SIRIOS LONG/SHORT FUND
Portfolio of Investments
December 31, 2020
(Unaudited)
Number of Shares | Value | |||||||
LONG POSITIONS — 101.0% | ||||||||
COMMON STOCKS — 96.0% | ||||||||
Aerospace & Defense — 5.3% | ||||||||
Airbus SE (France)* | 6,052 | $ | 664,172 | |||||
HEICO Corp., Class A | 1,173 | 137,311 | ||||||
Raytheon Technologies Corp.† | 7,640 | 546,336 | ||||||
Safran SA (France)* | 949 | 134,505 | ||||||
|
| |||||||
1,482,324 | ||||||||
|
| |||||||
Airlines — 1.3% | ||||||||
Southwest Airlines Co. | 7,514 | 350,228 | ||||||
|
| |||||||
Auto Parts & Equipment — 1.3% | ||||||||
Allison Transmission Holdings, Inc. | 8,378 | 361,343 | ||||||
|
| |||||||
Banks — 5.8% | ||||||||
Credit Suisse Group AG, | 10,825 | 139,760 | ||||||
JPMorgan Chase & Co.† | 10,385 | 1,319,622 | ||||||
KeyCorp.† | 8,646 | 141,881 | ||||||
|
| |||||||
1,601,263 | ||||||||
|
| |||||||
Beverages — 2.5% | ||||||||
Constellation Brands, Inc., Class A† | 3,116 | 682,560 | ||||||
|
| |||||||
Building Materials — 0.7% | ||||||||
AZEK Co., Inc. (The)* | 5,362 | 206,169 | ||||||
|
| |||||||
Chemicals — 3.2% | ||||||||
Axalta Coating Systems Ltd.* | 9,576 | 273,395 | ||||||
Sherwin-Williams Co. (The)† | 464 | 340,998 | ||||||
Valvoline, Inc. | 11,677 | 270,206 | ||||||
|
| |||||||
884,599 | ||||||||
|
|
Number of Shares | Value | |||||||
COMMON STOCKS — (Continued) |
| |||||||
Commercial Services — 5.5% |
| |||||||
IHS Markit Ltd. (United Kingdom) | 12,787 | $ | 1,148,656 | |||||
PayPal Holdings, Inc.†* | 1,617 | 378,701 | ||||||
|
| |||||||
1,527,357 | ||||||||
|
| |||||||
Computers — 0.8% | ||||||||
Varonis Systems, Inc.* | 1,429 | 233,799 | ||||||
|
| |||||||
Diversified Financial Services — 0.5% |
| |||||||
Tradeweb Markets, Inc., Class A | 2,158 | 134,767 | ||||||
|
| |||||||
Electronics — 5.1% | ||||||||
Keysight Technologies, Inc.†* | 5,843 | 771,802 | ||||||
Roper Technologies, Inc.† | 1,494 | 644,048 | ||||||
|
| |||||||
1,415,850 | ||||||||
|
| |||||||
Environmental Control — 0.7% |
| |||||||
Waste Connections, Inc. | 1,920 | 196,934 | ||||||
|
| |||||||
Healthcare-Products — 13.9% |
| |||||||
Abbott Laboratories† | 8,019 | 878,000 | ||||||
Alcon, Inc., (Switzerland)* | 27,284 | 1,800,198 | ||||||
Boston Scientific Corp.* | 20,389 | 732,985 | ||||||
Medtronic PLC (Ireland) | 3,836 | 449,349 | ||||||
|
| |||||||
3,860,532 | ||||||||
|
| |||||||
Healthcare-Services — 1.8% |
| |||||||
HCA Healthcare Inc.† | 1,784 | 293,397 | ||||||
IQVIA Holdings Inc.* | 1,163 | 208,375 | ||||||
|
| |||||||
501,772 | ||||||||
|
| |||||||
Home Builders — 1.3% | ||||||||
DR Horton Inc.† | 5,273 | 363,415 | ||||||
|
| |||||||
Insurance — 2.7% | ||||||||
Berkshire Hathaway, Inc., Class B†* | 3,196 | 741,057 | ||||||
|
|
See accompanying Notes to the Quarterly Portfolio of Investments.
1
SIRIOS LONG/SHORT FUND
Portfolio of Investments (Continued)
December 31, 2020
(Unaudited)
Number of Shares | Value | |||||||
COMMON STOCKS — (Continued) |
| |||||||
Leisure Time — 2.3% | ||||||||
Brunswick Corp. | 3,417 | $ | 260,512 | |||||
Carnival Corp. | 17,299 | 374,696 | ||||||
|
| |||||||
635,208 | ||||||||
|
| |||||||
Lodging — 1.3% | ||||||||
Las Vegas Sands Corp. | 6,028 | 359,269 | ||||||
|
| |||||||
Machinery-Diversified — 1.3% | ||||||||
Otis Worldwide Corp. | 1,013 | 68,428 | ||||||
Westinghouse Air Brake Technologies Corp. | 4,069 | 297,851 | ||||||
|
| |||||||
366,279 | ||||||||
|
| |||||||
Media — 2.5% | ||||||||
Walt Disney Co. (The)* | 3,847 | 696,999 | ||||||
|
| |||||||
Miscellaneous Manufacturer — 0.5% |
| |||||||
3M Co. | 790 | 138,084 | ||||||
|
| |||||||
Oil & Gas — 0.5% | ||||||||
ConocoPhillips | 3,128 | 125,089 | ||||||
|
| |||||||
Packaging & Containers — 1.0% | ||||||||
AptarGroup, Inc. | 1,070 | 146,472 | ||||||
Berry Global Group, Inc.* | 2,529 | 142,105 | ||||||
|
| |||||||
288,577 | ||||||||
|
| |||||||
Pharmaceuticals — 8.2% | ||||||||
Covetrus, Inc.* | 4,632 | 133,124 | ||||||
Eli Lilly and Co.† | 4,831 | 815,666 | ||||||
Merck KGaA (Germany) | 1,781 | 305,467 | ||||||
Pfizer, Inc. | 27,625 | 1,016,876 | ||||||
|
| |||||||
2,271,133 | ||||||||
|
| |||||||
Retail — 5.0% | ||||||||
BJ’s Wholesale Club Holdings, Inc.* | 10,556 | 393,528 |
Number of Shares | Value | |||||||
COMMON STOCKS — (Continued) | ||||||||
Retail — (Continued) | ||||||||
Lowe’s Cos, Inc.† | 4,049 | $ | 649,905 | |||||
Williams-Sonoma, Inc.† | 3,501 | 356,542 | ||||||
|
| |||||||
1,399,975 | ||||||||
|
| |||||||
Semiconductors — 5.9% | ||||||||
Analog Devices, Inc.† | 2,883 | 425,906 | ||||||
QUALCOMM, Inc.† | 7,981 | 1,215,826 | ||||||
|
| |||||||
1,641,732 | ||||||||
|
| |||||||
Software — 6.9% | ||||||||
Dropbox, Inc., Class A* | 17,676 | 392,230 | ||||||
Electronic Arts, Inc.† | 3,924 | 563,486 | ||||||
Microsoft Corp.† | 1,467 | 326,290 | ||||||
PTC, Inc.†* | 2,331 | 278,811 | ||||||
Verra Mobility Corp.* | 25,614 | 343,740 | ||||||
|
| |||||||
1,904,557 | ||||||||
|
| |||||||
Telecommunications — 3.9% | ||||||||
Telefonaktiebolaget LM | 23,453 | 278,984 | ||||||
T-Mobile US, Inc.†* | 3,979 | 536,568 | ||||||
Vodafone Group PLC | 171,434 | 281,578 | ||||||
|
| |||||||
1,097,130 | ||||||||
|
| |||||||
Textiles — 1.5% | ||||||||
UniFirst Corp. | 2,003 | 424,015 | ||||||
|
| |||||||
Toys/Games/Hobbies — 1.3% | ||||||||
Hasbro Inc.† | 3,842 | 359,381 | ||||||
|
| |||||||
Transportation — 1.5% | ||||||||
Union Pacific Corp.† | 1,346 | 280,264 |
See accompanying Notes to the Quarterly Portfolio of Investments.
2
SIRIOS LONG/SHORT FUND
Portfolio of Investments (Continued)
December 31, 2020
(Unaudited)
��
Number of Shares | Value | |||||||
COMMON STOCKS — (Continued) |
| |||||||
Transportation — (Continued) |
| |||||||
XPO Logistics, Inc.* | 1,194 | $ | 142,325 | |||||
|
| |||||||
422,589 | ||||||||
|
| |||||||
TOTAL COMMON STOCKS |
| 26,673,986 | ||||||
|
| |||||||
SHORT-TERM INVESTMENTS — 5.0% |
| |||||||
Dreyfus Treasury & Cash Management, Institutional Shares,0.03%(a) | 1,393,354 | 1,393,354 | ||||||
|
| |||||||
TOTAL LONG POSITIONS - 101.0% |
| $ | 28,067,340 | |||||
|
|
Par Value | Value | |||||||
SHORT POSITIONS — (3.4)% | ||||||||
CORPORATE BONDS AND NOTES — (3.4)% |
| |||||||
Retail — (3.4)% | ||||||||
Kohl’s Corp., 4.250%, 07/17/2025 | $ | (461,000 | ) | $ | (498,496 | ) | ||
Kohl’s Corp., 5.550%, 07/17/2045 | (414,000 | ) | (445,972 | ) | ||||
|
| |||||||
(944,468 | ) | |||||||
|
| |||||||
TOTAL CORPORATE | (944,468 | ) | ||||||
|
| |||||||
TOTAL SHORT POSITIONS - (3.4)% |
| (944,468 | ) | |||||
|
| |||||||
OTHER ASSETS IN EXCESS OF LIABILITIES - 2.4% | 673,565 | |||||||
|
| |||||||
NET ASSETS - 100.0% | $ | 27,796,437 | ||||||
|
|
† | Security position is either entirely or partially held in a segregated account as collateral for swap agreements, forward foreign currency contracts and securities sold short. |
* | Non-income producing. |
(a) | Rate disclosed is the 7-day yield at December 31, 2020. |
See accompanying Notes to the Quarterly Portfolio of Investments.
3
SIRIOS LONG/SHORT FUND
Portfolio of Investments (Continued)
December 31, 2020
(Unaudited)
Forward foreign currency contracts outstanding as of December 31, 2020 were as follows:
Currency Purchased | Currency Sold | Expiration | Counterparty | Unrealized | ||||||||||||||||
CHF | 115,000 | USD | 130,130 | 03/17/21 | MS | $ 66 | ||||||||||||||
EUR | 26,000 | USD | 31,735 | 03/17/21 | MS | 83 | ||||||||||||||
GBP | 19,000 | USD | 25,963 | 03/17/21 | MS | 32 | ||||||||||||||
USD | 267,993 | CHF | 237,000 | 03/17/21 | MS | (325) | ||||||||||||||
USD | 1,998,038 | EUR | 1,641,000 | 03/17/21 | MS | (10,196) | ||||||||||||||
USD | 302,829 | GBP | 227,000 | 03/17/21 | MS | (7,742) | ||||||||||||||
USD | 278,585 | SEK | 2,338,000 | 03/17/21 | MS | (5,819) | ||||||||||||||
$(23,901) |
The following table represents Total Return Swaps - Long positions and their related values as of December 31, 2020.
Reference Entity/Index (Receive) | Pay | Payment | Counter- Party | Expiration Date | Notional | Value and | ||||||
Cellnex Telecom SA | U.S. Fed Funds +0.550% | Maturity | MS | 11/15/22 | $621,004 | $247,686 | ||||||
$247,686 |
The following table represents Total Return Swaps - Short positions and their related values as of December 31, 2020.
Reference | Receive | Payment | Counter- | Expiration | Notional | Value and | ||||||
Dow Jones U.S. Real Estate Index | U.S. Fed Funds -0.200% | Maturity | MS | 10/31/22 | $ 113,104 | $ 5,577 | ||||||
Home Depot, Inc. | U.S. Fed Funds -0.300% | Maturity | MS | 10/31/22 | 272,358 | 5,504 | ||||||
S&P 500 Index | U.S. Fed Funds -0.250% | Maturity | MS | 10/31/22 | 3,627,582 | (1,595,687) | ||||||
S&P 500 Index Consumer Discretionary Select Sector | U.S. Fed Funds -0.100% | Maturity | MS | 10/31/22 | 1,019,356 | (35,025) | ||||||
S&P 500 Index Financial Select Sector | U.S. Fed Funds -0.350% | Maturity | MS | 10/31/22 | 571,866 | (1,690) | ||||||
S&P 500 Index Health Care Select Sector | U.S. Fed Funds -0.250% | Maturity | MS | 10/31/22 | 690,313 | (180,378) |
See accompanying Notes to the Quarterly Portfolio of Investments.
4
SIRIOS LONG/SHORT FUND
Portfolio of Investments (Concluded)
December 31, 2020
(Unaudited)
Reference | Receive | Payment | Counter- | Expiration | Notional | Value and | ||||||
S&P 500 Index Industrial Select Sector | U.S. Fed Funds -0.350% | Maturity | MS | 10/31/22 | $ 744,127 | $ (364,013) | ||||||
S&P 500 Index Regional Banks Select Industry | U.S. Fed Funds -0.300% | Maturity | MS | 10/31/22 | 875,730 | (59,977) | ||||||
S&P 500 Index Technology Select Sector | U.S. Fed Funds -0.100% | Maturity | MS | 10/31/22 | 834,746 | (284,888) | ||||||
S&P 500 Index Health Care Equipment Select Sector | U.S. Fed Funds -0.350% | Maturity | MS | 12/07/23 | 789,014 | (92,268) | ||||||
S&P 500 Index Pharmaceuticals Select Sector | U.S. Fed Funds -0.350% | Maturity | MS | 12/07/23 | 782,983 | (86,411) | ||||||
$(2,689,256) | ||||||||||||
Total Swap Contracts | $(2,441,570) |
Legend | ||
CHF | Swiss Franc | |
EUR | Euro | |
GBP | British Pound | |
MS | Morgan Stanley | |
PLC | Public Limited Company | |
SEK | Swedish Krona | |
SP ADR | Sponsored American Depository Receipt | |
USD | United States Dollar |
See accompanying Notes to the Quarterly Portfolio of Investments.
5
SIRIOS FOCUS FUND
Portfolio of Investments
December 31, 2020
(Unaudited)
Number of Shares | Value | |||||||
COMMON STOCKS — 96.7% |
| |||||||
Aerospace & Defense — 5.3% |
| |||||||
Airbus SE (France)* | 2,193 | $ | 240,669 | |||||
HEICO Corp., Class A | 417 | 48,814 | ||||||
Raytheon Technologies Corp. | 2,745 | 196,295 | ||||||
Safran SA (France)* | 343 | 48,615 | ||||||
|
| |||||||
534,393 | ||||||||
|
| |||||||
Airlines — 1.3% | ||||||||
Southwest Airlines Co. | 2,746 | 127,991 | ||||||
|
| |||||||
Auto Parts & Equipment — 1.3% |
| |||||||
Allison Transmission | ||||||||
Holdings, Inc. | 3,031 | 130,727 | ||||||
|
| |||||||
Banks — 5.5% | ||||||||
Credit Suisse Group AG, Registered Shares (Switzerland) | 3,917 | 50,572 | ||||||
JPMorgan Chase & Co. | 3,600 | 457,452 | ||||||
KeyCorp. | 3,153 | 51,741 | ||||||
|
| |||||||
559,765 | ||||||||
|
| |||||||
Beverages — 2.3% | ||||||||
Constellation Brands, Inc., Class A | 1,087 | 238,107 | ||||||
|
| |||||||
Building Materials — 0.7% | ||||||||
AZEK Co., Inc. (The)* | 1,941 | 74,631 | ||||||
|
| |||||||
Chemicals — 3.1% | ||||||||
Axalta Coating Systems Ltd.* | 3,466 | 98,954 | ||||||
Sherwin-Williams Co. (The) | 168 | 123,465 | ||||||
Valvoline, Inc. | 4,205 | 97,304 | ||||||
|
| |||||||
319,723 | ||||||||
|
|
Number of Shares | Value | |||||||
COMMON STOCKS — (Continued) |
| |||||||
Commercial Services — 5.5% | ||||||||
IHS Markit Ltd. (United Kingdom) | 4,643 | $ | 417,081 | |||||
PayPal Holdings, Inc.* | 585 | 137,007 | ||||||
|
| |||||||
554,088 | ||||||||
|
| |||||||
Computers — 0.8% | ||||||||
Varonis Systems, Inc.* | 517 | 84,586 | ||||||
|
| |||||||
Diversified Financial Services — 0.5% |
| |||||||
Tradeweb Markets, Inc., Class A | 763 | 47,649 | ||||||
|
| |||||||
Electronics — 5.0% |
| |||||||
Keysight Technologies, Inc.* | 2,102 | 277,653 | ||||||
Roper Technologies Inc. | 528 | 227,615 | ||||||
|
| |||||||
505,268 | ||||||||
|
| |||||||
Engineering & Construction — 3.0% |
| |||||||
Cellnex Telecom SA | 5,091 | 305,730 | ||||||
|
| |||||||
Environmental Control — 0.6% | ||||||||
Waste Connections, Inc. | 645 | 66,158 | ||||||
|
| |||||||
Healthcare-Products — 13.6% | ||||||||
Abbott Laboratories | 2,836 | 310,514 | ||||||
Alcon, Inc., (Switzerland)* | 9,620 | 634,728 | ||||||
Boston Scientific Corp.* | 7,441 | 267,504 | ||||||
Medtronic PLC (Ireland) | 1,388 | 162,590 | ||||||
|
| |||||||
1,375,336 | ||||||||
|
| |||||||
Healthcare-Services — 1.6% | ||||||||
HCA Healthcare Inc. | 647 | 106,406 | ||||||
IQVIA Holdings Inc.* | 343 | 61,455 | ||||||
|
| |||||||
167,861 | ||||||||
|
| |||||||
Home Builders — 1.3% | ||||||||
DR Horton Inc. | 1,848 | 127,364 | ||||||
|
|
See accompanying Notes to the Quarterly Portfolio of Investments.
6
SIRIOS FOCUS FUND
Portfolio of Investments (Continued)
December 31, 2020
(Unaudited)
Number of Shares | Value | |||||||
COMMON STOCKS — (Continued) |
| |||||||
Insurance — 2.5% | ||||||||
Berkshire Hathaway, Inc., Class B* | 1,116 | $ | 258,767 | |||||
|
| |||||||
Leisure Time — 2.3% |
| |||||||
Brunswick Corp. | 1,240 | 94,538 | ||||||
Carnival Corp. | 6,261 | 135,613 | ||||||
|
| |||||||
230,151 | ||||||||
|
| |||||||
Lodging — 1.3% | ||||||||
Las Vegas Sands Corp. | 2,181 | 129,988 | ||||||
|
| |||||||
Machinery-Diversified — 1.3% |
| |||||||
Otis Worldwide Corp. | 351 | 23,710 | ||||||
Westinghouse Air Brake Technologies Corp. | 1,430 | 104,676 | ||||||
|
| |||||||
128,386 | ||||||||
|
| |||||||
Media — 2.5% | ||||||||
Walt Disney Co. (The)* | 1,392 | 252,203 | ||||||
|
| |||||||
Miscellaneous Manufacturer — 0.5% |
| |||||||
3M Co. | 278 | 48,592 | ||||||
|
| |||||||
Oil & Gas — 0.4% |
| |||||||
ConocoPhillips | 1,043 | 41,709 | ||||||
|
| |||||||
Packaging & Containers — 1.0% |
| |||||||
AptarGroup, Inc. | 386 | 52,839 | ||||||
Berry Global Group, Inc.* | 908 | 51,021 | ||||||
|
| |||||||
103,860 | ||||||||
|
| |||||||
Pharmaceuticals — 8.1% | ||||||||
Covetrus, Inc.* | 1,638 | 47,076 | ||||||
Eli Lilly and Co. | 1,748 | 295,132 | ||||||
Merck KGaA (Germany) | 639 | 109,598 | ||||||
Pfizer, Inc. | 9,996 | 367,953 | ||||||
|
| |||||||
819,759 | ||||||||
|
|
Number of Shares | Value | |||||||
COMMON STOCKS — (Continued) |
| |||||||
Retail — 4.9% | ||||||||
BJ’s Wholesale Club Holdings, Inc.* | 3,756 | $ | 140,024 | |||||
Lowe’s Cos, Inc. | 1,470 | 235,950 | ||||||
Williams-Sonoma, Inc. | 1,219 | 124,143 | ||||||
|
| |||||||
500,117 | ||||||||
|
| |||||||
Semiconductors — 5.7% | ||||||||
Analog Devices, Inc. | 1,043 | 154,082 | ||||||
QUALCOMM, Inc. | 2,787 | 424,571 | ||||||
|
| |||||||
578,653 | ||||||||
|
| |||||||
Software — 6.7% | ||||||||
Dropbox, Inc., Class A* | 6,396 | 141,927 | ||||||
Electronic Arts, Inc. | 1,396 | 200,466 | ||||||
Microsoft Corp. | 521 | 115,881 | ||||||
PTC, Inc.* | 846 | 101,190 | ||||||
Verra Mobility Corp.* | 8,936 | 119,921 | ||||||
|
| |||||||
679,385 | ||||||||
|
| |||||||
Telecommunications — 3.8% | ||||||||
Telefonaktiebolaget LM Ericsson, Class B (Sweden) | 8,227 | 97,864 | ||||||
T-Mobile US, Inc.* | 1,409 | 190,004 | ||||||
Vodafone Group PLC (United Kingdom) | 58,957 | 96,836 | ||||||
|
| |||||||
384,704 | ||||||||
|
| |||||||
Textiles — 1.5% | ||||||||
UniFirst Corp. | 725 | 153,475 | ||||||
|
| |||||||
Toys/Games/Hobbies — 1.3% |
| |||||||
Hasbro Inc. | 1,367 | 127,869 | ||||||
|
| |||||||
Transportation — 1.5% |
| |||||||
Union Pacific Corp. | 484 | 100,778 |
See accompanying Notes to the Quarterly Portfolio of Investments.
7
SIRIOS FOCUS FUND
Portfolio of Investments (Continued)
December 31, 2020
(Unaudited)
Number of Shares | Value | |||||||
COMMON STOCKS — (Continued) |
| |||||||
Transportation — (Continued) | ||||||||
XPO Logistics, Inc.* | 434 | $ | 51,733 | |||||
|
| |||||||
152,511 | ||||||||
|
| |||||||
TOTAL COMMON STOCKS (Cost $9,672,673) | 9,809,506 | |||||||
|
| |||||||
TOTAL INVESTMENTS - 96.7% (Cost $9,672,673) |
| 9,809,506 | ||||||
|
| |||||||
OTHER ASSETS IN EXCESS OF LIABILITIES - 3.3% | 331,761 | |||||||
|
| |||||||
NET ASSETS - 100.0% | $ | 10,141,267 | ||||||
|
|
* | Non-income producing. |
Forward foreign currency contracts outstanding as of December 31, 2020 were as follows:
Currency Purchased | Currency Sold | Expiration | Counterparty | Unrealized Appreciation (Depreciation) | ||||||||||||||||
|
|
|
|
| ||||||||||||||||
CHF | 43,000 | USD | 48,657 | 03/17/21 | MS | $ 24 | ||||||||||||||
GBP | 6,000 | USD | 8,199 | 03/17/21 | MS | 10 | ||||||||||||||
USD | 98,478 | CHF | 87,000 | 03/17/21 | MS | (18) | ||||||||||||||
USD | 702,821 | EUR | 577,000 | 03/17/21 | MS | (3,304) | ||||||||||||||
USD | 103,455 | GBP | 77,000 | 03/17/21 | MS | (1,893) | ||||||||||||||
USD | 98,976 | SEK | 829,000 | 03/17/21 | MS | (1,867) | ||||||||||||||
$(7,048) |
See accompanying Notes to the Quarterly Portfolio of Investments.
8
SIRIOS FOCUS FUND
Portfolio of Investments (Concluded)
December 31, 2020
(Unaudited)
Legend | ||
CHF | Swiss Franc | |
EUR | Euro | |
GBP | British Pound | |
MS | Morgan Stanley | |
PLC | Public Limited Company | |
SEK | Swedish Krona | |
USD | United States Dollar |
See accompanying Notes to the Quarterly Portfolio of Investments.
9
SIRIOS FUNDS
Notes to the Quarterly Portfolio of Investments
December 31, 2020
(Unaudited)
A. Portfolio Valuation:
Portfolio Valuation – The Sirios Long/Short Fund and Sirios Focus Fund (each a “Fund” and together the “Funds”) net asset value (“NAV”) is calculated once daily at the close of regular trading hours on the New York Stock Exchange (“NYSE”) (typically 4:00 p.m. Eastern time) on each day the NYSE is open. Securities held by each Fund are valued using the closing price or the last sale price on a national securities exchange or the National Association of Securities Dealers Automatic Quotation System (“NASDAQ”) market system where they are primarily traded. The Fund’s equity securities listed on any national or foreign exchange market system will be valued at the last sale price. Equity securities traded in the over-the-counter market are valued at their closing price. If there were no transactions on that day, securities traded principally on an exchange will be valued at the mean of the last bid and ask prices prior to the market close. Prices for equity securities normally are supplied by an independent pricing service approved by the Fundvantage Trust’s Board of Trustees (“Board of Trustees”). Fixed income securities are valued based on market quotations, which are furnished by an independent pricing service. Fixed income securities having remaining maturities of 60 days or less are generally valued at amortized cost, which approximates market value. Any assets held by the Funds that are denominated in foreign currencies are valued daily in U.S. dollars at the foreign currency exchange rates that are prevailing at the time that the Funds determines the daily NAV per share. Foreign securities may trade on weekends or other days when the Funds does not calculate NAV. As a result, the market value of these investments may change on days when you cannot buy or sell shares of the Funds. Foreign securities are valued based on prices from the primary market in which they are traded and are translated from the local currency into U.S. dollars using current exchange rates. Forward exchange contracts are valued at the forward rate. Investments in any mutual fund are valued at their respective NAVs as determined by those mutual funds each business day (which may use fair value pricing as disclosed in their prospectuses). Securities that do not have a readily available current market value are valued in good faith under the direction of the Board of Trustees. The Board of Trustees has adopted methods for valuing securities and other assets in circumstances where market quotes are not readily available and has delegated to the Adviser the responsibility for applying the valuation methods. Relying on prices supplied by pricing services or dealers or using fair valuation may result in values that are higher or lower than the values used by other investment companies and investors to price the same investments.
Fair Value Measurements – the inputs and valuations techniques used to measure fair value of the Fund’s net assets are summarized into three levels as described in the hierarchy below:
• | Level 1 — quoted prices in active markets for identical securities; |
• | Level 2 — other significant observable inputs (including quoted prices for similar securities, interest rates, prepayment speeds, credit risk, etc.); and |
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SIRIOS FUNDS
Notes to the Quarterly Portfolio of Investments (Continued)
December 31, 2020
(Unaudited)
• | Level 3 — significant unobservable inputs (including the Fund’s own assumptions in determining the fair value of investments). |
The inputs or methodology used for valuing securities are not necessarily an indication of the risk associated with investing in those securities.
The following is a summary of the inputs used, as of December 31, 2020, in valuing each Fund’s assets carried at fair value:
Sirios Long/Short Fund | ||||||||||||||||
Assets | Total Value at 12/31/20 | Level 1 Quoted Price | Level 2 Other Significant Observable Inputs | Level 3 Significant Unobservable Inputs | ||||||||||||
Long Positions: | ||||||||||||||||
Common Stocks: | ||||||||||||||||
Aerospace & Defense | $ | 1,482,324 | $ | 683,647 | $ | 798,677 | $ | — | ||||||||
Airlines | 350,228 | 350,228 | — | — | ||||||||||||
Auto Parts & Equipment | 361,343 | 361,343 | — | — | ||||||||||||
Banks | 1,601,263 | 1,461,503 | 139,760 | — | ||||||||||||
Beverages | 682,560 | 682,560 | — | — | ||||||||||||
Building Materials | 206,169 | 206,169 | — | — | ||||||||||||
Chemicals | 884,599 | 884,599 | — | — | ||||||||||||
Commercial Services | 1,527,357 | 1,527,357 | — | — | ||||||||||||
Computers | 233,799 | 233,799 | — | — | ||||||||||||
Diversified Financial Services | 134,767 | 134,767 | — | — | ||||||||||||
Electronics | 1,415,850 | 1,415,850 | — | — | ||||||||||||
Environmental Control | 196,934 | 196,934 | — | — | ||||||||||||
Healthcare-Products | 3,860,532 | 3,860,532 | — | — | ||||||||||||
Healthcare-Services | 501,772 | 501,772 | — | — | ||||||||||||
Home Builders | 363,415 | 363,415 | — | — | ||||||||||||
Insurance | 741,057 | 741,057 | — | — | ||||||||||||
Leisure Time | 635,208 | 635,208 | — | — | ||||||||||||
Lodging | 359,269 | 359,269 | — | — | ||||||||||||
Machinery-Diversified | 366,279 | 366,279 | — | — | ||||||||||||
Media | 696,999 | 696,999 | — | — | ||||||||||||
Miscellaneous Manufacturer | 138,084 | 138,084 | — | — | ||||||||||||
Oil &Gas | 125,089 | 125,089 | — | — | ||||||||||||
Packaging & Containers | 288,577 | 288,577 | — | — |
11
SIRIOS FUNDS
Notes to the Quarterly Portfolio of Investments (Continued)
December 31, 2020
(Unaudited)
Assets | Total Value at 12/31/20 | Level 1 Quoted Price | Level 2 Other Significant Observable Inputs | Level 3 Significant Unobservable Inputs | ||||||||||||
Pharmaceuticals | $ | 2,271,133 | $ | 1,965,666 | $ | 305,467 | $ | — | ||||||||
Retail | 1,399,975 | 1,399,975 | — | — | ||||||||||||
Semiconductors | 1,641,732 | 1,641,732 | — | — | ||||||||||||
Software | 1,904,557 | 1,904,557 | — | — | ||||||||||||
Telecommunications | 1,097,130 | 536,568 | 560,562 | — | ||||||||||||
Textiles | 424,015 | 424,015 | — | — | ||||||||||||
Toys/Games/Hobbies | 359,381 | 359,381 | — | — | ||||||||||||
Transportation | 422,589 | 422,589 | — | — | ||||||||||||
Short-Term Investments | 1,393,354 | 1,393,354 | — | — | ||||||||||||
Derivatives: | ||||||||||||||||
Foreign Currency Contracts | ||||||||||||||||
Forward Foreign Currency Contracts | 181 | — | 181 | — | ||||||||||||
Equity Contracts | ||||||||||||||||
Total Return Swap Contracts | 258,767 | — | 258,767 | — | ||||||||||||
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Total Assets | $ | 28,326,288 | $ | 26,262,874 | $ | 2,063,414 | $ | — | ||||||||
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Liabilities | ||||||||||||||||
Short Positions: | ||||||||||||||||
Corporate Bonds and Notes | ||||||||||||||||
Retail | $ | (944,468 | ) | $ | — | $ | (944,468 | ) | $ | — | ||||||
Derivatives: | ||||||||||||||||
Foreign Currency Contracts | ||||||||||||||||
Forward Foreign Currency Contracts | (24,082 | ) | — | (24,082 | ) | — | ||||||||||
Equity Contracts | ||||||||||||||||
Total Return Swap Contracts | (2,700,337 | ) | — | (2,700,337 | ) | — | ||||||||||
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Total Liabilities | $ | (3,668,887 | ) | $ | — | $ | (3,668,887 | ) | $ | — | ||||||
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12
SIRIOS FUNDS
Notes to the Quarterly Portfolio of Investments (Continued)
December 31, 2020
(Unaudited)
Sirios Focus Fund | ||||||||||||||||
Assets | Total Value at 12/31/20 | Level 1 Quoted Price | Level 2 Other Significant Observable Inputs | Level 3 Significant Unobservable Inputs | ||||||||||||
Common Stocks: | ||||||||||||||||
Aerospace & Defense | $ | 534,393 | $ | 245,109 | $ | 289,284 | $ | — | ||||||||
Airlines | 127,991 | 127,991 | — | — | ||||||||||||
Auto Parts & Equipment | 130,727 | 130,727 | — | — | ||||||||||||
Banks | 559,765 | 509,193 | 50,572 | — | ||||||||||||
Beverages | 238,107 | 238,107 | — | — | ||||||||||||
Building Materials | 74,631 | 74,631 | — | — | ||||||||||||
Chemicals | 319,723 | 319,723 | — | — | ||||||||||||
Commercial Services | 554,088 | 554,088 | — | — | ||||||||||||
Computers | 84,586 | 84,586 | — | — | ||||||||||||
Diversified Financial Services | 47,649 | 47,649 | — | — | ||||||||||||
Electronics | 505,268 | 505,268 | — | — | ||||||||||||
Engineering & Construction | 305,730 | — | 305,730 | — | ||||||||||||
Environmental Control | 66,158 | 66,158 | — | — | ||||||||||||
Healthcare-Products | 1,375,336 | 1,375,336 | — | — | ||||||||||||
Healthcare-Services | 167,861 | 167,861 | — | — | ||||||||||||
Home Builders | 127,364 | 127,364 | — | — | ||||||||||||
Insurance | 258,767 | 258,767 | — | — | ||||||||||||
Leisure Time | 230,151 | 230,151 | — | — | ||||||||||||
Lodging | 129,988 | 129,988 | — | — | ||||||||||||
Machinery-Diversified | 128,386 | 128,386 | — | — | ||||||||||||
Media | 252,203 | 252,203 | — | — | ||||||||||||
Miscellaneous Manufacturer | 48,592 | 48,592 | — | — | ||||||||||||
Oil & Gas | 41,709 | 41,709 | — | — | ||||||||||||
Packaging & Containers | 103,860 | 103,860 | — | — | ||||||||||||
Pharmaceuticals | 819,759 | 710,161 | 109,598 | — | ||||||||||||
Retail | 500,117 | 500,117 | — | — | ||||||||||||
Semiconductors | 578,653 | 578,653 | — | — | ||||||||||||
Software | 679,385 | 679,385 | — | — | ||||||||||||
Telecommunications | 384,704 | 190,004 | 194,700 | — | ||||||||||||
Textiles | 153,475 | 153,475 | — | — | ||||||||||||
Toys/Games/Hobbies | 127,869 | 127,869 | — | — | ||||||||||||
Transportation | 152,511 | 152,511 | — | — |
13
SIRIOS FUNDS
Notes to the Quarterly Portfolio of Investments (Continued)
December 31, 2020
(Unaudited)
Assets | Total Value at 12/31/20 | Level 1 Quoted Price | Level 2 Other Significant Observable Inputs | Level 3 Significant Unobservable Inputs | ||||||||||||
Derivatives: | ||||||||||||||||
Foreign Currency Contracts | ||||||||||||||||
Forward Foreign Currency Contracts | $ | 34 | $ | — | $ | 34 | $ | — | ||||||||
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Total Assets | $ | 9,809,540 | $ | 8,859,622 | $ | 949,918 | $ | — | ||||||||
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Liabilities | ||||||||||||||||
Derivatives: | ||||||||||||||||
Foreign Currency Contracts | ||||||||||||||||
Forward Foreign Currency Contracts | (7,082 | ) | — | (7,082 | ) | — | ||||||||||
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Total Liabilities | $ | (7,082 | ) | $ | — | $ | (7,082 | ) | $ | — | ||||||
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At the end of each quarter, management evaluates the classification of Levels 1, 2 and 3 assets and liabilities. Various factors are considered, such as changes in liquidity from the prior reporting period; whether or not a broker is willing to execute at the quoted price; the depth and consistency of prices from third party pricing services; and the existence of contemporaneous, observable trades in the market. Additionally, management evaluates the classification of Level 1 and Level 2 assets and liabilities on a quarterly basis for changes in listings or delistings on national exchanges.
Due to the inherent uncertainty of determining the fair value of investments that do not have a readily available market value, the fair value of the Funds’ investments may fluctuate from period to period. Additionally, the fair value of investments may differ significantly from the values that would have been used had a ready market existed for such investments and may differ materially from the values the Funds may ultimately realize. Further, such investments may be subject to legal and other restrictions on resale or are otherwise less liquid than publicly traded securities.
For fair valuations using significant unobservable inputs, U.S. generally accepted accounting principles (“U.S. GAAP”) require each Fund to present a reconciliation of the beginning to ending balances for reported market values that presents changes attributable to total realized and unrealized gains or losses, purchase and sales, and transfers in and out of Level 3 during the period. A reconciliation of Level 3 investments is presented only when each Fund had an amount of Level 3 investments at the end of the reporting period that was meaningful in relation to its net assets. The amounts and reasons for all transfers in and out of each Level within the three-tier hierarchy are disclosed when each Fund had an amount
14
SIRIOS FUNDS
Notes to the Quarterly Portfolio of Investments (Continued)
December 31, 2020
(Unaudited)
of total transfers during the reporting period that was meaningful in relation to its net assets as of the end of the reporting period.
For the period ended December 31, 2020, there were no transfers in or out of Level 3.
Short Sales — The Funds may sell securities short. A short sale involves the sale by the Fund of a security that it does not own with the anticipation of purchasing the same security at a later date at a lower price. If the price of the security has increased during this time, then the Fund will incur a loss equal to the increase in price from the time that the short sale was entered into plus any premiums and interest paid to the third party. Therefore, short sales involve the risk that losses may be exaggerated, potentially losing more money than the actual cost of the investment. Also, there is the risk that the third party to the short sale may fail to honor its contract terms, causing a loss to the Fund. There can be no assurance that the Fund will be able to close out a short position at any particular time or at an acceptable price. Although the Fund’s gain is limited to the amount at which it sold a security short, its potential loss is unlimited. The Fund complies with guidelines established by the Securities and Exchange Commission and other applicable regulatory bodies with respect to coverage of short sales.
Forward Foreign Currency Contracts — A forward foreign currency contract (“Forward Contract”) is a commitment to buy or sell a specific amount of a foreign currency at a negotiated price on a specified future date. Forward Contracts can help a fund manage the risk of changes in currency exchange rates. These contracts are marked-to-market daily at the applicable forward currency translation rates. The fund records realized gains or losses at the time the Forward Contract is closed. A Forward Contract is extinguished through a closing transaction or upon delivery of the currency or entering an offsetting contract. The Fund’s maximum risk of loss from counterparty credit risk related to Forward Contracts is the fair value of the contract.
The Funds utilized Forward Contracts for hedging purposes to protect the Funds’ return against adverse currency movements.
Purchased Options — The Funds may purchase option contracts. They are subject to interest rate and other risk exposure in the normal course of pursuing their investment objectives. The risk associated with purchasing an option is that the Funds pay a premium whether or not the option is exercised. Additionally, the Funds bear the risk of loss of premium and change in market value should the counterparty not perform under the contract. Put and call options are accounted for in the same manner as other securities owned. The cost of securities acquired through the exercise of call options is increased by the premiums paid. The proceeds from securities sold through the exercise of put options are decreased by the premiums paid.
Total Return Swaps — Total return swaps are contracts in which both parties agree to make payments of the total return from a reference instrument during a specified period. The total return includes appreciation
15
SIRIOS FUNDS
Notes to the Quarterly Portfolio of Investments (Concluded)
December 31, 2020
(Unaudited)
or depreciation on the underlying asset, plus any interest or dividend payments. The unrealized appreciation or depreciation also includes interest charges and credits (“financing fees”) 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 a specified benchmark rate, such as the U.S. effective federal funds rate (“EFFR”). Payments under the swap are based upon an agreed upon principal amount but, since the principal amount is not exchanged, it represents neither an asset nor a liability to either counterparty, and is referred to as notional. Total return swaps are marked to market daily using different sources, including quotations from counterparties, pricing services, brokers or market makers. The unrealized appreciation or depreciation related to the change in the valuation of the notional amount of the swap is combined with the amount due to the Fund at termination or settlement. The primary risks associated with total return swaps are credit risks (if the counterparty fails to meet its obligations) and market risk (if there is no liquid market for the swap or unfavorable changes occur to the underlying reference instrument).
The Sirios Long/Short Fund used total return swaps to enhance returns, obtain short exposure as part of the Fund’s strategy and for market exposure.
For more information with regard to significant accounting policies, see the most recent semi-annual or annual report filed with the Securities and Exchange Commission.
16