |||||||||||||||||||
188,208 | New Taiwan Dollar | $ | 6,069 | Bank of America, NA(a) | 6/21/2017 | $ | 175 | ||||||||||||||||
96,780 | New Taiwan Dollar | 3,200 | Bank of America, NA(a) | 6/21/2017 | 11 | ||||||||||||||||||
417,554 | New Taiwan Dollar | 13,709 | Bank of America, NA(a) | 6/21/2017 | 143 | ||||||||||||||||||
72,199,493 | New Taiwan Dollar | 2,329,813 | Bank of America, NA(a) | 6/21/2017 | 65,328 | ||||||||||||||||||
83,498 | New Taiwan Dollar | 2,773 | Bank of America, NA(a) | 6/21/2017 | (3 | ) | |||||||||||||||||
250,316 | Norwegian Krone | 29,206 | Bank of America, NA(a) | 6/21/2017 | (34 | ) | |||||||||||||||||
184,626 | Norwegian Krone | 21,580 | Bank of America, NA(a) | 6/21/2017 | (64 | ) | |||||||||||||||||
65,957 | Norwegian Krone | 7,733 | Bank of America, NA(a) | 6/21/2017 | (46 | ) | |||||||||||||||||
11,954 | Norwegian Krone | 1,415 | Bank of America, NA(a) | 6/21/2017 | (22 | ) | |||||||||||||||||
1,146,763 | Norwegian Krone | 133,322 | Bank of America, NA(a) | 6/21/2017 | 321 | ||||||||||||||||||
83,863 | Norwegian Krone | 9,836 | Bank of America, NA(a) | 6/21/2017 | (63 | ) | |||||||||||||||||
8,853 | Norwegian Krone | 1,038 | Bank of America, NA(a) | 6/21/2017 | (6 | ) | |||||||||||||||||
34,280 | Philippine Peso | 690 | Bank of America, NA(a) | 6/21/2017 | (10 | ) | |||||||||||||||||
953,485 | Philippine Peso | 18,838 | Bank of America, NA(a) | 6/21/2017 | 84 | ||||||||||||||||||
51,493 | Philippine Peso | 1,020 | Bank of America, NA(a) | 6/21/2017 | 2 | ||||||||||||||||||
344,810 | Philippine Peso | 6,931 | Bank of America, NA(a) | 6/21/2017 | (88 | ) | |||||||||||||||||
764,247 | Philippine Peso | 15,179 | Bank of America, NA(a) | 6/21/2017 | (13 | ) | |||||||||||||||||
620,143 | Philippine Peso | 12,419 | Bank of America, NA(a) | 6/21/2017 | (113 | ) | |||||||||||||||||
275,870 | Philippine Peso | 5,540 | Bank of America, NA(a) | 6/21/2017 | (65 | ) | |||||||||||||||||
147,951 | Philippine Peso | 2,980 | Bank of America, NA(a) | 6/21/2017 | (44 | ) | |||||||||||||||||
32,569 | Philippine Peso | 654 | Bank of America, NA(a) | 6/21/2017 | (8 | ) | |||||||||||||||||
19,034 | Philippine Peso | 382 | Bank of America, NA(a) | 6/21/2017 | (4 | ) | |||||||||||||||||
629,154 | Philippine Peso | 12,657 | Bank of America, NA(a) | 6/21/2017 | (172 | ) | |||||||||||||||||
113,127 | Philippine Peso | 2,242 | Bank of America, NA(a) | 6/21/2017 | 3 | ||||||||||||||||||
115,854 | Philippine Peso | 2,295 | Bank of America, NA(a) | 6/21/2017 | 4 | ||||||||||||||||||
589,002 | Philippine Peso | 11,849 | Bank of America, NA(a) | 6/21/2017 | (161 | ) | |||||||||||||||||
929,411 | Philippine Peso | 18,599 | Bank of America, NA(a) | 6/21/2017 | (155 | ) | |||||||||||||||||
234,245 | Philippine Peso | 4,704 | Bank of America, NA(a) | 6/21/2017 | (56 | ) | |||||||||||||||||
536,287 | Philippine Peso | 10,644 | Bank of America, NA(a) | 6/21/2017 | (2 | ) | |||||||||||||||||
91,582 | Philippine Peso | 1,841 | Bank of America, NA(a) | 6/21/2017 | (24 | ) | |||||||||||||||||
231,242 | Polish Zloty | 58,505 | Bank of America, NA(a) | 6/21/2017 | 1,078 | ||||||||||||||||||
83,704 | Polish Zloty | 21,570 | Bank of America, NA(a) | 6/21/2017 | (3 | ) | |||||||||||||||||
226,014 | Polish Zloty | 57,711 | Bank of America, NA(a) | 6/21/2017 | 524 | ||||||||||||||||||
104,316 | Polish Zloty | 26,330 | Bank of America, NA(a) | 6/21/2017 | 548 | ||||||||||||||||||
102,675 | Polish Zloty | 25,866 | Bank of America, NA(a) | 6/21/2017 | 590 | ||||||||||||||||||
61,191 | Polish Zloty | 15,413 | Bank of America, NA(a) | 6/21/2017 | 354 | ||||||||||||||||||
317,902 | Polish Zloty | 81,669 | Bank of America, NA(a) | 6/21/2017 | 242 | ||||||||||||||||||
244,965 | Polish Zloty | 61,770 | Bank of America, NA(a) | 6/21/2017 | 1,348 | ||||||||||||||||||
5,601 | Polish Zloty | 1,420 | Bank of America, NA(a) | 6/21/2017 | 23 | ||||||||||||||||||
227,876 | Polish Zloty | 57,974 | Bank of America, NA(a) | 6/21/2017 | 741 | ||||||||||||||||||
112,663 | Polish Zloty | 28,161 | Bank of America, NA(a) | 6/21/2017 | 868 | ||||||||||||||||||
1,918 | Polish Zloty | 471 | Bank of America, NA(a) | 6/21/2017 | 23 | ||||||||||||||||||
104,596 | Polish Zloty | 26,714 | Bank of America, NA(a) | 6/21/2017 | 237 |
See Notes to Consolidated Financial Statements
41
Consolidated Schedule of Investments Neuberger Berman Absolute Return Multi-Manager Fund (Unaudited) (cont'd)
Contracts to Receive | In Exchange For | Counterparty | Settlement Date | Net Unrealized Appreciation/ (Depreciation) | |||||||||||||||||||
225,574 | Polish Zloty | $ | 56,795 | Bank of America, NA(a) | 6/21/2017 | $ | 1,327 | ||||||||||||||||
229,296 | Polish Zloty | 57,757 | Bank of America, NA(a) | 6/21/2017 | 1,324 | ||||||||||||||||||
6,976 | Polish Zloty | 1,716 | Bank of America, NA(a) | 6/21/2017 | 81 | ||||||||||||||||||
224,933 | Polish Zloty | 56,753 | Bank of America, NA(a) | 6/21/2017 | 1,204 | ||||||||||||||||||
103,899 | Polish Zloty | 26,288 | Bank of America, NA(a) | 6/21/2017 | 483 | ||||||||||||||||||
176,929 | Polish Zloty | 45,659 | Bank of America, NA(a) | 6/21/2017 | (71 | ) | |||||||||||||||||
183,735 | Polish Zloty | 47,335 | Bank of America, NA(a) | 6/21/2017 | 7 | ||||||||||||||||||
77,308 | Polish Zloty | 19,952 | Bank of America, NA(a) | 6/21/2017 | (33 | ) | |||||||||||||||||
107,936 | Polish Zloty | 27,460 | Bank of America, NA(a) | 6/21/2017 | 351 | ||||||||||||||||||
227,441 | Polish Zloty | 56,848 | Bank of America, NA(a) | 6/21/2017 | 1,755 | ||||||||||||||||||
106,659 | Polish Zloty | 26,661 | Bank of America, NA(a) | 6/21/2017 | 821 | ||||||||||||||||||
88,569 | Polish Zloty | 22,960 | Bank of America, NA(a) | 6/21/2017 | (139 | ) | |||||||||||||||||
232,937 | Polish Zloty | 59,372 | Bank of America, NA(a) | 6/21/2017 | 647 | ||||||||||||||||||
191,021 | Polish Zloty | 49,515 | Bank of America, NA(a) | 6/21/2017 | (296 | ) | |||||||||||||||||
104,827 | Polish Zloty | 26,368 | Bank of America, NA(a) | 6/21/2017 | 642 | ||||||||||||||||||
137,424 | Polish Zloty | 35,154 | Bank of America, NA(a) | 6/21/2017 | 255 | ||||||||||||||||||
105,071 | Polish Zloty | 26,785 | Bank of America, NA(a) | 6/21/2017 | 288 | ||||||||||||||||||
226,047 | Polish Zloty | 56,854 | Bank of America, NA(a) | 6/21/2017 | 1,390 | ||||||||||||||||||
228,784 | Polish Zloty | 57,169 | Bank of America, NA(a) | 6/21/2017 | 1,780 | ||||||||||||||||||
105,476 | Polish Zloty | 26,363 | Bank of America, NA(a) | 6/21/2017 | 814 | ||||||||||||||||||
228,062 | Polish Zloty | 56,932 | Bank of America, NA(a) | 6/21/2017 | 1,831 | ||||||||||||||||||
108,252 | Polish Zloty | 27,020 | Bank of America, NA(a) | 6/21/2017 | 873 | ||||||||||||||||||
33,355 | Polish Zloty | 8,301 | Bank of America, NA(a) | 6/21/2017 | 293 | ||||||||||||||||||
98,305 | Polish Zloty | 24,880 | Bank of America, NA(a) | 6/21/2017 | 450 | ||||||||||||||||||
234,893 | Polish Zloty | 59,446 | Bank of America, NA(a) | 6/21/2017 | 1,077 | ||||||||||||||||||
232,517 | Polish Zloty | 59,140 | Bank of America, NA(a) | 6/21/2017 | 771 | ||||||||||||||||||
13,348 | Polish Zloty | 3,334 | Bank of America, NA(a) | 6/21/2017 | 105 | ||||||||||||||||||
93,569 | Polish Zloty | 23,799 | Bank of America, NA(a) | 6/21/2017 | 310 | ||||||||||||||||||
234,802 | Polish Zloty | 58,695 | Bank of America, NA(a) | 6/21/2017 | 1,805 | ||||||||||||||||||
103,316 | Polish Zloty | 26,054 | Bank of America, NA(a) | 6/21/2017 | 567 | ||||||||||||||||||
580,735 | Russian Ruble | 9,624 | Bank of America, NA(a) | 6/21/2017 | 460 | ||||||||||||||||||
107,095,455 | Russian Ruble | 1,772,036 | Bank of America, NA(a) | 6/21/2017 | 87,534 | ||||||||||||||||||
58,510 | Russian Ruble | 1,022 | Bank of America, NA(a) | 6/21/2017 | (6 | ) | |||||||||||||||||
556,337 | Russian Ruble | 9,553 | Bank of America, NA(a) | 6/21/2017 | 107 | ||||||||||||||||||
498,456 | Russian Ruble | 8,806 | Bank of America, NA(a) | 6/21/2017 | (151 | ) | |||||||||||||||||
1,216,029 | Russian Ruble | 20,867 | Bank of America, NA(a) | 6/21/2017 | 248 | ||||||||||||||||||
399,813 | Russian Ruble | 6,916 | Bank of America, NA(a) | 6/21/2017 | 26 | ||||||||||||||||||
1,040,399 | Russian Ruble | 17,716 | Bank of America, NA(a) | 6/21/2017 | 349 | ||||||||||||||||||
369,967 | Russian Ruble | 6,380 | Bank of America, NA(a) | 6/21/2017 | 44 | ||||||||||||||||||
242,617 | Russian Ruble | 4,231 | Bank of America, NA(a) | 6/21/2017 | (18 | ) | |||||||||||||||||
63,138 | Russian Ruble | 1,092 | Bank of America, NA(a) | 6/21/2017 | 4 | ||||||||||||||||||
563,785 | Russian Ruble | 9,599 | Bank of America, NA(a) | 6/21/2017 | 190 | ||||||||||||||||||
142,941 | Russian Ruble | 2,417 | Bank of America, NA(a) | 6/21/2017 | 65 |
See Notes to Consolidated Financial Statements
42
Consolidated Schedule of Investments Neuberger Berman Absolute Return Multi-Manager Fund (Unaudited) (cont'd)
Contracts to Receive | In Exchange For | Counterparty | Settlement Date | Net Unrealized Appreciation/ (Depreciation) | |||||||||||||||||||
40,642 | Russian Ruble | $ | 698 | Bank of America, NA(a) | 6/21/2017 | $ | 8 | ||||||||||||||||
859,386 | Russian Ruble | 15,005 | Bank of America, NA(a) | 6/21/2017 | (83 | ) | |||||||||||||||||
4,892 | Singapore Dollar | 3,504 | Bank of America, NA(a) | 6/21/2017 | — | (b) | |||||||||||||||||
3,397 | Singapore Dollar | 2,438 | Bank of America, NA(a) | 6/21/2017 | (5 | ) | |||||||||||||||||
30,648 | Singapore Dollar | 21,985 | Bank of America, NA(a) | 6/21/2017 | (38 | ) | |||||||||||||||||
3,812 | Singapore Dollar | 2,728 | Bank of America, NA(a) | 6/21/2017 | 2 | ||||||||||||||||||
60 | Singapore Dollar | 43 | Bank of America, NA(a) | 6/21/2017 | — | (b) | |||||||||||||||||
17,114 | Singapore Dollar | 12,261 | Bank of America, NA(a) | 6/21/2017 | (5 | ) | |||||||||||||||||
10,782 | Singapore Dollar | 7,721 | Bank of America, NA(a) | 6/21/2017 | — | (b) | |||||||||||||||||
23,591 | Singapore Dollar | 16,912 | Bank of America, NA(a) | 6/21/2017 | (18 | ) | |||||||||||||||||
563 | Singapore Dollar | 404 | Bank of America, NA(a) | 6/21/2017 | (1 | ) | |||||||||||||||||
840 | Singapore Dollar | 601 | Bank of America, NA(a) | 6/21/2017 | 1 | ||||||||||||||||||
2,008 | Singapore Dollar | 1,425 | Bank of America, NA(a) | 6/21/2017 | 13 | ||||||||||||||||||
841 | Singapore Dollar | 602 | Bank of America, NA(a) | 6/21/2017 | — | (b) | |||||||||||||||||
2,132 | Singapore Dollar | 1,530 | Bank of America, NA(a) | 6/21/2017 | (3 | ) | |||||||||||||||||
7,820 | Singapore Dollar | 5,614 | Bank of America, NA(a) | 6/21/2017 | (14 | ) | |||||||||||||||||
31,641 | Singapore Dollar | 22,733 | Bank of America, NA(a) | 6/21/2017 | (74 | ) | |||||||||||||||||
12,245 | Singapore Dollar | 8,776 | Bank of America, NA(a) | 6/21/2017 | (7 | ) | |||||||||||||||||
13,841 | Singapore Dollar | 9,907 | Bank of America, NA(a) | 6/21/2017 | 5 | ||||||||||||||||||
13,736 | Singapore Dollar | 9,790 | Bank of America, NA(a) | 6/21/2017 | 47 | ||||||||||||||||||
30,788 | Singapore Dollar | 21,999 | Bank of America, NA(a) | 6/21/2017 | 49 | ||||||||||||||||||
682 | Singapore Dollar | 483 | Bank of America, NA(a) | 6/21/2017 | 6 | ||||||||||||||||||
5,991 | Singapore Dollar | 4,274 | Bank of America, NA(a) | 6/21/2017 | 16 | ||||||||||||||||||
542,840 | South African Rand | 40,132 | Bank of America, NA(a) | 6/21/2017 | 131 | ||||||||||||||||||
349,139 | South African Rand | 25,389 | Bank of America, NA(a) | 6/21/2017 | 507 | ||||||||||||||||||
18,401,630 | South African Rand | 1,361,853 | Bank of America, NA(a) | 6/21/2017 | 3,020 | ||||||||||||||||||
94,903 | South African Rand | 6,821 | Bank of America, NA(a) | 6/21/2017 | 218 | ||||||||||||||||||
100,007 | South African Rand | 7,163 | Bank of America, NA(a) | 6/21/2017 | 255 | ||||||||||||||||||
16,030 | South African Rand | 1,208 | Bank of America, NA(a) | 6/21/2017 | (19 | ) | |||||||||||||||||
107,027 | South African Rand | 7,662 | Bank of America, NA(a) | 6/21/2017 | 276 | ||||||||||||||||||
107,007 | South African Rand | 7,987 | Bank of America, NA(a) | 6/21/2017 | (50 | ) | |||||||||||||||||
6,963 | South African Rand | 528 | Bank of America, NA(a) | 6/21/2017 | (12 | ) | |||||||||||||||||
279,784 | South African Rand | 21,249 | Bank of America, NA(a) | 6/21/2017 | (497 | ) | |||||||||||||||||
268,320 | South African Rand | 20,810 | Bank of America, NA(a) | 6/21/2017 | (908 | ) | |||||||||||||||||
347,793 | South African Rand | 26,122 | Bank of America, NA(a) | 6/21/2017 | (326 | ) | |||||||||||||||||
193,257 | South African Rand | 14,798 | Bank of America, NA(a) | 6/21/2017 | (464 | ) | |||||||||||||||||
1,818 | South African Rand | 142 | Bank of America, NA(a) | 6/21/2017 | (7 | ) | |||||||||||||||||
2,947 | South African Rand | 221 | Bank of America, NA(a) | 6/21/2017 | (2 | ) | |||||||||||||||||
128,386 | South African Rand | 9,244 | Bank of America, NA(a) | 6/21/2017 | 279 | ||||||||||||||||||
58,317 | South African Rand | 4,501 | Bank of America, NA(a) | 6/21/2017 | (176 | ) | |||||||||||||||||
657,901 | South African Rand | 48,569 | Bank of America, NA(a) | 6/21/2017 | 228 | ||||||||||||||||||
3,693 | Swedish Krona | 421 | Bank of America, NA(a) | 6/21/2017 | (3 | ) | |||||||||||||||||
136,964 | Swedish Krona | 15,327 | Bank of America, NA(a) | 6/21/2017 | 178 |
See Notes to Consolidated Financial Statements
43
Consolidated Schedule of Investments Neuberger Berman Absolute Return Multi-Manager Fund (Unaudited) (cont'd)
Contracts to Receive | In Exchange For | Counterparty | Settlement Date | Net Unrealized Appreciation/ (Depreciation) | |||||||||||||||||||
323,420 | Swedish Krona | $ | 36,693 | Bank of America, NA(a) | 6/21/2017 | $ | (80 | ) | |||||||||||||||
76,502 | Swedish Krona | 8,569 | Bank of America, NA(a) | 6/21/2017 | 91 | ||||||||||||||||||
267,973 | Swedish Krona | 30,533 | Bank of America, NA(a) | 6/21/2017 | (197 | ) | |||||||||||||||||
175,656 | Swedish Krona | 19,546 | Bank of America, NA(a) | 6/21/2017 | 339 | ||||||||||||||||||
89,033 | Swedish Krona | 9,912 | Bank of America, NA(a) | 6/21/2017 | 167 | ||||||||||||||||||
9,011 | Swedish Krona | 1,017 | Bank of America, NA(a) | 6/21/2017 | 3 | ||||||||||||||||||
132,260 | Swedish Krona | 14,861 | Bank of America, NA(a) | 6/21/2017 | 112 | ||||||||||||||||||
15,044 | Swedish Krona | 1,692 | Bank of America, NA(a) | 6/21/2017 | 11 | ||||||||||||||||||
17,520 | Swedish Krona | 2,005 | Bank of America, NA(a) | 6/21/2017 | (22 | ) | |||||||||||||||||
122,552 | Swedish Krona | 13,945 | Bank of America, NA(a) | 6/21/2017 | (71 | ) | |||||||||||||||||
7,078 | Swedish Krona | 792 | Bank of America, NA(a) | 6/21/2017 | 9 | ||||||||||||||||||
304,729 | Swedish Krona | 34,825 | Bank of America, NA(a) | 6/21/2017 | (328 | ) | |||||||||||||||||
159,056 | Swedish Krona | 18,040 | Bank of America, NA(a) | 6/21/2017 | (34 | ) | |||||||||||||||||
8,958 | Swedish Krona | 1,025 | Bank of America, NA(a) | 6/21/2017 | (11 | ) | |||||||||||||||||
5,088 | Swedish Krona | 567 | Bank of America, NA(a) | 6/21/2017 | 9 | ||||||||||||||||||
66,543 | Swedish Krona | 7,592 | Bank of America, NA(a) | 6/21/2017 | (59 | ) | |||||||||||||||||
104,969 | Swedish Krona | 11,976 | JPMorgan Chase Bank, NA | 6/30/2017 | (87 | ) | |||||||||||||||||
1,200,000 | Swiss Franc | 1,198,801 | JPMorgan Chase Bank, NA | 6/15/2017 | 10,690 | ||||||||||||||||||
300,000 | Swiss Franc | 301,054 | JPMorgan Chase Bank, NA | 6/15/2017 | 1,319 | ||||||||||||||||||
316,526 | Turkish Lira | 86,822 | Bank of America, NA(a) | 6/21/2017 | 988 | ||||||||||||||||||
7,906 | Turkish Lira | 2,105 | Bank of America, NA(a) | 6/21/2017 | 88 | ||||||||||||||||||
46,002 | Turkish Lira | 12,793 | Bank of America, NA(a) | 6/21/2017 | (31 | ) | |||||||||||||||||
168,946 | Turkish Lira | 46,642 | Bank of America, NA(a) | 6/21/2017 | 227 | ||||||||||||||||||
72,778 | Turkish Lira | 19,554 | Bank of America, NA(a) | 6/21/2017 | 636 | ||||||||||||||||||
47,365 | Turkish Lira | 12,811 | Bank of America, NA(a) | 6/21/2017 | 329 | ||||||||||||||||||
33,506 | Turkish Lira | 8,928 | Bank of America, NA(a) | 6/21/2017 | 367 | ||||||||||||||||||
202,741 | Turkish Lira | 55,591 | Bank of America, NA(a) | 6/21/2017 | 653 | ||||||||||||||||||
50,735 | Turkish Lira | 13,702 | Bank of America, NA(a) | 6/21/2017 | 373 | ||||||||||||||||||
44,231 | Turkish Lira | 11,800 | Bank of America, NA(a) | 6/21/2017 | 471 | ||||||||||||||||||
125,031 | Turkish Lira | 34,570 | Bank of America, NA(a) | 6/21/2017 | 116 | ||||||||||||||||||
60,511 | Turkish Lira | 16,234 | Bank of America, NA(a) | 6/21/2017 | 553 | ||||||||||||||||||
57,827 | Turkish Lira | 15,622 | Bank of America, NA(a) | 6/21/2017 | 420 | ||||||||||||||||||
17,090 | Turkish Lira | 4,600 | Bank of America, NA(a) | 6/21/2017 | 141 | ||||||||||||||||||
Total forward contracts to receive | $404,574 | ||||||||||||||||||||||
Contracts to Deliver | In Exchange For | Counterparty | Settlement Date | Net Unrealized Appreciation/ (Depreciation) | |||||||||||||||||||
23,257 | Brazilian Real | $ | 7,364 | Bank of America, NA(a) | 5/3/2017 | $ | 39 | ||||||||||||||||
10,688 | Brazilian Real | 3,387 | Bank of America, NA(a) | 5/3/2017 | 21 | ||||||||||||||||||
53,945 | Brazilian Real | 17,213 | Bank of America, NA(a) | 5/3/2017 | 222 | ||||||||||||||||||
88,220 | Brazilian Real | 28,366 | Bank of America, NA(a) | 5/3/2017 | 579 | ||||||||||||||||||
8,623 | Brazilian Real | 2,735 | Bank of America, NA(a) | 5/3/2017 | 19 |
See Notes to Consolidated Financial Statements
44
Consolidated Schedule of Investments Neuberger Berman Absolute Return Multi-Manager Fund (Unaudited) (cont'd)
Contracts to Deliver | In Exchange For | Counterparty | Settlement Date | Net Unrealized Appreciation/ (Depreciation) | |||||||||||||||||||
99,244 | Brazilian Real | $ | 31,611 | Bank of America, NA(a) | 5/3/2017 | $ | 352 | ||||||||||||||||
293,888 | Brazilian Real | 93,692 | Bank of America, NA(a) | 5/3/2017 | 1,125 | ||||||||||||||||||
12,305,225 | Brazilian Real | 3,857,437 | Bank of America, NA(a) | 5/3/2017 | (18,365 | ) | |||||||||||||||||
77,699 | Brazilian Real | 24,389 | Bank of America, NA(a) | 5/3/2017 | (84 | ) | |||||||||||||||||
17,528 | Brazilian Real | 5,475 | Bank of America, NA(a) | 6/2/2017 | (1 | ) | |||||||||||||||||
87,700 | Brazilian Real | 27,376 | Bank of America, NA(a) | 6/2/2017 | (22 | ) | |||||||||||||||||
17,531 | Brazilian Real | 5,475 | Bank of America, NA(a) | 6/2/2017 | (2 | ) | |||||||||||||||||
17,534 | Brazilian Real | 5,475 | Bank of America, NA(a) | 6/2/2017 | (3 | ) | |||||||||||||||||
17,537 | Brazilian Real | 5,475 | Bank of America, NA(a) | 6/2/2017 | (4 | ) | |||||||||||||||||
62,815 | Brazilian Real | 19,605 | Bank of America, NA(a) | 6/2/2017 | (19 | ) | |||||||||||||||||
1,751 | Brazilian Real | 547 | Bank of America, NA(a) | 6/2/2017 | — | (b) | |||||||||||||||||
1,752 | Brazilian Real | 547 | Bank of America, NA(a) | 6/2/2017 | — | (b) | |||||||||||||||||
38,460 | Brazilian Real | 11,915 | Bank of America, NA(a) | 6/2/2017 | (100 | ) | |||||||||||||||||
1,752 | Brazilian Real | 547 | Bank of America, NA(a) | 6/2/2017 | — | (b) | |||||||||||||||||
17,537 | Brazilian Real | 5,475 | Bank of America, NA(a) | 6/2/2017 | (4 | ) | |||||||||||||||||
200,000 | Canadian Dollar | 147,951 | JPMorgan Chase Bank, NA | 6/15/2017 | 1,338 | ||||||||||||||||||
50,040 | Canadian Dollar | 37,171 | JPMorgan Chase Bank, NA | 6/30/2017 | 479 | ||||||||||||||||||
342,256 | Canadian Dollar | 256,264 | JPMorgan Chase Bank, NA | 6/30/2017 | 5,303 | ||||||||||||||||||
362,809 | Canadian Dollar | 266,907 | JPMorgan Chase Bank, NA | 6/30/2017 | 876 | ||||||||||||||||||
51,960 | Canadian Dollar | 38,573 | JPMorgan Chase Bank, NA | 6/30/2017 | 473 | ||||||||||||||||||
2,801,798 | Chilean Peso | 4,204 | Bank of America, NA(a) | 6/21/2017 | 16 | ||||||||||||||||||
13,941,353 | Chilean Peso | 20,895 | Bank of America, NA(a) | 6/21/2017 | 58 | ||||||||||||||||||
8,613,893 | Chilean Peso | 12,920 | Bank of America, NA(a) | 6/21/2017 | 45 | ||||||||||||||||||
5,701,243 | Chilean Peso | 8,520 | Bank of America, NA(a) | 6/21/2017 | (1 | ) | |||||||||||||||||
1,949,526 | Chilean Peso | 2,934 | Bank of America, NA(a) | 6/21/2017 | 20 | ||||||||||||||||||
2,164,605 | Chilean Peso | 3,243 | Bank of America, NA(a) | 6/21/2017 | 8 | ||||||||||||||||||
5,858,928 | Chilean Peso | 8,784 | Bank of America, NA(a) | 6/21/2017 | 27 | ||||||||||||||||||
164,803 | Chilean Peso | 250 | Bank of America, NA(a) | 6/21/2017 | 4 | ||||||||||||||||||
14,400,001 | Chilean Peso | 21,620 | Bank of America, NA(a) | 6/21/2017 | 97 | ||||||||||||||||||
3,640,205 | Chilean Peso | 5,462 | Bank of America, NA(a) | 6/21/2017 | 21 | ||||||||||||||||||
3,358,545 | Chilean Peso | 5,031 | Bank of America, NA(a) | 6/21/2017 | 11 | ||||||||||||||||||
1,245,920 | Chilean Peso | 1,850 | Bank of America, NA(a) | 6/21/2017 | (12 | ) | |||||||||||||||||
5,278,159 | Chilean Peso | 7,947 | Bank of America, NA(a) | 6/21/2017 | 58 | ||||||||||||||||||
141,326 | Chilean Peso | 212 | Bank of America, NA(a) | 6/21/2017 | 1 | ||||||||||||||||||
7,510,420 | Chilean Peso | 11,260 | Bank of America, NA(a) | 6/21/2017 | 35 | ||||||||||||||||||
712,100 | Chilean Peso | 1,093 | Bank of America, NA(a) | 6/21/2017 | 29 | ||||||||||||||||||
1,566,569 | Chilean Peso | 2,392 | Bank of America, NA(a) | 6/21/2017 | 51 | ||||||||||||||||||
3,110,861 | Chilean Peso | 4,710 | Bank of America, NA(a) | 6/21/2017 | 60 | ||||||||||||||||||
202,205 | Chilean Peso | 308 | Bank of America, NA(a) | 6/21/2017 | 6 | ||||||||||||||||||
712,511 | Chilean Peso | 1,094 | Bank of America, NA(a) | 6/21/2017 | 29 | ||||||||||||||||||
106,754 | Chilean Peso | 163 | Bank of America, NA(a) | 6/21/2017 | 3 | ||||||||||||||||||
465,815 | Chilean Peso | 715 | Bank of America, NA(a) | 6/21/2017 | 19 | ||||||||||||||||||
784,504 | Chilean Peso | 1,196 | Bank of America, NA(a) | 6/21/2017 | 23 | ||||||||||||||||||
2,564,820 | Chilean Peso | 3,931 | Bank of America, NA(a) | 6/21/2017 | 97 |
See Notes to Consolidated Financial Statements
45
Consolidated Schedule of Investments Neuberger Berman Absolute Return Multi-Manager Fund (Unaudited) (cont'd)
Contracts to Deliver | In Exchange For | Counterparty | Settlement Date | Net Unrealized Appreciation/ (Depreciation) | |||||||||||||||||||
7,121,538 | Chilean Peso | $ | 10,933 | Bank of America, NA(a) | 6/21/2017 | $ | 289 | ||||||||||||||||
1,444,123 | Chilean Peso | 2,216 | Bank of America, NA(a) | 6/21/2017 | 58 | ||||||||||||||||||
80,314 | Czech Koruna | 3,184 | Bank of America, NA(a) | 6/21/2017 | (86 | ) | |||||||||||||||||
142,660 | Czech Koruna | 5,738 | Bank of America, NA(a) | 6/21/2017 | (70 | ) | |||||||||||||||||
30,516,981 | Czech Koruna | 1,205,395 | Bank of America, NA(a) | 6/21/2017 | (37,040 | ) | |||||||||||||||||
1,367,932 | Czech Koruna | 55,625 | Bank of America, NA(a) | 6/21/2017 | (67 | ) | |||||||||||||||||
1,720 | Czech Koruna | 70 | Bank of America, NA(a) | 6/21/2017 | — | (b) | |||||||||||||||||
629,245 | Czech Koruna | 25,578 | Bank of America, NA(a) | 6/21/2017 | (40 | ) | |||||||||||||||||
2,426,017 | Czech Koruna | 96,905 | Bank of America, NA(a) | 6/21/2017 | (1,865 | ) | |||||||||||||||||
75 | Czech Koruna | 3 | Bank of America, NA(a) | 6/21/2017 | — | (b) | |||||||||||||||||
57,436 | Czech Koruna | 2,276 | Bank of America, NA(a) | 6/21/2017 | (62 | ) | |||||||||||||||||
106,902 | Czech Koruna | 4,292 | Bank of America, NA(a) | 6/21/2017 | (60 | ) | |||||||||||||||||
98,414 | Czech Koruna | 3,937 | Bank of America, NA(a) | 6/21/2017 | (70 | ) | |||||||||||||||||
35,818 | Czech Koruna | 1,429 | Bank of America, NA(a) | 6/21/2017 | (29 | ) | |||||||||||||||||
55,420 | Czech Koruna | 2,220 | Bank of America, NA(a) | 6/21/2017 | (36 | ) | |||||||||||||||||
7,145,104 | Euro | 7,691,033 | JPMorgan Chase Bank, NA | 5/12/2017 | (95,995 | ) | |||||||||||||||||
398,000 | Euro | 429,823 | JPMorgan Chase Bank, NA | 6/30/2017 | (5,053 | ) | |||||||||||||||||
17,557,560 | Hong Kong Dollar | 2,258,920 | JPMorgan Chase Bank, NA | 5/12/2017 | 1,191 | ||||||||||||||||||
439,773 | Hungarian Forint | 1,502 | Bank of America, NA(a) | 6/21/2017 | (30 | ) | |||||||||||||||||
5,060,305 | Hungarian Forint | 17,327 | Bank of America, NA(a) | 6/21/2017 | (304 | ) | |||||||||||||||||
1,557,026 | Hungarian Forint | 5,432 | Bank of America, NA(a) | 6/21/2017 | 7 | ||||||||||||||||||
1,793,505 | Hungarian Forint | 6,108 | Bank of America, NA(a) | 6/21/2017 | (141 | ) | |||||||||||||||||
304,473,815 | Hungarian Forint | 1,037,229 | Bank of America, NA(a) | 6/21/2017 | (23,600 | ) | |||||||||||||||||
563,772 | Hungarian Forint | 1,984 | Bank of America, NA(a) | 6/21/2017 | 20 | ||||||||||||||||||
365,897 | Hungarian Forint | 1,250 | Bank of America, NA(a) | 6/21/2017 | (25 | ) | |||||||||||||||||
291,089 | Hungarian Forint | 992 | Bank of America, NA(a) | 6/21/2017 | (22 | ) | |||||||||||||||||
746,921 | Hungarian Forint | 2,582 | Bank of America, NA(a) | 6/21/2017 | (20 | ) | |||||||||||||||||
7,979,179 | Hungarian Forint | 27,344 | Bank of America, NA(a) | 6/21/2017 | (457 | ) | |||||||||||||||||
1,272,067 | Hungarian Forint | 4,449 | Bank of America, NA(a) | 6/21/2017 | 17 | ||||||||||||||||||
208,130 | Hungarian Forint | 731 | Bank of America, NA(a) | 6/21/2017 | 6 | ||||||||||||||||||
774,337 | Hungarian Forint | 2,658 | Bank of America, NA(a) | 6/21/2017 | (40 | ) | |||||||||||||||||
611,927 | Indian Rupee | 9,331 | Bank of America, NA(a) | 6/21/2017 | (136 | ) | |||||||||||||||||
816,866 | Indian Rupee | 12,688 | Bank of America, NA(a) | 6/21/2017 | 51 | ||||||||||||||||||
81,630 | Indian Rupee | 1,268 | Bank of America, NA(a) | 6/21/2017 | 5 | ||||||||||||||||||
816,828 | Indian Rupee | 12,688 | Bank of America, NA(a) | 6/21/2017 | 51 | ||||||||||||||||||
816,815 | Indian Rupee | 12,688 | Bank of America, NA(a) | 6/21/2017 | 52 | ||||||||||||||||||
1,384,381 | Indian Rupee | 20,541 | Bank of America, NA(a) | 6/21/2017 | (876 | ) | |||||||||||||||||
816,841 | Indian Rupee | 12,688 | Bank of America, NA(a) | 6/21/2017 | 51 | ||||||||||||||||||
81,631 | Indian Rupee | 1,268 | Bank of America, NA(a) | 6/21/2017 | 5 | ||||||||||||||||||
965,264 | Indian Rupee | 14,842 | Bank of America, NA(a) | 6/21/2017 | (91 | ) | |||||||||||||||||
267,784 | Indian Rupee | 4,142 | Bank of America, NA(a) | 6/21/2017 | (1 | ) | |||||||||||||||||
816,828 | Indian Rupee | 12,688 | Bank of America, NA(a) | 6/21/2017 | 51 | ||||||||||||||||||
4,021,155 | Indian Rupee | 61,510 | Bank of America, NA(a) | 6/21/2017 | (699 | ) |
See Notes to Consolidated Financial Statements
46
Consolidated Schedule of Investments Neuberger Berman Absolute Return Multi-Manager Fund (Unaudited) (cont'd)
Contracts to Deliver | In Exchange For | Counterparty | Settlement Date | Net Unrealized Appreciation/ (Depreciation) | |||||||||||||||||||
81,635 | Indian Rupee | $ | 1,268 | Bank of America, NA(a) | 6/21/2017 | $ | 5 | ||||||||||||||||
1,746,982 | Indian Rupee | 25,915 | Bank of America, NA(a) | 6/21/2017 | (1,111 | ) | |||||||||||||||||
131,709 | Indian Rupee | 1,954 | Bank of America, NA(a) | 6/21/2017 | (84 | ) | |||||||||||||||||
5,605,801 | Indian Rupee | 83,108 | Bank of America, NA(a) | 6/21/2017 | (3,616 | ) | |||||||||||||||||
34,919 | Indian Rupee | 518 | Bank of America, NA(a) | 6/21/2017 | (22 | ) | |||||||||||||||||
3,602,969 | Indian Rupee | 53,406 | Bank of America, NA(a) | 6/21/2017 | (2,333 | ) | |||||||||||||||||
3,492,896 | Indian Rupee | 51,828 | Bank of America, NA(a) | 6/21/2017 | (2,208 | ) | |||||||||||||||||
560,518 | Indian Rupee | 8,310 | Bank of America, NA(a) | 6/21/2017 | (361 | ) | |||||||||||||||||
56,063 | Indian Rupee | 831 | Bank of America, NA(a) | 6/21/2017 | (36 | ) | |||||||||||||||||
904,317 | Indian Rupee | 13,791 | Bank of America, NA(a) | 6/21/2017 | (199 | ) | |||||||||||||||||
81,631 | Indian Rupee | 1,268 | Bank of America, NA(a) | 6/21/2017 | 5 | ||||||||||||||||||
560,451 | Indian Rupee | 8,310 | Bank of America, NA(a) | 6/21/2017 | (360 | ) | |||||||||||||||||
213,563 | Indian Rupee | 3,166 | Bank of America, NA(a) | 6/21/2017 | (138 | ) | |||||||||||||||||
1,016,992 | Indian Rupee | 15,211 | Bank of America, NA(a) | 6/21/2017 | (522 | ) | |||||||||||||||||
154,494 | Indian Rupee | 2,375 | Bank of America, NA(a) | 6/21/2017 | (15 | ) | |||||||||||||||||
2,352,848 | Indian Rupee | 35,563 | Bank of America, NA(a) | 6/21/2017 | (836 | ) | |||||||||||||||||
3,268,511 | Indian Rupee | 49,583 | Bank of America, NA(a) | 6/21/2017 | (982 | ) | |||||||||||||||||
569,733 | Indian Rupee | 8,628 | Bank of America, NA(a) | 6/21/2017 | (186 | ) | |||||||||||||||||
770,843 | Indian Rupee | 11,932 | Bank of America, NA(a) | 6/21/2017 | 7 | ||||||||||||||||||
1,691,433 | Indian Rupee | 25,577 | Bank of America, NA(a) | 6/21/2017 | (590 | ) | |||||||||||||||||
3,071,119 | Indian Rupee | 46,499 | Bank of America, NA(a) | 6/21/2017 | (1,012 | ) | |||||||||||||||||
81,633 | Indian Rupee | 1,268 | Bank of America, NA(a) | 6/21/2017 | 5 | ||||||||||||||||||
816,892 | Indian Rupee | 12,688 | Bank of America, NA(a) | 6/21/2017 | 50 | ||||||||||||||||||
694,349 | Indian Rupee | 10,785 | Bank of America, NA(a) | 6/21/2017 | 43 | ||||||||||||||||||
816,867 | Indian Rupee | 12,689 | Bank of America, NA(a) | 6/21/2017 | 52 | ||||||||||||||||||
981,087 | Indian Rupee | 14,860 | Bank of America, NA(a) | 6/21/2017 | (318 | ) | |||||||||||||||||
1,655,234 | Indian Rupee | 25,223 | Bank of America, NA(a) | 6/21/2017 | (384 | ) | |||||||||||||||||
2,228,650 | Indian Rupee | 34,229 | Bank of America, NA(a) | 6/21/2017 | (249 | ) | |||||||||||||||||
251,892 | Indian Rupee | 3,878 | Bank of America, NA(a) | 6/21/2017 | (19 | ) | |||||||||||||||||
81,631 | Indian Rupee | 1,268 | Bank of America, NA(a) | 6/21/2017 | 5 | ||||||||||||||||||
81,634 | Indian Rupee | 1,268 | Bank of America, NA(a) | 6/21/2017 | 5 | ||||||||||||||||||
429,039 | Indian Rupee | 6,601 | Bank of America, NA(a) | 6/21/2017 | (36 | ) | |||||||||||||||||
650,115 | Indian Rupee | 10,030 | Bank of America, NA(a) | 6/21/2017 | (27 | ) | |||||||||||||||||
770,427 | Indian Rupee | 11,873 | Bank of America, NA(a) | 6/21/2017 | (46 | ) | |||||||||||||||||
6,434,356 | Indian Rupee | 99,742 | Bank of America, NA(a) | 6/21/2017 | 200 | ||||||||||||||||||
1,368,529 | Indian Rupee | 20,786 | Bank of America, NA(a) | 6/21/2017 | (386 | ) | |||||||||||||||||
2,849,098 | Indian Rupee | 43,142 | Bank of America, NA(a) | 6/21/2017 | (934 | ) | |||||||||||||||||
81,629 | Indian Rupee | 1,268 | Bank of America, NA(a) | 6/21/2017 | 5 | ||||||||||||||||||
81,635 | Indian Rupee | 1,268 | Bank of America, NA(a) | 6/21/2017 | 5 | ||||||||||||||||||
81,635 | Indian Rupee | 1,268 | Bank of America, NA(a) | 6/21/2017 | 5 | ||||||||||||||||||
6,977 | Israeli New Shekel | 1,914 | Bank of America, NA(a) | 6/21/2017 | (16 | ) | |||||||||||||||||
4,133 | Israeli New Shekel | 1,135 | Bank of America, NA(a) | 6/21/2017 | (8 | ) | |||||||||||||||||
1,986 | Israeli New Shekel | 549 | Bank of America, NA(a) | 6/21/2017 | — | (b) |
See Notes to Consolidated Financial Statements
47
Consolidated Schedule of Investments Neuberger Berman Absolute Return Multi-Manager Fund (Unaudited) (cont'd)
Contracts to Deliver | In Exchange For | Counterparty | Settlement Date | Net Unrealized Appreciation/ (Depreciation) | |||||||||||||||||||
31,056 | Israeli New Shekel | $ | 8,484 | Bank of America, NA(a) | 6/21/2017 | $ | (105 | ) | |||||||||||||||
12,674 | Israeli New Shekel | 3,511 | Bank of America, NA(a) | 6/21/2017 | 6 | ||||||||||||||||||
3,145 | Israeli New Shekel | 863 | Bank of America, NA(a) | 6/21/2017 | (7 | ) | |||||||||||||||||
15,730 | Israeli New Shekel | 4,333 | Bank of America, NA(a) | 6/21/2017 | (17 | ) | |||||||||||||||||
93,926 | Israeli New Shekel | 25,899 | Bank of America, NA(a) | 6/21/2017 | (77 | ) | |||||||||||||||||
39,087 | Israeli New Shekel | 10,809 | Bank of America, NA(a) | 6/21/2017 | (1 | ) | |||||||||||||||||
82,010 | Israeli New Shekel | 22,539 | Bank of America, NA(a) | 6/21/2017 | (142 | ) | |||||||||||||||||
40,945 | Israeli New Shekel | 11,268 | Bank of America, NA(a) | 6/21/2017 | (56 | ) | |||||||||||||||||
90,654 | Israeli New Shekel | 24,873 | Bank of America, NA(a) | 6/21/2017 | (199 | ) | |||||||||||||||||
8,013 | Israeli New Shekel | 2,197 | Bank of America, NA(a) | 6/21/2017 | (19 | ) | |||||||||||||||||
21,899 | Israeli New Shekel | 6,046 | Bank of America, NA(a) | 6/21/2017 | (11 | ) | |||||||||||||||||
63,995 | Israeli New Shekel | 17,674 | Bank of America, NA(a) | 6/21/2017 | (25 | ) | |||||||||||||||||
13,696 | Israeli New Shekel | 3,727 | Bank of America, NA(a) | 6/21/2017 | (61 | ) | |||||||||||||||||
3,564 | Israeli New Shekel | 974 | Bank of America, NA(a) | 6/21/2017 | (12 | ) | |||||||||||||||||
4,000 | Israeli New Shekel | 1,103 | Bank of America, NA(a) | 6/21/2017 | (3 | ) | |||||||||||||||||
2,450 | Israeli New Shekel | 680 | Bank of America, NA(a) | 6/21/2017 | 2 | ||||||||||||||||||
43,239 | Israeli New Shekel | 11,819 | Bank of America, NA(a) | 6/21/2017 | (139 | ) | |||||||||||||||||
5,818 | Israeli New Shekel | 1,600 | Bank of America, NA(a) | 6/21/2017 | (9 | ) | |||||||||||||||||
93,708 | Israeli New Shekel | 25,518 | Bank of America, NA(a) | 6/21/2017 | (398 | ) | |||||||||||||||||
22,995 | Israeli New Shekel | 6,303 | Bank of America, NA(a) | 6/21/2017 | (57 | ) | |||||||||||||||||
2,798,481 | Korean Won | 2,443 | Bank of America, NA(a) | 6/21/2017 | (18 | ) | |||||||||||||||||
14,491,311 | Korean Won | 12,804 | Bank of America, NA(a) | 6/21/2017 | 60 | ||||||||||||||||||
7,767,021 | Korean Won | 6,854 | Bank of America, NA(a) | 6/21/2017 | 24 | ||||||||||||||||||
989,266 | Korean Won | 865 | Bank of America, NA(a) | 6/21/2017 | (5 | ) | |||||||||||||||||
28,100,250 | Korean Won | 25,000 | Bank of America, NA(a) | 6/21/2017 | 289 | ||||||||||||||||||
19,570,432 | Korean Won | 17,241 | Bank of America, NA(a) | 6/21/2017 | 31 | ||||||||||||||||||
1,480,047 | Korean Won | 1,279 | Bank of America, NA(a) | 6/21/2017 | (23 | ) | |||||||||||||||||
22,495,000 | Korean Won | 20,000 | Bank of America, NA(a) | 6/21/2017 | 218 | ||||||||||||||||||
34,004,239 | Korean Won | 30,208 | Bank of America, NA(a) | 6/21/2017 | 305 | ||||||||||||||||||
24,944,057 | Korean Won | 21,861 | Bank of America, NA(a) | 6/21/2017 | (75 | ) | |||||||||||||||||
17,386,958 | Korean Won | 15,256 | Bank of America, NA(a) | 6/21/2017 | (34 | ) | |||||||||||||||||
21,360,848 | Korean Won | 18,721 | Bank of America, NA(a) | 6/21/2017 | (64 | ) | |||||||||||||||||
1,517,054 | Korean Won | 1,340 | Bank of America, NA(a) | 6/21/2017 | 6 | ||||||||||||||||||
18,173 | Malaysian Ringgit | 4,041 | Bank of America, NA(a) | 6/21/2017 | (148 | ) | |||||||||||||||||
18,173 | Malaysian Ringgit | 4,041 | Bank of America, NA(a) | 6/21/2017 | (148 | ) | |||||||||||||||||
18,884 | Malaysian Ringgit | 4,211 | Bank of America, NA(a) | 6/21/2017 | (142 | ) | |||||||||||||||||
18,173 | Malaysian Ringgit | 4,041 | Bank of America, NA(a) | 6/21/2017 | (148 | ) | |||||||||||||||||
18,173 | Malaysian Ringgit | 4,041 | Bank of America, NA(a) | 6/21/2017 | (148 | ) | |||||||||||||||||
18,189 | Malaysian Ringgit | 4,041 | Bank of America, NA(a) | 6/21/2017 | (152 | ) | |||||||||||||||||
18,173 | Malaysian Ringgit | 4,041 | Bank of America, NA(a) | 6/21/2017 | (148 | ) | |||||||||||||||||
18,197 | Malaysian Ringgit | 4,041 | Bank of America, NA(a) | 6/21/2017 | (154 | ) | |||||||||||||||||
27,210 | Malaysian Ringgit | 6,055 | Bank of America, NA(a) | 6/21/2017 | (217 | ) | |||||||||||||||||
27,025 | Malaysian Ringgit | 6,046 | Bank of America, NA(a) | 6/21/2017 | (184 | ) |
See Notes to Consolidated Financial Statements
48
Consolidated Schedule of Investments Neuberger Berman Absolute Return Multi-Manager Fund (Unaudited) (cont'd)
Contracts to Deliver | In Exchange For | Counterparty | Settlement Date | Net Unrealized Appreciation/ (Depreciation) | |||||||||||||||||||
23,544 | Malaysian Ringgit | $ | 5,292 | Bank of America, NA(a) | 6/21/2017 | $ | (135 | ) | |||||||||||||||
18,218 | Malaysian Ringgit | 4,041 | Bank of America, NA(a) | 6/21/2017 | (159 | ) | |||||||||||||||||
18,197 | Malaysian Ringgit | 4,041 | Bank of America, NA(a) | 6/21/2017 | (154 | ) | |||||||||||||||||
18,173 | Malaysian Ringgit | 4,041 | Bank of America, NA(a) | 6/21/2017 | (148 | ) | |||||||||||||||||
1,817 | Malaysian Ringgit | 404 | Bank of America, NA(a) | 6/21/2017 | (15 | ) | |||||||||||||||||
18,173 | Malaysian Ringgit | 4,041 | Bank of America, NA(a) | 6/21/2017 | (148 | ) | |||||||||||||||||
17,924 | Malaysian Ringgit | 3,982 | Bank of America, NA(a) | 6/21/2017 | (150 | ) | |||||||||||||||||
18,218 | Malaysian Ringgit | 4,041 | Bank of America, NA(a) | 6/21/2017 | (159 | ) | |||||||||||||||||
18,189 | Malaysian Ringgit | 4,041 | Bank of America, NA(a) | 6/21/2017 | (152 | ) | |||||||||||||||||
18,181 | Malaysian Ringgit | 4,041 | Bank of America, NA(a) | 6/21/2017 | (150 | ) | |||||||||||||||||
25,878 | Malaysian Ringgit | 5,728 | Bank of America, NA(a) | 6/21/2017 | (237 | ) | |||||||||||||||||
497,877 | Malaysian Ringgit | 110,553 | Bank of America, NA(a) | 6/21/2017 | (4,218 | ) | |||||||||||||||||
25,892 | Malaysian Ringgit | 5,728 | Bank of America, NA(a) | 6/21/2017 | (241 | ) | |||||||||||||||||
25,898 | Malaysian Ringgit | 5,728 | Bank of America, NA(a) | 6/21/2017 | (242 | ) | |||||||||||||||||
2,584 | Malaysian Ringgit | 572 | Bank of America, NA(a) | 6/21/2017 | (24 | ) | |||||||||||||||||
25,896 | Malaysian Ringgit | 5,728 | Bank of America, NA(a) | 6/21/2017 | (242 | ) | |||||||||||||||||
25,896 | Malaysian Ringgit | 5,728 | Bank of America, NA(a) | 6/21/2017 | (242 | ) | |||||||||||||||||
4,614 | Malaysian Ringgit | 1,028 | Bank of America, NA(a) | 6/21/2017 | (36 | ) | |||||||||||||||||
2,370 | Malaysian Ringgit | 527 | Bank of America, NA(a) | 6/21/2017 | (19 | ) | |||||||||||||||||
25,898 | Malaysian Ringgit | 5,728 | Bank of America, NA(a) | 6/21/2017 | (242 | ) | |||||||||||||||||
19,196 | Malaysian Ringgit | 4,269 | Bank of America, NA(a) | 6/21/2017 | (156 | ) | |||||||||||||||||
1,916 | Malaysian Ringgit | 426 | Bank of America, NA(a) | 6/21/2017 | (16 | ) | |||||||||||||||||
2,676,797 | Malaysian Ringgit | 598,000 | Bank of America, NA(a) | 6/21/2017 | (19,058 | ) | |||||||||||||||||
13,670 | Malaysian Ringgit | 3,072 | Bank of America, NA(a) | 6/21/2017 | (79 | ) | |||||||||||||||||
1,340,417 | Malaysian Ringgit | 299,000 | Bank of America, NA(a) | 6/21/2017 | (9,994 | ) | |||||||||||||||||
25,902 | Malaysian Ringgit | 5,729 | Bank of America, NA(a) | 6/21/2017 | (242 | ) | |||||||||||||||||
25,898 | Malaysian Ringgit | 5,728 | Bank of America, NA(a) | 6/21/2017 | (242 | ) | |||||||||||||||||
25,902 | Malaysian Ringgit | 5,729 | Bank of America, NA(a) | 6/21/2017 | (242 | ) | |||||||||||||||||
18,181 | Malaysian Ringgit | 4,041 | Bank of America, NA(a) | 6/21/2017 | (150 | ) | |||||||||||||||||
18,173 | Malaysian Ringgit | 4,041 | Bank of America, NA(a) | 6/21/2017 | (148 | ) | |||||||||||||||||
28,848 | Malaysian Ringgit | 6,408 | Bank of America, NA(a) | 6/21/2017 | (242 | ) | |||||||||||||||||
28,848 | Malaysian Ringgit | 6,408 | Bank of America, NA(a) | 6/21/2017 | (242 | ) | |||||||||||||||||
25,902 | Malaysian Ringgit | 5,729 | Bank of America, NA(a) | 6/21/2017 | (242 | ) | |||||||||||||||||
25,902 | Malaysian Ringgit | 5,729 | Bank of America, NA(a) | 6/21/2017 | (242 | ) | |||||||||||||||||
43,006 | Malaysian Ringgit | 9,625 | Bank of America, NA(a) | 6/21/2017 | (289 | ) | |||||||||||||||||
9,187 | Malaysian Ringgit | 2,058 | Bank of America, NA(a) | 6/21/2017 | (60 | ) | |||||||||||||||||
9,197 | Malaysian Ringgit | 2,061 | Bank of America, NA(a) | 6/21/2017 | (59 | ) | |||||||||||||||||
28,843 | Malaysian Ringgit | 6,407 | Bank of America, NA(a) | 6/21/2017 | (242 | ) | |||||||||||||||||
28,212 | Malaysian Ringgit | 6,326 | Bank of America, NA(a) | 6/21/2017 | (177 | ) | |||||||||||||||||
25,902 | Malaysian Ringgit | 5,729 | Bank of America, NA(a) | 6/21/2017 | (242 | ) | |||||||||||||||||
25,902 | Malaysian Ringgit | 5,729 | Bank of America, NA(a) | 6/21/2017 | (242 | ) | |||||||||||||||||
20,924 | Malaysian Ringgit | 4,648 | Bank of America, NA(a) | 6/21/2017 | (176 | ) | |||||||||||||||||
25,928 | Malaysian Ringgit | 5,729 | Bank of America, NA(a) | 6/21/2017 | (248 | ) |
See Notes to Consolidated Financial Statements
49
Consolidated Schedule of Investments Neuberger Berman Absolute Return Multi-Manager Fund (Unaudited) (cont'd)
Contracts to Deliver | In Exchange For | Counterparty | Settlement Date | Net Unrealized Appreciation/ (Depreciation) | |||||||||||||||||||
25,902 | Malaysian Ringgit | $ | 5,729 | Bank of America, NA(a) | 6/21/2017 | $ | (242 | ) | |||||||||||||||
25,902 | Malaysian Ringgit | 5,729 | Bank of America, NA(a) | 6/21/2017 | (242 | ) | |||||||||||||||||
10,728 | Malaysian Ringgit | 2,401 | Bank of America, NA(a) | 6/21/2017 | (72 | ) | |||||||||||||||||
25,902 | Malaysian Ringgit | 5,729 | Bank of America, NA(a) | 6/21/2017 | (242 | ) | |||||||||||||||||
25,902 | Malaysian Ringgit | 5,729 | Bank of America, NA(a) | 6/21/2017 | (242 | ) | |||||||||||||||||
25,902 | Malaysian Ringgit | 5,729 | Bank of America, NA(a) | 6/21/2017 | (242 | ) | |||||||||||||||||
25,640 | Malaysian Ringgit | 5,731 | Bank of America, NA(a) | 6/21/2017 | (180 | ) | |||||||||||||||||
28,843 | Malaysian Ringgit | 6,407 | Bank of America, NA(a) | 6/21/2017 | (242 | ) | |||||||||||||||||
21,320 | Malaysian Ringgit | 4,783 | Bank of America, NA(a) | 6/21/2017 | (132 | ) | |||||||||||||||||
28,843 | Malaysian Ringgit | 6,407 | Bank of America, NA(a) | 6/21/2017 | (242 | ) | |||||||||||||||||
2,775 | Malaysian Ringgit | 621 | Bank of America, NA(a) | 6/21/2017 | (19 | ) | |||||||||||||||||
28,843 | Malaysian Ringgit | 6,407 | Bank of America, NA(a) | 6/21/2017 | (242 | ) | |||||||||||||||||
28,843 | Malaysian Ringgit | 6,407 | Bank of America, NA(a) | 6/21/2017 | (242 | ) | |||||||||||||||||
7,427 | Malaysian Ringgit | 1,667 | Bank of America, NA(a) | 6/21/2017 | (45 | ) | |||||||||||||||||
28,843 | Malaysian Ringgit | 6,407 | Bank of America, NA(a) | 6/21/2017 | (242 | ) | |||||||||||||||||
10,643 | Malaysian Ringgit | 2,391 | Bank of America, NA(a) | 6/21/2017 | (62 | ) | |||||||||||||||||
14,692 | Malaysian Ringgit | 3,288 | Bank of America, NA(a) | 6/21/2017 | (99 | ) | |||||||||||||||||
11,222 | Malaysian Ringgit | 2,515 | Bank of America, NA(a) | 6/21/2017 | (72 | ) | |||||||||||||||||
28,862 | Malaysian Ringgit | 6,407 | Bank of America, NA(a) | 6/21/2017 | (246 | ) | |||||||||||||||||
28,838 | Malaysian Ringgit | 6,407 | Bank of America, NA(a) | 6/21/2017 | (241 | ) | |||||||||||||||||
28,862 | Malaysian Ringgit | 6,407 | Bank of America, NA(a) | 6/21/2017 | (246 | ) | |||||||||||||||||
28,862 | Malaysian Ringgit | 6,407 | Bank of America, NA(a) | 6/21/2017 | (246 | ) | |||||||||||||||||
16,118 | Malaysian Ringgit | 3,565 | Bank of America, NA(a) | 6/21/2017 | (151 | ) | |||||||||||||||||
16,352 | Malaysian Ringgit | 3,666 | Bank of America, NA(a) | 6/21/2017 | (104 | ) | |||||||||||||||||
28,843 | Malaysian Ringgit | 6,407 | Bank of America, NA(a) | 6/21/2017 | (242 | ) | |||||||||||||||||
841 | Malaysian Ringgit | 188 | Bank of America, NA(a) | 6/21/2017 | (6 | ) | |||||||||||||||||
6,645,168 | Mexican Peso | 351,210 | JPMorgan Chase Bank, NA | 5/12/2017 | (1,136 | ) | |||||||||||||||||
37,944 | New Taiwan Dollar | 1,268 | Bank of America, NA(a) | 6/21/2017 | 9 | ||||||||||||||||||
173,203 | New Taiwan Dollar | 5,788 | Bank of America, NA(a) | 6/21/2017 | 42 | ||||||||||||||||||
350,212 | New Taiwan Dollar | 11,647 | Bank of America, NA(a) | 6/21/2017 | 29 | ||||||||||||||||||
379,405 | New Taiwan Dollar | 12,680 | Bank of America, NA(a) | 6/21/2017 | 94 | ||||||||||||||||||
34,647 | New Taiwan Dollar | 1,147 | Bank of America, NA(a) | 6/21/2017 | (2 | ) | |||||||||||||||||
379,375 | New Taiwan Dollar | 12,679 | Bank of America, NA(a) | 6/21/2017 | 94 | ||||||||||||||||||
37,939 | New Taiwan Dollar | 1,268 | Bank of America, NA(a) | 6/21/2017 | 9 | ||||||||||||||||||
379,375 | New Taiwan Dollar | 12,679 | Bank of America, NA(a) | 6/21/2017 | 94 | ||||||||||||||||||
63,197 | New Taiwan Dollar | 2,086 | Bank of America, NA(a) | 6/21/2017 | (10 | ) | |||||||||||||||||
340,129 | New Taiwan Dollar | 11,203 | Bank of America, NA(a) | 6/21/2017 | (80 | ) | |||||||||||||||||
350,224 | New Taiwan Dollar | 11,647 | Bank of America, NA(a) | 6/21/2017 | 29 | ||||||||||||||||||
63,545 | New Taiwan Dollar | 2,096 | Bank of America, NA(a) | 6/21/2017 | (12 | ) | |||||||||||||||||
267,915 | New Taiwan Dollar | 8,791 | Bank of America, NA(a) | 6/21/2017 | (97 | ) | |||||||||||||||||
187,179 | New Taiwan Dollar | 6,225 | Bank of America, NA(a) | 6/21/2017 | 16 | ||||||||||||||||||
72,588 | New Taiwan Dollar | 2,396 | Bank of America, NA(a) | 6/21/2017 | (12 | ) | |||||||||||||||||
350,271 | New Taiwan Dollar | 11,647 | Bank of America, NA(a) | 6/21/2017 | 27 | ||||||||||||||||||
283,360 | New Taiwan Dollar | 9,367 | Bank of America, NA(a) | 6/21/2017 | (33 | ) |
See Notes to Consolidated Financial Statements
50
Consolidated Schedule of Investments Neuberger Berman Absolute Return Multi-Manager Fund (Unaudited) (cont'd)
Contracts to Deliver | In Exchange For | Counterparty | Settlement Date | Net Unrealized Appreciation/ (Depreciation) | |||||||||||||||||||
88,890 | New Taiwan Dollar | $ | 2,959 | Bank of America, NA(a) | 6/21/2017 | $ | 10 | ||||||||||||||||
133,568 | New Taiwan Dollar | 4,400 | Bank of America, NA(a) | 6/21/2017 | (31 | ) | |||||||||||||||||
904,246 | New Taiwan Dollar | 29,644 | Bank of America, NA(a) | 6/21/2017 | (353 | ) | |||||||||||||||||
1,228,270 | New Taiwan Dollar | 40,445 | Bank of America, NA(a) | 6/21/2017 | (302 | ) | |||||||||||||||||
1,480,685 | New Taiwan Dollar | 48,787 | Bank of America, NA(a) | 6/21/2017 | (333 | ) | |||||||||||||||||
512,096 | New Taiwan Dollar | 16,993 | Bank of America, NA(a) | 6/21/2017 | 5 | ||||||||||||||||||
112,684 | New Taiwan Dollar | 3,664 | Bank of America, NA(a) | 6/21/2017 | (74 | ) | |||||||||||||||||
32,950 | New Taiwan Dollar | 1,070 | Bank of America, NA(a) | 6/21/2017 | (23 | ) | |||||||||||||||||
215,946 | New Taiwan Dollar | 7,132 | Bank of America, NA(a) | 6/21/2017 | (32 | ) | |||||||||||||||||
577,106 | New Taiwan Dollar | 19,002 | Bank of America, NA(a) | 6/21/2017 | (143 | ) | |||||||||||||||||
158,482 | New Taiwan Dollar | 5,265 | Bank of America, NA(a) | 6/21/2017 | 8 | ||||||||||||||||||
115,842 | New Taiwan Dollar | 3,824 | Bank of America, NA(a) | 6/21/2017 | (19 | ) | |||||||||||||||||
65,212 | New Taiwan Dollar | 2,116 | Bank of America, NA(a) | 6/21/2017 | (47 | ) | |||||||||||||||||
452,326 | New Taiwan Dollar | 14,996 | Bank of America, NA(a) | 6/21/2017 | (9 | ) | |||||||||||||||||
77,489 | New Taiwan Dollar | 2,551 | Bank of America, NA(a) | 6/21/2017 | (20 | ) | |||||||||||||||||
41,968 | New Taiwan Dollar | 1,388 | Bank of America, NA(a) | 6/21/2017 | (4 | ) | |||||||||||||||||
513,440 | Norwegian Krone | 59,715 | Bank of America, NA(a) | 6/21/2017 | (121 | ) | |||||||||||||||||
93,203 | Norwegian Krone | 10,899 | Bank of America, NA(a) | 6/21/2017 | 37 | ||||||||||||||||||
215,836 | Norwegian Krone | 25,183 | Bank of America, NA(a) | 6/21/2017 | 30 | ||||||||||||||||||
414,638 | Norwegian Krone | 48,228 | Bank of America, NA(a) | 6/21/2017 | (94 | ) | |||||||||||||||||
412,900 | Norwegian Krone | 48,210 | Bank of America, NA(a) | 6/21/2017 | 91 | ||||||||||||||||||
514,329 | Norwegian Krone | 60,678 | Bank of America, NA(a) | 6/21/2017 | 738 | ||||||||||||||||||
399,219 | Norwegian Krone | 47,170 | Bank of America, NA(a) | 6/21/2017 | 645 | ||||||||||||||||||
441,979 | Norwegian Krone | 51,936 | Bank of America, NA(a) | 6/21/2017 | 428 | ||||||||||||||||||
422,835 | Norwegian Krone | 49,882 | Bank of America, NA(a) | 6/21/2017 | 605 | ||||||||||||||||||
75,904 | Norwegian Krone | 8,787 | Bank of America, NA(a) | 6/21/2017 | (59 | ) | |||||||||||||||||
163,783 | Norwegian Krone | 19,080 | Bank of America, NA(a) | 6/21/2017 | (7 | ) | |||||||||||||||||
63,863 | Norwegian Krone | 7,390 | Bank of America, NA(a) | 6/21/2017 | (53 | ) | |||||||||||||||||
31,743 | Norwegian Krone | 3,687 | Bank of America, NA(a) | 6/21/2017 | (12 | ) | |||||||||||||||||
448,912 | Norwegian Krone | 52,103 | Bank of America, NA(a) | 6/21/2017 | (213 | ) | |||||||||||||||||
530,755 | Norwegian Krone | 61,840 | Bank of America, NA(a) | 6/21/2017 | (14 | ) | |||||||||||||||||
394,006 | Norwegian Krone | 45,899 | Bank of America, NA(a) | 6/21/2017 | (18 | ) | |||||||||||||||||
511,140 | Norwegian Krone | 59,697 | Bank of America, NA(a) | 6/21/2017 | 129 | ||||||||||||||||||
429,380 | Norwegian Krone | 50,655 | Bank of America, NA(a) | 6/21/2017 | 615 | ||||||||||||||||||
198,354 | Norwegian Krone | 23,129 | Bank of America, NA(a) | 6/21/2017 | 13 | ||||||||||||||||||
511,124 | Norwegian Krone | 59,810 | Bank of America, NA(a) | 6/21/2017 | 244 | ||||||||||||||||||
351,034 | Norwegian Krone | 41,409 | Bank of America, NA(a) | 6/21/2017 | 500 | ||||||||||||||||||
419,577 | Norwegian Krone | 48,679 | Bank of America, NA(a) | 6/21/2017 | (218 | ) | |||||||||||||||||
510,376 | Norwegian Krone | 59,884 | Bank of America, NA(a) | 6/21/2017 | 405 | ||||||||||||||||||
415,528 | Norwegian Krone | 48,395 | Bank of America, NA(a) | 6/21/2017 | (30 | ) | |||||||||||||||||
505,917 | Norwegian Krone | 59,458 | Bank of America, NA(a) | 6/21/2017 | 499 | ||||||||||||||||||
207,711 | Norwegian Krone | 24,370 | Bank of America, NA(a) | 6/21/2017 | 163 | ||||||||||||||||||
60,460 | Norwegian Krone | 7,049 | Bank of America, NA(a) | 6/21/2017 | 3 |
See Notes to Consolidated Financial Statements
51
Consolidated Schedule of Investments Neuberger Berman Absolute Return Multi-Manager Fund (Unaudited) (cont'd)
Contracts to Deliver | In Exchange For | Counterparty | Settlement Date | Net Unrealized Appreciation/ (Depreciation) | |||||||||||||||||||
335,176 | Norwegian Krone | $ | 39,027 | Bank of America, NA(a) | 6/21/2017 | $ | (34 | ) | |||||||||||||||
490,400 | Norwegian Krone | 57,533 | Bank of America, NA(a) | 6/21/2017 | 382 | ||||||||||||||||||
425,356 | Norwegian Krone | 49,895 | Bank of America, NA(a) | 6/21/2017 | 324 | ||||||||||||||||||
394,207 | Norwegian Krone | 46,502 | Bank of America, NA(a) | 6/21/2017 | 561 | ||||||||||||||||||
324,635 | Norwegian Krone | 37,660 | Bank of America, NA(a) | 6/21/2017 | (173 | ) | |||||||||||||||||
411,004 | Norwegian Krone | 48,712 | Bank of America, NA(a) | 6/21/2017 | 814 | ||||||||||||||||||
496,921 | Norwegian Krone | 58,724 | Bank of America, NA(a) | 6/21/2017 | 813 | ||||||||||||||||||
524,034 | Norwegian Krone | 60,839 | Bank of America, NA(a) | 6/21/2017 | (232 | ) | |||||||||||||||||
7,433 | Norwegian Krone | 866 | Bank of America, NA(a) | 6/21/2017 | — | (b) | |||||||||||||||||
19,063 | Norwegian Krone | 2,220 | Bank of America, NA(a) | 6/21/2017 | (2 | ) | |||||||||||||||||
10,645 | Norwegian Krone | 1,254 | Bank of America, NA(a) | 6/21/2017 | 13 | ||||||||||||||||||
497,340 | Norwegian Krone | 58,650 | Bank of America, NA(a) | 6/21/2017 | 690 | ||||||||||||||||||
420,761 | Norwegian Krone | 49,431 | Bank of America, NA(a) | 6/21/2017 | 396 | ||||||||||||||||||
375,166 | Norwegian Krone | 43,921 | Bank of America, NA(a) | 6/21/2017 | 199 | ||||||||||||||||||
503,969 | Norwegian Krone | 59,722 | Bank of America, NA(a) | 6/21/2017 | 990 | ||||||||||||||||||
277,011 | Philippine Peso | 5,482 | Bank of America, NA(a) | 6/21/2017 | (15 | ) | |||||||||||||||||
211,065 | Philippine Peso | 4,180 | Bank of America, NA(a) | 6/21/2017 | (8 | ) | |||||||||||||||||
177,032 | Philippine Peso | 3,491 | Bank of America, NA(a) | 6/21/2017 | (22 | ) | |||||||||||||||||
282,299 | Philippine Peso | 5,562 | Bank of America, NA(a) | 6/21/2017 | (40 | ) | |||||||||||||||||
76,985 | Philippine Peso | 1,526 | Bank of America, NA(a) | 6/21/2017 | (2 | ) | |||||||||||||||||
289,787 | Philippine Peso | 5,702 | Bank of America, NA(a) | 6/21/2017 | (49 | ) | |||||||||||||||||
141,512 | Philippine Peso | 2,799 | Bank of America, NA(a) | 6/21/2017 | (9 | ) | |||||||||||||||||
319,667 | Philippine Peso | 6,297 | Bank of America, NA(a) | 6/21/2017 | (47 | ) | |||||||||||||||||
88,177 | Philippine Peso | 1,764 | Bank of America, NA(a) | 6/21/2017 | 14 | ||||||||||||||||||
444,313 | Philippine Peso | 8,807 | Bank of America, NA(a) | 6/21/2017 | (10 | ) | |||||||||||||||||
72,983 | Philippine Peso | 1,445 | Bank of America, NA(a) | 6/21/2017 | (3 | ) | |||||||||||||||||
170,085 | Philippine Peso | 3,355 | Bank of America, NA(a) | 6/21/2017 | (20 | ) | |||||||||||||||||
77,525 | Philippine Peso | 1,535 | Bank of America, NA(a) | 6/21/2017 | (3 | ) | |||||||||||||||||
160,757 | Philippine Peso | 3,184 | Bank of America, NA(a) | 6/21/2017 | (6 | ) | |||||||||||||||||
65,551,860 | Philippine Peso | 1,289,376 | Bank of America, NA(a) | 6/21/2017 | (11,473 | ) | |||||||||||||||||
184,471 | Philippine Peso | 3,656 | Bank of America, NA(a) | 6/21/2017 | (5 | ) | |||||||||||||||||
28 | Polish Zloty | 7 | Bank of America, NA(a) | 6/21/2017 | — | (b) | |||||||||||||||||
8,840 | Polish Zloty | 2,166 | Bank of America, NA(a) | 6/21/2017 | (112 | ) | |||||||||||||||||
13,663 | Polish Zloty | 3,427 | Bank of America, NA(a) | 6/21/2017 | (93 | ) | |||||||||||||||||
2,288 | Polish Zloty | 577 | Bank of America, NA(a) | 6/21/2017 | (12 | ) | |||||||||||||||||
3,425,940 | Polish Zloty | 839,097 | Bank of America, NA(a) | 6/21/2017 | (43,641 | ) | |||||||||||||||||
3,452 | Polish Zloty | 870 | Bank of America, NA(a) | 6/21/2017 | (20 | ) | |||||||||||||||||
11,003 | Polish Zloty | 2,782 | Bank of America, NA(a) | 6/21/2017 | (53 | ) | |||||||||||||||||
9,706 | Polish Zloty | 2,431 | Bank of America, NA(a) | 6/21/2017 | (70 | ) | |||||||||||||||||
1,007 | Polish Zloty | 252 | Bank of America, NA(a) | 6/21/2017 | (7 | ) | |||||||||||||||||
4,468,902 | Pound Sterling | 5,727,296 | JPMorgan Chase Bank, NA | 5/12/2017 | (62,487 | ) | |||||||||||||||||
149,209 | Russian Ruble | 2,622 | Bank of America, NA(a) | 6/21/2017 | 31 | ||||||||||||||||||
1,046,294 | Russian Ruble | 17,608 | Bank of America, NA(a) | 6/21/2017 | (560 | ) |
See Notes to Consolidated Financial Statements
52
Consolidated Schedule of Investments Neuberger Berman Absolute Return Multi-Manager Fund (Unaudited) (cont'd)
Contracts to Deliver | In Exchange For | Counterparty | Settlement Date | Net Unrealized Appreciation/ (Depreciation) | |||||||||||||||||||
1,614,435 | Russian Ruble | $ | 28,168 | Bank of America, NA(a) | 6/21/2017 | $ | 135 | ||||||||||||||||
39,866 | Russian Ruble | 656 | Bank of America, NA(a) | 6/21/2017 | (36 | ) | |||||||||||||||||
464,021 | Russian Ruble | 8,134 | Bank of America, NA(a) | 6/21/2017 | 77 | ||||||||||||||||||
109,450 | Russian Ruble | 1,903 | Bank of America, NA(a) | 6/21/2017 | 3 | ||||||||||||||||||
396,483 | Russian Ruble | 6,706 | Bank of America, NA(a) | 6/21/2017 | (178 | ) | |||||||||||||||||
1,534,400 | Russian Ruble | 26,758 | Bank of America, NA(a) | 6/21/2017 | 115 | ||||||||||||||||||
276,176 | Russian Ruble | 4,845 | Bank of America, NA(a) | 6/21/2017 | 50 | ||||||||||||||||||
177,343 | Russian Ruble | 2,937 | Bank of America, NA(a) | 6/21/2017 | (142 | ) | |||||||||||||||||
494,995 | Russian Ruble | 8,638 | Bank of America, NA(a) | 6/21/2017 | 43 | ||||||||||||||||||
509,795 | Russian Ruble | 8,931 | Bank of America, NA(a) | 6/21/2017 | 79 | ||||||||||||||||||
344,967 | Russian Ruble | 5,945 | Bank of America, NA(a) | 6/21/2017 | (45 | ) | |||||||||||||||||
1,376,188 | Russian Ruble | 23,938 | Bank of America, NA(a) | 6/21/2017 | 42 | ||||||||||||||||||
299,252 | Russian Ruble | 5,249 | Bank of America, NA(a) | 6/21/2017 | 53 | ||||||||||||||||||
109,039 | Russian Ruble | 1,920 | Bank of America, NA(a) | 6/21/2017 | 27 | ||||||||||||||||||
99,777 | Russian Ruble | 1,750 | Bank of America, NA(a) | 6/21/2017 | 18 | ||||||||||||||||||
1,377,199 | Russian Ruble | 23,939 | Bank of America, NA(a) | 6/21/2017 | 26 | ||||||||||||||||||
1,033,333 | Russian Ruble | 18,011 | Bank of America, NA(a) | 6/21/2017 | 69 | ||||||||||||||||||
1,219,251 | Russian Ruble | 21,034 | Bank of America, NA(a) | 6/21/2017 | (137 | ) | |||||||||||||||||
1,087 | Singapore Dollar | 776 | Bank of America, NA(a) | 6/21/2017 | (3 | ) | |||||||||||||||||
4,835 | Singapore Dollar | 3,440 | Bank of America, NA(a) | 6/21/2017 | (23 | ) | |||||||||||||||||
1,700,526 | Singapore Dollar | 1,198,756 | Bank of America, NA(a) | 6/21/2017 | (19,033 | ) | |||||||||||||||||
298 | Singapore Dollar | 213 | Bank of America, NA(a) | 6/21/2017 | (1 | ) | |||||||||||||||||
687 | Singapore Dollar | 490 | Bank of America, NA(a) | 6/21/2017 | (2 | ) | |||||||||||||||||
3,909 | Singapore Dollar | 2,799 | Bank of America, NA(a) | 6/21/2017 | — | (b) | |||||||||||||||||
1,482 | Singapore Dollar | 1,062 | Bank of America, NA(a) | 6/21/2017 | 1 | ||||||||||||||||||
5,284 | Singapore Dollar | 3,783 | Bank of America, NA(a) | 6/21/2017 | (1 | ) | |||||||||||||||||
3,229 | Singapore Dollar | 2,304 | Bank of America, NA(a) | 6/21/2017 | (9 | ) | |||||||||||||||||
1,743 | Singapore Dollar | 1,233 | Bank of America, NA(a) | 6/21/2017 | (15 | ) | |||||||||||||||||
738 | Singapore Dollar | 528 | Bank of America, NA(a) | 6/21/2017 | (1 | ) | |||||||||||||||||
2,003 | Singapore Dollar | 1,411 | Bank of America, NA(a) | 6/21/2017 | (23 | ) | |||||||||||||||||
2,847 | Singapore Dollar | 2,044 | Bank of America, NA(a) | 6/21/2017 | 5 | ||||||||||||||||||
3,321 | Singapore Dollar | 2,375 | Bank of America, NA(a) | 6/21/2017 | (3 | ) | |||||||||||||||||
50,529 | South African Rand | 3,985 | Bank of America, NA(a) | 6/21/2017 | 237 | ||||||||||||||||||
70,791 | South African Rand | 5,333 | Bank of America, NA(a) | 6/21/2017 | 82 | ||||||||||||||||||
54,301 | South African Rand | 3,906 | Bank of America, NA(a) | 6/21/2017 | (122 | ) | |||||||||||||||||
338,561 | South African Rand | 24,673 | Bank of America, NA(a) | 6/21/2017 | (439 | ) | |||||||||||||||||
66,752 | South African Rand | 4,806 | Bank of America, NA(a) | 6/21/2017 | (145 | ) | |||||||||||||||||
246,340 | South African Rand | 19,277 | Bank of America, NA(a) | 6/21/2017 | 1,006 | ||||||||||||||||||
327,871 | South African Rand | 25,314 | Bank of America, NA(a) | 6/21/2017 | 995 | ||||||||||||||||||
23,093 | South African Rand | 1,642 | Bank of America, NA(a) | 6/21/2017 | (71 | ) | |||||||||||||||||
44,448 | South African Rand | 3,293 | Bank of America, NA(a) | 6/21/2017 | (4 | ) | |||||||||||||||||
3,302 | South African Rand | 260 | Bank of America, NA(a) | 6/21/2017 | 15 | ||||||||||||||||||
446,579 | South African Rand | 33,351 | Bank of America, NA(a) | 6/21/2017 | 228 |
See Notes to Consolidated Financial Statements
53
Consolidated Schedule of Investments Neuberger Berman Absolute Return Multi-Manager Fund (Unaudited) (cont'd)
Contracts to Deliver | In Exchange For | Counterparty | Settlement Date | Net Unrealized Appreciation/ (Depreciation) | |||||||||||||||||||
34,234 | South African Rand | $ | 2,613 | Bank of America, NA(a) | 6/21/2017 | $ | 74 | ||||||||||||||||
425,604 | South African Rand | 31,949 | Bank of America, NA(a) | 6/21/2017 | 381 | ||||||||||||||||||
88,144 | South African Rand | 6,553 | Bank of America, NA(a) | 6/21/2017 | 15 | ||||||||||||||||||
171,838 | South African Rand | 12,914 | Bank of America, NA(a) | 6/21/2017 | 169 | ||||||||||||||||||
8,644,973 | Swedish Krona | 967,439 | JPMorgan Chase Bank, NA | 5/12/2017 | (9,101 | ) | |||||||||||||||||
142,292 | Swedish Krona | 15,881 | Bank of America, NA(a) | 6/21/2017 | (227 | ) | |||||||||||||||||
16,258 | Swedish Krona | 1,850 | Bank of America, NA(a) | 6/21/2017 | 10 | ||||||||||||||||||
57,346 | Swedish Krona | 6,501 | Bank of America, NA(a) | 6/21/2017 | 9 | ||||||||||||||||||
43,394 | Swedish Krona | 4,843 | Bank of America, NA(a) | 6/21/2017 | (69 | ) | |||||||||||||||||
67,354 | Swedish Krona | 7,658 | Bank of America, NA(a) | 6/21/2017 | 33 | ||||||||||||||||||
224,955 | Swedish Krona | 25,580 | Bank of America, NA(a) | 6/21/2017 | 114 | ||||||||||||||||||
123,314 | Swedish Krona | 14,023 | Bank of America, NA(a) | 6/21/2017 | 63 | ||||||||||||||||||
21,176 | Swedish Krona | 2,374 | Bank of America, NA(a) | 6/21/2017 | (23 | ) | |||||||||||||||||
1,725 | Swedish Krona | 194 | Bank of America, NA(a) | 6/21/2017 | (1 | ) | |||||||||||||||||
32,240 | Swedish Krona | 3,595 | Bank of America, NA(a) | 6/21/2017 | (55 | ) | |||||||||||||||||
14,354,202 | Swedish Krona | 1,599,204 | Bank of America, NA(a) | 6/21/2017 | (25,780 | ) | |||||||||||||||||
178,365 | Swedish Krona | 19,817 | Bank of America, NA(a) | 6/21/2017 | (375 | ) | |||||||||||||||||
45,046 | Swedish Krona | 5,149 | Bank of America, NA(a) | 6/21/2017 | 50 | ||||||||||||||||||
39,279 | Swedish Krona | 4,355 | Bank of America, NA(a) | 6/21/2017 | (92 | ) | |||||||||||||||||
53,977 | Swedish Krona | 6,000 | Bank of America, NA(a) | 6/21/2017 | (111 | ) | |||||||||||||||||
416,614 | Swedish Krona | 45,992 | Bank of America, NA(a) | 6/21/2017 | (1,171 | ) | |||||||||||||||||
6,070 | Swedish Krona | 678 | Bank of America, NA(a) | 6/21/2017 | (9 | ) | |||||||||||||||||
5,707,209 | Swedish Krona | 645,228 | JPMorgan Chase Bank, NA | 6/30/2017 | (1,169 | ) | |||||||||||||||||
1,298,581 | Swiss Franc | 1,304,730 | JPMorgan Chase Bank, NA | 5/12/2017 | (1,192 | ) | |||||||||||||||||
1,500,000 | Swiss Franc | 1,486,460 | JPMorgan Chase Bank, NA | 6/15/2017 | (25,404 | ) | |||||||||||||||||
82,815 | Turkish Lira | 22,633 | JPMorgan Chase Bank, NA | 5/12/2017 | (615 | ) | |||||||||||||||||
28,594 | Turkish Lira | 7,681 | Bank of America, NA(a) | 6/21/2017 | (251 | ) | |||||||||||||||||
23,044 | Turkish Lira | 6,185 | Bank of America, NA(a) | 6/21/2017 | (208 | ) | |||||||||||||||||
164,235 | Turkish Lira | 43,330 | Bank of America, NA(a) | 6/21/2017 | (2,232 | ) | |||||||||||||||||
178,555 | Turkish Lira | 47,836 | Bank of America, NA(a) | 6/21/2017 | (1,698 | ) | |||||||||||||||||
5,618 | Turkish Lira | 1,543 | Bank of America, NA(a) | 6/21/2017 | (15 | ) | |||||||||||||||||
5,462,595 | Turkish Lira | 1,416,480 | Bank of America, NA(a) | 6/21/2017 | (98,941 | ) | |||||||||||||||||
853 | Turkish Lira | 229 | Bank of America, NA(a) | 6/21/2017 | (8 | ) | |||||||||||||||||
97,645 | Turkish Lira | 26,008 | Bank of America, NA(a) | 6/21/2017 | (1,081 | ) | |||||||||||||||||
43,244 | Turkish Lira | 11,203 | Bank of America, NA(a) | 6/21/2017 | (794 | ) | |||||||||||||||||
57,114 | Turkish Lira | 14,986 | Bank of America, NA(a) | 6/21/2017 | (858 | ) | |||||||||||||||||
230,712 | Turkish Lira | 59,793 | Bank of America, NA(a) | 6/21/2017 | (4,211 | ) | |||||||||||||||||
21,258 | Turkish Lira | 5,622 | Bank of America, NA(a) | 6/21/2017 | (275 | ) | |||||||||||||||||
19,241 | Turkish Lira | 5,027 | Bank of America, NA(a) | 6/21/2017 | (311 | ) | |||||||||||||||||
82,193 | Turkish Lira | 22,029 | Bank of America, NA(a) | 6/21/2017 | (773 | ) | |||||||||||||||||
179,625 | Turkish Lira | 48,178 | Bank of America, NA(a) | 6/21/2017 | (1,653 | ) | |||||||||||||||||
230,773 | Turkish Lira | 59,794 | Bank of America, NA(a) | 6/21/2017 | (4,226 | ) | |||||||||||||||||
17,949 | Turkish Lira | 4,827 | Bank of America, NA(a) | 6/21/2017 | (152 | ) |
See Notes to Consolidated Financial Statements
54
Consolidated Schedule of Investments Neuberger Berman Absolute Return Multi-Manager Fund (Unaudited) (cont'd)
Contracts to Deliver | In Exchange For | Counterparty | Settlement Date | Net Unrealized Appreciation/ (Depreciation) | |||||||||||||||||||
117,308 | Turkish Lira | $ | 31,120 | Bank of America, NA(a) | 6/21/2017 | $ | (1,423 | ) | |||||||||||||||
21,259 | Turkish Lira | 5,622 | Bank of America, NA(a) | 6/21/2017 | (276 | ) | |||||||||||||||||
21,257 | Turkish Lira | 5,621 | Bank of America, NA(a) | 6/21/2017 | (276 | ) | |||||||||||||||||
21,259 | Turkish Lira | 5,622 | Bank of America, NA(a) | 6/21/2017 | (276 | ) | |||||||||||||||||
21,255 | Turkish Lira | 5,622 | Bank of America, NA(a) | 6/21/2017 | (275 | ) | |||||||||||||||||
26,537 | Turkish Lira | 7,004 | Bank of America, NA(a) | 6/21/2017 | (358 | ) | |||||||||||||||||
120,490 | Turkish Lira | 32,101 | Bank of America, NA(a) | 6/21/2017 | (1,325 | ) | |||||||||||||||||
94,335 | Turkish Lira | 25,334 | Bank of America, NA(a) | 6/21/2017 | (836 | ) | |||||||||||||||||
21,240 | Turkish Lira | 5,622 | Bank of America, NA(a) | 6/21/2017 | (270 | ) | |||||||||||||||||
21,240 | Turkish Lira | 5,622 | Bank of America, NA(a) | 6/21/2017 | (270 | ) | |||||||||||||||||
179,573 | Turkish Lira | 48,177 | Bank of America, NA(a) | 6/21/2017 | (1,640 | ) | |||||||||||||||||
21,261 | Turkish Lira | 5,622 | Bank of America, NA(a) | 6/21/2017 | (276 | ) | |||||||||||||||||
21,228 | Turkish Lira | 5,622 | Bank of America, NA(a) | 6/21/2017 | (267 | ) | |||||||||||||||||
228,235 | Turkish Lira | 59,636 | Bank of America, NA(a) | 6/21/2017 | (3,680 | ) | |||||||||||||||||
178,671 | Turkish Lira | 47,837 | Bank of America, NA(a) | 6/21/2017 | (1,729 | ) | |||||||||||||||||
21,228 | Turkish Lira | 5,621 | Bank of America, NA(a) | 6/21/2017 | (268 | ) | |||||||||||||||||
39,612 | Turkish Lira | 10,605 | Bank of America, NA(a) | 6/21/2017 | (384 | ) | |||||||||||||||||
58,729 | Turkish Lira | 15,719 | Bank of America, NA(a) | 6/21/2017 | (574 | ) | |||||||||||||||||
6,570 | Turkish Lira | 1,782 | Bank of America, NA(a) | 6/21/2017 | (41 | ) | |||||||||||||||||
18,667 | Turkish Lira | 5,019 | Bank of America, NA(a) | 6/21/2017 | (160 | ) | |||||||||||||||||
212,083 | Turkish Lira | 56,219 | Bank of America, NA(a) | 6/21/2017 | (2,617 | ) | |||||||||||||||||
9,418 | Turkish Lira | 2,471 | Bank of America, NA(a) | 6/21/2017 | (142 | ) | |||||||||||||||||
108,705 | Turkish Lira | 28,532 | Bank of America, NA(a) | 6/21/2017 | (1,625 | ) | |||||||||||||||||
Total forward contracts to deliver | $(565,966) |
(a) The investment is held by the Subsidiary (see Note A in Notes to Consolidated Financial Statements).
(b) Amount less than one dollar.
For the six months ended April 30, 2017, the average notional value of forward contracts for the Fund was $13,654,005. The Fund had cash collateral of $304,537 deposited in a segregated account for JPMorgan Chase Bank, NA.
See Notes to Consolidated Financial Statements
55
Consolidated Schedule of Investments Neuberger Berman Absolute Return Multi-Manager Fund (Unaudited) (cont'd)
Credit default swap contracts ("credit default swaps")
At April 30, 2017, the Fund had outstanding over-the-counter ("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%, 12/31/2099 | $ | 2,000,000 | 5.00 | % | 12/20/2021 | $ | (275,480 | ) | $ | (28,982 | ) | $ | (11,112 | ) | $ | (315,574 | ) | |||||||||||
JPMorgan Chase Bank, NA | Gap, Inc. (The), 5.95%, 4/12/2021 | 2,000,000 | 1.00 | 12/20/2021 | 214,587 | (109,215 | ) | (2,222 | ) | 103,150 | |||||||||||||||||||
JPMorgan Chase Bank, NA | Goodyear Tire & Rubber Co. (The), 7.00%, 3/15/2028 | 1,000,000 | 5.00 | 12/20/2021 | (131,602 | ) | (33,716 | ) | (5,556 | ) | (170,874 | ) | |||||||||||||||||
JPMorgan Chase Bank, NA | International Lease Finance Corp., 8.25%, 12/15/2020 | 1,000,000 | 5.00 | 12/20/2021 | (137,880 | ) | (38,925 | ) | (5,556 | ) | (182,361 | ) | |||||||||||||||||
JPMorgan Chase Bank, NA | JC Penney Co., Inc., 6.38%, 10/15/2036 | 1,000,000 | 5.00 | 12/20/2021 | 26,691 | 35,040 | (5,556 | ) | 56,175 | ||||||||||||||||||||
JPMorgan Chase Bank, NA | Kohl's Corp., 4.00%, 11/01/2021 | 1,000,000 | 1.00 | 12/20/2021 | 59,171 | (18,998 | ) | (1,110 | ) | 39,063 | |||||||||||||||||||
JPMorgan Chase Bank, NA | Nordstrom, Inc., 6.95%, 3/15/2028 | 1,000,000 | 1.00 | 12/20/2021 | 25,618 | (15,147 | ) | (1,110 | ) | 9,361 | |||||||||||||||||||
JPMorgan Chase Bank, NA | Staples, Inc., 2.75%, 1/12/2018 | 2,000,000 | 1.00 | 12/20/2021 | 119,442 | (51,690 | ) | (2,222 | ) | 65,530 | |||||||||||||||||||
Total credit default swaps | $ | (99,453 | ) | $ | (261,633 | ) | $ | (34,444 | ) | $ | (395,530 | ) |
* 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.
At April 30, 2017, the Fund had outstanding centrally cleared credit default swaps as follows:
Centrally Cleared Credit Default Swaps—Buy Protection
Clearinghouse | Reference | Notional Amount(a) | Contract | Termination | Unamortized | Unrealized | Accrued | Total | |||||||||||||||||||||||||||
ICE Clear | iTraxx Europe | EUR | 4,000,000 | 5.00 | % |
| $(311,974) | $(171,958) | $(24,207) | $(508,139) | |||||||||||||||||||||||||
Total centrally cleared credit default swaps | $(311,974) | $(171,958) | $(24,207) | $(508,139) |
(a) Notional amount is stated in the currency in which it is denominated.
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 swaps.
For the six months ended April 30, 2017, the average notional value of credit default swaps for the Fund was $19,288,714 for buy protection and $2,000,000 for sell protection. The Fund had $286,131 deposited in segregated accounts to cover margin requirements on centrally cleared swaps.
See Notes to Consolidated Financial Statements
56
Consolidated Schedule of Investments Neuberger Berman Absolute Return Multi-Manager Fund (Unaudited) (cont'd)
Equity swap contracts ("equity swaps")
At April 30, 2017, the Fund had outstanding equity swaps* 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. | 9/26/2017- 4/30/2018 | $115,729 |
* 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, 2017.
Reference Entity | Shares | Notional Value(a)(b) | Net Unrealized Appreciation/ (Depreciation) | ||||||||||||
Long Positions | |||||||||||||||
Canada | |||||||||||||||
Athabasca Oil Corp. | 54,224 | $ | 62,891 | $ | (8,074 | ) | |||||||||
China | |||||||||||||||
Intime Retail Group Co. Ltd. | 273,650 | 339,386 | 7,147 | ||||||||||||
France | |||||||||||||||
Christian Dior SE | 142 | 39,009 | (37 | ) | |||||||||||
Sartorius Stedim Biotech | 625 | 42,380 | (462 | ) | |||||||||||
Zodiac Aerospace | 8,073 | 246,560 | (50,544 | ) | |||||||||||
(51,043 | ) | ||||||||||||||
Germany | |||||||||||||||
STADA Arzneimittel AG | 7,480 | 516,774 | 13,089 | ||||||||||||
Italy | |||||||||||||||
Buzzi Unicem SpA | 33,554 | 361,589 | 134,400 | ||||||||||||
Netherlands | |||||||||||||||
Akzo Nobel NV | 440 | 37,751 | 726 | ||||||||||||
Switzerland | |||||||||||||||
Actelion Ltd. | 8,165 | 2,246,942 | 65,107 | ||||||||||||
Syngenta AG | 282 | 130,033 | 1,019 | ||||||||||||
66,126 | |||||||||||||||
United Kingdom | |||||||||||||||
Booker Group plc | 174,363 | 452,266 | (14,146 | ) | |||||||||||
Punch Taverns plc | 41,094 | 93,353 | (209 | ) | |||||||||||
Sky plc | 118,830 | 1,522,247 | 4,526 | ||||||||||||
(9,829 | ) |
See Notes to Consolidated Financial Statements
57
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 States | |||||||||||||
Reynolds American, Inc. | 12,250 | $ | 691,415 | $ | 98,709 | ||||||||
Safeway, Inc. | 429,292 | — | (d) | 107,323 | (c) | ||||||||
Safeway, Inc. | 429,292 | — | (d) | 8,586 | (c) | ||||||||
214,618 | |||||||||||||
Total Long Positions of Equity Swaps | 367,160 | ||||||||||||
Short Positions | |||||||||||||
Canada | |||||||||||||
Fairfax Financial Holdings Ltd. | (632 | ) | (296,867 | ) | 7,963 | ||||||||
France | |||||||||||||
Hermes International | (29 | ) | (13,839 | ) | (35 | ) | |||||||
Germany | |||||||||||||
Sartorius AG | (578 | ) | (52,199 | ) | (726 | ) | |||||||
Italy | |||||||||||||
Buzzi Unicem SpA | (18,107 | ) | (357,467 | ) | �� | (108,018 | ) | ||||||
United Kingdom | |||||||||||||
British American Tobacco plc | (12,669 | ) | (763,828 | ) | (91,896 | ) | |||||||
Henderson Group plc | (180,418 | ) | (506,621 | ) | (32,707 | ) | |||||||
Tesco plc | (150,127 | ) | (368,597 | ) | 12,278 | ||||||||
(112,325 | ) | ||||||||||||
Total Short Positions of Equity Swaps | (213,141 | ) | |||||||||||
Total Long and Short Positions of Equity Swaps | 154,019 | ||||||||||||
Financing Costs and Other Receivables/(Payables) | (38,290 | ) | |||||||||||
Equity Swaps, at value—JPMorgan Chase Bank, NA | $ | 115,729 | |||||||||||
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. | 9/13/2017- 2/26/2018 | $1,140,389 |
See Notes to Consolidated Financial Statements
58
Consolidated Schedule of Investments Neuberger Berman Absolute Return Multi-Manager Fund (Unaudited) (cont'd)
* 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, 2017.
Reference Entity | Shares | Notional Value(a)(b) | Net Unrealized Appreciation/ (Depreciation) | ||||||||||||
Long Positions | |||||||||||||||
Brazil | |||||||||||||||
Hypermarcas SA | 33,470 | $ | 210,646 | $ | 106,334 | ||||||||||
France | |||||||||||||||
Amundi SA | 8,292 | 407,451 | 138,110 | ||||||||||||
BNP Paribas SA | 13,297 | 741,280 | 197,021 | ||||||||||||
Danone SA | 27,157 | 1,849,648 | 48,933 | ||||||||||||
Iliad SA | 5,311 | 1,257,907 | 31,631 | ||||||||||||
JCDecaux SA | 4,540 | 181,386 | (21,229 | ) | |||||||||||
Publicis Groupe SA | 11,549 | 754,976 | 78,722 | ||||||||||||
Remy Cointreau SA | 7,853 | 572,704 | 219,593 | ||||||||||||
Societe Generale SA | 290 | 10,299 | 5,562 | ||||||||||||
698,343 | |||||||||||||||
Ireland | |||||||||||||||
Ryanair Holdings plc | 95,444 | 1,496,930 | 161,346 | ||||||||||||
Jordan | |||||||||||||||
Hikma Pharmaceuticals plc | 11,800 | 360,886 | (64,848 | ) | |||||||||||
Luxembourg | |||||||||||||||
Eurofins Scientific SE | 1,388 | 485,442 | 198,110 | ||||||||||||
South Africa | |||||||||||||||
Aspen Pharmacare Holdings Ltd. | 12,924 | 255,057 | 13,051 | ||||||||||||
South Korea | |||||||||||||||
NAVER Corp. | 515 | 278,831 | 83,239 | ||||||||||||
Switzerland | |||||||||||||||
Actelion Ltd. | 1,611 | 376,557 | 79,623 | ||||||||||||
LafargeHolcim Ltd. | 22,224 | 984,703 | 275,030 | ||||||||||||
Nestle SA | 26,003 | 1,778,415 | 224,730 | ||||||||||||
Syngenta AG | 3,334 | 1,303,002 | 246,386 | ||||||||||||
825,769 | |||||||||||||||
Turkey | |||||||||||||||
Migros Ticaret A/S | 44,527 | 267,640 | 37,234 | ||||||||||||
United Kingdom | |||||||||||||||
Admiral Group plc | 6,437 | 161,594 | 6,067 | ||||||||||||
Barclays plc | 90,705 | 195,163 | 54,191 | ||||||||||||
Burberry Group plc | 2,661 | 44,509 | 11,118 | ||||||||||||
Croda International plc | 8,091 | 321,384 | 73,063 |
See Notes to Consolidated Financial Statements
59
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) | ||||||||||||
ITV plc | 272,971 | $ | 628,776 | $ | 113,684 | ||||||||||
Pets at Home Group plc | 15,218 | 56,564 | (19,588 | ) | |||||||||||
RSA Insurance Group plc | 36,254 | 218,753 | 61,105 | ||||||||||||
Sky plc | 10,553 | 136,394 | (805 | ) | |||||||||||
Smith & Nephew plc | 90,020 | 1,392,076 | 88,667 | ||||||||||||
Smiths Group plc | 6,042 | 76,026 | 52,314 | ||||||||||||
Sports Direct International plc | 245,517 | 1,089,654 | (114,368 | ) | |||||||||||
325,448 | |||||||||||||||
Total Long Positions of Equity Swaps | 2,384,026 | ||||||||||||||
Short Positions | |||||||||||||||
France | |||||||||||||||
Air France-KLM | (54,160 | ) | (407,133 | ) | (48,025 | ) | |||||||||
Electricite de France SA | (20,308 | ) | (244,257 | ) | 74,673 | ||||||||||
Kering | (2,329 | ) | (405,979 | ) | (315,919 | ) | |||||||||
Lagardere SCA | (22,437 | ) | (648,188 | ) | (39,082 | ) | |||||||||
LVMH Moet Hennessy Louis Vuitton SE | (9,685 | ) | (1,806,601 | ) | (582,944 | ) | |||||||||
Orange SA | (42,459 | ) | (730,007 | ) | 73,249 | ||||||||||
(838,048 | ) | ||||||||||||||
Germany | |||||||||||||||
adidas AG | (4,839 | ) | (832,468 | ) | (136,892 | ) | |||||||||
Deutsche Lufthansa AG | (27,316 | ) | (413,107 | ) | (58,217 | ) | |||||||||
Deutsche Telekom AG | (40,082 | ) | (719,463 | ) | 16,516 | ||||||||||
(178,593 | ) | ||||||||||||||
Italy | |||||||||||||||
Eni SpA | (37,731 | ) | (589,077 | ) | 2,575 | ||||||||||
Netherlands | |||||||||||||||
Koninklijke Ahold Delhaize NV | (37,447 | ) | (860,216 | ) | 84,371 | ||||||||||
Spain | |||||||||||||||
Industria de Diseno Textil SA | (28,403 | ) | (937,920 | ) | (151,456 | ) | |||||||||
Switzerland | |||||||||||||||
Givaudan SA | (361 | ) | (675,737 | ) | (19,778 | ) | |||||||||
Roche Holding AG | (1,057 | ) | (283,911 | ) | 7,391 | ||||||||||
(12,387 | ) | ||||||||||||||
United Kingdom | |||||||||||||||
Bunzl plc | (28,118 | ) | (692,592 | ) | (184,363 | ) | |||||||||
GlaxoSmithKline plc | (22,584 | ) | (396,461 | ) | (56,927 | ) | |||||||||
Marks & Spencer Group plc | (513,241 | ) | (2,688,263 | ) | 251,291 |
See Notes to Consolidated Financial Statements
60
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) | ||||||||||||
Unilever NV | (18,190 | ) | $ | (922,451 | ) | $ | (31,512 | ) | |||||||
WPP plc | (35,951 | ) | (728,143 | ) | (41,556 | ) | |||||||||
(63,067 | ) | ||||||||||||||
United States | |||||||||||||||
Merck & Co., Inc. | (4,566 | ) | (243,545 | ) | (41,053 | ) | |||||||||
Pfizer, Inc. | (7,830 | ) | (250,615 | ) | (14,979 | ) | |||||||||
(56,032 | ) | ||||||||||||||
Total Short Positions of Equity Swaps | (1,212,637 | ) | |||||||||||||
Total Long and Short Positions of Equity Swaps | 1,171,389 | ||||||||||||||
Financing Costs and Other Receivables/(Payables) | (31,000 | ) | |||||||||||||
Equity Swaps, at value—Morgan Stanley Capital Services LLC | $ | 1,140,389 | |||||||||||||
Total Equity Swaps, at value | $ | 1,256,118 |
(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, 2017, the average notional value of equity swaps for the Fund was $20,954,957 for long positions and $(15,729,877) for short positions.
(c) Illiquid security.
(d) Amount less than one dollar.
Total return swap contracts on futures ("total return swaps on futures")
At April 30, 2017, the Fund had outstanding total return swaps on futures as follows:
Long total return swaps on futures
Swap Counterparty | Reference Entity | Termination Date | Notional Value(b) | Unrealized Appreciation/ (Depreciation) | |||||||||||||||
Bank of America, NA | BIST 30 Index Futures(a) | 6/30/2017 | TRY | 499,104 | $ | (454 | ) | ||||||||||||
Bank of America, NA | FTSE Bursa Malaysia KLCI Index Futures(a) | 5/31/2017 | MYR | 352,882 | (249 | ) | |||||||||||||
Bank of America, NA | IBEX 35 Index Futures(a) | 5/19/2017 | EUR | 204,966 | 10,396 | ||||||||||||||
Bank of America, NA | KOSPI 200 Index Futures(a) | 6/8/2017 | KRW | 544,126,280 | 28,381 | ||||||||||||||
Bank of America, NA | SET50 Index Futures(a) | 6/29/2017 | THB | 6,548,475 | 336 | ||||||||||||||
Bank of America, NA | WIG20 Index Futures(a) | 6/16/2017 | PLN | 312,838 | 4,991 | ||||||||||||||
Total | $ | 43,401 |
(a) The investment is held by the Subsidiary (see Note A in Notes to Consolidated Financial Statements).
(b) Notional value represents the value (including any fees or commissions) of the long positions when they were established, and is stated in the currency in which it is denominated.
EUR Euro
KRW Korean Won
MYR Malaysian Ringgit
See Notes to Consolidated Financial Statements
61
Consolidated Schedule of Investments Neuberger Berman Absolute Return Multi-Manager Fund (Unaudited) (cont'd)
PLN Polish Zloty
THB Thai Baht
TRY Turkish Lira
For the six months ended April 30, 2017, the average notional value of total return swaps on futures for the Fund was $1,319,222 for long positions and $(207,718) for short positions.
At April 30, 2017, the Fund had cash collateral of $2,721,780, $3,185,463 and $6,240,000 deposited in a segregated account for Bank of America, NA, JPMorgan Chase Bank, NA and Morgan Stanley Capital Services LLC, respectively, to cover collateral requirements on OTC derivatives.
Written option contracts ("options written")
At April 30, 2017, the Fund had outstanding options written as follows:
Name of Issuer | Contracts | Exercise Price | Expiration Date | Market Value of Options | |||||||||||||||
ACADIA Pharmaceuticals, Inc., Call | 15 | $ | 35 | 5/19/2017 | $ | (2,138 | ) | ||||||||||||
iShares Russell 2000 Index Fund, Put | 194 | 115 | 6/30/2017 | (3,589 | ) | ||||||||||||||
Mead Johnson Nutrition Co., Call | 3 | 90 | 5/19/2017 | (6 | ) | ||||||||||||||
Monsanto Co., Call | 5 | 120 | 7/21/2017 | (415 | ) | ||||||||||||||
Total options written (Premium received $ 11,671) | $ | (6,148 | ) |
Options written for the Fund for the six months ended April 30, 2017 were as follows:
Number of Contracts | Premium Received | ||||||||||
Outstanding 10/31/16 | 1,076 | $ | 72,594 | ||||||||
Options written | 3,231 | 219,480 | |||||||||
Options closed | (2,030 | ) | (170,831 | ) | |||||||
Options exercised | — | — | |||||||||
Options expired | (2,060 | ) | (109,572 | ) | |||||||
Outstanding 4/30/17 | 217 | $ | 11,671 |
For the six months ended April 30, 2017, the Fund had an average market value of $413,529 in purchased option contracts, and $(44,561) in options written, respectively.
The following is a summary, categorized by Level (see Note A of Notes to Consolidated Financial Statements), of inputs used to value the Fund's investments as of April 30, 2017:
Asset Valuation Inputs | |||||||||||||||||||
(000's omitted) | Level 1 | Level 2 | Level 3* | Total | |||||||||||||||
Investments: | |||||||||||||||||||
Common Stocks | |||||||||||||||||||
Airlines | $ | — | $ | — | $ | 17 | $ | 17 | |||||||||||
Capital Markets | 1,706 | — | — | (b) | 1,706 | ||||||||||||||
Media | 14,891 | — | 1 | 14,892 | |||||||||||||||
Oil, Gas & Consumable Fuels | 6,972 | — | 47 | 7,019 | |||||||||||||||
Other Common Stocks(a) | 185,215 | — | — | 185,215 | |||||||||||||||
Total Common Stocks | 208,784 | — | 65 | 208,849 |
See Notes to Consolidated Financial Statements
62
Consolidated Schedule of Investments Neuberger Berman Absolute Return Multi-Manager Fund (Unaudited) (cont'd)
(000's omitted) | Level 1 | Level 2 | Level 3* | Total | |||||||||||||||
Corporate Bonds | |||||||||||||||||||
Banks | $ | — | $ | 935 | $ | 9,600 | $ | 10,535 | |||||||||||
Capital Markets | — | — | 9,590 | 9,590 | |||||||||||||||
Chemicals | — | — | — | (b) | — | (b) | |||||||||||||
Oil, Gas & Consumable Fuels | — | 1,997 | — | (b) | 1,997 | ||||||||||||||
Other Corporate Bonds(a) | — | 16,881 | — | 16,881 | |||||||||||||||
Total Corporate Bonds | — | 19,813 | 19,190 | 39,003 | |||||||||||||||
Commercial Mortgage-Backed Securities | — | 36,398 | — | 36,398 | |||||||||||||||
Loan Assignments | |||||||||||||||||||
Containers & Packaging | — | — | 359 | 359 | |||||||||||||||
Household Durables | — | — | 249 | 249 | |||||||||||||||
Independent Power and Renewable Electricity Producers | — | 1,741 | 179 | 1,920 | |||||||||||||||
Internet Software & Services | — | — | 481 | 481 | |||||||||||||||
Semiconductors & Semiconductor Equipment | — | 1,928 | 2,798 | 4,726 | |||||||||||||||
Specialty Retail | — | — | 151 | 151 | |||||||||||||||
Other Loan Assignments(a) | — | 27,842 | — | 27,842 | |||||||||||||||
Total Loan Assignments | — | 31,511 | 4,217 | 35,728 | |||||||||||||||
Asset-Backed Securities | — | 27,712 | — | 27,712 | |||||||||||||||
Master Limited Partnerships | 13,925 | — | — | 13,925 | |||||||||||||||
Collateralized Mortgage Obligations | — | 7,875 | — | 7,875 | |||||||||||||||
Convertible Bonds | |||||||||||||||||||
Semiconductors & Semiconductor Equipment | — | — | 730 | 730 | |||||||||||||||
Other Convertible Bonds(a) | — | 3,337 | — | 3,337 | |||||||||||||||
Total Convertible Bonds | — | 3,337 | 730 | 4,067 | |||||||||||||||
Rights | |||||||||||||||||||
Biotechnology | — | — | 188 | 188 | |||||||||||||||
Food & Staples Retailing | — | — | 30 | 30 | |||||||||||||||
Media | — | — | 122 | 122 | |||||||||||||||
Pharmaceuticals | — | — | — | (b) | — | (b) | |||||||||||||
Semiconductors & Semiconductor Equipment | — | — | 2,307 | 2,307 | |||||||||||||||
Other Rights(a) | — | (b) | — | — | — | (b) | |||||||||||||
Total Rights | — | — | 2,647 | 2,647 | |||||||||||||||
U.S. Treasury Obligation | — | 803 | — | 803 | |||||||||||||||
Options Purchased | 457 | — | — | 457 | |||||||||||||||
Warrants | |||||||||||||||||||
Biotechnology | — | — | — | (b) | — | (b) | |||||||||||||
Other Warrants(a) | 288 | — | — | 288 | |||||||||||||||
Total Warrants | 288 | — | — | 288 | |||||||||||||||
Preferred Stocks(a) | 182 | — | — | 182 | |||||||||||||||
Short-Term Investments | — | 82,027 | — | 82,027 | |||||||||||||||
Total Long Positions | $ | 223,636 | $ | 209,476 | $ | 26,849 | $ | 459,961 |
(a) The Consolidated Schedule of Investments provides information on the industry categorization for the portfolio.
(b) Amount less than one thousand.
See Notes to Consolidated Financial Statements
63
Consolidated Schedule of Investments Neuberger Berman Absolute Return Multi-Manager Fund (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:
(000's omitted) | Beginning balance as of 11/1/2016 | 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 4/30/2017 | Net change in unrealized appreciation/ (depreciation) from investments still held as of 4/30/2017 | ||||||||||||||||||||||||||||||
Investments in Securities: | |||||||||||||||||||||||||||||||||||||||
Common Stocks(a) | |||||||||||||||||||||||||||||||||||||||
Airlines | $ | 10 | $ | — | $ | 7 | $ | — | $ | — | $ | — | $ | — | $ | 17 | $ | 7 | |||||||||||||||||||||
Capital Markets | — | (c) | — | — | — | — | — | — | — | (c) | — | ||||||||||||||||||||||||||||
Media | 1 | — | — | — | — | — | — | 1 | — | ||||||||||||||||||||||||||||||
Oil, Gas & Consumable Fuels | — | — | 5 | 42 | — | — | — | 47 | 5 | ||||||||||||||||||||||||||||||
Corporate Bonds(b) | |||||||||||||||||||||||||||||||||||||||
Banks | 12,087 | 80 | 2,102 | — | (4,669 | ) | — | — | 9,600 | 1,448 | |||||||||||||||||||||||||||||
Capital Markets | 7,402 | 63 | 2,125 | — | — | — | — | 9,590 | 2,125 | ||||||||||||||||||||||||||||||
Chemicals | — | — | — | (c) | — | — | — | (c) | — | — | (c) | — | (c) | ||||||||||||||||||||||||||
Oil, Gas & Consumable Fuels | — | (c) | — | — | — | — | — | — | — | (c) | — | ||||||||||||||||||||||||||||
Loan Assignments(b) | |||||||||||||||||||||||||||||||||||||||
Containers & Packaging | — | — | 1 | 358 | — | — | — | 359 | 1 | ||||||||||||||||||||||||||||||
Health Care Equipment & Supplies | 522 | — | (c) | 2 | — | (524 | ) | — | — | — | — | ||||||||||||||||||||||||||||
Household Durables | — | — | 4 | 245 | — | — | — | 249 | 4 | ||||||||||||||||||||||||||||||
Independent Power and Renewable Electricity Producers | 636 | (10 | ) | (108 | ) | 1,257 | (1,596 | ) | — | — | 179 | 1 | |||||||||||||||||||||||||||
Internet Software & Services | — | — | 4 | 477 | — | — | — | 481 | 4 | ||||||||||||||||||||||||||||||
Professional Services | 1,989 | (8 | ) | (12 | ) | — | (1,969 | ) | — | — | — | — | |||||||||||||||||||||||||||
Semiconductors & Semiconductor Equipment | — | — | 1 | 2,966 | (169 | ) | — | — | 2,798 | — | (c) | ||||||||||||||||||||||||||||
Specialty Retail | — | — | 2 | 149 | — | — | — | 151 | 2 | ||||||||||||||||||||||||||||||
Convertible Bond(b) | |||||||||||||||||||||||||||||||||||||||
Semiconductors & Semiconductor Equipment | — | — | (597 | ) | — | — | 1,327 | — | 730 | (597 | ) | ||||||||||||||||||||||||||||
Rights(a) | |||||||||||||||||||||||||||||||||||||||
Biotechnology | 96 | — | 92 | — | — | — | — | 188 | 95 | ||||||||||||||||||||||||||||||
Food & Staples Retailing | 30 | — | — | — | — | — | — | 30 | — |
See Notes to Consolidated Financial Statements
64
Consolidated Schedule of Investments Neuberger Berman Absolute Return Multi-Manager Fund (Unaudited) (cont'd)
(000's omitted) | Beginning balance as of 11/1/2016 | 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 4/30/2017 | Net change in unrealized appreciation/ (depreciation) from investments still held as of 4/30/2017 | ||||||||||||||||||||||||||||||
Media | $ | — | $ | — | $ | 98 | $ | 24 | $ | — | $ | — | $ | — | $ | 122 | $ | 98 | |||||||||||||||||||||
Pharmaceuticals | — | (c) | — | — | — | — | — | — | — | (c) | — | ||||||||||||||||||||||||||||
Semiconductors & Semiconductor Equipment | — | — | 915 | — | — | 1,392 | — | 2,307 | 915 | ||||||||||||||||||||||||||||||
Wireless Telecommunication Services | 189 | — | 15 | — | (204 | ) | — | — | — | — | |||||||||||||||||||||||||||||
Warrants(a) | |||||||||||||||||||||||||||||||||||||||
Biotechnology | — | — | — | — | (c) | — | — | — | — | (c) | — | ||||||||||||||||||||||||||||
Insurance | — | (c) | — | — | (c) | — | — | (c) | — | — | — | — | |||||||||||||||||||||||||||
Total | $ | 22,962 | $ | 125 | $ | 4,656 | $ | 5,518 | $ | (9,131 | ) | $ | 2,719 | $ | — | $ | 26,849 | $ | 4,108 |
(a) As of the six months ended April 30, 2017, 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.
(b) As of the six months ended April 30, 2017, these securities were 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.
(c) Amount less than one thousand.
As of the six months ended April 30, 2017, certain securities were transferred from one level (as of October 31, 2016) to another. Based on beginning of period market values as of November 1, 2016, $2,719,023 was transferred from Level 2 to Level 3. Corporate bonds and convertible bonds that transferred in or out of Level 3 were primarily due to the pricing methodology being based on a Board approved in the good-faith belief that the resulting valuation will reflect the fair value of these securities (Level 3) or a single broker quote (Level 3).
The following is a summary, categorized by Level (see Note A of Notes to Consolidated Financial Statements), of inputs used to value the Fund's short investments as of April 30, 2017:
Liability Valuation Inputs | |||||||||||||||||||
(000's omitted) | Level 1 | Level 2 | Level 3* | Total | |||||||||||||||
Investments: | |||||||||||||||||||
Common Stocks Sold Short | |||||||||||||||||||
IT Services | $ | (789 | ) | $ | — | $ | (3 | ) | $ | (792 | ) | ||||||||
Other Common Stocks Sold Short(a) | (72,892 | ) | — | — | (72,892 | ) | |||||||||||||
Total Common Stocks Sold Short | (73,681 | ) | — | (3 | ) | (73,684 | ) |
See Notes to Consolidated Financial Statements
65
Consolidated Schedule of Investments Neuberger Berman Absolute Return Multi-Manager Fund (Unaudited) (cont'd)
(000's omitted) | Level 1 | Level 2 | Level 3* | Total | |||||||||||||||
Corporate Bonds Sold Short(a) | $ | — | $ | (7,281 | ) | $ | — | $ | (7,281 | ) | |||||||||
Exchange Traded Funds Sold Short | (5,663 | ) | — | — | (5,663 | ) | |||||||||||||
Master Limited Partnerships Sold Short(a) | (2,962 | ) | — | — | (2,962 | ) | |||||||||||||
Exchange Traded Note Sold Short | (838 | ) | — | — | (838 | ) | |||||||||||||
Total Short Positions | $ | (83,144 | ) | $ | (7,281 | ) | $ | (3 | ) | $ | (90,428 | ) |
(a) The Consolidated Schedule of Investments provides information on the industry categorization for the portfolio.
* The following is a reconciliation between the beginning and ending balances of short investments in which unobservable inputs (Level 3) were used in determining value:
(000's omitted) | Beginning balance as of 11/1/2016 | 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 4/30/2017 | Net change in unrealized appreciation/ (depreciation) from investments still held as of 4/30/2017 | ||||||||||||||||||||||||||||||
Investments in Securities: | |||||||||||||||||||||||||||||||||||||||
Common Stocks Sold Short(a) | |||||||||||||||||||||||||||||||||||||||
IT Services | $ | (27 | ) | $ | — | $ | 27 | $ | (3 | ) | $ | — | $ | — | $ | — | $ | (3 | ) | $ | — | ||||||||||||||||||
Total | $ | (27 | ) | $ | — | $ | 27 | $ | (3 | ) | $ | — | $ | — | $ | — | $ | (3 | ) | $ | — |
(a) As of the six months ended April 30, 2017, 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 (see Note A of Notes to Consolidated Financial Statements), of inputs used to value the Fund's derivatives as of April 30, 2017:
Other Financial Instruments | |||||||||||||||||||
(000's omitted) | Level 1 | Level 2 | Level 3* | Total | |||||||||||||||
Forward contracts(a) | |||||||||||||||||||
Assets | $ | — | $ | 551 | $ | — | $ | 551 | |||||||||||
Liabilities | — | (712 | ) | — | (712 | ) | |||||||||||||
Futures(a) | |||||||||||||||||||
Assets | 729 | 6 | — | 735 | |||||||||||||||
Liabilities | (2,625 | ) | — | — | (2,625 | ) | |||||||||||||
Swaps(a) | |||||||||||||||||||
Assets | — | 3,777 | 116 | 3,893 | |||||||||||||||
Liabilities | — | (3,497 | ) | — | (3,497 | ) | |||||||||||||
Options written | |||||||||||||||||||
Liabilities | (6 | ) | — | — | (6 | ) | |||||||||||||
Total | $ | (1,902 | ) | $ | 125 | $ | 116 | $ | (1,661 | ) |
See Notes to Consolidated Financial Statements
66
Consolidated Schedule of Investments Neuberger Berman Absolute Return Multi-Manager Fund (Unaudited) (cont'd)
(a) Forward contracts and futures are reported at the cumulative unrealized appreciation/(depreciation) of the instrument. Swaps are reported at the cumulative unrealized appreciation/(depreciation), with the exception of credit default swaps, which are reported in the table at value.
* The following is a reconciliation between the beginning and ending balances of derivative investments in which unobservable inputs (Level 3) were used in determining value:
(000's omitted) | Beginning balance as of 11/1/2016 | 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 4/30/2017 | Net change in unrealized appreciation/ (depreciation) from investments still held as of 4/30/2017 | ||||||||||||||||||||||||||||||
Investments in Securities: | |||||||||||||||||||||||||||||||||||||||
Equity Swaps(a) | |||||||||||||||||||||||||||||||||||||||
Brazil | $ | (1,124 | ) | $ | — | $ | 1,124 | $ | — | $ | — | $ | — | $ | — | $ | — | $ | — | ||||||||||||||||||||
United States | 116 | — | — | — | — | — | — | 116 | — | ||||||||||||||||||||||||||||||
Option contracts written(b) | |||||||||||||||||||||||||||||||||||||||
United States | (1 | ) | — | 1 | — | — | — | — | — | — | |||||||||||||||||||||||||||||
Total | $ | (1,009 | ) | $ | — | $ | 1,125 | $ | — | $ | — | $ | — | $ | — | $ | 116 | $ | — |
(a) As of the six months ended April 30, 2017, 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.
(b) As of the six months ended April 30, 2017, 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.
See Notes to Consolidated Financial Statements
67
Consolidated Statement of Assets and Liabilities (Unaudited)
Neuberger Berman Alternative Funds
(000's omitted, except per share amounts)
ABSOLUTE RETURN MULTI-MANAGER FUND | |||||||
April 30, 2017 | |||||||
Assets | |||||||
Investments in securities, at value* (Note A)—see Schedule of Investments: | |||||||
Unaffiliated issuers | $ | 459,961 | |||||
Cash | 4,983 | ||||||
Foreign currency* | 5,390 | ||||||
Cash collateral segregated for short sales (Note A) | 83,156 | ||||||
Cash collateral segregated for futures contracts (Note A) | 4,565 | ||||||
Cash collateral segregated for swap contracts (Note A) | 12,433 | ||||||
Cash collateral segregated for forward foreign currency contracts (Note A) | 305 | ||||||
Dividends and interest receivable | 1,446 | ||||||
Receivable for securities sold | 17,077 | ||||||
Receivable for Fund shares sold | 671 | ||||||
OTC swap contracts, at value (Note A) | 3,893 | ||||||
Receivable for forward foreign currency contracts (Note A) | 551 | ||||||
Prepaid expenses and other assets | 53 | ||||||
Total Assets | 594,484 | ||||||
Liabilities | |||||||
Investments sold short, at value** (Note A) | 90,428 | ||||||
Options contracts written, at value*** (Note A) | 6 | ||||||
Dividends and interest payable for short sales | 166 | ||||||
OTC swap contracts, at value (Note A) | 2,989 | ||||||
Payable to administrator—net (Note B) | 40 | ||||||
Payable to investment manager (Note B) | 665 | ||||||
Payable for securities purchased | 24,050 | ||||||
Payable for variation margin on centrally cleared swap contracts | 17 | ||||||
Payable for Fund shares redeemed | 1,569 | ||||||
Payable for variation margin on futures contracts (Note A) | 109 | ||||||
Payable for forward foreign currency contracts (Note A) | 712 | ||||||
Accrued expenses and other payables | 449 | ||||||
Total Liabilities | 121,200 | ||||||
Net Assets | $ | 473,284 | |||||
Net Assets consist of: | |||||||
Paid-in capital | $ | 595,999 | |||||
Undistributed net investment income (loss) | 698 | ||||||
Accumulated net realized gains (losses) on investments | (128,989 | ) | |||||
Net unrealized appreciation (depreciation) in value of investments | 5,576 | ||||||
Net Assets | $ | 473,284 | |||||
Net Assets | |||||||
Institutional Class | $ | 421,180 | |||||
Class A | 25,168 | ||||||
Class C | 24,950 | ||||||
Class R6 | 1,986 |
See Notes to Consolidated Financial Statements
68
Consolidated Statement 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 | |||||||
April 30, 2017 | |||||||
Shares Outstanding ($.001 par value; unlimited shares authorized) | |||||||
Institutional Class | 40,156 | ||||||
Class A | 2,422 | ||||||
Class C | 2,489 | ||||||
Class R6 | 189 | ||||||
Net Asset Value, offering and redemption price per share | |||||||
Institutional Class | $ | 10.49 | |||||
Class R6 | $ | 10.49 | |||||
Net Asset Value and redemption price per share | |||||||
Class A | $ | 10.39 | |||||
Offering Price per share | |||||||
Class A‡ | $ | 11.02 | |||||
Net Asset Value and offering price per share | |||||||
Class C^ | $ | 10.03 | |||||
*Cost of Investments: | |||||||
Unaffiliated issuers | $ | 451,967 | |||||
Total cost of foreign currency | $ | 4,980 | |||||
**Proceeds from investments sold short | $ | 88,896 | |||||
***Premium received from option contracts written | $ | 12 |
‡ 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 Consolidated Financial Statements
69
Consolidated Statement of Operations (Unaudited)
Neuberger Berman Alternative Funds
(000's omitted)
ABSOLUTE RETURN MULTI-MANAGER FUND | |||||||
For the Six Months Ended April 30, 2017 | |||||||
Investment Income: | |||||||
Income (Note A): | |||||||
Dividend income—unaffiliated issuers | $ | 1,926 | |||||
Interest income—unaffiliated issuers | 5,864 | ||||||
Foreign taxes withheld (Note A) | (8 | ) | |||||
Total income | $ | 7,782 | |||||
Expenses: | |||||||
Investment management fees (Note B) | 4,384 | ||||||
Administration fees (Note B) | 156 | ||||||
Administration fees (Note B): | |||||||
Institutional Class | 198 | ||||||
Class A | 47 | ||||||
Class C | 31 | ||||||
Class R6 | 0 | ||||||
Distribution fees (Note B): | |||||||
Class A | 59 | ||||||
Class C | 157 | ||||||
Shareholder servicing agent fees: | |||||||
Institutional Class | 4 | ||||||
Class A | 18 | ||||||
Class C | 5 | ||||||
Audit fees | 72 | ||||||
Custodian and accounting fees (Note A) | 248 | ||||||
Legal fees | 120 | ||||||
Registration and filing fees | 60 | ||||||
Shareholder reports | 129 | ||||||
Trustees' fees and expenses | 27 | ||||||
Dividend and interest expense on securities sold short (Note A) | 1,696 | ||||||
Interest expense | 3 | ||||||
Miscellaneous | 46 | ||||||
Total expenses | 7,460 | ||||||
Expenses reimbursed by Management (Note B) | (361 | ) | |||||
Expenses reduced by custodian fee expense offset arrangement (Note A) | (1 | ) | |||||
Total net expenses | 7,098 | ||||||
Net investment income (loss) | $ | 684 |
See Notes to Consolidated Financial Statements
70
Consolidated Statement of Operations (Unaudited) (cont'd)
Neuberger Berman Alternative Funds (cont'd)
(000's omitted)
ABSOLUTE RETURN MULTI-MANAGER FUND | |||||||
For the Six Months Ended April 30, 2017 | |||||||
Realized and Unrealized Gain (Loss) on Investments (Note A): | |||||||
Net realized gain (loss) on: | |||||||
Sales of investment securities of unaffiliated issuers | 7,685 | ||||||
Sales of investment securities of unaffiliated issuers sold short | (7,048 | ) | |||||
Forward foreign currency contracts | 553 | ||||||
Foreign currency | (736 | ) | |||||
Futures contracts | 1,104 | ||||||
Option contracts written | 202 | ||||||
Swap contracts | (553 | ) | |||||
Change in net unrealized appreciation (depreciation) in value of: | |||||||
Unaffiliated investment securities | 19,212 | ||||||
Unaffiliated investment securities sold short | (3,376 | ) | |||||
Forward foreign currency contracts | (355 | ) | |||||
Foreign currency | 388 | ||||||
Futures contracts | (2,570 | ) | |||||
Option contracts written | (21 | ) | |||||
Swap contracts | 1,169 | ||||||
Net gain (loss) on investments | 15,654 | ||||||
Net increase (decrease) in net assets resulting from operations | $ | 16,338 |
See Notes to Consolidated Financial Statements
71
Consolidated Statements of Changes in Net Assets
Neuberger Berman Alternative Funds
(000's omitted)
ABSOLUTE RETURN MULTI-MANAGER FUND | |||||||||||
For the Six Months Ended April 30, 2017 (Unaudited) | For the Year Ended October 31, 2016 | ||||||||||
Increase (Decrease) in Net Assets: | |||||||||||
From Operations (Note A): | |||||||||||
Net investment income (loss) | $ | 684 | $ | 692 | |||||||
Net realized gain (loss) on investments | 1,207 | (94,484 | ) | ||||||||
Change in net unrealized appreciation (depreciation) of investments | 14,447 | 51,449 | |||||||||
Net increase (decrease) in net assets resulting from operations | 16,338 | (42,343 | ) | ||||||||
Distributions to Shareholders From (Note A): | |||||||||||
Net investment income: | |||||||||||
Institutional Class | — | (2,529 | ) | ||||||||
Class R6 | — | (53 | ) | ||||||||
Net realized gain on investments: | |||||||||||
Institutional Class | — | (10,417 | ) | ||||||||
Class A | — | (1,839 | ) | ||||||||
Class C | — | (784 | ) | ||||||||
Class R6 | — | (165 | ) | ||||||||
Total distributions to shareholders | — | (15,787 | ) | ||||||||
From Fund Share Transactions (Note D): | |||||||||||
Proceeds from shares sold: | |||||||||||
Institutional Class | 80,242 | 244,845 | |||||||||
Class A | 3,141 | 25,581 | |||||||||
Class C | 353 | 5,121 | |||||||||
Class R6 | 285 | 7,223 | |||||||||
Proceeds from reinvestment of dividends and distributions: | |||||||||||
Institutional Class | — | 11,386 | |||||||||
Class A | — | 1,650 | |||||||||
Class C | — | 583 | |||||||||
Class R6 | — | 218 | |||||||||
Payments for shares redeemed: | |||||||||||
Institutional Class | (158,589 | ) | (1,067,992 | ) | |||||||
Class A | (42,495 | ) | (166,834 | ) | |||||||
Class C | (17,175 | ) | (48,443 | ) | |||||||
Class R6 | (1,795 | ) | (20,564 | ) | |||||||
Net increase (decrease) from Fund share transactions | (136,033 | ) | (1,007,226 | ) | |||||||
Net Increase (Decrease) in Net Assets | (119,695 | ) | (1,065,356 | ) | |||||||
Net Assets: | |||||||||||
Beginning of period | 592,979 | 1,658,335 | |||||||||
End of period | $ | 473,284 | $ | 592,979 | |||||||
Undistributed net investment income (loss) at end of period | 698 | 14 |
See Notes to Consolidated Financial Statements
72
Notes to Consolidated Financial Statements Absolute Return Multi-Manager Fund
Note A—Summary of Significant Accounting Policies:
1 General: Neuberger Berman Alternative Funds (the "Trust") is a Delaware statutory trust organized pursuant to an Amended and Restated Trust Instrument dated March 27, 2014. The Trust is registered as an open-end management investment company under the Investment Company Act of 1940, as amended (the "1940 Act"), and its shares are registered under the 1933 Act. Neuberger Berman Absolute Return Multi-Manager Fund ("Absolute Return Multi-Manager", or the "Fund") is a separate operating series of the Trust, and is diversified. The Fund offers Institutional Class shares, Class A shares, Class C shares and Class R6 shares. The Trust's 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 than $1,000.
The assets of the Fund belong only to the Fund, and the liabilities of the Fund are borne solely by the Fund and no other.
The Fund 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 ("NBIA" or "Management") to make estimates and assumptions at the date of the financial statements. Actual results could differ from those estimates.
As of November 2, 2015, the Fund invests in commodity-related instruments through the Subsidiary, which is organized under the laws of the Cayman Islands. The Fund 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, 2017, the value of the Fund's investment in the Subsidiary was as follows:
Investment in Subsidiary | Percentage of Net Assets | ||||||
$ | 19,136,612 | 4.0 | % |
The Consolidated Financial Statements include all investments and other accounts of the Subsidiary as if held directly by the Fund. A summary of the Subsidiary's financial information is presented below:
Subsidiary Financial Statement Information | Amount ($000) | ||||||
Total Assets | 20,243 | ||||||
Total Liabilities | (1,106 | ) | |||||
Net Assets | 19,137 | ||||||
Net Investment Income (Loss) | (41 | ) | |||||
Realized Net Gain (Loss) | (1,358 | ) | |||||
Change in Unrealized Appreciation (Depreciation) | 219 | ||||||
Net Increase Decrease in Net Assets Resulting from Operations | (1,180 | ) |
2 Consolidation: The accompanying financial statements of the Fund present the consolidated accounts of the Fund and the Subsidiary. All intercompany accounts and transactions have been eliminated in consolidation.
3 Portfolio valuation: 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 Management believes
73
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 notes, exchange-traded options purchased and options written, 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 Fund's investments for long and short positions in debt securities is determined by Management primarily by obtaining valuations from independent pricing services based on readily available bid or offer quotations, respectively, or if quotations are not available, by methods which include various considerations based on security type (generally Level 2 inputs). In addition to the consideration of yields or prices of securities of comparable quality, coupon, maturity and type, indications as to values from dealers, and general market conditions, the following is a description of other Level 2 inputs and related valuation techniques used by independent pricing services to value certain types of debt securities held by the Fund:
Corporate Bonds. Inputs used to value corporate debt securities generally include relative credit information, observed market movements, sector news, U.S. Treasury yield curve or relevant benchmark curve 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 Obligations. Inputs used to value U.S. Treasury securities generally include quotes from several inter-dealer brokers and Other Market Information.
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.
74
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).
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. (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 ("LIBOR") or Federal Funds floating rate (generally Level 2 or Level 3 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).
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 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, securities within the same industry with recent highly correlated performance, 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 normally translated from the local currency into U.S. dollars using the exchange rates as of 4:00 p.m. Eastern Time on days the New York Stock Exchange ("NYSE") is open for business. The Board has approved the use of Interactive Data Pricing and Reference Data, LLC ("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 debt securities as of the time as of which the Fund's share price is calculated. Interactive utilizes benchmark spread and yield curves and evaluates available market activity from the local close to the time as of which the Fund's share price is calculated (Level 2 inputs) to assist in determining prices for certain foreign debt securities. In the case of both foreign equity and foreign debt securities, in the absence of precise information about the market values of these foreign securities as of the time as of which the Fund's share price is calculated,
75
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.
4 Foreign currency translation: The accounting records of the Fund and Subsidiary are maintained in U.S. dollars. Foreign currency amounts are normally translated into U.S. dollars using the exchange rate as of 4:00 p.m. Eastern Time, on days the NYSE is open for business, to determine the value of investments, other assets and liabilities. Purchase and sale prices of securities, and income and expenses, are translated into U.S. dollars at the prevailing rate of exchange on the respective dates of such transactions. Net unrealized foreign currency gain (loss), if any, arises from changes in the value of assets and liabilities, other than investments in securities, as a result of changes in exchange rates and is stated separately in the Consolidated Statement of Operations.
5 Securities transactions and investment income: Securities transactions are recorded on 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 Consolidated Statement of Operations. Included in net realized gain (loss) on investments are proceeds from the settlement of a class action litigation in which the Fund participated as a class member. The amount of such proceeds for the six months ended April 30, 2017, was $11,971.
6 Income tax information: The Fund is treated as a separate entity for U.S. federal income tax purposes. It is the policy of the 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 the Fund distributes substantially all of its net investment income and net realized capital gains to shareholders, no federal income or excise tax provision is required.
The Fund has adopted the provisions of ASC 740 "Income Taxes" ("ASC 740"). ASC 740 sets forth a minimum threshold for financial statement recognition of a tax position taken, or expected to be taken, in a tax return. The Fund recognizes interest and penalties, if any, related to unrecognized tax positions as an income tax expense in the Consolidated Statement of Operations. The Fund is subject to examination by U.S. federal and state tax authorities for returns filed for the tax years for which the applicable statutes of limitations have not yet expired. As of April 30, 2017, the Fund did not have any unrecognized tax positions.
At April 30, 2017 the cost of investments for U.S. federal income tax basis was $451,966,885. Gross unrealized appreciation of investments was $21,259,588 and gross unrealized depreciation of investments was $13,265,633, resulting in net unrealized appreciation of $7,993,955 based on cost for U.S. federal income tax purposes.
The Subsidiary is a controlled foreign corporation under the U.S. Internal Revenue Code. As a U.S. shareholder of a controlled foreign corporation, the Fund will include in its taxable income its share of the Subsidiary's current earnings and profits (including net realized gains). Any deficit generated by the Subsidiary will be disregarded for purposes of computing the Fund's taxable income in the current period and also disregarded for all future periods.
Income distributions and capital gain distributions are determined in accordance with income tax regulations, which may differ from GAAP. These differences are primarily due to differing treatments of income and gains on various investment securities held by the Fund, timing differences and differing characterization of distributions made by the Fund.
76
As determined on October 31, 2016, 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 the Fund. For the year ended October 31, 2016, the Fund recorded the following permanent reclassifications:
Paid-In Capital | Undistributed Net Investment Income/(Loss) | Accumulated Net Realized Gains/(Losses) on Investments | |||||||||
$ | (3,579,305 | ) | $ | (2,397,422 | ) | $ | 5,976,727 |
The tax character of distributions paid during the years ended October 31, 2016 and October 31, 2015 was as follows:
Distributions Paid From: | |||||||||||||||||||||||||||||||||||||||||||
Ordinary Income | Tax-Exempt Income | Long-Term Capital Gain | Return of Capital | Total | |||||||||||||||||||||||||||||||||||||||
2016 | 2015 | 2016 | 2015 | 2016 | 2015 | 2016 | 2015 | 2016 | 2015 | ||||||||||||||||||||||||||||||||||
$ | 15,787,471 | $ | 43,555,538 | $ | — | $ | — | $ | — | $ | 1,036,454 | $ | — | $ | — | $ | 15,787,471 | $ | 44,591,992 |
As of October 31, 2016, 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 | ||||||||||||||||||
$ | — | $ | — | $ | (26,745,380 | ) | $ | (110,616,921 | ) | $ | (1,689,485 | ) | $ | (139,051,786 | ) |
The temporary differences between book basis and tax basis distributable earnings are primarily due to: losses disallowed and recognized on wash sales, short sales, options and straddles, mark-to-market adjustments on swaps, futures and forwards, unamortized organization expenses, tax adjustments related to real estate investment trusts ("REITs"), PFICs, partnerships, swap contracts, short sales and other investments, capital loss carryforwards and partnership basis adjustments.
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. 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, 2016, the Fund had unused capital loss carryforwards available for federal income tax purposes to offset net realized capital gains, if any, as follows:
Long-Term | Short-Term | ||||||
$ | 44,286,401 | $ | 66,330,520 |
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, 2017, there were no outstanding balances of accrued capital gains taxes for the Fund.
8 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, are generally distributed once a year (usually in December) and are recorded on the ex-date.
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It is the policy of the Fund 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 the Fund until the following calendar year. At October 31, 2016, the Fund estimated these amounts for the period January 1, 2016 to October 31, 2016 within the financial statements because the 2016 information is not available from the REITs until after the Fund's fiscal year-end. At April 30, 2017, the Fund estimated these amounts for the period January 1, 2017 to April 30, 2017 within the financial statements because the 2017 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 the Fund together with actual IRS Forms 1099-DIV received to date. For the year ended October 31, 2016, the character of distributions paid to shareholders of the Fund disclosed within the Consolidated 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 the Fund'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 the Fund's fiscal year-end. After calendar year-end, when the Fund learns 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 the Fund of the actual breakdown of distributions paid to the Fund during its fiscal year, estimates previously recorded are adjusted on the books of the Fund to reflect actual results. As a result, the composition of the Fund's distributions as reported herein may differ from the final composition determined after calendar year-end and reported to the Fund 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 the Fund are charged to the Fund. Expenses of the Trust that are not directly attributable to a particular series of the Trust (e.g., the Fund) are allocated among the series of the Trust, on the basis of relative net assets, except where a more appropriate allocation of expenses to each of the series can otherwise be made fairly. Expenses borne by the complex of related investment companies, which includes open-end and closed-end investment companies for which Management serves as investment manager, that are not directly attributable to a particular investment company in the complex (e.g., the Trust) or series thereof are allocated among the investment companies or series thereof in the complex on the basis of relative net assets, except where a more appropriate allocation of expenses to each of the investment companies or series thereof in the complex can otherwise be made fairly. The Fund's expenses (other than those specific to each class) are allocated proportionally each day among the classes based upon the relative net assets of each class.
10 Investments in foreign securities: Investing in foreign securities may involve sovereign and other risks, in addition to the credit and market risks normally associated with domestic securities. These additional risks include the possibility of adverse political and economic developments (including political instability, nationalization, expropriation, or confiscatory taxation) and the potentially adverse effects of unavailability of public information regarding issuers, less governmental supervision and regulation of financial markets, reduced liquidity of certain financial markets, and the lack of uniform accounting, auditing, and financial reporting standards or the application of standards that are different or less stringent than those applied in the United States. Foreign securities also may experience greater price volatility, higher rates of inflation, and delays in settlement.
11 Securities sold short: The Fund may engage in short sales, which are sales of securities which have been borrowed from a third party on the expectation that the market price will decline. If the price of the securities decreases, the Fund will make a profit by purchasing the securities in the open market at a price lower than the one at which it sold the securities. If the price of the securities increases, the Fund may have to cover its short positions at a price higher than the short sale price, resulting in a loss. Gains are limited to the price at which the Fund sold the security short, while losses are potentially unlimited in size. The Fund pledges securities and/or other assets to the lender as collateral. Proceeds received from short sales may be maintained by the lender as collateral or may be released to the Fund and used to purchase additional securities or for any other purpose. Proceeds maintained by the lender are included in the "Cash collateral segregated for short sales" on the Consolidated Statement of Assets and Liabilities. The Fund is required to segregate an amount of cash or liquid securities in an amount at least
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equal to the current market value of the securities sold short (less any additional collateral pledged to the lender). The Fund is contractually responsible to remit to the lender any dividends and interest payable on securities while those securities are being borrowed by the Fund. The Fund 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 Fund 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 Consolidated Statement of Operations and were $125,575 for the six months ended April 30, 2017.
At April 30, 2017, the Fund had cash pledged in the amount of $83,155,622 to JPMorgan Chase Bank, NA ("JPM"), as collateral for short sales. In addition, JPM has a perfected security interest in these assets. At April 30, 2017, the Fund had securities pledged in the amount of $24,194,673 to JPM to cover collateral requirements for borrowing in connection with securities sold short and options written.
12 Investment company securities, exchange traded funds and exchange traded notes: 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. The Fund 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. The Fund will bear any applicable fees to the issuer upon redemption or maturity, which will increase expenses and decrease returns.
13 Derivative instruments: The Fund's use of derivatives during the six months ended April 30, 2017, is described below. Please see the Consolidated Schedule of Investments for the Fund's open positions in derivatives, if any, at April 30, 2017. The Fund has adopted the provisions of ASC 815 "Derivatives and Hedging" ("ASC 815"). The disclosure requirements of ASC 815 distinguish between derivatives that qualify for hedge accounting and those that do not. Because investment companies value their derivatives at fair value and recognize changes in fair value through the Consolidated Statement of Operations, they do not qualify for hedge accounting. Accordingly, even though the Fund's investments in derivatives may represent economic hedges, they are considered non-hedge transactions for purposes of this disclosure.
Credit default swap contracts: During the six months ended April 30, 2017, the Fund used 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 the 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 the 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 the 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
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(or the risk of loss) would be an amount equal to the notional amount of the agreement. This potential amount would be partially offset by any recovery value of the respective referenced obligation, or net amount received from the settlement of a buy protection credit default swap agreement entered into by the Fund for the same referenced obligation. As the seller, the Fund may add economic leverage to its portfolio because, in addition to its total net assets, the Fund is subject to investment exposure on the notional amount of the swap. The net periodic payments paid or received on the swap contract are accrued daily as a component of unrealized appreciation/(depreciation) and are recorded as realized gain upon receipt or realized loss upon payment. The Fund also records an increase or decrease to unrealized appreciation/(depreciation) in an amount equal to the daily valuation of the swap. For 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.
Centrally cleared swaps: Certain clearinghouses currently offer clearing for limited types of derivative transactions, including certain credit default swaps. In a cleared derivative transaction, the 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. The 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 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.
Futures contracts: During the six months ended April 30, 2017, the Fund used futures for economic hedging purposes and to enhance returns.
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 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, 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 the Fund because the exchange's clearinghouse assumes the position of the counterparty in each transaction. Thus, the Fund is exposed to risk only in connection with the clearinghouse and not in connection with the original counterparty to the transaction.
For U.S. federal income tax purposes, 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.
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Equity swap contracts: During the six months ended April 30, 2017, the Fund 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, 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 Consolidated Statement of Assets and Liabilities. Periodic payments received or paid by the Fund are recorded as realized gains or losses.
Total return swap contracts: During the six months ended April 30, 2017, the Fund used total return swaps to hedge certain indices and provide investment exposure to certain investments, primarily foreign securities. 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, the 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 swaps is adjusted daily and the change in value, if any, is recorded as unrealized appreciation or depreciation in the Consolidated Statement of Assets and Liabilities. Payments received or made at the end of each measurement period are recorded as realized gain or loss in the Consolidated Statement of Operations.
Forward foreign currency contracts: During the six months ended April 30, 2017, the Fund used forward foreign currency contracts to hedge foreign currency and to enhance returns.
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 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 Consolidated Statement of Operations. These contracts may involve market risk in excess of the unrealized gain or loss reflected in the Fund's Consolidated 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 obligation.
Options: For the six months ended April 30, 2017, the Fund used written options to generate incremental returns. The Fund used purchased option contracts ("options purchased") to manage or adjust the risk profile and the investment exposure of the Fund to certain securities and to enhance returns.
Premiums paid by the Fund upon purchasing a call or put option are recorded in the asset section of the Fund's Consolidated 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 asset is eliminated. For purchased call options, the Fund's loss is limited to the amount of the option premium paid.
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Premiums received by the Fund upon writing a call option or a put option are recorded in the liability section of the Fund's Consolidated 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 the 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, 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.
The 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.
At April 30, 2017, the Fund had the following derivatives (which did not qualify as hedging instruments under ASC 815), grouped by primary risk exposure:
Asset Derivatives
(000's omitted)
Derivative Type | Consolidated Statement of Assets and Liabilities Location | Credit Risk | Currency Risk | Equity Risk | Interest Rate Risk | Commodity Risk | Total | ||||||||||||||||||||||||
OTC swaps | OTC swap contracts, at value(1) | $ | 273 | $ | — | $ | 3,620 | $ | — | $ | — | $ | 3,893 | ||||||||||||||||||
Futures | Receivable/Payable for variation margin on futures contracts(2) | — | 49 | 111 | 58 | 517 | 735 | ||||||||||||||||||||||||
Forward contracts | Receivable for forward foreign currency contracts | — | 551 | — | — | — | 551 | ||||||||||||||||||||||||
Options purchased | Investments in securities, at value | — | — | 457 | — | — | 457 | ||||||||||||||||||||||||
Total Value—Assets | $ | 273 | $ | 600 | $ | 4,188 | $ | 58 | $ | 517 | $ | 5,636 |
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Liability Derivatives
(000's omitted)
Derivative Type | Consolidated Statement of Assets and Liabilities Location | Credit Risk | Currency Risk | Equity Risk | Interest Rate Risk | Commodity Risk | Total | ||||||||||||||||||||||||
OTC swaps | OTC swap contracts, at value(1) | $ | (669 | ) | $ | — | $ | (2,320 | ) | $ | — | $ | — | $ | (2,989 | ) | |||||||||||||||
Centrally cleared swaps | Receivable/Payable for variation margin on centrally cleared swap contracts(3) | (508 | ) | — | — | — | — | (508 | ) | ||||||||||||||||||||||
Futures | Receivable/Payable for variation margin on futures contracts(2) | — | (1,266 | ) | (582 | ) | (271 | ) | (506 | ) | (2,625 | ) | |||||||||||||||||||
Forward contracts | Payable for forward foreign currency contracts | — | (712 | ) | — | — | — | (712 | ) | ||||||||||||||||||||||
Options written | Option contracts written, at value | — | — | (6 | ) | — | — | (6 | ) | ||||||||||||||||||||||
Total Value—Liabilities | $ | (1,177 | ) | $ | (1,978 | ) | $ | (2,908 | ) | $ | (271 | ) | $ | (506 | ) | $ | (6,840 | ) |
(1) "OTC swap contracts" reflects the unrealized appreciation/(depreciation) of the OTC swap contracts plus accrued interest as of April 30, 2017, which is reflected in the Consolidated Statement of Assets and Liabilities under the caption "OTC swap contracts, at value."
(2) "Futures" reflects the cumulative unrealized appreciation/(depreciation) of futures as of April 30, 2017, which is reflected in the Consolidated 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, 2017, if any, is reflected in the Consolidated 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 swaps as of April 30, 2017, which is reflected in the Consolidated Statement 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 Consolidated Statement of Assets and Liabilities under the caption "Receivable/Payable for variation margin on centrally cleared swap contracts."
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The impact of the use of these derivative instruments on the Consolidated Statement of Operations during the six months ended April 30, 2017, was as follows:
Realized Gain/(Loss)
(000's omitted)
Derivative Type | Consolidated Statement of Operations Location | Credit Risk | Currency Risk | Equity Risk | Interest Rate Risk | Commodity Risk | Total | ||||||||||||||||||||||||
Forward contracts | Net realized gain (loss) on: Forward foreign currency contracts | $ | — | $ | 552 | $ | — | $ | — | $ | — | $ | 552 | ||||||||||||||||||
Futures | Net realized gain (loss) on: Futures contracts | — | 4,082 | (1,155 | ) | (811 | ) | (1,012 | ) | 1,104 | |||||||||||||||||||||
Options purchased | Net realized gain (loss) on: Sales of investment securities of unaffiliated issuers | — | — | (1,197 | ) | — | — | (1,197 | ) | ||||||||||||||||||||||
Options written | Net realized gain (loss) on: Option contracts written | — | — | 202 | — | — | 202 | ||||||||||||||||||||||||
Swaps | Net realized gain (loss) on: Swaps contracts | (127 | ) | — | (426 | ) | — | — | (553 | ) | |||||||||||||||||||||
Total Realized Gain/(Loss) | $ | (127 | ) | $ | 4,634 | $ | (2,576 | ) | $ | (811 | ) | $ | (1,012 | ) | $ | 108 |
Change in Appreciation/(Depreciation)
(000's omitted)
Derivative Type | Consolidated Statement of Operations Location | Credit Risk | Currency Risk | Equity Risk | Interest Rate Risk | Commodity Risk | Total | ||||||||||||||||||||||||
Forward contracts | Change in net unrealized appreciation (depreciation) in value of: Forward foreign currency contracts | $ | — | $ | (355 | ) | $ | — | $ | — | $ | — | $ | (355 | ) | ||||||||||||||||
Futures | Change in net unrealized appreciation (depreciation) in value of: Futures contracts | — | (2,644 | ) | (286 | ) | 181 | 179 | (2,570 | ) | |||||||||||||||||||||
Options purchased | Change in net unrealized appreciation (depreciation) in value of: Unaffiliated investment securities | — | — | (1,025 | ) | — | — | (1,025 | ) | ||||||||||||||||||||||
Options written | Change in net unrealized appreciation (depreciation) in value of: Option contracts written | — | — | (21 | ) | — | — | (21 | ) | ||||||||||||||||||||||
Swaps | Change in net unrealized appreciation (depreciation) in value of: Swap contracts | (526 | ) | — | 1,695 | — | — | 1,169 | |||||||||||||||||||||||
Total Change in Appreciation/ (Depreciation) | $ | (526 | ) | $ | (2,999 | ) | $ | 363 | $ | 181 | $ | 179 | $ | (2,802 | ) |
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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 Consolidated 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, 2017.
Description (000's omitted) | Gross Amounts of Recognized Assets | Gross Amounts Offset in the Consolidated Statement of Assets and Liabilities | Net Amounts of Assets Presented in the Consolidated Statement of Assets and Liabilities | ||||||||||
OTC swap contracts | $ | 3,893 | $ | — | $ | 3,893 | |||||||
Forward contracts | 551 | — | 551 | ||||||||||
Total | $ | 4,444 | $ | — | $ | 4,444 |
Gross Amounts Not Offset in the Consolidated Statement of Assets and Liabilities
Counterparty (000's omitted) | Net Amounts of Assets Presented in the Consolidated Statement of Assets and Liabilities | Liabilities Available for Offset | Cash Collateral Received(a) | Net Amount(b) | |||||||||||||
Bank of America, NA | $ | 557 | $ | (502 | ) | $ | — | $ | 55 | ||||||||
JPMorgan Chase Bank, NA | 772 | (772 | ) | — | — | ||||||||||||
Morgan Stanley Capital Services LLC | 3,115 | (1,975 | ) | — | 1,140 | ||||||||||||
$ | 4,444 | $ | (3,249 | ) | $ | — | $ | 1,195 |
Description (000's omitted) | Gross Amounts of Recognized Liabilites | Gross Amounts Offset in the Consolidated Statement of Assets and Liabilities | Net Amounts of Liabilities Presented in the Consolidated Statement of Assets and Liabilities | ||||||||||
OTC swap contracts | $ | (2,989 | ) | $ | — | $ | (2,989 | ) | |||||
Forward contracts | (712 | ) | — | (712 | ) | ||||||||
Total | $ | (3,701 | ) | $ | — | $ | (3,701 | ) |
Gross Amounts Not Offset in the Consolidated Statement of Assets and Liabilities
Counterparty (000's omitted) | Net Amounts of Liabilites Presented in the Consolidated Statement of Assets and Liabilities | Assets Available for Offset | Cash Collateral Pledged(a) | Net Amount(c) | |||||||||||||
Bank of America, NA | $ | (502 | ) | $ | 502 | $ | — | $ | — | ||||||||
JPMorgan Chase Bank, NA | (1,224 | ) | 772 | 452 | — | ||||||||||||
Morgan Stanley Capital Services LLC | (1,975 | ) | 1,975 | — | — | ||||||||||||
$ | (3,701 | ) | $ | 3,249 | $ | 452 | $ | — |
(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.
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(b) Net Amount represents amounts subject to loss as of April 30, 2017, in the event of a counterparty failure.
(c) Net Amount represents amounts under-collateralized by the Fund to each counterparty as of April 30, 2017.
14 Indemnifications: Like many other companies, the Trust's organizational documents provide that its officers ("Officers") and trustees ("Trustees") are indemnified against certain liabilities arising out of the performance of their duties to the Trust. In addition, both in some of its principal service contracts and in the normal course of its business, the Trust enters into contracts that provide indemnifications to other parties for certain types of losses or liabilities. The Trust's maximum exposure under these arrangements is unknown as this could involve future claims against the Trust.
15 Unfunded loan commitments: The Fund may enter into certain credit agreements all or a portion of which may be unfunded. The Fund is obligated to fund these commitments at the borrower's discretion. As of April 30, 2017, there were no outstanding unfunded loan commitments.
16 Expense offset arrangement: The Fund has an expense offset arrangement in connection with its custodian contract. For the six months ended April 30, 2017, the impact of this arrangement was a reduction of expenses of $616.
17 Other: All net investment income and realized and unrealized capital gains and losses of the Fund are allocated, on the basis of relative net assets, pro rata among its respective classes.
Note B—Investment Management Fees, Administration Fees, Distribution Arrangements, and Other Transactions with Affiliates:
The Fund retains Management as its investment manager under a Management Agreement. For such investment management services, the 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, 2017, the Investment Management fee pursuant to the Investment Management Agreement was equivalent to an annualized effective rate of 1.68% 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, the Institutional Class of the 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 the Fund pays Management an administration fee at the annual rate of 0.20% of its average daily net assets and Class R6 of the Fund 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 the Fund so that the total annual operating expenses of those classes do not exceed the expense limitations as detailed in the following table. These undertakings exclude interest, taxes, brokerage commissions, acquired fund fees and expenses, extraordinary expenses, as of August 12, 2014, dividend and interest expenses relating to short sales, if any (commitment fees relating to borrowings are treated as interest for purposes of this exclusion); consequently, net expenses may exceed the contractual expense limitations. The Fund has agreed that each of its respective classes will repay Management for fees and expenses waived or reimbursed for that class provided that repayment does not cause that class' annual operating expenses to exceed its contractual expense limitation in place at the time the fees and expenses were waived or reimbursed. 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
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has agreed to share with the Subsidiary. For the six months ended April 30, 2017, these Subsidiary expenses amounted to $66,818.
During the six months ended April 30, 2017, no classes repaid Management under their contractual expense limitation agreements.
At April 30, 2017, contingent liabilities to Management under the agreements were as follows:
Expenses Reimbursed in Year Ending, October 31, | |||||||||||||||||||||||||||
2014 | 2015 | 2016 | 2017 | ||||||||||||||||||||||||
Subject to Repayment until October 31, | |||||||||||||||||||||||||||
Class | Contractual Expense Limitation(1) | Expiration | 2017 | 2018 | 2019 | 2020 | |||||||||||||||||||||
Absolute Return Multi-Manager Institutional Class | 1.97 | % | 10/31/20 | $ | 759,554 | $ | — | $ | 377,847 | $ | 285,899 | ||||||||||||||||
Absolute Return Multi-Manager Class A | 2.33 | % | 10/31/20 | 316,015 | — | 89,779 | 48,218 | ||||||||||||||||||||
Absolute Return Multi-Manager Class C | 3.08 | % | 10/31/20 | 44,890 | — | 40,256 | 25,105 | ||||||||||||||||||||
Absolute Return Multi-Manager Class R6 | 1.90 | % | 10/31/20 | — | — | 1,667 | 1,870 |
(1) Expense limitation per annum of the respective class' average daily net assets.
Until December 31, 2015, NB Alternative Investment Management LLC ("NBAIM"), was the investment adviser to the Fund, and was retained by Neuberger Berman Management LLC ("NBM") to provide day-to-day investment management services, including oversight of the 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 4 of this Semi-Annual Report, the services previously provided by NBAIM are being provided by NBIA as of January 1, 2016.
At April 30, 2017, Management engaged Blue Jay Capital Management, LLC, Cramer Rosenthal McGlynn, LLC, GAMCO Asset Management Inc., Good Hill Partners LP, GSA Capital Partners LLP, Levin Capital Strategies, LP, P/E Global, LLC, Portland Hill Asset Management Limited, Sound Point Capital Management, L.P., and TPH Asset Management, LP as subadvisers of the Fund to provide investment management services. Management compensates the subadvisers out of the investment advisory fees it receives from the Fund.
The Fund also has a distribution agreement with Neuberger Berman BD LLC (the "Distributor") with respect to each class of shares. The Distributor acts as agent in arranging for the sale of class shares without sales commission or other compensation, except as described below for Class A and Class C shares, and bears advertising and promotion expenses.
However, the Distributor 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, the Distributor activities and expenses related to the sale and distribution of these classes, and ongoing services provided to investors in these classes, the Distributor 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. The Distributor 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.
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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, 2017, Neuberger Berman, 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 | $ | 3,359 | $ | — | $ | — | $ | — | |||||||||||
Class C | — | 1,113 | — | — |
Note C—Securities Transactions:
During the six months ended April 30, 2017, 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:
(000's omitted) | 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 on Securities Sold Short excluding U.S. Government and Agency Obligations | |||||||||||||||||||||
$ | 3,477 | $ | 919,366 | $ | 241,383 | $ | 3,523 | $ | 1,040,802 | $ | 282,197 |
During the six months ended April 30, 2017, 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, 2017 and year ended October 31, 2016 was as follows:
For the Six Months Ended April 30, 2016 | For the Year Ended October 31, 2016 | ||||||||||||||||||||||||||||||||||
(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 | |||||||||||||||||||||||||||
Institutional Class | 7,705 | — | (15,282 | ) | (7,577 | ) | 24,318 | 1,124 | (106,001 | ) | (80,559 | ) | |||||||||||||||||||||||
Class A | 303 | — | (4,108 | ) | (3,805 | ) | 2,545 | 164 | (16,727 | ) | (14,018 | ) | |||||||||||||||||||||||
Class C | 36 | — | (1,728 | ) | (1,692 | ) | 523 | 59 | (4,974 | ) | (4,392 | ) | |||||||||||||||||||||||
Class R6 | 27 | — | (172 | ) | (145 | ) | 710 | 22 | (2,059 | ) | (1,327 | ) |
Note E—Line of Credit:
At April 30, 2017, 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. Absolute Return Multi-Manager Fund and another 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
88
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. Interest is charged on borrowings under this Credit Facility at the highest of (a) a federal funds effective rate plus 1.00% per annum, (b) a Eurodollar rate for a one-month period plus 1.00% per annum, and (c) an overnight bank funding rate plus 1.00% per annum. The Credit Facility has an annual commitment fee of 0.15% per annum of the available line of credit, which is paid quarterly. The Fund has agreed to pay its pro rata share of the annual commitment fee, based on the ratio of its individual net assets to the net assets of all participants at the time the fee is due and payable and 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, 2017. During the period ended April 30, 2017, the Fund did not utilize the line of credit.
Note F—Recent Accounting Pronouncements:
In October 2016, the U.S. Securities and Exchange Commission ("SEC") adopted new rules and forms, and amendments to certain current rules and forms, to modernize reporting and disclosure of information by registered investment companies. The amendments to Regulation S-X will require standardized, enhanced disclosure about derivatives in investment company financial statements, and will also change the rules governing the form and content of such financial statements. The compliance date for the amendments to Regulation S-X is August 1, 2017. Management is currently evaluating the impact that the adoption of the amendments to Regulation S-X will have on the Fund's financial statements and related disclosures.
In December 2016, FASB issued ASU No. 2016-19, "Technical Corrections and Improvements" ("ASU 2016-19"). The guidance includes an amendment to Topic 820, Fair Value Measurement, which clarifies the difference between a valuation approach and a valuation technique. The amendments also require an entity to disclose when it has changed either a valuation approach and/or a valuation technique. The guidance is effective for interim and annual reporting periods beginning after December 15, 2016. Management is currently evaluating the impact, if any, of applying this guidance.
Note G—Subsequent Event:
Subsequent to the semi-annual reporting period ended April 30, 2017, GSA Capital Partners LLP ("GSA") no longer acts as a subadviser to the Fund.
Note H—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.
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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 $0.01 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†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 short sales) | Portfolio Turnover Rate (excluding short sales) | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Absolute Return Multi-Manager Fund | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Institutional Class | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
4/30/2017ß (Unaudited) | $ | 10.18 | $ | 0.02 | $ | 0.29 | $ | 0.31 | $ | — | $ | — | $ | — | $ | — | $ | 10.49 | 3.05 | %** | $ | 421.2 | 2.75 | %* | 2.11 | %* | 2.63 | %*Ø | 1.98 | %*Ø | 0.37 | %* | 208 | %** | 193 | %** | |||||||||||||||||||||||||||||||||||||||
10/31/2016ß | $ | 10.47 | $ | 0.02 | $ | (0.18 | ) | $ | (0.16 | ) | $ | (0.03 | ) | $ | (0.10 | ) | $ | — | $ | (0.13 | ) | $ | 10.18 | (1.57 | )% | $ | 485.8 | 2.83 | %‡ | 2.02 | %‡ | 2.78 | %ا‡ | 1.97 | %ا‡ | 0.18 | %‡ | 485 | % | 474 | % | ||||||||||||||||||||||||||||||||||
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 | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
4/30/2017ß (Unaudited) | $ | 10.10 | $ | (0.00 | ) | $ | 0.29 | $ | 0.29 | $ | — | $ | — | $ | — | $ | — | $ | 10.39 | 2.87 | %** | $ | 25.2 | 3.20 | %* | 2.54 | %* | 3.00 | %*Ø | 2.33 | %*Ø | (0.03 | )%* | 208 | %** | 193 | %** | ||||||||||||||||||||||||||||||||||||||
10/31/2016ß | $ | 10.40 | $ | (0.02 | ) | $ | (0.18 | ) | $ | (0.20 | ) | $ | — | $ | (0.10 | ) | $ | — | $ | (0.10 | ) | $ | 10.10 | (1.91 | )% | $ | 62.9 | 3.20 | %‡ | 2.40 | %‡ | 3.13 | %ا‡ | 2.33 | %ا‡ | (0.16 | )%‡ | 485 | % | 474 | % | ||||||||||||||||||||||||||||||||||
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 | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
4/30/2017ß (Unaudited) | $ | 9.78 | $ | (0.04 | ) | $ | 0.29 | $ | 0.25 | $ | — | $ | — | $ | — | $ | — | $ | 10.03 | 2.56 | %** | $ | 25.0 | 3.91 | %* | 3.24 | %* | 3.75 | %*Ø | 3.09 | %*Ø | (0.76 | )%* | 208 | %** | 193 | %** | ||||||||||||||||||||||||||||||||||||||
10/31/2016ß | $ | 10.15 | $ | (0.09 | ) | $ | (0.18 | ) | $ | (0.27 | ) | $ | — | $ | (0.10 | ) | $ | — | $ | (0.10 | ) | $ | 9.78 | (2.66 | )% | $ | 40.9 | 3.96 | %‡ | 3.15 | %‡ | 3.89 | %ا‡ | 3.08 | %ا‡ | (0.96 | )%‡ | 485 | % | 474 | % | ||||||||||||||||||||||||||||||||||
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 | %** | |||||||||||||||||||||||||||||||||||||
Class R6 | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
4/30/2017ß (Unaudited) | $ | 10.17 | $ | 0.02 | $ | 0.30 | $ | 0.32 | $ | — | $ | — | $ | — | $ | — | $ | 10.49 | 3.15 | %** | $ | 2.0 | 2.69 | %* | 2.03 | %* | 2.56 | %*Ø | 1.91 | %*Ø | 0.41 | %* | 208 | %** | 193 | %** | |||||||||||||||||||||||||||||||||||||||
10/31/2016ß | $ | 10.47 | $ | 0.04 | $ | (0.21 | ) | $ | (0.17 | ) | $ | (0.03 | ) | $ | (0.10 | ) | $ | — | $ | (0.13 | ) | $ | 10.17 | (1.58 | )% | $ | 3.4 | 2.71 | %‡ | 1.92 | %‡ | 2.69 | %ا‡ | 1.90 | %ا‡ | 0.37 | %‡ | 485 | % | 474 | % | ||||||||||||||||||||||||||||||||||
10/31/2015 | $ | 11.01 | $ | (0.01 | ) | $ | (0.22 | ) | $ | (0.23 | ) | $ | (0.08 | ) | $ | (0.23 | ) | $ | — | $ | (0.31 | ) | $ | 10.47 | (2.14 | )% | $ | 17.4 | 2.66 | % | 1.90 | % | 2.66 | %ا | 1.90 | %ا | (0.08 | )% | 433 | % | 452 | % | |||||||||||||||||||||||||||||||||
Period from 12/31/2013^ to 10/31/2014 | $ | 10.99 | $ | 0.01 | $ | 0.01 | $ | 0.02 | $ | — | $ | — | $ | — | $ | — | $ | 11.01 | 0.18 | %** | $ | 32.5 | 2.56 | %* | 2.08 | %* | 2.46 | %*Ø | 1.98 | %*Ø | 0.10 | %* | 329 | %ØØ | 257 | %ØØ |
See Notes to Financial Highlights
91
92
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 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.
d The class action proceeds listed in Note A of the Notes to Consolidated Financial Statements, if any, had no impact on the Funds' total returns for the year ended October 31, 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.
ß Consolidated financial highlights (see Note A in Notes to Consolidated Financial Statements).
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 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 | Including Dividend and Interest Expense Relating to Short Sales | Excluding Dividend and Interest Expense Relating to Short Sales | ||||||||||||||||||||||||||||||||||
Six Months Ended April 30, 2017 | Year Ended October 31, 2016 | Year Ended October 31, 2015 | Year Ended October 31, 2014 | Year Ended October 31, 2013 | |||||||||||||||||||||||||||||||||||||||
Absolute Return Multi-Manager Institutional Class | 2.63 | % | 1.98 | % | 2.78 | % | 1.97 | % | 2.71 | % | 1.97 | % | 2.55 | % | 2.04 | % | 2.30 | % | 2.01 | % | |||||||||||||||||||||||
Absolute Return Multi-Manager Class A | 3.00 | % | 2.33 | % | 3.13 | % | 2.33 | % | 3.06 | % | 2.33 | % | 2.90 | % | 2.38 | % | 2.63 | % | 2.35 | % | |||||||||||||||||||||||
Absolute Return Multi-Manager Class C | 3.75 | % | 3.09 | % | 3.89 | % | 3.08 | % | 3.81 | % | 3.08 | % | 3.66 | % | 3.15 | % | 3.39 | % | 3.10 | % | |||||||||||||||||||||||
Absolute Return Multi-Manager Class R6 | 2.56 | % | 1.91 | % | 2.69 | % | 1.90 | % | 2.66 | % | 1.90 | % | 2.46 | % | 1.98 | %(1) | — | — |
(1) Period from December 31, 2013 (Commencement of Operations) to October 31, 2014.
93
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 | ||||||||||||||
Year Ended October 31, 2016 | Year Ended October 31, 2015 | ||||||||||||||||
Absolute Return Multi-Manager Institutional Class | 2.77 | % | 1.96 | % | 2.64 | % | 1.90 | % | |||||||||
Absolute Return Multi-Manager Class A | 3.13 | % | 2.33 | % | 3.02 | % | 2.29 | % | |||||||||
Absolute Return Multi-Manager Class C | 3.88 | % | 3.07 | % | 3.75 | % | 3.02 | % | |||||||||
Absolute Return Multi-Manager Class R6 | 2.68 | % | 1.89 | % | 2.59 | % | 1.83 | % |
94
Directory
Investment Manager and Administrator
Neuberger Berman Investment Advisers LLC
1290 Avenue of the Americas
New York, NY 10104-0002
800.877.9700 or 212.476.8800
Intermediary Client Services 800.366.6264
Distributor
Neuberger Berman BD LLC
1290 Avenue of the Americas
New York, NY 10104-0002
800.877.9700 or 212.476.8800
Intermediary Client Services 800.366.6264
Sub-Advisers
Blue Jay Capital Management, LLC
2121 Avenue of the Stars, Suite 2980
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
One Greenwich Office Park
Greenwich, CT 06831
Levin Capital Strategies, L.P.
595 Madison Avenue, 17th Floor
New York, NY 10022
P/E Global, LLC
75 State Street, 31st Floor
Boston, MA 02109
Portland Hill Asset Management Limited
21 Knightsbridge
London SW1X7LY, United Kingdom
Sound Point Capital Management, L.P.
375 Park Avenue
New York, NY 10152
TPH Asset Management, LP
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
1290 Avenue of the Americas 22nd Floor
New York, NY 10104-0002
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
95
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 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).
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Board Consideration of New Sub-Advisory Agreement: TPH Asset Management, LP
At a meeting held on October 18, 2016, the Board (the "Board") of Neuberger Berman Alternative Funds (the "Trust"), including the Trustees who are not "interested persons" of Neuberger Berman Investment Advisers LLC (the "Manager") (including its affiliates) or the Trust ("Independent Fund Trustees"), evaluated and approved a new investment sub-advisory agreement with respect to Neuberger Berman Absolute Return Multi-Manager Fund (the "Fund") between the Manager and TPH Asset Management, LP ("TPH") (the "New Sub-Advisory Agreement"), which will continue to be responsible for managing a portion of the assets of the Fund. Representatives of the Manager informed the Board that, if approved by the Board, the New Sub-Advisory Agreement will be effective with the closing of the Transaction (as described below). Throughout the process, the Independent Fund Trustees were advised by counsel that is experienced in Investment Company Act of 1940, as amended ("1940 Act"), matters and that is independent of the Manager ("Independent Counsel"). The New Sub-Advisory Agreement took effect on November 30, 2016, upon a change in control of Tudor Pickering Holt & Co. ("TPH & Co."), the parent company of TPH. TPH & Co. merged with Perella Weinberg Partners ("Perella") (the "Transaction") on November 30, 2016, resulting in a change of control of TPH under the 1940 Act and the automatic termination of the previous sub-advisory agreement (the "Previous Sub-Advisory Agreement") between the Fund and TPH relating to provision by TPH of subadvisory services to the Fund.
The Board noted that the Manager and the Fund had obtained from the Securities and Exchange Commission an exemptive order that permitted the Manager to approve TPH as a subadviser to the Fund without a shareholder vote, even though the Transaction would constitute a change in control of TPH, provided the Independent Fund Trustees approve the agreement with TPH and certain other steps are taken.
In evaluating the New Sub-Advisory Agreement with respect to the Fund, the Board, including the Independent Fund Trustees, reviewed extensive materials provided by TPH in response to questions submitted by the Independent Fund Trustees, Independent Counsel, and the Manager, and met with senior representatives of the Manager regarding TPH's 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, including investment performance reports and related portfolio information for the Fund, as well as periodic reports on, among other matters, pricing and valuation; brokerage and execution; compliance; and shareholder and other services provided by the Manager and its affiliates. To assist the Board in its deliberations regarding the annual contract review, the Board has established a Contract Review Committee comprised of Independent Fund Trustees. 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 contract review. The Ethics and Compliance Committee received each quarter from the Fund's Chief Compliance Officer and reviewed a summary of the quarterly compliance questionnaire completed by TPH. Those committees provide reports that feed into the Contract Review Committee, which reviews and takes account of the information.
The Independent Fund Trustees received from Independent Counsel a memorandum discussing the legal standards for their consideration of the proposed continuation of the New Sub-Advisory Agreement. During the course of the year and during their deliberations regarding the annual contract review, the Contract Review Committee and the Independent Fund Trustees met with Independent Counsel separately from representatives of the Manager and TPH.
In connection with its approval of the New Sub-Advisory Agreement, the Board evaluated the terms of the New Sub-Advisory Agreement, the overall fairness of the New Sub-Advisory Agreement to the Fund and whether the New Sub-Advisory Agreement was in the best interests of the Fund and its shareholders. The Board considered all factors it deemed relevant with respect to the Fund, including the following factors: (1) the nature, extent, and quality of the services provided by the Manager and TPH; (2) the investment performance of TPH; (3) the costs of the services provided and the profit or loss realized by the Manager and its affiliates from their relationship with the Fund; (4) the extent to which economies of scale have been or might be realized as the Fund grows; and (5) whether fee or service levels reflect any such potential economies of scale for the benefit of the Fund's shareholders. The Board also inquired whether
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there are any other business relationships between the Manager and TPH that might result in the negotiations between them being less than arms-length.
The Board's determination to approve the New Sub-Advisory Agreement was based on a comprehensive consideration of all information provided to the Board. In their deliberations, 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 New Sub-Advisory Agreement to the Fund and, through the Fund, its shareholders.
With respect to the nature, extent and quality of the services to be provided to the Fund by TPH under the New Sub-Advisory Agreement, the Board considered the investment philosophy and decision-making processes of TPH and the qualifications, experience and capabilities of, and the resources available to, the portfolio management personnel of TPH who would perform services for the Fund. The Board also considered how the Transaction would affect TPH and reviewed information regarding Perella, which would be merging with the parent of TPH in the Transaction.
The Board further noted that the Manager is responsible for overseeing TPH pursuant to the New Sub-Advisory Agreement and related sub-adviser oversight policies and procedures approved by the Board. Under these procedures, the Manager is responsible for overseeing the investment performance of TPH and evaluating the risk and return of TPH and the Fund as a whole, in addition to other significant oversight responsibilities.
The Board also considered the size and scope of the activities necessary to periodically evaluate the compliance programs and other operational aspects of TPH. In addition, the Board considered the scope and compliance history of the compliance programs of TPH, including the Fund's Chief Compliance Officer's and the Manager's assessment of the compliance programs of TPH. The Board noted the positive compliance history of TPH as no significant compliance problems were reported to the Board. The Board also considered whether there were any pending lawsuits, enforcement proceedings or regulatory investigations involving TPH, and reviewed information regarding its financial condition, history of operations and any conflicts of interests in managing the Fund. The Board discussed that the Manager's Chief Information Security Officer had evaluated TPH's responses on questions of cybersecurity, business continuity and disaster recovery.
The Board considered the policies and practices regarding brokerage and allocation of portfolio transactions of TPH and noted that the Manager monitored the quality of the execution services provided by TPH.
The Board considered information regarding TPH's performance. The Board also reviewed the performance for accounts managed by TPH that were substantially similar in strategy to the strategy TPH will use for the Fund, noting that the accounts may not be subject to the same 1940 Act restrictions as the Fund. The Board also reviewed the Fund's performance in relation to certain measures of the degree of investment risk undertaken by the Fund.
With respect to the overall fairness of the New Sub-Advisory Agreement, the Board considered the Fund's fee structure as compared to a peer group of comparable funds and any fall-out (i.e., indirect) benefits likely to accrue to the Manager and its affiliates from its relationship with the Fund. The Manager indicated that similar comparative information was not available with respect to the amount paid to TPH. The Board did, however, consider the allocation of duties and responsibilities among the Manager and TPH and, in light of that, the amount of fees retained by each. The Board noted, however, that the Manager, and not the Fund, pays the fee to TPH and therefore the fees charged by TPH will not change the overall expenses of the Fund. The Board also monitors throughout the year the potential effect on the profitability of the Manager resulting from changes in sub-advisers and/or their fees. The Board considered the fees TPH charges for similar products. The Board also considered whether there are other business arrangements between the Manager and TPH that could give rise to potential conflicts.
The Board also evaluated any apparent or anticipated economies of scale in relation to the services TPH provides to the Fund. The Board considered whether the New Sub-Advisory Agreement will provide for breakpoints in the fees and, as a general matter, the way in which such breakpoints should factor into the fees paid by the Fund.
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Conclusions as to New Sub-Advisory Agreement
In approving the New Sub-Advisory Agreement, the Board concluded that the terms of the New Sub-Advisory Agreement are fair and reasonable to the Fund and that approval of the Agreement is in the best interests of the Fund and its shareholders. In reaching this determination, the Board considered that TPH could be expected to provide a high level of service to the Fund; that TPH's fees 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 TPH and its affiliates and the Manager and its affiliates by virtue of their relationship with the Fund were reasonable in light of the expected costs of providing the sub-advisory services and the benefits expected to accrue to the Fund. The Board's conclusions may be based in part on its consideration of materials prepared in connection with the approval of the Previous Sub-Advisory Agreement in prior years and on the Board's ongoing regular review of Fund performance and operations throughout the year, in addition to material prepared specifically for the most recent review of the Previous Sub-Advisory Agreement and the review of the New Sub-Advisory Agreement.
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Neuberger Berman Investment Advisers LLC
1290 Avenue of the Americas
New York, NY 10104–0002
Retail Services: 800.877.9700
Broker-Dealer and Institutional Services: 800.366.6264/888.556.9030
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 carefully a Fund's investment objectives, risks and fees and expenses, which are described in its prospectus, before investing.
N0087 06/17
(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. |