SECURITIES AND EXCHANGE COMMISSION
Washington, D.C. 20549
(Exact name of registrant as specified in charter)
(Address of principal executive offices) (Zip code)
(Name and address of agent for service)
Shareholder Letter | | 3 |
• Revolution Capital Management: 20%
4 | | Shareholder Letter |
Shareholder Letter | | 5 |
6 | | Shareholder Letter |
Shareholder Letter | | 7 |
8 | | Shareholder Letter |
Shareholder Letter | | 9 |
10 | | Shareholder Letter |
Shareholder Letter | | 11 |
12 | | Shareholder Letter |
Shareholder Letter | | 13 |
14 | | Fund Performance |
Inception Date | 6 Month | 1 Year | 5 Year | Average Annual Since Inception | ||||
LoCorr Macro Strategies Fund - Class A (without maximum load) | 3/22/11 | -0.15% | -5.36% | 4.28% | 0.28% | |||
LoCorr Macro Strategies Fund - Class A (with maximum load) | 3/22/11 | -5.90% | -10.83% | 3.04% | -0.48% | |||
LoCorr Macro Strategies Fund - Class C | 3/24/11 | -1.55% | -6.91% | 3.50% | -0.45% | |||
LoCorr Macro Strategies Fund - Class I | 3/24/11 | -0.06% | -5.08% | 4.56% | 0.54% | |||
Bank of America Merrill Lynch 3-Month Treasury Bill Index | 1.06% | 1.87% | 0.63% | 0.43% | 1 | |||
Barclay CTA Index | -0.52% | -2.69% | 0.55% | -0.52% | 1 |
1 | Since inception return as of March 24, 2011. |
Inception Date | 6 Month | 1 Year | 5 Year | Average Annual Since Inception | |||||
LoCorr Long/Short Commodities Strategy Fund - Class A (without maximum load) | 12/31/11 | 8.25% | 15.05% | 12.04% | 4.42% | ||||
LoCorr Long/Short Commodities Strategy Fund - Class A (with maximum load) | 12/31/11 | 2.02% | 8.46% | 10.72% | 3.54% | ||||
LoCorr Long/Short Commodities Strategy Fund - Class C | 12/31/11 | 6.93% | 13.20% | 11.18% | 3.60% | ||||
LoCorr Long/Short Commodities Strategy Fund - Class I | 12/31/11 | 8.44% | 15.40% | 12.34% | 4.68% | ||||
Bank of America Merrill Lynch 3-Month Treasury Bill Index | 1.06% | 1.87% | 0.63% | 0.47% | |||||
Morningstar Long/Short Commodity Index | -8.31% | -2.20% | -2.98% | -3.11% |
Fund Performance | | 15 |
Inception Date | 6 Month | 1 Year | Average Annual Since Inception | ||||
LoCorr Market Trend Fund - Class A (without maximum load) | 6/30/14 | -6.02% | -13.69% | 0.28% | |||
LoCorr Market Trend Fund - Class A (with maximum load) | 6/30/14 | -11.44% | -18.63% | -1.03% | |||
LoCorr Market Trend Fund - Class C | 6/30/14 | -7.29% | -15.17% | -0.46% | |||
LoCorr Market Trend Fund - Class I | 6/30/14 | -5.88% | -13.44% | 0.54% | |||
Bank of America Merrill Lynch 3-Month Treasury Bill Index | 1.06% | 1.87% | 0.69% | ||||
Barclay CTA Index | -0.52% | -2.69% | 0.47% |
Inception Date | 6 Month | 1 Year | 5 Year | Average Annual Since Inception | |||||
LoCorr Dynamic Equity Fund - Class A (without maximum load) | 5/10/13 | -8.86% | -12.87% | -1.21% | 1.38% | ||||
LoCorr Dynamic Equity Fund - Class A (with maximum load) | 5/10/13 | -14.11% | -17.87% | -2.37% | 0.32% | ||||
LoCorr Dynamic Equity Fund - Class C | 5/10/13 | -10.01% | -14.28% | -1.94% | 0.62% | ||||
LoCorr Dynamic Equity Fund - Class I | 5/10/13 | -8.74% | -12.55% | -0.95% | 1.64% | ||||
S&P 500 Total Return Index | -6.85% | -4.38% | 8.49% | 10.13% | |||||
Morningstar Long/Short Equity Fund Index | -6.00% | -6.61% | 1.17% | 2.32% |
16 | | Fund Performance |
Inception Date | 6 Month | 1 Year | 5 Year | Average Annual Since Inception | |||||
LoCorr Spectrum Income Fund - Class A (without maximum load) | 12/31/13 | -11.10% | -8.22% | -2.36% | -2.36% | ||||
LoCorr Spectrum Income Fund - Class A (with maximum load) | 12/31/13 | -16.24% | -13.49% | -3.51% | -3.51% | ||||
LoCorr Spectrum Income Fund - Class C | 12/31/13 | -12.22% | -9.70% | -3.10% | -3.10% | ||||
LoCorr Spectrum Income Fund - Class I | 12/31/13 | -10.96% | -7.91% | -2.09% | -2.09% | ||||
Bloomberg Barclays U.S. Aggregate Bond Index | 1.65% | 0.01% | 2.52% | 2.52% | |||||
Morningstar Allocation - 70% to 85% Equity | -8.19% | -7.60% | 3.48% | 3.48% |
LoCorr Macro Strategies Fund - Consolidated Schedule of Investments | | 17 |
Maturity Date | Coupon Rate | Principal Amount | Value | ||||||||||
ASSET BACKED SECURITIES: 17.56% | |||||||||||||
321 Henderson Receivables I LLC | |||||||||||||
Series 2006-1A A1 (1 Month LIBOR USD + 0.200%)(a)(c) | 03/15/2041 | 2.66 | % | $ | 1,003,930 | $ | 987,403 | ||||||
Series 2006-4A A1 (1 Month LIBOR USD + 0.200%) (a)(c) | 12/15/2041 | 2.66 | % | 1,097,667 | 1,077,176 | ||||||||
Series 2004-A A1 (1 Month LIBOR USD + 0.350%) (a)(c) | 09/15/2045 | 2.81 | % | 156,385 | 152,738 | ||||||||
Avid Automobile Receivables Trust, 2018-1 (a) | 08/15/2023 | 2.84 | % | 1,616,251 | 1,605,198 | ||||||||
BA Credit Card Trust, 2018-A3 A3 | 12/15/2023 | 3.10 | % | 2,525,000 | 2,540,807 | ||||||||
Bank of The West Auto Trust, 2017-1 A3 (a) | 01/15/2023 | 2.11 | % | 4,500,000 | 4,445,124 | ||||||||
Barclays Dryrock Issuance Trust | |||||||||||||
Series 2014-3 A | 07/15/2022 | 2.41 | % | 2,141,000 | 2,131,426 | ||||||||
Series 2017-2 A (1 Month LIBOR USD + 0.300%) (c) | 05/15/2023 | 2.76 | % | 3,225,000 | 3,219,903 | ||||||||
Cabela’s Credit Card Master Note Trust, 2014-2 A (1 Month LIBOR USD + 0.450%) (c) | 07/15/2022 | 2.91 | % | 1,004,000 | 1,004,490 | ||||||||
California Republic Auto Receivables Trust, 2018-1 A3 | 08/15/2022 | 3.14 | % | 1,100,000 | 1,102,517 | ||||||||
Citibank Credit Card Issuance Trust | |||||||||||||
Series 2016-A2 | 11/20/2023 | 2.19 | % | 4,730,000 | 4,644,674 | ||||||||
Series 2018-A3 | 05/23/2025 | 3.29 | % | 3,500,000 | 3,549,496 | ||||||||
Conn’s Receivables Funding LLC, 2018-A A (a) | 07/17/2023 | 3.25 | % | 1,630,988 | 1,631,270 | ||||||||
Consumers Securitization Funding LLC, 2014-A A1 | 11/01/2020 | 1.33 | % | 416,850 | 414,556 | ||||||||
Entergy New Orleans Storm Recovery Funding LLC, 2015 A | 06/01/2027 | 2.67 | % | 1,207,163 | 1,187,729 | ||||||||
Evergreen Credit Card Trust, 2018-2 A (1 Month LIBOR USD + 0.350%) (a)(b)(c) | 07/15/2022 | 2.81 | % | 1,975,000 | 1,974,055 | ||||||||
Ford Credit Auto Owner Trust, 2016-1 A (a) | 08/15/2027 | 2.31 | % | 2,350,000 | 2,317,970 | ||||||||
GLS Auto Receivables Trust, 2018-2A A (a) | 04/18/2022 | 3.25 | % | 2,144,895 | 2,139,886 | ||||||||
Invitation Homes Trust | |||||||||||||
Series 2017-SFR2 A (1 Month LIBOR USD + 0.850%) (a)(c) | 12/19/2036 | 3.28 | % | 1,576,355 | 1,557,111 | ||||||||
Series 2018-SFR2 A (1 Month LIBOR USD + 0.900%) (a)(c) | 06/18/2037 | 3.36 | % | 2,668,311 | 2,637,253 | ||||||||
Series 2018-SFR3 A (1 Month LIBOR USD + 1.000%) (a)(c) | 07/17/2037 | 3.46 | % | 3,028,501 | 3,010,995 | ||||||||
Series 2018-SFR4 A (1 Month LIBOR USD + 1.100%) (a)(c) | 01/19/2038 | 3.56 | % | 1,912,148 | 1,927,823 | ||||||||
Mercedes-Benz Auto Receivables Trust, 2018-1 A3 | 01/17/2023 | 3.03 | % | 3,125,000 | 3,130,635 | ||||||||
NRZ Advance Receivables Trust Advance Receivables Backed, 2016-T3 AT3 (a) | 10/16/2051 | 2.83 | % | 3,210,000 | 3,166,679 | ||||||||
Ocwen Master Advance Receivables Trust, 2016-T2 AT2 (a) | 08/16/2049 | 2.72 | % | 3,190,000 | 3,176,921 |
18 | | LoCorr Macro Strategies Fund - Consolidated Schedule of Investments (continued) |
| Maturity Date | Coupon Rate | Principal Amount | Value | |||||||||
ASSET BACKED SECURITIES (continued) | |||||||||||||
OneMain Financial Issuance Trust | |||||||||||||
Series 2015-2A B (a) | 07/18/2025 | 3.10 | % | $ | 802,831 | $ | 802,421 | ||||||
Series 2015-2 C (a) | 07/18/2025 | 4.32 | % | 1,600,000 | 1,601,111 | ||||||||
Series 2016-2 B (a) | 03/20/2028 | 5.94 | % | 2,425,000 | 2,462,857 | ||||||||
Progress Residential Trust, 2017-SFR1 A (a) | 08/17/2034 | 2.77 | % | 3,279,465 | 3,217,165 | ||||||||
Prosper Marketplace Issuance Trust, 2018-1A A (a) | 06/17/2024 | 3.11 | % | 1,993,254 | 1,989,736 | ||||||||
SMB Private Education Loan Trust | |||||||||||||
Series 2017-AA1 (1 Month LIBOR USD + 0.450%) (a)(c) | 06/17/2024 | 2.91 | % | 450,968 | 450,968 | ||||||||
Series 2018-C A1 (1 Month LIBOR USD + 0.300%) (a)(c) | 09/15/2025 | 2.76 | % | 1,706,012 | 1,703,139 | ||||||||
SoFi Professional Loan Program LLC | |||||||||||||
Series 2016-C (a) | 12/27/2032 | 2.36 | % | 2,690,000 | 2,636,262 | ||||||||
Series 2015-C A2 (a) | 08/25/2033 | 2.51 | % | 1,274,742 | 1,256,453 | ||||||||
Series 2016-A A2 (a) | 12/26/2036 | 2.76 | % | 3,648,383 | 3,595,909 | ||||||||
Series 2017-C A2A (a) | 07/25/2040 | 1.75 | % | 1,763,077 | 1,748,911 | ||||||||
Synchrony Card Issuance Trust, 2018-A1 A1 | 09/15/2024 | 3.38 | % | 2,935,000 | 2,961,668 | ||||||||
Synchrony Credit Card Master Note Trust, 2018-1 A | 03/15/2024 | 2.97 | % | 3,100,000 | 3,095,597 | ||||||||
TCF Auto Receivables Owner Trust | |||||||||||||
Series 2016-1A A3 (a) | 04/15/2021 | 1.71 | % | 1,302,848 | 1,297,315 | ||||||||
Series 2016-PT1 A (a) | 06/15/2022 | 1.93 | % | 1,559,779 | 1,544,179 | ||||||||
Toyota Auto Receivables Owner Trust, 2017-B A-4 | 09/15/2022 | 2.05 | % | 1,950,000 | 1,914,999 | ||||||||
Tricon American Homes Trust, 2017-SFR1 A (a) | 09/19/2034 | 2.72 | % | 2,840,000 | 2,744,542 | ||||||||
Verizon Owner Trust | |||||||||||||
Series 2018-1A A1B (1 Month LIBOR USD + 0.260%) (a)(c) | 09/20/2022 | 2.73 | % | 4,525,000 | 4,518,184 | ||||||||
Series 2018-A | 04/20/2023 | 3.23 | % | 3,000,000 | 3,018,396 | ||||||||
TOTAL ASSET BACKED SECURITIES (Cost $97,535,979) | 97,293,647 | ||||||||||||
CORPORATE BONDS: 31.62% | |||||||||||||
Finance and Insurance: 15.18% | |||||||||||||
American Express Co. | 12/02/2022 | 2.65 | % | 2,000,000 | 1,934,802 | ||||||||
American Honda Finance Corp. | 02/12/2021 | 2.65 | % | 2,020,000 | 1,997,247 | ||||||||
American International Group, Inc. | 08/15/2020 | 3.38 | % | 1,365,000 | 1,368,070 | ||||||||
Bank of America Corp. | 04/21/2020 | 2.25 | % | 6,155,000 | 6,089,218 | ||||||||
Bank of America Corp. | 01/11/2023 | 3.30 | % | 1,650,000 | 1,625,017 | ||||||||
Bank of New York Mellon Corp. | 02/07/2022 | 2.60 | % | 1,000,000 | 982,299 | ||||||||
BB&T Corp. | 01/15/2020 | 2.45 | % | 1,260,000 | 1,251,207 | ||||||||
Capital One Financial Corp. | 05/12/2020 | 2.50 | % | 1,700,000 | 1,678,001 | ||||||||
Charles Schwab Corp. | 01/25/2023 | 2.65 | % | 1,905,000 | 1,859,610 | ||||||||
Chubb INA Holdings, Inc. | 11/03/2020 | 2.30 | % | 2,500,000 | 2,464,247 | ||||||||
Citigroup, Inc. | 10/26/2020 | 2.65 | % | 2,175,000 | 2,146,084 | ||||||||
Citigroup, Inc. | 01/14/2022 | 4.50 | % | 3,315,000 | 3,387,049 | ||||||||
Citigroup, Inc. (3 Month LIBOR USD + 0.722%) (c) | 01/24/2023 | 3.14 | % | 2,000,000 | 1,964,502 | ||||||||
Cooperatieve Rabobank UA (b) | 11/09/2022 | 3.95 | % | 3,180,000 | 3,169,626 | ||||||||
Fifth Third Bancorp | 07/27/2020 | 2.88 | % | 1,965,000 | 1,953,667 | ||||||||
General Motors Financial Co., Inc. | 05/09/2023 | 3.70 | % | 2,375,000 | 2,259,645 | ||||||||
Goldman Sachs Group, Inc. | 02/25/2021 | 2.88 | % | 1,690,000 | 1,661,105 | ||||||||
Goldman Sachs Group, Inc. | 01/22/2023 | 3.63 | % | 2,140,000 | 2,106,328 | ||||||||
Goldman Sachs Group, Inc. | 02/23/2023 | 3.20 | % | 1,885,000 | 1,828,382 | ||||||||
Hartford Financial Services Group, Inc. | 03/30/2020 | 5.50 | % | 1,685,000 | 1,729,031 | ||||||||
HSBC Holdings PLC (b) | 04/05/2021 | 5.10 | % | 2,390,000 | 2,471,523 | ||||||||
John Deere Capital Corp. | 01/08/2021 | 2.55 | % | 1,495,000 | 1,481,491 | ||||||||
JP Morgan Chase & Co. | 09/23/2022 | 3.25 | % | 1,565,000 | 1,552,573 | ||||||||
JP Morgan Chase & Co. | 01/25/2023 | 3.20 | % | 5,705,000 | 5,621,882 | ||||||||
Lazard Group LLC | 11/14/2020 | 4.25 | % | 743,000 | 752,884 | ||||||||
Lincoln National Corp. | 09/01/2023 | 4.00 | % | 1,500,000 | 1,529,134 | ||||||||
Metropolitan Life Global Funding (a) | 04/14/2020 | 2.00 | % | 2,000,000 | 1,971,405 | ||||||||
Morgan Stanley | 07/24/2020 | 5.50 | % | 5,455,000 | 5,623,429 | ||||||||
Morgan Stanley | 01/23/2023 | 3.13 | % | 2,115,000 | 2,066,237 |
LoCorr Macro Strategies Fund - Consolidated Schedule of Investments (continued) | | 19 |
| Maturity Date | Coupon Rate | Principal Amount | Value | |||||||||
CORPORATE BONDS (continued) | |||||||||||||
PNC Bank NA | 01/22/2021 | 2.50 | % | $ | 2,430,000 | $ | 2,397,782 | ||||||
Prudential Financial, Inc. | 11/15/2020 | 4.50 | % | 2,000,000 | 2,045,747 | ||||||||
State Street Corp. | 08/18/2020 | 2.55 | % | 1,410,000 | 1,398,162 | ||||||||
SunTrust Banks, Inc. | 03/03/2021 | 2.90 | % | 2,500,000 | 2,478,374 | ||||||||
Trinity Acquisition PLC (b) | 09/15/2021 | 3.50 | % | 1,915,000 | 1,896,394 | ||||||||
UnitedHealth Group, Inc. | 10/15/2020 | 3.88 | % | 1,435,000 | 1,454,150 | ||||||||
Unum Group | 05/15/2021 | 3.00 | % | 1,820,000 | 1,799,214 | ||||||||
Wells Fargo & Co. | 07/22/2020 | 2.60 | % | 2,725,000 | 2,698,587 | ||||||||
Westpac Banking Corp. (b) | 05/15/2023 | 3.65 | % | 1,385,000 | 1,393,327 | ||||||||
84,087,432 | |||||||||||||
Information: 3.96% | |||||||||||||
21st Century Fox America, Inc. | 02/15/2021 | 4.50 | % | 2,500,000 | 2,566,731 | ||||||||
America Movil SAB de CV (b) | 03/30/2020 | 5.00 | % | 1,880,000 | 1,912,628 | ||||||||
AT&T, Inc. | 02/17/2021 | 2.80 | % | 2,290,000 | 2,261,397 | ||||||||
Charter Communications Operating LLC/Charter Communications Operating Capital | 07/23/2020 | 3.58 | % | 1,955,000 | 1,952,892 | ||||||||
Discovery Communications LLC | 04/01/2023 | 3.25 | % | 2,150,000 | 2,078,065 | ||||||||
Microsoft Corp. | 02/06/2022 | 2.40 | % | 2,835,000 | 2,802,337 | ||||||||
Oracle Corp. | 10/15/2022 | 2.50 | % | 1,825,000 | 1,776,190 | ||||||||
Verizon Communications, Inc. | 03/15/2021 | 3.45 | % | 2,200,000 | 2,214,506 | ||||||||
Visa, Inc. | 12/14/2022 | 2.80 | % | 1,800,000 | 1,777,417 | ||||||||
Vodafone Group PLC (b) | 03/16/2021 | 4.38 | % | 2,515,000 | 2,573,898 | ||||||||
21,916,061 | |||||||||||||
Manufacturing: 6.77% | |||||||||||||
Abbott Laboratories | 11/30/2021 | 2.90 | % | 2,270,000 | 2,250,279 | ||||||||
AbbVie, Inc. | 05/14/2020 | 2.50 | % | 1,845,000 | 1,827,489 | ||||||||
AerCap Ireland Capital DAC/AerCap Global Aviation Trust (b) | 02/01/2022 | 3.95 | % | 2,500,000 | 2,456,092 | ||||||||
Anheuser-Busch InBev Finance, Inc. | 02/01/2021 | 2.65 | % | 1,340,000 | 1,317,751 | ||||||||
Apple, Inc. | 02/23/2021 | 2.25 | % | 1,540,000 | 1,521,957 | ||||||||
Applied Materials, Inc. | 06/15/2021 | 4.30 | % | 2,000,000 | 2,058,931 | ||||||||
Archer-Daniels-Midland Co. | 03/01/2021 | 4.48 | % | 2,000,000 | 2,063,782 | ||||||||
Bunge Ltd. Finance Corp. | 11/24/2020 | 3.50 | % | 1,435,000 | 1,431,529 | ||||||||
Caterpillar, Inc. | 06/26/2022 | 2.60 | % | 1,840,000 | 1,794,045 | ||||||||
Celgene Corp. | 02/20/2023 | 3.25 | % | 2,480,000 | 2,421,602 | ||||||||
Chevron Corp. | 03/03/2020 | 1.96 | % | 1,280,000 | 1,267,149 | ||||||||
Daimler Finance North America LLC (a) | 05/04/2023 | 3.70 | % | 1,200,000 | 1,194,499 | ||||||||
Dr. Pepper Snapple Group, Inc. | 11/15/2021 | 2.53 | % | 1,345,000 | 1,301,321 | ||||||||
Eastman Chemical Co. | 01/15/2020 | 2.70 | % | 662,000 | 657,120 | ||||||||
General Electric Co. | 01/07/2021 | 4.63 | % | 1,345,000 | 1,348,473 | ||||||||
Heineken NV (a)(b) | 04/01/2022 | 3.40 | % | 1,425,000 | 1,427,403 | ||||||||
Ingersoll-Rand Global Holding Co. Ltd. | 06/15/2023 | 4.25 | % | 1,415,000 | 1,449,988 | ||||||||
Intel Corp. | 12/15/2022 | 2.70 | % | 1,590,000 | 1,566,094 | ||||||||
Kraft Heinz Foods Co. | 07/02/2020 | 2.80 | % | 2,135,000 | 2,119,481 | ||||||||
L3 Technologies, Inc. | 02/15/2021 | 4.95 | % | 1,005,000 | 1,028,421 | ||||||||
Packaging Corp. of America | 12/15/2020 | 2.45 | % | 1,630,000 | 1,600,426 | ||||||||
Reynolds American, Inc. | 06/12/2020 | 3.25 | % | 2,330,000 | 2,315,691 | ||||||||
Rockwell Collins, Inc. | 07/15/2019 | 1.95 | % | 1,085,000 | 1,077,012 | ||||||||
37,496,535 | |||||||||||||
Mining, Quarrying, and Oil and Gas Extraction: 1.40% | |||||||||||||
Enterprise Products Operating LLC | 02/15/2021 | 2.80 | % | 2,115,000 | 2,092,809 | ||||||||
Occidental Petroleum Corp. | 02/01/2021 | 4.10 | % | 1,765,000 | 1,795,502 | ||||||||
Schlumberger Holdings Corp. (a) | 12/21/2020 | 3.00 | % | 1,995,000 | 1,977,708 | ||||||||
Total Capital International SA (b) | 06/19/2021 | 2.75 | % | 1,915,000 | 1,901,056 | ||||||||
7,767,075 | |||||||||||||
Professional, Scientific, and Technical Services: 0.40% | |||||||||||||
Biogen, Inc. | 09/15/2020 | 2.90 | % | 2,250,000 | 2,233,245 |
20 | | LoCorr Macro Strategies Fund - Consolidated Schedule of Investments (continued) |
| Maturity Date | Coupon Rate | Principal Amount | Value | |||||||||
CORPORATE BONDS (continued) | |||||||||||||
Real Estate and Rental and Leasing: 0.57% | |||||||||||||
Air Lease Corp. | 06/01/2021 | 3.38 | % | $ | 2,150,000 | $ | 2,129,486 | ||||||
Toyota Motor Credit Corp. | 04/17/2020 | 1.95 | % | 1,030,000 | 1,017,208 | ||||||||
3,146,694 | |||||||||||||
Retail Trade: 1.86% | |||||||||||||
Amazon.com, Inc. | 02/22/2023 | 2.40 | % | 1,385,000 | 1,340,929 | ||||||||
BMW U.S. Capital LLC (a) | 04/12/2021 | 3.10 | % | 3,245,000 | 3,213,812 | ||||||||
BP Capital Markets PLC (b) | 01/15/2020 | 2.52 | % | 1,905,000 | 1,898,998 | ||||||||
BP Capital Markets PLC (b) | 03/11/2021 | 4.74 | % | 1,000,000 | 1,031,233 | ||||||||
CVS Health Corp. | 07/20/2020 | 2.80 | % | 1,455,000 | 1,441,872 | ||||||||
Hyundai Capital America (a) | 03/18/2021 | 3.00 | % | 1,425,000 | 1,402,992 | ||||||||
10,329,836 | |||||||||||||
Utilities: 1.17% | |||||||||||||
Berkshire Hathaway Energy Co. | 01/15/2021 | 2.38 | % | 2,345,000 | 2,312,940 | ||||||||
Exelon Generation Co., LLC | 01/15/2020 | 2.95 | % | 2,135,000 | 2,124,723 | ||||||||
Sempra Energy | 02/01/2023 | 2.90 | % | 2,120,000 | 2,060,005 | ||||||||
6,497,668 | |||||||||||||
Wholesale Trade: 0.31% | |||||||||||||
Sysco Corp. | 10/01/2020 | 2.60 | % | 1,760,000 | 1,741,031 | ||||||||
TOTAL CORPORATE BONDS (Cost $177,348,751) | 175,215,577 | ||||||||||||
MORTGAGE BACKED SECURITIES: 16.00% | |||||||||||||
BX Trust, 2018-MCSF A (1 Month LIBOR USD + 0.577%) (a)(c) | 04/16/2035 | 2.98 | % | 3,285,000 | 3,221,469 | ||||||||
Cold Storage Trust, 2017-ICE3 A (1 Month LIBOR USD + 1.000%) (a)(c) | 04/15/2036 | 3.46 | % | 3,775,000 | 3,707,506 | ||||||||
CSMC Trust, 2017-HL2 A3 (a)(d) | 10/25/2047 | 3.50 | % | 2,897,951 | 2,858,038 | ||||||||
Fannie Mae Connecticut Avenue Securities | |||||||||||||
Series 2017-C01 1M1 (1 Month LIBOR USD + 1.300%) (c) | 07/25/2029 | 3.81 | % | 2,523,358 | 2,530,970 | ||||||||
Series 2017-C02 2M1 (1 Month LIBOR USD + 1.150%) (a)(c) | 09/25/2029 | 3.66 | % | 1,680,603 | 1,684,369 | ||||||||
Series 2018-C02 2M1 (1 Month LIBOR USD + 0.650%) (c) | 08/26/2030 | 3.16 | % | 1,669,072 | 1,667,194 | ||||||||
Series 2018-C03 1M1 (1 Month LIBOR USD + 0.680%) (c) | 10/25/2030 | 3.19 | % | 1,463,667 | 1,459,936 | ||||||||
Series 2018-C05 1M1 (1 Month LIBOR USD + 0.720%) (a)(c) | 01/27/2031 | 3.23 | % | 3,698,754 | 3,689,988 | ||||||||
Fannie Mae Pool | 02/01/2021 | 3.50 | % | 13,634 | 13,800 | ||||||||
Fannie Mae Pool | 08/01/2021 | 3.00 | % | 57,688 | 57,573 | ||||||||
Fannie Mae Pool | 09/01/2021 | 3.00 | % | 70,949 | 70,808 | ||||||||
Fannie Mae Pool | 11/01/2021 | 3.00 | % | 147,814 | 147,521 | ||||||||
Fannie Mae Pool | 12/01/2025 | 3.50 | % | 212,042 | 214,633 | ||||||||
Fannie Mae Pool | 09/01/2026 | 3.50 | % | 188,796 | 191,103 | ||||||||
Fannie Mae Pool | 12/01/2027 | 2.50 | % | 2,976,445 | 2,945,469 | ||||||||
FDIC Guaranteed Notes Trust, 2010-S4 A (1 Month LIBOR USD + 0.720%) (a)(c) | 12/04/2020 | 3.03 | % | 344,272 | 341,890 | ||||||||
FHLMC Multifamily Structured Pass Through Certificates | |||||||||||||
Series K-LH1 A (1 Month LIBOR USD + 0.700%) (c) | 11/25/2022 | 3.05 | % | 2,862,404 | 2,871,589 | ||||||||
Series 3855 HE | 02/15/2026 | 2.50 | % | 5,646 | 5,602 | ||||||||
Flagstar Mortgage Trust | |||||||||||||
Series 2017-2 A5 (a)(d) | 10/25/2047 | 3.50 | % | 2,576,228 | 2,561,355 | ||||||||
Series 2018-4 A4 (a)(d) | 07/25/2048 | 4.00 | % | 2,503,347 | 2,517,893 | ||||||||
FREMF Mortgage Trust, 2012-K708 B (a)(d) | 02/25/2045 | 3.72 | % | 3,250,000 | 3,242,376 | ||||||||
GS Mortgage Securities Corp. Trust, 2018-CHLLA (1 Month LIBOR USD + 0.750%) (a)(c) | 02/17/2037 | 3.21 | % | 3,830,000 | 3,778,106 | ||||||||
GS Mortgage Securities Trust, 2010-C2 A1 (a) | 12/10/2043 | 3.85 | % | 86,118 | 86,653 | ||||||||
JP Morgan Chase Commercial Mortgage Securities Trust | |||||||||||||
Series 2018-BCON A (a) | 01/07/2031 | 3.73 | % | 3,630,000 | 3,689,252 | ||||||||
Series 2017-MAUIA (1 Month LIBOR USD + 0.830%) (a)(c) | 07/17/2034 | 3.22 | % | 4,195,000 | 4,149,155 | ||||||||
Series 2010-C2 A3 (a) | 11/15/2043 | 4.07 | % | 4,167,761 | 4,216,839 | ||||||||
JP Morgan Mortgage Trust, 2016-1 A5 (a)(d) | 05/25/2046 | 3.50 | % | 1,034,143 | 1,023,520 | ||||||||
JPMBB Commercial Mortgage Securities Trust, 2014-C23 | 09/17/2047 | �� | 3.66 | % | 2,950,000 | 2,978,329 |
LoCorr Macro Strategies Fund - Consolidated Schedule of Investments (continued) | | 21 |
Maturity Date | Coupon Rate | Principal Amount | Value | ||||||||||
MORTGAGE BACKED SECURITIES (continued) | |||||||||||||
Morgan Stanley Capital I Trust, 2017-CLS A (1 Month LIBOR USD + 0.700%) (a)(c) | 11/15/2034 | 3.16 | % | $ | 2,785,000 | $ | 2,742,247 | ||||||
NCUA Guaranteed Notes Trust | |||||||||||||
Series 2011-R2 1A (1 Month LIBOR USD + 0.400%) (c) | 02/06/2020 | 2.78 | % | 1,383,613 | 1,383,629 | ||||||||
Series 2011-R3 1A (1 Month LIBOR USD + 0.400%)(c) | 04/09/2020 | 2.80 | % | 925,045 | 926,179 | ||||||||
Series 2010-R1 1A (1 Month LIBOR USD + 0.450%) (c) | 10/07/2020 | 2.83 | % | 102,446 | 102,574 | ||||||||
New Residential Mortgage Loan Trust | |||||||||||||
Series 2018-NQM1 (a)(d) | 11/25/2048 | 3.99 | % | 3,257,148 | 3,306,593 | ||||||||
Series 2015-1A A3 (a)(d) | 05/28/2052 | 3.75 | % | 1,118,355 | 1,120,440 | ||||||||
Series 2014-2A A3 (a)(d) | 05/25/2054 | 3.75 | % | 1,006,447 | 1,009,049 | ||||||||
Series 2016-1A A1 (a)(d) | 03/25/2056 | 3.75 | % | 2,088,122 | 2,081,989 | ||||||||
Series 2017-1A A1 (a)(d) | 02/25/2057 | 4.00 | % | 2,753,259 | 2,770,367 | ||||||||
Series 2017-2A A3 (a)(d) | 03/25/2057 | 4.00 | % | 2,927,573 | 2,954,591 | ||||||||
Series 2017-3A A1 (a)(d) | 04/25/2057 | 4.00 | % | 2,156,309 | 2,169,316 | ||||||||
OBX Trust | |||||||||||||
Series 2018-EXP1 (a)(d) | 04/25/2048 | 4.50 | % | 1,430,072 | 1,450,294 | ||||||||
Series 2018-EXP2 (a)(d) | 07/25/2058 | 4.00 | % | 2,488,680 | 2,485,023 | ||||||||
Sequoia Mortgage Trust, 2018-CH4 A10 (a)(d) | 10/25/2048 | 4.50 | % | 2,161,551 | 2,203,879 | ||||||||
STACR Trust, 2018-DNA3 M1 (1 Month LIBOR USD + 0.750%) (a)(c) | 09/25/2048 | 3.26 | % | 2,050,000 | 2,046,048 | ||||||||
Verus Securitization Trust, 2018-3 A-1 (a)(d) | 10/25/2058 | 4.11 | % | 1,628,469 | 1,618,010 | ||||||||
WFRBS Commercial Mortgage Trust, 2011-C3 (a) | 03/17/2044 | 4.38 | % | 2,338,910 | 2,386,505 | ||||||||
TOTAL MORTGAGE BACKED SECURITIES (Cost $89,580,081) | 88,679,669 | ||||||||||||
MUNICIPAL BOND: 0.01% | |||||||||||||
Louisiana Local Government Environmental Facilities & Community Development Authority | 02/01/2021 | 3.22 | % | 55,515 | 55,515 | ||||||||
TOTAL MUNICIPAL BOND (Cost $56,381) | 55,515 | ||||||||||||
U.S. GOVERNMENT AGENCY ISSUES: 16.33% | |||||||||||||
Federal Farm Credit Banks | 10/26/2020 | 1.75 | % | 3,800,000 | 3,743,456 | ||||||||
Federal Farm Credit Banks | 11/27/2020 | 1.90 | % | 7,000,000 | 6,910,722 | ||||||||
Federal Farm Credit Banks | 04/05/2021 | 2.54 | % | 19,410,000 | 19,398,257 | ||||||||
Federal Farm Credit Banks | 07/17/2023 | 2.88 | % | 10,985,000 | 11,103,473 | ||||||||
Federal Home Loan Banks | 06/11/2021 | 3.63 | % | 7,000,000 | 7,170,471 | ||||||||
Federal Home Loan Banks | 06/10/2022 | 2.75 | % | 6,015,000 | 6,040,371 | ||||||||
Federal Home Loan Banks | 06/09/2023 | 3.25 | % | 12,000,000 | 12,304,104 | ||||||||
Federal Home Loan Banks | 09/08/2023 | 3.38 | % | 9,000,000 | 9,270,135 | ||||||||
Federal Home Loan Banks | 12/08/2023 | 3.38 | % | 6,220,000 | 6,410,015 | ||||||||
Federal National Mortgage Association | 04/13/2021 | 2.50 | % | 4,555,000 | 4,551,283 | ||||||||
Federal National Mortgage Association | 09/12/2023 | 2.88 | % | 3,545,000 | 3,586,739 | ||||||||
TOTAL U.S. GOVERNMENT AGENCY ISSUES (Cost $90,048,150) | 90,489,026 | ||||||||||||
U.S. GOVERNMENT NOTES: 6.27% | |||||||||||||
United States Treasury Note | 10/31/2022 | 2.00 | % | 7,660,000 | 7,524,155 | ||||||||
United States Treasury Note | 11/15/2022 | 1.63 | % | 9,640,000 | 9,332,348 | ||||||||
United States Treasury Note | 08/15/2023 | 2.50 | % | 3,000,000 | 2,999,063 | ||||||||
United States Treasury Note | 09/30/2023 | 2.88 | % | 2,305,000 | 2,342,456 | ||||||||
United States Treasury Note | 05/15/2024 | 2.50 | % | 12,570,000 | 12,546,923 | ||||||||
TOTAL U.S. GOVERNMENT NOTES (Cost $34,564,552) | 34,744,945 | ||||||||||||
SHORT TERM INVESTMENTS: 4.24% | |||||||||||||
U.S. GOVERNMENT NOTE: 0.41% | |||||||||||||
United States Treasury Note | 08/31/2019 | 1.00 | % | 2,250,000 | 2,226,094 | ||||||||
TOTAL U.S. GOVERNMENT NOTE (Cost $2,226,492) | 2,226,094 |
22 | | LoCorr Macro Strategies Fund - Consolidated Schedule of Investments (continued) |
Maturity Date | Coupon Rate | Shares | Value | ||||||||||
SHORT TERM INVESTMENTS (continued) | |||||||||||||
MONEY MARKET FUND: 3.83% | |||||||||||||
STIT-Government & Agency Portfolio, Institutional Class, 2.30% (e)(f) | 21,240,233 | $ | 21,240,233 | ||||||||||
TOTAL MONEY MARKET FUND (Cost $21,240,233) | 21,240,233 | ||||||||||||
TOTAL SHORT TERM INVESTMENTS (Cost $23,466,725) | 23,466,327 | ||||||||||||
TOTAL INVESTMENTS (Cost $512,600,619): 92.03% | 509,944,706 | ||||||||||||
Other Assets in Excess of Liabilities: 7.97% (g) | 44,136,561 | ||||||||||||
TOTAL NET ASSETS: 100.00% | $ | 554,081,267 |
(a) | Security as defined in Rule 144A under the Securities Act of 1933 and determined to be liquid. Purchased in a private placement transaction; resale to the public may require registration or may extend only to qualified institutional buyers. At December 31, 2018, the value of these securities total $145,677,333 which represents 26.29% of total net assets. |
(b) | Foreign issued security. |
(c) | Variable rate security based on a reference index and spread. The rate reported is the rate in effect as of December 31, 2018. |
(d) | Variable rate security. The coupon is based on an underlying pool of loans. The rate reported is the rate in effect as of December 31, 2018. |
(e) | The rate quoted is the annualized seven-day effective yield as of December 31, 2018. |
(f) | All or a portion of this security is held by LCMFS Fund Limited and pledged as collateral for derivative contracts. |
(g) | Includes assets pledged as collateral for derivative contracts. |
LIBOR | London Interbank Offered Rate |
LoCorr Macro Strategies Fund - Consolidated Schedule of Open Forward Currency Contracts | | 23 |
Currency to be Received | Currency to be Delivered | ||||||||||||||||||||||||||
Notional Amount | Counter- party | Forward Settlement Date | Curr Abbr. | U.S. $ Value at December 31, 2018 | Curr Abbr. | U.S. $ Value on Origination Date | Unrealized Appreciation | Unrealized (Depreciation) | |||||||||||||||||||
See key for abbreviation | |||||||||||||||||||||||||||
Purchase Contracts: | |||||||||||||||||||||||||||
$ | 21,566,368 | DB | 01/16/2019 | AUD | $ | 21,187,110 | USD | $ | 21,566,368 | $ | — | $ | (379,258 | ) | |||||||||||||
509,721 | BAML | 03/22/2019 | AUD | 500,073 | USD | 509,721 | — | (9,648 | ) | ||||||||||||||||||
9,684,446 | DB | 01/16/2019 | BRL | 9,680,309 | USD | 9,684,446 | — | (4,137 | ) | ||||||||||||||||||
12,324,680 | DB | 01/16/2019 | CAD | 12,091,504 | USD | 12,324,680 | — | (233,176 | ) | ||||||||||||||||||
458,717 | BAML | 03/22/2019 | CAD | 449,865 | USD | 458,717 | — | (8,852 | ) | ||||||||||||||||||
1,516,403 | DB | 01/03/2019 | CHF | 1,516,326 | USD | 1,516,403 | — | (77 | ) | ||||||||||||||||||
15,447,262 | DB | 01/16/2019 | CHF | 15,558,881 | USD | 15,447,262 | 111,619 | — | |||||||||||||||||||
527,034 | BAML | 03/22/2019 | CHF | 532,104 | USD | 527,034 | 5,070 | — | |||||||||||||||||||
82,480 | DB | 01/16/2019 | CLP | 82,164 | USD | 82,480 | — | (316 | ) | ||||||||||||||||||
3,768 | DB | 01/16/2019 | COP | 3,692 | USD | 3,768 | — | (76 | ) | ||||||||||||||||||
6,487,855 | DB | 01/16/2019 | EUR | 6,551,314 | NOK | 6,487,855 | 63,459 | — | |||||||||||||||||||
1,399,700 | DB | 01/16/2019 | EUR | 1,411,229 | PLN | 1,399,700 | 11,529 | — | |||||||||||||||||||
11,813,250 | DB | 01/16/2019 | EUR | 11,943,814 | SEK | 11,813,250 | 130,564 | — | |||||||||||||||||||
17,194,483 | DB | 01/16/2019 | EUR | 17,278,947 | USD | 17,194,483 | 84,464 | — | |||||||||||||||||||
2,535,000 | BAML | 03/22/2019 | EUR | 2,548,442 | USD | 2,535,000 | 13,442 | — | |||||||||||||||||||
38,078,048 | DB | 01/16/2019 | GBP | 38,307,799 | USD | 38,078,048 | 229,751 | — | |||||||||||||||||||
1,855,709 | BAML | 03/22/2019 | GBP | 1,860,625 | USD | 1,855,709 | 4,916 | — | |||||||||||||||||||
464,623 | DB | 01/16/2019 | ILS | 465,958 | USD | 464,623 | 1,335 | — | |||||||||||||||||||
3,253,248 | DB | 01/16/2019 | INR | 3,305,965 | USD | 3,253,248 | 52,717 | — | |||||||||||||||||||
4,342,039 | DB | 01/04/2019 | JPY | 4,399,230 | USD | 4,342,039 | 57,191 | — | |||||||||||||||||||
9,681,101 | DB | 01/07/2019 | JPY | 9,750,366 | USD | 9,681,101 | 69,265 | — | |||||||||||||||||||
36,443,451 | DB | 01/16/2019 | JPY | 37,183,721 | USD | 36,443,451 | 740,270 | — | |||||||||||||||||||
12,810,052 | BAML | 03/22/2019 | JPY | 12,955,902 | USD | 12,810,052 | 145,850 | — | |||||||||||||||||||
3,273,111 | DB | 01/16/2019 | KRW | 3,280,042 | USD | 3,273,111 | 6,931 | — | |||||||||||||||||||
11,113,382 | DB | 01/16/2019 | MXN | 11,321,818 | USD | 11,113,382 | 208,436 | — | |||||||||||||||||||
8,792,474 | BAML | 03/22/2019 | MXN | 8,983,857 | USD | 8,792,474 | 191,383 | — | |||||||||||||||||||
4,705,293 | DB | 01/16/2019 | NOK | 4,749,661 | EUR | 4,705,293 | 44,368 | — | |||||||||||||||||||
4,063,203 | DB | 01/16/2019 | NOK | 4,081,100 | USD | 4,063,203 | 17,897 | — | |||||||||||||||||||
422,492 | DB | 01/03/2019 | NZD | 422,880 | USD | 422,492 | 388 | — | |||||||||||||||||||
15,013,811 | DB | 01/16/2019 | NZD | 14,844,689 | USD | 15,013,811 | — | (169,122 | ) | ||||||||||||||||||
5,287,432 | BAML | 03/22/2019 | NZD | 5,230,744 | USD | 5,287,432 | — | (56,688 | ) | ||||||||||||||||||
2,728,814 | DB | 01/16/2019 | PLN | 2,752,319 | EUR | 2,728,814 | 23,505 | — | |||||||||||||||||||
2,807,584 | DB | 01/16/2019 | PLN | 2,825,223 | USD | 2,807,584 | 17,639 | — | |||||||||||||||||||
7,105,983 | DB | 01/16/2019 | RUB | 6,827,593 | USD | 7,105,983 | — | (278,390 | ) | ||||||||||||||||||
13,187,721 | DB | 01/16/2019 | SEK | 13,457,369 | EUR | 13,187,721 | 269,648 | — | |||||||||||||||||||
793,404 | DB | 01/02/2019 | SEK | 806,871 | USD | 793,404 | 13,467 | — | |||||||||||||||||||
623,846 | DB | 01/03/2019 | SEK | 630,882 | USD | 623,846 | 7,036 | — | |||||||||||||||||||
7,128,397 | DB | 01/16/2019 | SEK | 7,252,555 | USD | 7,128,397 | 124,158 | — | |||||||||||||||||||
2,732,885 | DB | 01/16/2019 | SGD | 2,745,041 | USD | 2,732,885 | 12,156 | — | |||||||||||||||||||
5,758,672 | DB | 01/16/2019 | TRY | 5,869,495 | USD | 5,758,672 | 110,823 | — | |||||||||||||||||||
6,386,629 | DB | 01/16/2019 | ZAR | 6,325,021 | USD | 6,386,629 | — | (61,608 | ) | ||||||||||||||||||
Total Purchase Contracts | 311,972,500 | 310,404,571 | 2,769,277 | (1,201,348 | ) | ||||||||||||||||||||||
Sale Contracts: | |||||||||||||||||||||||||||
$ | 32,388,367 | DB | 01/16/2019 | USD | $ | 31,840,556 | AUD | $ | 32,388,367 | $ | 547,811 | $ | — | ||||||||||||||
30,172,159 | BAML | 03/22/2019 | USD | 29,439,428 | AUD | 30,172,159 | 732,731 | — | |||||||||||||||||||
10,690,562 | DB | 01/16/2019 | USD | 10,783,390 | BRL | 10,690,562 | — | (92,828 | ) | ||||||||||||||||||
41,095,170 | DB | 01/16/2019 | USD | 40,231,730 | CAD | 41,095,170 | 863,440 | — | |||||||||||||||||||
26,985,240 | BAML | 03/22/2019 | USD | 26,340,963 | CAD | 26,985,240 | 644,277 | — | |||||||||||||||||||
1,512,475 | DB | 01/03/2019 | USD | 1,516,326 | CHF | 1,512,475 | — | (3,851 | ) | ||||||||||||||||||
25,732,304 | DB | 01/16/2019 | USD | 25,972,225 | CHF | 25,732,304 | — | (239,921 | ) | ||||||||||||||||||
31,075,404 | BAML | 03/22/2019 | USD | 31,316,225 | CHF | 31,075,404 | — | (240,821 | ) | ||||||||||||||||||
679,139 | DB | 01/16/2019 | USD | 665,962 | CLP | 679,139 | 13,177 | — | |||||||||||||||||||
88,733 | DB | 01/16/2019 | USD | 86,146 | COP | 88,733 | 2,587 | — | |||||||||||||||||||
4,705,292 | DB | 01/16/2019 | NOK | 4,738,516 | EUR | 4,705,292 | — | (33,224 | ) | ||||||||||||||||||
2,728,814 | DB | 01/16/2019 | PLN | 2,753,617 | EUR | 2,728,814 | — | (24,803 | ) | ||||||||||||||||||
13,187,721 | DB | 01/16/2019 | SEK | 13,297,676 | EUR | 13,187,721 | — | (109,955 | ) |
24 | | LoCorr Macro Strategies Fund - Consolidated Schedule of Open Forward Currency Contracts (continued) |
Currency to be Received | Currency to be Delivered | ||||||||||||||||||||||||||
Notional Amount | Counter- party | Forward Settlement Date | Curr Abbr. | U.S. $ Value at December 31, 2018 | Curr Abbr. | U.S. $ Value on Origination Date | Unrealized Appreciation | Unrealized (Depreciation) | |||||||||||||||||||
See key for abbreviation | |||||||||||||||||||||||||||
Sale Contracts: (continued) | |||||||||||||||||||||||||||
$ | 31,371,600 | DB | 01/16/2019 | USD | $ | 31,574,810 | EUR | $ | 31,371,600 | $ | — | $ | (203,210 | ) | |||||||||||||
46,843,801 | BAML | 03/22/2019 | USD | 47,142,145 | EUR | 46,843,801 | — | (298,344 | ) | ||||||||||||||||||
45,954,218 | DB | 01/16/2019 | USD | 46,318,887 | GBP | 45,954,218 | — | (364,669 | ) | ||||||||||||||||||
49,624,660 | BAML | 03/22/2019 | USD | 49,960,459 | GBP | 49,624,660 | — | (335,799 | ) | ||||||||||||||||||
1,979,513 | DB | 01/16/2019 | USD | 1,976,303 | ILS | 1,979,513 | 3,210 | — | |||||||||||||||||||
2,106,507 | DB | 01/16/2019 | USD | 2,148,648 | INR | 2,106,507 | — | (42,141 | ) | ||||||||||||||||||
4,356,090 | DB | 01/04/2019 | USD | 4,399,230 | JPY | 4,356,090 | — | (43,140 | ) | ||||||||||||||||||
9,686,103 | DB | 01/07/2019 | USD | 9,750,366 | JPY | 9,686,103 | — | (64,263 | ) | ||||||||||||||||||
46,359,650 | DB | 01/16/2019 | USD | 47,671,906 | JPY | 46,359,650 | — | (1,312,256 | ) | ||||||||||||||||||
73,873,651 | BAML | 03/22/2019 | USD | 76,149,100 | JPY | 73,873,651 | — | (2,275,449 | ) | ||||||||||||||||||
2,469,054 | DB | 01/16/2019 | USD | 2,478,414 | KRW | 2,469,054 | — | (9,360 | ) | ||||||||||||||||||
10,837,875 | DB | 01/16/2019 | USD | 11,228,929 | MXN | 10,837,875 | — | (391,054 | ) | ||||||||||||||||||
156,248 | BAML | 03/22/2019 | USD | 160,118 | MXN | 156,248 | — | (3,870 | ) | ||||||||||||||||||
6,487,855 | DB | 01/16/2019 | EUR | 6,472,874 | NOK | 6,487,855 | 14,981 | — | |||||||||||||||||||
12,548,297 | DB | 01/16/2019 | USD | 12,343,996 | NOK | 12,548,297 | 204,301 | — | |||||||||||||||||||
422,113 | DB | 01/03/2019 | USD | 422,880 | NZD | 422,113 | — | (767 | ) | ||||||||||||||||||
16,875,388 | DB | 01/16/2019 | USD | 16,375,485 | NZD | 16,875,388 | 499,903 | — | |||||||||||||||||||
14,121,261 | BAML | 03/22/2019 | USD | 13,888,828 | NZD | 14,121,261 | 232,433 | — | |||||||||||||||||||
1,399,700 | DB | 01/16/2019 | EUR | 1,414,780 | PLN | 1,399,700 | — | (15,080 | ) | ||||||||||||||||||
3,995,957 | DB | 01/16/2019 | USD | 4,019,996 | PLN | 3,995,957 | — | (24,039 | ) | ||||||||||||||||||
13,625,446 | DB | 01/16/2019 | USD | 13,269,591 | RUB | 13,625,446 | 355,855 | — | |||||||||||||||||||
11,813,250 | DB | 01/16/2019 | EUR | 12,074,494 | SEK | 11,813,250 | — | (261,244 | ) | ||||||||||||||||||
791,134 | DB | 01/02/2019 | USD | 806,871 | SEK | 791,134 | — | (15,737 | ) | ||||||||||||||||||
623,383 | DB | 01/03/2019 | USD | 630,882 | SEK | 623,383 | — | (7,499 | ) | ||||||||||||||||||
8,902,243 | DB | 01/16/2019 | USD | 9,067,106 | SEK | 8,902,243 | — | (164,863 | ) | ||||||||||||||||||
1,625,558 | DB | 01/16/2019 | USD | 1,636,749 | SGD | 1,625,558 | — | (11,191 | ) | ||||||||||||||||||
2,845,007 | DB | 01/16/2019 | USD | 2,854,266 | TRY | 2,845,007 | — | (9,259 | ) | ||||||||||||||||||
3,031,917 | DB | 01/16/2019 | USD | 3,043,197 | ZAR | 3,031,917 | — | (11,280 | ) | ||||||||||||||||||
Total Sale Contracts | 648,264,070 | 645,768,859 | 4,114,706 | (6,609,917 | ) | ||||||||||||||||||||||
Net Forward Currency Contracts | $ | (336,291,570 | ) | $ | (335,364,288 | ) | $ | 6,883,983 | $ | (7,811,265 | ) | ||||||||||||||||
Net Unrealized Depreciation | $ | (927,282 | ) |
Counterparty: | |
BAML | Bank of America Merrill Lynch |
DB | Deutsche Bank |
Currency abbreviations: | |||||||
AUD | AUSTRALIAN DOLLAR | EUR | EURO | MXN | MEXICAN PESO | SGD | SINGAPORE DOLLAR |
BRL | BRAZILIAN REAL | GBP | BRITISH POUND | NOK | NORWEGIAN KRONE | TRY | TURKISH LIRA |
CAD | CANADIAN DOLLAR | ILS | ISRAELI NEW SHEQEL | NZD | NEW ZEALAND DOLLAR | USD | U.S. DOLLAR |
CHF | SWISS FRANC | INR | INDIAN RUPEE | PLN | POLISH ZLOTY | ZAR | SOUTH AFRICAN RAND |
CLP | CHILEAN PESO | JPY | JAPANESE YEN | RUB | RUSSIAN RUBLE | ||
COP | COLOMBIAN PESO | KRW | SOUTH KOREAN WON | SEK | SWEDISH KRONA |
LoCorr Macro Strategies Fund - Consolidated Schedule of Open Futures Contracts | | 25 |
Number of | Current | Value | |||||||||||||||||
Description | Contracts Purchased (Sold) | Settlement Month-Year | Notional Amount | Value at Trade Date | Unrealized Appreciation | Unrealized (Depreciation) | |||||||||||||
Purchase Contracts: | |||||||||||||||||||
10 Yr Mini JGB | 15 | Mar-19 | $ | 2,088,819 | $ | 2,079,604 | $ | 9,215 | $ | — | |||||||||
3 Mo Euro Euribor | 494 | Jun-20 | 141,740,797 | 141,625,962 | 114,835 | — | |||||||||||||
90 Day Euro | 12 | Dec-19 | 2,920,500 | 2,920,371 | 129 | — | |||||||||||||
90 Day Euro | 84 | Jun-20 | 20,476,050 | 20,469,721 | 6,329 | — | |||||||||||||
90 Day Euro | 227 | Sep-20 | 55,356,788 | 55,224,920 | 131,868 | — | |||||||||||||
90 Day Euro | 139 | Dec-20 | 33,891,675 | 33,869,942 | 21,733 | — | |||||||||||||
90 Day Euro | 220 | Mar-21 | 53,658,000 | 53,587,795 | 70,205 | — | |||||||||||||
Aluminum (a)(b) | 74 | Mar-19 | 3,418,800 | 3,620,286 | — | (201,486 | ) | ||||||||||||
Amsterdam Exchange Index | 5 | Jan-19 | 558,806 | 551,652 | 7,154 | — | |||||||||||||
Australian 3 Yr Bond | 85 | Mar-19 | 6,718,125 | 6,688,238 | 29,887 | — | |||||||||||||
Australian 10 Yr Bond | 533 | Mar-19 | 49,808,599 | 49,348,046 | 460,553 | — | |||||||||||||
Canadian 10 Yr Bond | 138 | Mar-19 | 13,825,271 | 13,827,982 | — | (2,711 | ) | ||||||||||||
CBOE Volatility Index | 47 | Jan-19 | 1,136,225 | 1,204,741 | — | (68,516 | ) | ||||||||||||
CBOE Volatility Index | 25 | Feb-19 | 556,875 | 581,248 | — | (24,373 | ) | ||||||||||||
CBOE Volatility Index | 6 | Mar-19 | 129,450 | 128,462 | 988 | — | |||||||||||||
CBOE Volatility Index | 4 | Apr-19 | 83,900 | 84,958 | — | (1,058 | ) | ||||||||||||
Copper (a)(b) | 93 | Mar-19 | 13,879,669 | 14,453,336 | — | (573,667 | ) | ||||||||||||
Dollar | 102 | Mar-19 | 9,764,970 | 9,877,857 | — | (112,887 | ) | ||||||||||||
Dow Jones Industrial Average Mini E-Cbot Index | 94 | Mar-19 | 10,935,960 | 11,501,539 | — | (565,579 | ) | ||||||||||||
Euro-Bobl | 1,512 | Mar-19 | 229,574,399 | 229,191,901 | 382,498 | — | |||||||||||||
Euro-BTP | 88 | Mar-19 | 12,887,590 | 12,605,679 | 281,911 | — | |||||||||||||
Euro-Bund | 633 | Mar-19 | 118,609,083 | 118,073,163 | 535,920 | — | |||||||||||||
Euro-Buxl 30 Yr Bond | 82 | Mar-19 | 16,969,534 | 17,017,573 | — | (48,039 | ) | ||||||||||||
Euro-OAT | 326 | Mar-19 | 56,326,036 | 56,379,828 | — | (53,792 | ) | ||||||||||||
Euro-Schatz | 737 | Mar-19 | 94,524,202 | 94,493,722 | 30,480 | — | |||||||||||||
FTSE 100 Index | 70 | Mar-19 | 5,941,292 | 5,956,112 | — | (14,820 | ) | ||||||||||||
FTSE/JSE Top 40 Index | 8 | Mar-19 | 261,660 | 257,600 | 4,060 | — | |||||||||||||
Japanese 10 Yr Bond | 35 | Mar-19 | 48,691,209 | 48,507,905 | 183,304 | — | |||||||||||||
Lead (a)(b) | 11 | Mar-19 | 556,050 | 546,454 | 9,596 | — | |||||||||||||
Long Gilt | 381 | Mar-19 | 59,814,124 | 59,833,366 | — | (19,242 | ) | ||||||||||||
MSCI EAFE Index | 1 | Mar-19 | 85,800 | 85,897 | — | (97 | ) | ||||||||||||
MSCI Emerging Markets Index | 55 | Mar-19 | 2,658,700 | 2,649,558 | 9,142 | — | |||||||||||||
MSCI Taiwan Index | 10 | Jan-19 | 359,400 | 352,365 | 7,035 | — | |||||||||||||
Nasdaq 100 E-Mini Index | 42 | Mar-19 | 5,319,930 | 5,690,893 | — | (370,963 | ) | ||||||||||||
Natural Gas (a) | 111 | Feb-19 | 3,263,400 | 4,841,638 | — | (1,578,238 | ) | ||||||||||||
Natural Gas (a) | 17 | Apr-19 | 456,110 | 477,824 | — | (21,714 | ) | ||||||||||||
Natural Gas (a) | 23 | May-19 | 614,560 | 642,813 | — | (28,253 | ) | ||||||||||||
Natural Gas (a) | 1 | Jun-19 | 27,170 | 27,732 | — | (562 | ) | ||||||||||||
Nickel (a)(b) | 10 | Mar-19 | 640,890 | 667,454 | — | (26,564 | ) | ||||||||||||
Nikkei 225 Index (OSE) | 64 | Mar-19 | 11,678,299 | 11,913,987 | — | (235,688 | ) | ||||||||||||
Nikkei 225 Index (SGX) | 1 | Mar-19 | 90,940 | 86,516 | 4,424 | — | |||||||||||||
SET 50 Index | 8 | Mar-19 | 51,253 | 50,878 | 375 | — | |||||||||||||
Soybean Meal (a) | 46 | Mar-19 | 1,425,540 | 1,437,618 | — | (12,078 | ) | ||||||||||||
U.S. 10 Yr Note | 221 | Mar-19 | 26,965,453 | 26,866,948 | 98,505 | — | |||||||||||||
U.S. Long Bond | 142 | Mar-19 | 20,732,000 | 20,662,645 | 69,355 | — | |||||||||||||
U.S. Ultra Bond | 31 | Mar-19 | 4,980,344 | 4,977,195 | 3,149 | — | |||||||||||||
Zinc (a)(b) | 25 | Mar-19 | 1,544,063 | 1,593,882 | — | (49,819 | ) | ||||||||||||
Total Purchase Contracts | 2,472,650 | (4,010,146 | ) |
26 | | LoCorr Macro Strategies Fund - Consolidated Schedule of Open Futures Contracts (continued) |
Number of | Current | Value | |||||||||||||||||
Description | Contracts Purchased (Sold) | Settlement Month-Year | Notional Amount | Value at Trade Date | Unrealized Appreciation | Unrealized (Depreciation) | |||||||||||||
Sale Contracts: | |||||||||||||||||||
90 Day Euro | (93 | ) | Sep-19 | $ | 22,631,550 | $ | 22,555,088 | $ | — | $ | (76,462 | ) | |||||||
90 Day Euro | (51 | ) | Mar-20 | 12,424,238 | 12,361,149 | — | (63,089 | ) | |||||||||||
90 Day Euro | (1,170 | ) | Jun-20 | 285,202,125 | 284,109,789 | — | (1,092,336 | ) | |||||||||||
90 Day Sterling | (851 | ) | Jun-20 | 133,999,200 | 133,946,372 | — | (52,828 | ) | |||||||||||
Aluminum (a)(b) | (288 | ) | Mar-19 | 13,305,600 | 14,187,377 | 881,777 | — | ||||||||||||
Brent Crude (a) | (168 | ) | Mar-19 | 9,038,400 | 9,793,001 | 754,601 | — | ||||||||||||
Brent Crude (a) | (31 | ) | Apr-19 | 1,674,620 | 1,841,593 | 166,973 | — | ||||||||||||
Brent Crude (a) | (10 | ) | May-19 | 543,100 | 578,718 | 35,618 | — | ||||||||||||
Brent Crude (a) | (5 | ) | Jun-19 | 272,850 | 276,594 | 3,744 | — | ||||||||||||
Brent Crude (a) | (3 | ) | Jul-19 | 164,280 | 176,286 | 12,006 | — | ||||||||||||
Brent Crude (a) | (2 | ) | Aug-19 | 109,760 | 108,907 | — | (853 | ) | |||||||||||
CAC 40 10 Euro Index | (208 | ) | Jan-19 | 11,268,782 | 11,303,321 | 34,539 | — | ||||||||||||
Canadian 10 Yr Bond | (1 | ) | Mar-19 | 100,183 | 100,197 | 14 | — | ||||||||||||
Cocoa (ICE) (a) | (111 | ) | Mar-19 | 2,498,547 | 2,410,025 | — | (88,522 | ) | |||||||||||
Cocoa (NYBOT) (a) | (5 | ) | Mar-19 | 120,800 | 118,697 | — | (2,103 | ) | |||||||||||
Coffee (a) | (73 | ) | Mar-19 | 2,788,144 | 3,308,137 | 519,993 | — | ||||||||||||
Copper (a)(b) | (124 | ) | Mar-19 | 18,506,225 | 19,032,018 | 525,793 | — | ||||||||||||
Copper (COMEX) (a) | (2 | ) | Mar-19 | 131,550 | 131,634 | 84 | — | ||||||||||||
Corn (a) | (317 | ) | Mar-19 | 5,943,750 | 6,060,637 | 116,887 | — | ||||||||||||
Cotton No.2 (a) | (72 | ) | Mar-19 | 2,599,200 | 2,681,845 | 82,645 | — | ||||||||||||
DAX Index | (113 | ) | Mar-19 | 34,184,899 | 34,464,761 | 279,862 | — | ||||||||||||
Dow Jones Industrial Average Mini E-Cbot Index | (13 | ) | Mar-19 | 1,512,420 | 1,508,994 | — | (3,426 | ) | |||||||||||
Euro-Stoxx 50 Index | (514 | ) | Mar-19 | 17,514,362 | 17,760,138 | 245,776 | — | ||||||||||||
FTSE 100 Index | (108 | ) | Mar-19 | 9,166,565 | 9,150,785 | — | (15,780 | ) | |||||||||||
FTSE China A50 Index | (62 | ) | Jan-19 | 645,575 | 647,132 | 1,557 | — | ||||||||||||
FTSE MIB Index | (2 | ) | Mar-19 | 208,595 | 207,636 | — | (959 | ) | |||||||||||
Gasoline RBOB (a) | (173 | ) | Feb-19 | 9,461,059 | 10,410,196 | 949,137 | — | ||||||||||||
Gasoline RBOB (a) | (34 | ) | Mar-19 | 1,873,536 | 2,024,657 | 151,121 | — | ||||||||||||
Gasoline RBOB (a) | (9 | ) | Apr-19 | 563,787 | 600,276 | 36,489 | — | ||||||||||||
Gasoline RBOB (a) | (5 | ) | May-19 | 315,483 | 337,297 | 21,814 | — | ||||||||||||
Gold (a) | (50 | ) | Feb-19 | 6,406,500 | 6,391,833 | — | (14,667 | ) | |||||||||||
Hang Seng Index | (26 | ) | Jan-19 | 4,292,216 | 4,262,662 | — | (29,554 | ) | |||||||||||
Hard Red Wheat (a) | (112 | ) | Mar-19 | 2,737,000 | 2,873,058 | 136,058 | — | ||||||||||||
Heating Oil (a) | (78 | ) | Feb-19 | 5,501,714 | 5,732,976 | 231,262 | — | ||||||||||||
Heating Oil (a) | (28 | ) | Mar-19 | 1,963,802 | 2,099,395 | 135,593 | — | ||||||||||||
Heating Oil (a) | (6 | ) | Apr-19 | 417,337 | 443,424 | 26,087 | — | ||||||||||||
Heating Oil (a) | (3 | ) | May-19 | 208,517 | 230,616 | 22,099 | — | ||||||||||||
H-Shares Index | (99 | ) | Jan-19 | 6,385,914 | 6,318,171 | — | (67,743 | ) | |||||||||||
IBEX 35 Index | (10 | ) | Jan-19 | 975,848 | 969,977 | — | (5,871 | ) | |||||||||||
KOSPI 200 Index | (15 | ) | Mar-19 | 880,534 | 875,818 | — | (4,716 | ) | |||||||||||
Lead (a)(b) | (11 | ) | Mar-19 | 556,050 | 546,045 | — | (10,005 | ) | |||||||||||
Lean Hogs (a) | (1 | ) | Feb-19 | 24,390 | 24,268 | — | (122 | ) | |||||||||||
Live Cattle (a) | (15 | ) | Feb-19 | 743,250 | 744,583 | 1,333 | — | ||||||||||||
Low Sulphur Gasoil (a) | (117 | ) | Feb-19 | 5,981,625 | 6,092,305 | 110,680 | — | ||||||||||||
Low Sulphur Gasoil (a) | (43 | ) | Mar-19 | 2,200,525 | 2,206,995 | 6,470 | — | ||||||||||||
Low Sulphur Gasoil (a) | (11 | ) | Apr-19 | 562,650 | 559,061 | — | (3,589 | ) | |||||||||||
Nasdaq 100 E-Mini Index | (25 | ) | Mar-19 | 3,166,625 | 3,160,034 | — | (6,591 | ) | |||||||||||
Natural Gas (a) | (27 | ) | Feb-19 | 793,800 | 906,636 | 112,836 | — | ||||||||||||
Natural Gas (a) | (20 | ) | Mar-19 | 570,200 | 655,650 | 85,450 | — | ||||||||||||
Nickel (a)(b) | (17 | ) | Mar-19 | 1,089,513 | 1,157,898 | 68,385 | — | ||||||||||||
OMX Stockholm 30 Index | (47 | ) | Jan-19 | 746,791 | 747,260 | 469 | — | ||||||||||||
Russell 2000 Mini Index | (201 | ) | Mar-19 | 13,557,450 | 13,400,700 | — | (156,750 | ) | |||||||||||
S&P 500 E-Mini Index | (67 | ) | Mar-19 | 8,392,420 | 8,292,326 | — | (100,094 | ) | |||||||||||
S&P MidCap 400 E-Mini Index | (8 | ) | Mar-19 | 1,329,760 | 1,317,517 | — | (12,243 | ) | |||||||||||
S&P/TSX 60 Index | (1 | ) | Mar-19 | 125,593 | 125,137 | — | (456 | ) | |||||||||||
Silver (a) | (155 | ) | Mar-19 | 12,043,500 | 11,299,093 | — | (744,407 | ) | |||||||||||
Soybean (a) | (134 | ) | Mar-19 | 5,996,500 | 5,948,518 | — | (47,982 | ) | |||||||||||
Soybean Meal (a) | (75 | ) | Mar-19 | 2,324,250 | 2,352,962 | 28,712 | — |
LoCorr Macro Strategies Fund - Consolidated Schedule of Open Futures Contracts (continued) | | 27 |
Number of | Current | Value | |||||||||||||||||
Description | Contracts Purchased (Sold) | Settlement Month-Year | Notional Amount | Value at Trade Date | Unrealized Appreciation | Unrealized (Depreciation) | |||||||||||||
Sale Contracts: (continued) | |||||||||||||||||||
Soybean Oil (a) | (72 | ) | Mar-19 | $ | 1,203,120 | $ | 1,238,031 | $ | 34,911 | $ | — | ||||||||
SPI 200 Index | (2 | ) | Mar-19 | 195,844 | 197,708 | 1,864 | — | ||||||||||||
Sugar (a) | (214 | ) | Mar-19 | 2,883,350 | 2,784,540 | — | (98,810 | ) | |||||||||||
Tokyo Price Index | (80 | ) | Mar-19 | 10,900,963 | 11,325,356 | 424,393 | — | ||||||||||||
U.S. 2 Yr Note | (1,303 | ) | Mar-19 | 276,643,188 | 274,835,373 | — | (1,807,815 | ) | |||||||||||
U.S. 5 Yr Note | (476 | ) | Mar-19 | 54,591,250 | 53,834,377 | — | (756,873 | ) | |||||||||||
U.S. 10 Yr Note | (187 | ) | Mar-19 | 22,816,923 | 22,649,070 | — | (167,853 | ) | |||||||||||
Wheat (a) | (190 | ) | Mar-19 | 4,780,875 | 4,900,979 | 120,104 | — | ||||||||||||
WTI Crude (a) | (270 | ) | Feb-19 | 12,260,700 | 13,875,606 | 1,614,906 | — | ||||||||||||
WTI Crude (a) | (42 | ) | Mar-19 | 1,920,240 | 2,119,620 | 199,380 | — | ||||||||||||
WTI Crude (a) | (13 | ) | Apr-19 | 599,040 | 653,395 | 54,355 | — | ||||||||||||
WTI Crude (a) | (6 | ) | May-19 | 279,060 | 293,728 | 14,668 | — | ||||||||||||
WTI Crude (a) | (4 | ) | Jun-19 | 187,720 | 194,362 | 6,642 | — | ||||||||||||
WTI Crude (a) | (2 | ) | Jul-19 | 94,600 | 110,296 | 15,696 | — | ||||||||||||
Zinc (a)(b) | (161 | ) | Mar-19 | 9,943,763 | 9,933,472 | — | (10,291 | ) | |||||||||||
Total Sale Contracts | 8,272,783 | (5,442,790 | ) | ||||||||||||||||
Total Futures Contracts | $ | 10,745,433 | $ | (9,452,936 | ) | ||||||||||||||
Net Unrealized Appreciation | $ | 1,292,497 |
(a) | Contract held by LCMFS Fund Limited. |
(b) | London Metal Exchange (“LME”) futures contracts settle on their respective maturity date. The unrealized appreciation on these contracts is a receivable for unsettled open futures contracts and the unrealized depreciation is a payable for unsettled open futures contracts on the Fund’s consolidated statement of assets and liabilities. |
COMEX | Commodity Exchange, Inc. |
ICE | Intercontinental Exchange |
NYBOT | New York Board of Trade |
OSE | Osaka Securities Exchange |
SGX | Singapore Exchange Limited |
28 | | LoCorr Long/Short Commodities Strategy Fund - Consolidated Schedule of Investments |
Maturity Date | Coupon Rate | Principal Amount | Value | ||||||||||
ASSET BACKED SECURITIES: 15.62% | |||||||||||||
321 Henderson Receivables I LLC | |||||||||||||
Series 2006-4A A1 (1 Month LIBOR USD + 0.200%) (a)(c) | 12/15/2041 | 2.66 | % | $ | 220,332 | $ | 216,219 | ||||||
Series 2004-A A1 (1 Month LIBOR USD + 0.350%) (a)(c) | 09/15/2045 | 2.81 | % | 77,623 | 75,813 | ||||||||
Ally Auto Receivables Trust | |||||||||||||
Series 2017-3 A4 | 03/15/2022 | 2.01 | % | 225,000 | 221,610 | ||||||||
Series 2018-2 A3 | 11/15/2022 | 2.92 | % | 330,000 | 329,426 | ||||||||
American Express Credit Account Master Trust, 2017-6 A | 05/15/2023 | 2.04 | % | 400,000 | 393,832 | ||||||||
BA Credit Card Trust, 2018-A3 A3 | 12/15/2023 | 3.10 | % | 475,000 | 477,974 | ||||||||
Bank of The West Auto Trust, 2017-1 A3 (a) | 01/15/2023 | 2.11 | % | 750,000 | 740,854 | ||||||||
Barclays Dryrock Issuance Trust | |||||||||||||
Series 2015-1 A | 12/15/2022 | 2.20 | % | 460,000 | 455,615 | ||||||||
Series 2017-2 A (1 Month LIBOR USD + 0.300%) (c) | 05/15/2023 | 2.76 | % | 725,000 | 723,854 | ||||||||
Cabela’s Credit Card Master Note Trust | |||||||||||||
Series 2016-1 A1 | 06/15/2022 | 1.78 | % | 495,000 | 492,128 | ||||||||
Series 2015-1AA1 | 03/15/2023 | 2.26 | % | 1,200,000 | 1,187,565 | ||||||||
California Republic Auto Receivables Trust, 2018-1 A3 | 08/15/2022 | 3.14 | % | 290,000 | 290,664 | ||||||||
Capital One Multi-Asset Execution Trust | |||||||||||||
Series 2015-2A | 03/15/2023 | 2.08 | % | 660,000 | 652,072 | ||||||||
Series 2016-A7 (1 Month LIBOR USD + 0.510%) (c) | 09/16/2024 | 2.97 | % | 526,000 | 528,225 | ||||||||
Series 2015-A4 | 05/15/2025 | 2.75 | % | 1,210,000 | 1,206,902 | ||||||||
CarMax Auto Owner Trust | |||||||||||||
Series 2018-1 | 11/15/2022 | 2.48 | % | 496,000 | 492,278 | ||||||||
Series 2018-2 A3 | 01/17/2023 | 2.98 | % | 1,000,000 | 1,005,829 | ||||||||
Series 2018-4 | 09/15/2023 | 3.36 | % | 900,000 | 906,165 | ||||||||
CenterPoint Energy Transition Bond Co. III LLC, 2008-A A2 | 02/01/2023 | 5.23 | % | 318,821 | 322,836 | ||||||||
Citibank Credit Card Issuance Trust, 2018-A3 | 05/23/2025 | 3.29 | % | 1,085,000 | 1,100,344 | ||||||||
Conn’s Receivables Funding LLC, 2018-A A (a) | 07/17/2023 | 3.25 | % | 315,675 | 315,730 |
LoCorr Long/Short Commodities Strategy Fund - Consolidated Schedule of Investments (continued) | | 29 |
Maturity Date | Coupon Rate | Principal Amount | Value | ||||||||||
ASSET BACKED SECURITIES (continued) | |||||||||||||
Countrywide Asset-Backed Certificates, 2004-AB1 (1 Month LIBOR USD + 0.975%) (c) | 11/25/2034 | 3.48 | % | $ | 308,275 | $ | 307,939 | ||||||
Deephaven Residential Mortgage Trust, 2018-3 (a)(d) | 08/25/2058 | 3.79 | % | 462,503 | 463,432 | ||||||||
Discover Card Execution Note Trust | |||||||||||||
Series 2017-A6 | 02/15/2023 | 1.88 | % | 550,000 | 541,100 | ||||||||
Series 2018-4 | 01/16/2024 | 3.11 | % | 1,000,000 | 1,006,019 | ||||||||
Evergreen Credit Card Trust, 2018-2 A (1 Month LIBOR USD + 0.350%) (a)(b)(c) | 07/15/2022 | 2.81 | % | 375,000 | 374,821 | ||||||||
Fifth Third Auto Trust, 2017-1 A3 | 02/15/2022 | 1.80 | % | 170,000 | 168,148 | ||||||||
FirstEnergy Ohio PIRB Special Purpose Trust, 2013-1 A2 | 01/15/2022 | 1.73 | % | 104,703 | 104,330 | ||||||||
Ford Credit Auto Owner Trust | |||||||||||||
Series 2018-A A3 | 11/15/2022 | 3.03 | % | 500,000 | 500,233 | ||||||||
Series 2015-2 A (a) | 01/15/2027 | 2.44 | % | 850,000 | 842,857 | ||||||||
Series 2016-1 A (a) | 08/15/2027 | 2.31 | % | 760,000 | 749,641 | ||||||||
GLS Auto Receivables Trust, 2018-2A A (a) | 04/18/2022 | 3.25 | % | 357,482 | 356,648 | ||||||||
GM Financial Automobile Leasing Trust, 2018-1 A2A | 04/20/2020 | 2.39 | % | 340,832 | 339,888 | ||||||||
GM Financial Consumer Automobile Receivables Trust, 2018-1 A3 | 07/18/2022 | 2.32 | % | 445,000 | 440,416 | ||||||||
Honda Auto Receivables Owner Trust, 2017-4 | 03/21/2024 | 2.21 | % | 760,000 | 748,782 | ||||||||
Hyundai Auto Receivables Trust, 2018-B | 12/15/2022 | 3.20 | % | 1,500,000 | 1,508,484 | ||||||||
Invitation Homes Trust | |||||||||||||
Series 2017-SFR2 A (1 Month LIBOR USD + 0.850%) (a)(c) | 12/19/2036 | 3.28 | % | 474,865 | 469,068 | ||||||||
Series 2018-SFR1 A (1 Month LIBOR USD + 0.700%) (a)(c) | 03/19/2037 | 3.16 | % | 653,480 | 639,822 | ||||||||
Series 2018-SFR2 A (1 Month LIBOR USD + 0.900%) (a)(c) | 06/18/2037 | 3.36 | % | 601,444 | 594,443 | ||||||||
Series 2018-SFR3 A (1 Month LIBOR USD + 1.000%) (a)(c) | 07/17/2037 | 3.46 | % | 488,147 | 485,325 | ||||||||
Series 2018-SFR4 A (1 Month LIBOR USD + 1.100%) (a)(c) | 01/19/2038 | 3.56 | % | 489,270 | 493,281 | ||||||||
Mercedes-Benz Auto Lease Trust, 2018-A A2 | 04/15/2020 | 2.20 | % | 306,857 | 306,188 | ||||||||
Mercedes-Benz Auto Receivables Trust, 2018-1 A3 | 01/17/2023 | 3.03 | % | 845,000 | 846,524 | ||||||||
NRZ Advance Receivables Trust Advance Receivables Backed | |||||||||||||
Series 2017-T1 AT1 (a) | 02/15/2051 | 3.21 | % | 848,000 | 846,281 | ||||||||
Series 2016-T3 AT3 (a) | 10/16/2051 | 2.83 | % | 1,110,000 | 1,095,019 | ||||||||
Ocwen Master Advance Receivables Trust | |||||||||||||
Series 2016-T2 AT2 (a) | 08/16/2049 | 2.72 | % | 725,000 | 722,028 | ||||||||
Series 2018-T2 AT2 (a) | 08/15/2050 | 3.60 | % | 735,000 | 736,771 | ||||||||
OneMain Financial Issuance Trust | |||||||||||||
Series 2015-2A B (a) | 07/18/2025 | 3.10 | % | 242,439 | 242,315 | ||||||||
Series 2015-2 C (a) | 07/18/2025 | 4.32 | % | 400,000 | 400,278 | ||||||||
Series 2016-2 B (a) | 03/20/2028 | 5.94 | % | 575,000 | 583,976 | ||||||||
Progress Residential Trust, 2017-SFR1 A (a) | 08/17/2034 | 2.77 | % | 323,959 | 317,805 | ||||||||
Prosper Marketplace Issuance Trust, 2018-1A A (a) | 06/17/2024 | 3.11 | % | 343,283 | 342,677 | ||||||||
Santander Retail Auto Lease Trust, 2017-A A2A (a) | 03/20/2020 | 2.02 | % | 252,763 | 251,831 | ||||||||
SMB Private Education Loan Trust | |||||||||||||
Series 2017-A A1 (1 Month LIBOR USD + 0.450%) (a)(c) | 06/17/2024 | 2.91 | % | 44,601 | 44,601 | ||||||||
Series 2018-C A1 (1 Month LIBOR USD + 0.300%) (a)(c) | 09/15/2025 | 2.76 | % | 374,490 | 373,860 | ||||||||
SoFi Professional Loan Program LLC | |||||||||||||
Series 2015-AA2 (a) | 03/25/2030 | 2.42 | % | 247,257 | 244,824 | ||||||||
Series 2015-C A2 (a) | 08/25/2033 | 2.51 | % | 365,940 | 360,690 | ||||||||
Series 2015-DA2 (a) | 10/27/2036 | 2.72 | % | 135,505 | 133,253 | ||||||||
Series 2016-A A2 (a) | 12/26/2036 | 2.76 | % | 804,854 | 793,278 | ||||||||
Series 2017-B A2FX (a) | 05/25/2040 | 2.74 | % | 924,000 | 908,096 | ||||||||
Series 2017-D A1FX (a) | 09/25/2040 | 1.72 | % | 80,669 | 80,100 | ||||||||
SPS Servicer Advance Receivables Trust, 2018-T1 (a) | 10/17/2050 | 3.62 | % | 595,000 | 597,445 | ||||||||
Starwood Waypoint Homes Trust, 2017-1 A (1 Month LIBOR USD + 0.950%) (a)(c) | 01/22/2035 | 3.41 | % | 630,756 | 627,393 | ||||||||
Synchrony Card Issuance Trust, 2018-A1 A1 | 09/15/2024 | 3.38 | % | 1,035,000 | 1,044,403 | ||||||||
Synchrony Credit Card Master Note Trust, 2018-1 A | 03/15/2024 | 2.97 | % | 800,000 | 798,864 | ||||||||
TCF Auto Receivables Owner Trust | |||||||||||||
Series 2016-1A A3 (a) | 04/15/2021 | 1.71 | % | 234,880 | 233,882 | ||||||||
Series 2016-PT1 A (a) | 06/15/2022 | 1.93 | % | 318,251 | 315,068 | ||||||||
Toyota Auto Receivables Owner Trust, 2017-B A-4 | 09/15/2022 | 2.05 | % | 650,000 | 638,333 | ||||||||
Tricon American Homes Trust, 2017-SFR1 A (a) | 09/19/2034 | 2.72 | % | 315,000 | 304,412 |
30 | | LoCorr Long/Short Commodities Strategy Fund - Consolidated Schedule of Investments (continued) |
Maturity Date | Coupon Rate | Principal Amount | Value | ||||||||||
ASSET BACKED SECURITIES (continued) | |||||||||||||
Verizon Owner Trust | |||||||||||||
Series 2018-1A A1B (1 Month LIBOR USD + 0.260%) (a)(c) | 09/20/2022 | 2.73 | % | $ | 475,000 | $ | 474,285 | ||||||
Series 2018-A | 04/20/2023 | 3.23 | % | 705,000 | 709,323 | ||||||||
Volkswagen Auto Loan Enhanced Trust | |||||||||||||
Series 2018-1 A2A | 07/20/2021 | 2.81 | % | 430,000 | 429,420 | ||||||||
Series 2018-1 | 11/21/2022 | 3.02 | % | 719,000 | 719,134 | ||||||||
World Omni Auto Receivables Trust, 2016-B A3 | 02/15/2022 | 1.30 | % | 351,651 | 347,564 | ||||||||
TOTAL ASSET BACKED SECURITIES (Cost $40,102,150) | 40,140,533 | ||||||||||||
CORPORATE BONDS: 25.52% | |||||||||||||
Administrative Support, Waste Management: 0.17% | |||||||||||||
Mastercard, Inc. | 11/21/2021 | 2.00 | % | 450,000 | 437,844 | ||||||||
Safina Ltd. (b) | 01/15/2022 | 1.55 | % | 8,741 | 8,584 | ||||||||
446,428 | |||||||||||||
Finance and Insurance: 10.72% | |||||||||||||
Aflac, Inc. | 06/15/2023 | 3.63 | % | 250,000 | 250,830 | ||||||||
American Express Credit Corp. | 05/26/2020 | 2.38 | % | 405,000 | 400,753 | ||||||||
American Honda Finance Corp. | 02/12/2021 | 2.65 | % | 520,000 | 514,143 | ||||||||
American International Group, Inc. | 08/15/2020 | 3.38 | % | 685,000 | 686,541 | ||||||||
Bank of America Corp. | 04/21/2020 | 2.25 | % | 810,000 | 801,343 | ||||||||
Bank of America Corp. (3 Month LIBOR USD + 0.660%) (c) | 07/21/2021 | 2.37 | % | 775,000 | 761,131 | ||||||||
Bank of America Corp. | 01/11/2023 | 3.30 | % | 790,000 | 778,039 | ||||||||
Bank of New York Mellon Corp. | 02/07/2022 | 2.60 | % | 385,000 | 378,185 | ||||||||
BB&T Corp. | 01/15/2020 | 2.45 | % | 435,000 | 431,964 | ||||||||
Berkshire Hathaway Finance Corp. | 01/15/2021 | 4.25 | % | 250,000 | 256,428 | ||||||||
BNP Paribas SA (b) | 05/21/2020 | 2.38 | % | 230,000 | 227,489 | ||||||||
Capital One Financial Corp. | 07/15/2021 | 4.75 | % | 505,000 | 517,510 | ||||||||
Charles Schwab Corp. | 01/25/2023 | 2.65 | % | 490,000 | 478,325 | ||||||||
Chubb INA Holdings, Inc. | 11/03/2020 | 2.30 | % | 165,000 | 162,640 | ||||||||
Chubb INA Holdings, Inc. | 03/13/2023 | 2.70 | % | 220,000 | 214,984 | ||||||||
Citigroup, Inc. | 10/26/2020 | 2.65 | % | 805,000 | 794,298 | ||||||||
Citigroup, Inc. | 01/14/2022 | 4.50 | % | 770,000 | 786,735 | ||||||||
Citigroup, Inc. (3 Month LIBOR USD + 0.722%) (c) | 01/24/2023 | 3.14 | % | 710,000 | 697,398 | ||||||||
Cooperatieve Rabobank UA (b) | 11/09/2022 | 3.95 | % | 895,000 | 892,080 | ||||||||
Credit Suisse Group Funding Guernsey Ltd. (b) | 09/15/2022 | 3.80 | % | 370,000 | 367,301 | ||||||||
Dragon 2012 LLC | 03/12/2024 | 1.97 | % | 11,915 | 11,671 | ||||||||
Fifth Third Bancorp | 07/27/2020 | 2.88 | % | 190,000 | 188,904 | ||||||||
Fifth Third Bancorp | 03/15/2022 | 3.50 | % | 190,000 | 190,335 | ||||||||
General Motors Financial Co., Inc. | 04/09/2021 | 3.55 | % | 195,000 | 192,315 | ||||||||
General Motors Financial Co., Inc. | 05/09/2023 | 3.70 | % | 290,000 | 275,915 | ||||||||
Goldman Sachs Group, Inc. | 09/15/2020 | 2.75 | % | 250,000 | 247,415 | ||||||||
Goldman Sachs Group, Inc. | 02/25/2021 | 2.88 | % | 1,125,000 | 1,105,765 | ||||||||
Goldman Sachs Group, Inc. | 02/23/2023 | 3.20 | % | 590,000 | 572,279 | ||||||||
Hartford Financial Services Group, Inc. | 03/30/2020 | 5.50 | % | 745,000 | 764,468 | ||||||||
HSBC Holdings PLC (b) | 04/05/2021 | 5.10 | % | 580,000 | 599,784 | ||||||||
John Deere Capital Corp. | 01/08/2021 | 2.55 | % | 480,000 | 475,663 | ||||||||
JP Morgan Chase & Co. | 01/23/2020 | 2.25 | % | 685,000 | 678,177 | ||||||||
JP Morgan Chase & Co. | 05/10/2021 | 4.63 | % | 130,000 | 133,786 | ||||||||
JP Morgan Chase & Co. | 01/25/2023 | 3.20 | % | 1,765,000 | 1,739,285 | ||||||||
Lazard Group LLC | 11/14/2020 | 4.25 | % | 158,000 | 160,102 | ||||||||
Lincoln National Corp. | 09/01/2023 | 4.00 | % | 650,000 | 662,625 | ||||||||
Marsh & McLennan Companies, Inc. | 07/15/2021 | 4.80 | % | 390,000 | 401,923 | ||||||||
MetLife, Inc. | 02/08/2021 | 4.75 | % | 60,000 | 61,910 | ||||||||
Metropolitan Life Global Funding (a) | 04/14/2020 | 2.00 | % | 195,000 | 192,212 | ||||||||
Morgan Stanley | 07/24/2020 | 5.50 | % | 450,000 | 463,894 | ||||||||
Morgan Stanley | 07/28/2021 | 5.50 | % | 910,000 | 953,666 |
LoCorr Long/Short Commodities Strategy Fund - Consolidated Schedule of Investments (continued) | | 31 |
Maturity Date | Coupon Rate | Principal Amount | Value | ||||||||||
CORPORATE BONDS (continued) | |||||||||||||
Morgan Stanley | 01/23/2023 | 3.13 | % | $ | 865,000 | $ | 845,057 | ||||||
MSN 41079 and 41084 Ltd. (b) | 07/13/2024 | 1.72 | % | 12,670 | 12,303 | ||||||||
PNC Bank NA | 01/22/2021 | 2.50 | % | 705,000 | 695,653 | ||||||||
Prudential Financial, Inc. | 06/15/2019 | 7.38 | % | 215,000 | 218,900 | ||||||||
Prudential Financial, Inc. | 11/15/2020 | 4.50 | % | 680,000 | 695,554 | ||||||||
State Street Corp. | 08/18/2020 | 2.55 | % | 305,000 | 302,439 | ||||||||
State Street Corp. | 05/15/2023 | 3.10 | % | 220,000 | 216,178 | ||||||||
SunTrust Banks, Inc. | 03/03/2021 | 2.90 | % | 915,000 | 907,085 | ||||||||
SunTrust Banks, Inc. | 08/01/2022 | 2.45 | % | 305,000 | 294,038 | ||||||||
Tagua Leasing LLC | 11/16/2024 | 1.58 | % | 13,136 | 12,682 | ||||||||
Trinity Acquisition PLC (b) | 09/15/2021 | 3.50 | % | 385,000 | 381,259 | ||||||||
UnitedHealth Group, Inc. | 10/15/2020 | 3.88 | % | 195,000 | 197,602 | ||||||||
UnitedHealth Group, Inc. | 03/15/2022 | 2.88 | % | 300,000 | 297,614 | ||||||||
Unum Group | 05/15/2021 | 3.00 | % | 325,000 | 321,288 | ||||||||
Wells Fargo & Co. | 07/22/2020 | 2.60 | % | 565,000 | 559,523 | ||||||||
Wells Fargo & Co. | 02/13/2023 | 3.45 | % | 785,000 | 768,529 | ||||||||
Westpac Banking Corp. (b) | 05/15/2023 | 3.65 | % | 350,000 | 352,104 | ||||||||
27,548,019 | |||||||||||||
Information: 3.20% | |||||||||||||
21st Century Fox America, Inc. | 02/15/2021 | 4.50 | % | 830,000 | 852,155 | ||||||||
America Movil SAB de CV (b) | 03/30/2020 | 5.00 | % | 160,000 | 162,777 | ||||||||
AT&T, Inc. | 02/17/2021 | 2.80 | % | 1,310,000 | 1,293,638 | ||||||||
CBS Corp. | 08/15/2019 | 2.30 | % | 185,000 | 183,628 | ||||||||
Charter Communications Operating LLC/Charter Communications Operating Capital | 07/23/2020 | 3.58 | % | 695,000 | 694,251 | ||||||||
Discovery Communications LLC | 04/01/2023 | 3.25 | % | 510,000 | 492,936 | ||||||||
Microsoft Corp. | 02/06/2022 | 2.40 | % | 1,060,000 | 1,047,788 | ||||||||
NBCUniversal Media LLC | 01/15/2023 | 2.88 | % | 550,000 | 539,947 | ||||||||
Oracle Corp. | 10/15/2022 | 2.50 | % | 640,000 | 622,883 | ||||||||
Orange SA (b) | 11/03/2019 | 1.63 | % | 180,000 | 177,748 | ||||||||
Verizon Communications, Inc. | 03/15/2021 | 3.45 | % | 440,000 | 442,901 | ||||||||
Verizon Communications, Inc. | 11/01/2021 | 3.50 | % | 185,000 | 186,982 | ||||||||
Visa, Inc. | 12/14/2022 | 2.80 | % | 485,000 | 478,915 | ||||||||
Vodafone Group PLC (b) | 03/16/2021 | 4.38 | % | 1,020,000 | 1,043,887 | ||||||||
8,220,436 | |||||||||||||
Manufacturing: 5.48% | |||||||||||||
Abbott Laboratories | 11/30/2021 | 2.90 | % | 710,000 | 703,832 | ||||||||
AbbVie, Inc. | 05/14/2020 | 2.50 | % | 685,000 | 678,499 | ||||||||
AerCap Ireland Capital DAC/AerCap Global Aviation Trust (b) | 02/01/2022 | 3.95 | % | 430,000 | 422,448 | ||||||||
Anheuser-Busch InBev Finance, Inc. | 02/01/2021 | 2.65 | % | 480,000 | 472,030 | ||||||||
Apple, Inc. | 02/23/2021 | 2.25 | % | 485,000 | 479,318 | ||||||||
Applied Materials, Inc. | 06/15/2021 | 4.30 | % | 880,000 | 905,929 | ||||||||
Archer-Daniels-Midland Co. | 03/01/2021 | 4.48 | % | 825,000 | 851,310 | ||||||||
Bunge Ltd. Finance Corp. | 11/24/2020 | 3.50 | % | 595,000 | 593,561 | ||||||||
Caterpillar, Inc. | 06/26/2022 | 2.60 | % | 405,000 | 394,885 | ||||||||
Celgene Corp. | 02/20/2023 | 3.25 | % | 735,000 | 717,693 | ||||||||
Chevron Corp. | 03/03/2020 | 1.96 | % | 195,000 | 193,042 | ||||||||
Chevron Corp. | 12/05/2022 | 2.36 | % | 370,000 | 358,304 | ||||||||
Cisco Systems, Inc. | 03/04/2024 | 3.63 | % | 500,000 | 509,937 | ||||||||
Daimler Finance North America LLC (a) | 05/04/2023 | 3.70 | % | 310,000 | 308,579 | ||||||||
Dr. Pepper Snapple Group, Inc. | 11/15/2021 | 2.53 | % | 180,000 | 174,155 | ||||||||
Eastman Chemical Co. | 01/15/2020 | 2.70 | % | 78,000 | 77,425 | ||||||||
General Electric Co. | 01/07/2021 | 4.63 | % | 330,000 | 330,852 | ||||||||
General Electric Co. | 10/09/2022 | 2.70 | % | 375,000 | 347,972 | ||||||||
General Mills, Inc. | 04/16/2021 | 3.20 | % | 395,000 | 392,831 | ||||||||
Heineken NV (a)(b) | 04/01/2022 | 3.40 | % | 280,000 | 280,472 | ||||||||
Ingersoll-Rand Global Holding Co. Ltd. | 06/15/2023 | 4.25 | % | 525,000 | 537,981 | ||||||||
Intel Corp. | 12/15/2022 | 2.70 | % | 505,000 | 497,407 |
32 | | LoCorr Long/Short Commodities Strategy Fund - Consolidated Schedule of Investments (continued) |
Maturity Date | Coupon Rate | Principal Amount | Value | ||||||||||
CORPORATE BONDS (continued) | |||||||||||||
Keurig Dr Pepper, Inc. (a) | 05/25/2021 | 3.55 | % | $ | 630,000 | $ | 629,046 | ||||||
Kraft Heinz Foods Co. | 07/02/2020 | 2.80 | % | 420,000 | 416,947 | ||||||||
L3 Technologies, Inc. | 02/15/2021 | 4.95 | % | 515,000 | 527,002 | ||||||||
Packaging Corp. of America | 12/15/2020 | 2.45 | % | 360,000 | 353,468 | ||||||||
PepsiCo, Inc. | 10/14/2020 | 2.15 | % | 175,000 | 172,819 | ||||||||
Reynolds American, Inc. | 06/12/2020 | 3.25 | % | 335,000 | 332,943 | ||||||||
Rockwell Collins, Inc. | 07/15/2019 | 1.95 | % | 245,000 | 243,196 | ||||||||
Tyson Foods, Inc. | 08/15/2019 | 2.65 | % | 595,000 | 591,920 | ||||||||
United Technologies Corp. | 06/01/2022 | 3.10 | % | 600,000 | 587,546 | ||||||||
14,083,349 | |||||||||||||
Mining, Quarrying, and Oil and Gas Extraction: 1.08% | |||||||||||||
ConocoPhillips Co. | 12/15/2022 | 2.40 | % | 440,000 | 425,085 | ||||||||
Enterprise Products Operating LLC | 02/15/2021 | 2.80 | % | 625,000 | 618,442 | ||||||||
Occidental Petroleum Corp. | 02/01/2021 | 4.10 | % | 605,000 | 615,455 | ||||||||
Schlumberger Holdings Corp. (a) | 12/21/2020 | 3.00 | % | 625,000 | 619,583 | ||||||||
Total Capital International SA (b) | 06/19/2021 | 2.75 | % | 505,000 | 501,323 | ||||||||
2,779,888 | |||||||||||||
Professional, Scientific, and Technical Services: 0.80% | |||||||||||||
Biogen, Inc. | 09/15/2020 | 2.90 | % | 770,000 | 764,266 | ||||||||
eBay, Inc. | 03/09/2022 | 3.80 | % | 470,000 | 471,959 | ||||||||
International Business Machines Corp. | 08/01/2022 | 1.88 | % | 855,000 | 807,157 | ||||||||
Phoenix 2012 LLC | 07/03/2024 | 1.61 | % | 12,717 | 12,325 | ||||||||
2,055,707 | |||||||||||||
Real Estate and Rental and Leasing: 0.47% | |||||||||||||
Air Lease Corp. | 06/01/2021 | 3.38 | % | 300,000 | 297,138 | ||||||||
Helios Leasing I LLC | 05/29/2024 | 2.02 | % | 12,203 | 11,959 | ||||||||
Helios Leasing I LLC | 07/24/2024 | 1.73 | % | 12,689 | 12,331 | ||||||||
Helios Leasing I LLC | 09/28/2024 | 1.56 | % | 12,596 | 12,128 | ||||||||
National Rural Utilities Cooperative Finance Corp. | 04/25/2022 | 2.40 | % | 295,000 | 287,066 | ||||||||
Toyota Motor Credit Corp. | 04/17/2020 | 1.95 | % | 600,000 | 592,548 | ||||||||
1,213,170 | |||||||||||||
Retail Trade: 2.06% | |||||||||||||
Amazon.com, Inc. | 02/22/2023 | 2.40 | % | 720,000 | 697,089 | ||||||||
BMW U.S. Capital LLC (a) | 04/12/2021 | 3.10 | % | 875,000 | 866,590 | ||||||||
BP Capital Markets PLC (b) | 01/15/2020 | 2.52 | % | 635,000 | 632,999 | ||||||||
BP Capital Markets PLC (b) | 03/11/2021 | 4.74 | % | 535,000 | 551,709 | ||||||||
CVS Health Corp. | 07/20/2020 | 2.80 | % | 540,000 | 535,128 | ||||||||
Home Depot Inc. | 06/01/2022 | 2.63 | % | 445,000 | 440,334 | ||||||||
Hyundai Capital America (a) | 03/18/2021 | 3.00 | % | 690,000 | 679,344 | ||||||||
Walgreens Boots Alliance, Inc. | 11/18/2019 | 2.70 | % | 360,000 | 357,945 | ||||||||
Walmart, Inc. | 10/25/2020 | 3.25 | % | 535,000 | 540,221 | ||||||||
5,301,359 | |||||||||||||
Transportation and Warehousing: 0.22% | |||||||||||||
Burlington Northern Santa Fe LLC | 09/15/2021 | 3.45 | % | 375,000 | 378,812 | ||||||||
Carnival Corp. (b) | 10/15/2020 | 3.95 | % | 170,000 | 172,192 | ||||||||
551,004 | |||||||||||||
Utilities: 0.85% | |||||||||||||
Berkshire Hathaway Energy Co. | 01/15/2021 | 2.38 | % | 210,000 | 207,129 | ||||||||
Dominion Energy, Inc. | 08/15/2021 | 2.00 | % | 440,000 | 422,807 | ||||||||
Dominion Resources, Inc. | 08/15/2019 | 1.60 | % | 195,000 | 192,829 | ||||||||
Duke Energy Corp. | 09/15/2021 | 3.55 | % | 575,000 | 576,561 | ||||||||
Exelon Generation Co., LLC | 10/01/2019 | 5.20 | % | 265,000 | 268,413 | ||||||||
Northern States Power Co. | 08/15/2020 | 2.20 | % | 170,000 | 167,697 | ||||||||
Sempra Energy | 02/01/2023 | 2.90 | % | 360,000 | 349,812 | ||||||||
2,185,248 |
LoCorr Long/Short Commodities Strategy Fund - Consolidated Schedule of Investments (continued) | | 33 |
Maturity Date | Coupon Rate | Principal Amount | Value | ||||||||||
CORPORATE BONDS (continued) | |||||||||||||
Wholesale Trade: 0.47% | |||||||||||||
LyondellBasell Industries NV (b) | 04/15/2019 | 5.00 | % | $ | 591,000 | $ | 591,643 | ||||||
Sysco Corp. | 10/01/2020 | 2.60 | % | 625,000 | 618,264 | ||||||||
1,209,907 | |||||||||||||
TOTAL CORPORATE BONDS (Cost $65,927,672) | 65,594,515 | ||||||||||||
FOREIGN GOVERNMENT BOND: 0.00% | |||||||||||||
Petroleos Mexicanos (b) | 12/20/2022 | 2.00 | % | 10,000 | 9,827 | ||||||||
TOTAL FOREIGN GOVERNMENT BOND (Cost $10,000) | 9,827 | ||||||||||||
MORTGAGE BACKED SECURITIES: 10.54% | |||||||||||||
BX Trust, 2018-MCSF A (1 Month LIBOR USD + 0.577%) (a)(c) | 04/16/2035 | 2.98 | % | 865,000 | 848,271 | ||||||||
Citigroup Commercial Mortgage Trust, 2012-GC8 A4A-4 | 09/12/2045 | 3.02 | % | 500,000 | 497,820 | ||||||||
Cold Storage Trust, 2017-ICE3 A (1 Month LIBOR USD + 1.000%) (a)(c) | 04/15/2036 | 3.46 | % | 875,000 | 859,356 | ||||||||
Fannie Mae Aces | |||||||||||||
Series 2014-M10 ASQ2 (d) | 09/25/2019 | 2.17 | % | 221,685 | 220,282 | ||||||||
Series 2010-M3 A3 (d) | 03/25/2020 | 4.33 | % | 178,008 | 179,677 | ||||||||
Fannie Mae Connecticut Avenue Securities | |||||||||||||
Series 2017-C01 1M1 (1 Month LIBOR USD + 1.300%) (c) | 07/25/2029 | 3.81 | % | 252,336 | 253,097 | ||||||||
Series 2017-C02 2M1 (1 Month LIBOR USD + 1.150%) (a)(c) | 09/25/2029 | 3.66 | % | 202,295 | 202,748 | ||||||||
Series 2018-C02 2M1 (1 Month LIBOR USD + 0.650%) (c) | 08/26/2030 | 3.16 | % | 333,814 | 333,439 | ||||||||
Series 2018-C03 1M1 (1 Month LIBOR USD + 0.680%) (c) | 10/25/2030 | 3.19 | % | 424,936 | 423,853 | ||||||||
Series 2018-C05 1M1 (1 Month LIBOR USD + 0.720%) (a)(c) | 01/27/2031 | 3.23 | % | 720,537 | 718,829 | ||||||||
Fannie Mae Pool | 12/01/2027 | 2.50 | % | 268,763 | 265,966 | ||||||||
FHLMC Multifamily Structured Pass Through Certificates | |||||||||||||
Series K-708 A2 | 01/25/2019 | 2.13 | % | 7,521 | 7,505 | ||||||||
Series K-709 A2 | 03/25/2019 | 2.09 | % | 17,899 | 17,853 | ||||||||
Series K-710 A2 | 05/25/2019 | 1.88 | % | 45,841 | 45,674 | ||||||||
Series K-F08 A (1 Month LIBOR USD + 0.300%) (c) | 01/25/2022 | 2.65 | % | 394,565 | 392,967 | ||||||||
Series K-052 A1 | 01/25/2025 | 2.60 | % | 506,011 | 500,234 | ||||||||
Flagstar Mortgage Trust | |||||||||||||
Series 2017-2 A5 (a)(d) | 10/25/2047 | 3.50 | % | 515,246 | 512,271 | ||||||||
Series 2018-4 A4 (a)(d) | 07/25/2048 | 4.00 | % | 862,110 | 867,120 | ||||||||
Freddie Mac Structured Agency Credit Risk Debt Notes, 2018-SPI2 M1 (d) | 05/25/2048 | 3.82 | % | 429,445 | 427,604 | ||||||||
FREMF Mortgage Trust, 2012-K708 B (a)(d) | 02/25/2045 | 3.72 | % | 150,000 | 149,648 | ||||||||
GS Mortgage Securities Corp. Trust, 2018-CHLL A (1 Month LIBOR USD + 0.750%) (a)(c) | 02/17/2037 | 3.21 | % | 855,000 | 843,415 | ||||||||
GS Mortgage Securities Trust, 2010-C1 A1 (a) | 08/12/2043 | 3.68 | % | �� | 80,552 | 80,708 | |||||||
JP Morgan Chase Commercial Mortgage Securities Trust | |||||||||||||
Series 2018-BCON A (a) | 01/07/2031 | 3.73 | % | 335,000 | 340,468 | ||||||||
Series 2017-MAUI A (1 Month LIBOR USD + 0.830%) (a)(c) | 07/17/2034 | 3.22 | % | 435,000 | 430,246 | ||||||||
Series 2010-C2 A3 (a) | 11/15/2043 | 4.07 | % | 306,517 | 310,127 | ||||||||
Series 2012-C8 ASB | 10/17/2045 | 2.38 | % | 378,383 | 372,222 | ||||||||
JP Morgan Mortgage Trust | |||||||||||||
Series 2016-1 A5 (a)(d) | 05/25/2046 | 3.50 | % | 206,829 | 204,704 | ||||||||
Series 2016-4 A5 (a)(d) | 10/25/2046 | 3.50 | % | 221,106 | 218,702 | ||||||||
JPMBB Commercial Mortgage Securities Trust | |||||||||||||
Series 2014-C18 | 02/15/2047 | 3.57 | % | 1,000,000 | 1,005,157 | ||||||||
Series 2014-C23 | 09/17/2047 | 3.66 | % | 830,000 | 837,971 | ||||||||
Morgan Stanley Bank of America Merrill Lynch Trust, 2013-C10 (d) | 07/17/2046 | 3.91 | % | 541,988 | 551,572 | ||||||||
Morgan Stanley Capital I Trust, 2017-CLS A (1 Month LIBOR USD + 0.700%) (a)(c) | 11/15/2034 | 3.16 | % | 560,000 | 551,403 |
34 | | LoCorr Long/Short Commodities Strategy Fund - Consolidated Schedule of Investments (continued) |
Maturity Date | Coupon Rate | Principal Amount | Value | ||||||||||
MORTGAGE BACKED SECURITIES (continued) | |||||||||||||
New Residential Mortgage Loan Trust | |||||||||||||
Series 2018-NQM1 (a)(d) | 11/25/2048 | 3.99 | % | $ | 819,134 | $ | 831,569 | ||||||
Series 2015-1A A3 (a)(d) | 05/28/2052 | 3.75 | % | 897,158 | 898,830 | ||||||||
Series 2014-2A A3 (a)(d) | 05/25/2054 | 3.75 | % | 145,360 | 145,736 | ||||||||
Series 2016-1A A1 (a)(d) | 03/25/2056 | 3.75 | % | 334,197 | 333,216 | ||||||||
Series 2017-1A A1 (a)(d) | 02/25/2057 | 4.00 | % | 624,721 | 628,603 | ||||||||
Series 2017-6A A1 (a)(d) | 08/25/2057 | 4.00 | % | 279,042 | 280,485 | ||||||||
Series 2018-5 (a)(d) | 12/25/2057 | 4.75 | % | 742,403 | 760,771 | ||||||||
OBX Trust | |||||||||||||
Series 2018-EXP1 (a)(d) | 04/25/2048 | 4.50 | % | 490,310 | 497,244 | ||||||||
Series 2018-EXP2 (a)(d) | 07/25/2058 | 4.00 | % | 619,749 | 618,838 | ||||||||
Sequoia Mortgage Trust | |||||||||||||
Series 2017-CH1 (a)(d) | 08/25/2047 | 3.50 | % | 470,898 | 468,939 | ||||||||
Series 2017-CH2 (a)(d) | 12/25/2047 | 4.00 | % | 419,148 | 420,578 | ||||||||
Series 2018-CH4 A10 (a)(d) | 10/25/2048 | 4.50 | % | 484,963 | 494,460 | ||||||||
STACR Trust | |||||||||||||
Series 2018-DNA2 M1 (1 Month LIBOR USD + 0.800%) (a)(c) | 12/26/2030 | 3.31 | % | 900,000 | 898,959 | ||||||||
Series 2018-DNA3 M1 (1 Month LIBOR USD + 0.750%) (a)(c) | 09/25/2048 | 3.26 | % | 650,000 | 648,747 | ||||||||
UBS-Barclays Commercial Mortgage Trust, 2012-C4 A-5 | 12/12/2045 | 2.85 | % | 870,000 | 860,158 | ||||||||
Verus Securitization Trust | |||||||||||||
Series 2018-2 (a)(d) | 07/25/2058 | 3.68 | % | 529,314 | 528,433 | ||||||||
Series 2018-3 A-1 (a)(d) | 10/25/2058 | 4.11 | % | 418,055 | 415,370 | ||||||||
VNDO Mortgage Trust, 2013-PENN (a) | 12/13/2029 | 3.81 | % | 605,000 | 610,548 | ||||||||
Wells Fargo Commercial Mortgage Trust, 2015-C26 A1 | 02/18/2048 | 1.45 | % | 6,643 | 6,626 | ||||||||
WFRBS Commercial Mortgage Trust | |||||||||||||
Series 2011-C2 A4 (a)(d) | 02/15/2044 | 4.87 | % | 1,187,742 | 1,219,252 | ||||||||
Series 2011-C3 (a) | 03/17/2044 | 4.38 | % | 785,000 | 800,974 | ||||||||
Series 2012-C10 | 12/15/2045 | 2.88 | % | 975,000 | 959,930 | ||||||||
Series 2013-C17 | 12/17/2046 | 3.56 | % | 295,124 | 298,244 | ||||||||
TOTAL MORTGAGE BACKED SECURITIES (Cost $27,151,629) | 27,097,419 | ||||||||||||
MUNICIPAL BONDS: 0.04% | |||||||||||||
County of Forsyth, NC | 04/01/2020 | 3.55 | % | 30,000 | 30,230 | ||||||||
Louisiana Local Government Environmental Facilities & Community Development Authority | 02/01/2021 | 3.22 | % | 32,656 | 32,656 | ||||||||
Maricopa County School District No. 28 | 07/01/2019 | 5.38 | % | 15,000 | 15,182 | ||||||||
Rosemount-Apple Valley-Eagan Independent School District No. 196 | 02/01/2019 | 5.00 | % | 25,000 | 25,047 | ||||||||
TOTAL MUNICIPAL BONDS (Cost $103,502) | 103,115 | ||||||||||||
U.S. GOVERNMENT AGENCY ISSUES: 11.08% | |||||||||||||
Federal Farm Credit Banks | 07/24/2019 | 1.40 | % | 450,000 | 447,093 | ||||||||
Federal Farm Credit Banks | 10/26/2020 | 1.75 | % | 400,000 | 394,048 | ||||||||
Federal Farm Credit Banks | 11/27/2020 | 1.90 | % | 625,000 | 617,029 | ||||||||
Federal Farm Credit Banks | 04/05/2021 | 2.54 | % | 2,895,000 | 2,893,248 | ||||||||
Federal Farm Credit Banks | 11/15/2021 | 3.05 | % | 6,000,000 | 6,078,767 | ||||||||
Federal Farm Credit Banks | 07/17/2023 | 2.88 | % | 1,600,000 | 1,617,256 | ||||||||
Federal Home Loan Banks | 06/11/2021 | 3.63 | % | 3,000,000 | 3,073,059 | ||||||||
Federal Home Loan Banks | 06/10/2022 | 2.75 | % | 1,000,000 | 1,004,218 | ||||||||
Federal Home Loan Banks | 06/09/2023 | 3.25 | % | 1,000,000 | 1,025,342 | ||||||||
Federal Home Loan Banks | 09/08/2023 | 3.38 | % | 4,235,000 | 4,362,114 | ||||||||
Federal Home Loan Banks | 12/08/2023 | 3.38 | % | 4,150,000 | 4,276,778 | ||||||||
Federal National Mortgage Association | 04/13/2021 | 2.50 | % | 1,150,000 | 1,149,062 | ||||||||
Federal National Mortgage Association | 01/19/2023 | 2.38 | % | 220,000 | 218,354 | ||||||||
Federal National Mortgage Association | 09/12/2023 | 2.88 | % | 1,240,000 | 1,254,600 | ||||||||
Ginnie Mae II Pool (d) | 07/20/2060 | 5.31 | % | 6,530 | 6,593 | ||||||||
Ginnie Mae II Pool (d) | 07/20/2062 | 4.56 | % | 11,210 | 11,285 | ||||||||
Ginnie Mae II Pool (d) | 08/20/2062 | 4.10 | % | 24,154 | 24,270 |
LoCorr Long/Short Commodities Strategy Fund - Consolidated Schedule of Investments (continued) | | 35 |
Maturity Date | Coupon Rate | Principal Amount | Value | ||||||||||
U.S. GOVERNMENT AGENCY ISSUES (continued) | |||||||||||||
Small Business Administration Participation Certificates | 11/01/2032 | 2.09 | % | $ | 12,621 | $ | 12,198 | ||||||
TOTAL U.S. GOVERNMENT AGENCY ISSUES (Cost $28,251,923) | 28,465,314 | ||||||||||||
U.S. GOVERNMENT NOTES: 8.25% | |||||||||||||
United States Treasury Note | 11/30/2020 | 2.75 | % | 2,500,000 | 2,511,327 | ||||||||
United States Treasury Note | 05/15/2021 | 8.13 | % | 3,165,000 | 3,569,527 | ||||||||
United States Treasury Note | 08/31/2021 | 1.13 | % | 2,300,000 | 2,220,039 | ||||||||
United States Treasury Note | 04/30/2022 | 1.88 | % | 635,000 | 622,846 | ||||||||
United States Treasury Note | 05/15/2022 | 1.75 | % | 1,300,000 | 1,269,480 | ||||||||
United States Treasury Note | 06/30/2022 | 1.75 | % | 280,000 | 273,219 | ||||||||
United States Treasury Note | 08/31/2022 | 1.88 | % | 200,000 | 195,719 | ||||||||
United States Treasury Note | 10/31/2022 | 2.00 | % | 710,000 | 697,409 | ||||||||
United States Treasury Note | 11/15/2022 | 1.63 | % | 750,000 | 726,064 | ||||||||
United States Treasury Note | 07/31/2023 | 2.75 | % | 525,000 | 530,599 | ||||||||
United States Treasury Note | 05/15/2024 | 2.50 | % | 8,595,000 | 8,579,220 | ||||||||
TOTAL U.S. GOVERNMENT NOTES (Cost $21,128,495) | 21,195,449 | ||||||||||||
SHORT TERM INVESTMENTS: 9.70% | |||||||||||||
U.S. GOVERNMENT NOTE: 5.33% | |||||||||||||
United States Treasury Note | 08/31/2019 | 1.00 | % | 13,850,000 | 13,702,844 | ||||||||
TOTAL U.S. GOVERNMENT NOTE (Cost $13,706,283) | 13,702,844 | ||||||||||||
MONEY MARKET FUND: 4.37% | Shares | ||||||||||||
STIT-Government & Agency Portfolio, Institutional Class, 2.30% (e)(f) | 11,227,652 | 11,227,652 | |||||||||||
TOTAL MONEY MARKET FUND (Cost $11,227,652) | 11,227,652 | ||||||||||||
TOTAL SHORT TERM INVESTMENTS (Cost $24,933,935) | 24,930,496 | ||||||||||||
TOTAL INVESTMENTS (Cost $207,609,306): 80.75% | 207,536,668 | ||||||||||||
Other Assets in Excess of Liabilities: 19.25% (g) | 49,489,355 | ||||||||||||
TOTAL NET ASSETS: 100.00% | $ | 257,026,023 |
(a) | Security as defined in Rule 144A under the Securities Act of 1933 and determined to be liquid. Purchased in a private placement transaction; resale to the public may require registration or may extend only to qualified institutional buyers. At December 31, 2018, the value of these securities total $40,063,516 which represents 15.59% of total net assets. |
(b) | Foreign issued security. |
(c) | Variable rate security based on a reference index and spread. The rate reported is the rate in effect as of December 31, 2018. |
(d) | Variable rate security. The coupon is based on an underlying pool of loans. The rate reported is the rate in effect as of December 31, 2018. |
(e) | The rate quoted is the annualized seven-day effective yield as of December 31, 2018. |
(f) | All or a portion of this security is held by LCLSCS Fund Limited and pledged as collateral for swap contracts. |
(g) | Includes assets pledged as collateral for swap contracts. |
LIBOR | London Interbank Offered Rate |
36 | | LoCorr Long/Short Commodities Strategy Fund - Consolidated Scchedule of Swap Contracts |
Termination Date | Reference Index | Financing Rate | Payment Frequency | Notional Amount | Unrealized Appreciation (Depreciation)* | Counterparty |
12/16/2022 | LoCorr Commodities Index^ | 0.50% | Quarterly | $ 168,945,098 | $4,363,946 | Deutsche Bank AG |
^ | Comprised of a proprietary basket of Commodity Trading Advisor’s (“CTA”) Programs investing in various futures contracts, forward currency contracts, foreign currency and other similar investments. See Notes 2 & 3. |
* | Unrealized appreciation is a receivable on the Fund’s consolidated statement of assets and liabilities. |
Description | Expiration Date | Number of Contracts Purchased (Sold) | Value | Concentration % of Exposure | |||||||||
Futures: | |||||||||||||
Purchase Contracts:(1) | |||||||||||||
Brent Crude | 04/30/2019 | 2,385.09 | $ | 127,649,788 | 10.23 | % | |||||||
WTI Crude (NYMEX) | 05/21/2019 | 1,772.18 | 81,918,869 | 6.57 | % | ||||||||
WTI Crude (NYMEX) | 02/20/2019 | 1,510.61 | 68,143,598 | 5.46 | % | ||||||||
Sugar No.11 | 04/30/2019 | 3,540.91 | 48,085,520 | 3.85 | % | ||||||||
Copper | 07/29/2019 | 369.32 | 24,398,464 | 1.96 | % | ||||||||
Soybean Oil | 07/12/2019 | 1,392.98 | 23,828,290 | 1.91 | % | ||||||||
Live Cattle | 06/28/2019 | 459.22 | 21,482,125 | 1.72 | % | ||||||||
Hard Red Wheat | 07/12/2019 | 740.04 | 18,954,315 | 1.52 | % | ||||||||
Feeder Cattle | 01/31/2019 | 203.48 | 15,169,180 | 1.22 | % | ||||||||
Coffee | 12/18/2019 | 244.59 | 10,369,088 | 0.83 | % | ||||||||
Heating Oil | 01/31/2019 | 123.41 | 8,585,154 | 0.69 | % | ||||||||
Low Sulphur Gasoil | 01/10/2019 | 156.90 | 7,768,350 | 0.62 | % | ||||||||
Natural Gas | 02/26/2019 | 262.13 | 7,713,245 | 0.62 | % | ||||||||
WTI Crude (NYMEX) | 03/20/2019 | 152.11 | 6,910,508 | 0.55 | % | ||||||||
Palladium | 03/27/2019 | 48.79 | 5,833,947 | 0.47 | % | ||||||||
Lean Hogs | 06/14/2019 | 156.79 | 5,099,545 | 0.41 | % | ||||||||
Live Cattle | 04/30/2019 | 94.71 | 4,791,010 | 0.38 | % | ||||||||
Soybean Meal | 03/14/2019 | 147.33 | 4,585,642 | 0.37 | % | ||||||||
WTI Crude (ICE) | 02/19/2019 | 80.36 | 3,625,119 | 0.29 | % | ||||||||
Cotton No.2 | 03/07/2019 | 91.84 | 3,314,119 | 0.27 | % | ||||||||
Total Purchase Contracts | 498,225,876 | 39.94 | % | ||||||||||
Sale Contracts:(1) | |||||||||||||
WTI Crude (NYMEX) | 01/22/2019 | (3,795.57 | ) | $ | 170,136,461 | 13.64 | % | ||||||
Brent Crude | 01/31/2019 | (2,000.72 | ) | 105,538,238 | 8.46 | % | |||||||
Sugar No.11 | 02/28/2019 | (3,746.60 | ) | 50,606,009 | 4.06 | % | |||||||
Brent Crude | 02/28/2019 | (540.30 | ) | 28,625,141 | 2.29 | % | |||||||
Live Cattle | 02/28/2019 | (572.11 | ) | 28,402,160 | 2.27 | % | |||||||
Soybean Oil | 03/14/2019 | (1,423.59 | ) | 23,907,812 | 1.92 | % | |||||||
Hard Red Wheat | 03/14/2019 | (751.52 | ) | 18,351,224 | 1.47 | % | |||||||
Heating Oil | 02/28/2019 | (225.78 | ) | 15,620,356 | 1.25 | % | |||||||
Feeder Cattle | 03/28/2019 | (203.48 | ) | 14,952,986 | 1.20 | % | |||||||
Low Sulphur Gasoil | 02/12/2019 | (291.79 | ) | 14,461,827 | 1.16 | % |
LoCorr Long/Short Commodities Strategy Fund - Consolidated Schedule of Swap Contracts (continued) | | 37 |
Description | Expiration Date | Number of Contracts Purchased (Sold) | Value | Concentration % of Exposure | |||||||||
Sale Contracts:(1) (continued) | |||||||||||||
Copper | 03/27/2019 | (218.17 | ) | $ | 14,362,227 | 1.15 | % | ||||||
Gold | 02/26/2019 | (107.15 | ) | 13,756,325 | 1.10 | % | |||||||
Natural Gas | 01/29/2019 | (422.86 | ) | 12,916,133 | 1.04 | % | |||||||
Silver | 03/27/2019 | (149.24 | ) | 11,564,486 | 0.93 | % | |||||||
Gasoline RBOB | 02/28/2019 | (203.77 | ) | 11,042,211 | 0.89 | % | |||||||
Coffee | 03/19/2019 | (235.02 | ) | 8,855,231 | 0.71 | % | |||||||
Copper | 05/29/2019 | (129.15 | ) | 8,519,243 | 0.68 | % | |||||||
Brent Crude | 03/29/2019 | (112.89 | ) | 6,013,604 | 0.48 | % | |||||||
Cotton No.2 | 05/08/2019 | (166.46 | ) | 6,112,544 | 0.49 | % | |||||||
Nickel | 03/20/2019 | (67.92 | ) | 4,350,381 | 0.35 | % | |||||||
Low Sulphur Gasoil | 03/12/2019 | (88.02 | ) | 4,371,057 | 0.35 | % | |||||||
Wheat | 03/14/2019 | (171.25 | ) | 4,316,496 | 0.35 | % | |||||||
Lean Hogs | 02/14/2019 | (151.05 | ) | 3,701,440 | 0.30 | % | |||||||
Cocoa | 03/14/2019 | (152.11 | ) | 3,686,466 | 0.30 | % | |||||||
Corn | 03/14/2019 | (197.08 | ) | 3,674,266 | 0.29 | % | |||||||
Zinc | 03/20/2019 | (53.57 | ) | 3,301,529 | 0.26 | % | |||||||
Wheat | 05/14/2019 | (129.15 | ) | 3,301,469 | 0.26 | % | |||||||
Total Sale Contracts | 594,447,322 | 47.65 | % | ||||||||||
Other Futures Contracts | 38,632,005 | 3.10 | % | ||||||||||
Total Futures Contracts | 1,131,305,203 | 90.69 | % |
Forward Currency Contracts: |
|
| Delivered (in USD) | Received (in USD) | |||||||||||
Purchase Contracts:(1) |
| U.S. |
| ||||||||||||
USD/EUR | 12/31/2018 | Dollar | $ | 9,946,037 | Euro | $ | 9,981,699 | 0.80 | % | ||||||
Total Forward Currency Contracts |
|
|
| 9,981,699 | 0.80 | % | |||||||||
|
|
|
| ||||||||||||
Cash and Foreign Currency: |
|
| Quantity |
| Value | ||||||||||
Cash and Foreign Currency Purchased:(1) |
|
|
| ||||||||||||
U.S. Dollar |
|
| 51,605,870 |
| $ | 51,605,870 | 4.14 | % | |||||||
Total Cash and Foreign Currency Purchased |
|
|
| 51,605,870 | 4.14 | % | |||||||||
|
|
|
| ||||||||||||
Cash and Foreign Currency Sold:(1) |
|
|
| ||||||||||||
Euro |
|
| 45,956,863 |
| $ | 52,655,121 | 4.22 | % | |||||||
Total Cash and Foreign Currency Sold |
|
|
| 52,655,121 | 4.22 | % | |||||||||
Other Cash and Foreign Currency |
|
|
| 1,825,778 | 0.15 | % | |||||||||
Total Cash and Foreign Currency |
|
|
| 106,086,769 | 8.51 | % | |||||||||
Total Underlying Positions |
|
|
| $ | 1,247,373,671 | 100.00 | % |
^ | The investment is not a direct holding of LoCorr Long/Short Commodities Strategy Fund. The top 50 holdings and other futures contracts, other forward currency contracts, and other cash and foreign currency were determined based on the absolute notional values of the positions within the underlying swap basket. |
(1) | Represents the 50 largest components of the basket. |
ICE | Intercontinental Exchange |
NYMEX | New York Mercantile Exchange |
38 | | LoCorr Market Trend Fund - Consolidated Schedule of Investments |
Maturity Date | Coupon Rate | Principal Amount | Value | ||||||||||
ASSET BACKED SECURITIES: 24.73% | |||||||||||||
Ally Auto Receivables Trust, 2018-3 | 01/17/2023 | 3.00 | % | $ | 2,500,000 | $ | 2,497,949 | ||||||
American Express Credit Account Master Trust, 2017-8 A (1 Month LIBOR USD + 0.120%) (c) | 05/16/2022 | 2.58 | % | 4,350,000 | 4,347,071 | ||||||||
BA Credit Card Trust, 2017-A1 A1 | 08/15/2022 | 1.95 | % | 2,000,000 | 1,976,129 | ||||||||
Bank of The West Auto Trust, 2017-1 A3 (a) | 01/15/2023 | 2.11 | % | 4,000,000 | 3,951,220 | ||||||||
Barclays Dryrock Issuance Trust | |||||||||||||
Series 2016-1 A | 05/16/2022 | 1.52 | % | 2,950,000 | 2,926,056 | ||||||||
Series 2017-2 A (1 Month LIBOR USD + 0.300%) (c) | 05/15/2023 | 2.76 | % | 4,000,000 | 3,993,678 | ||||||||
BMW Vehicle Lease Trust, 2018-1 | 07/20/2021 | 3.26 | % | 2,450,000 | 2,461,585 | ||||||||
Cabela’s Credit Card Master Note Trust | |||||||||||||
Series 2016-1 A1 | 06/15/2022 | 1.78 | % | 5,240,000 | 5,209,600 | ||||||||
Series 2015-II | 07/17/2023 | 2.25 | % | 2,500,000 | 2,470,012 | ||||||||
California Republic Auto Receivables Trust, 2018-1 A3 | 08/15/2022 | 3.14 | % | 2,400,000 | 2,405,493 | ||||||||
CarMax Auto Owner Trust | |||||||||||||
Series 2015-3 A3 | 05/15/2020 | 1.63 | % | 552,557 | 551,872 | ||||||||
Series 2018-4 | 09/15/2023 | 3.36 | % | 2,750,000 | 2,768,837 | ||||||||
CenterPoint Energy Residential Bond, 2009-1 A-3 | 08/15/2023 | 4.24 | % | 2,044,451 | 2,094,292 | ||||||||
Chase Issuance Trust, 2018-A1 A1 (1 Month LIBOR USD + 0.200%) (c) | 04/17/2023 | 2.66 | % | 3,050,000 | 3,040,610 | ||||||||
Citibank Credit Card Issuance Trust | |||||||||||||
Series 2017-A4 A4 (1 Month LIBOR USD + 0.220%) (c) | 04/07/2022 | 2.60 | % | 4,650,000 | 4,650,002 | ||||||||
Series 2018-A1 A1 | 01/20/2023 | 2.49 | % | 3,000,000 | 2,975,808 | ||||||||
Drive Auto Receivables Trust, 2018-2 A2 | 09/15/2020 | 2.64 | % | 838,104 | 837,736 | ||||||||
Entergy Arkansas Restoration Funding LLC, 2010-A A1 | 08/01/2021 | 2.30 | % | 2,416,580 | 2,403,989 | ||||||||
Evergreen Credit Card Trust, 2018-2 A (1 Month LIBOR USD +0.350%) (a)(b)(c) | 07/15/2022 | 2.81 | % | 1,650,000 | 1,649,211 | ||||||||
Ford Credit Auto Owner Trust, 2018-B A-3 | 04/15/2023 | 3.24 | % | 2,000,000 | 2,010,464 |
The accompanying notes are an integral part of these consolidated financial statements.
LoCorr Market Trend Fund - Consolidated Schedule of Investments (continued) | | 39 |
Maturity Date | Coupon Rate | Principal Amount | Value | ||||||||||
ASSET BACKED SECURITIES (continued) | |||||||||||||
GM Financial Consumer Automobile Receivables Trust | |||||||||||||
Series 2017-1A A2A (a) | 03/16/2020 | 1.51 | % | $ | 130,500 | $ | 130,412 | ||||||
Series 2018-1 A3 | 07/18/2022 | 2.32 | % | 2,380,000 | 2,355,485 | ||||||||
Series 2018-4 | 10/16/2023 | 3.21 | % | 2,520,000 | 2,533,932 | ||||||||
Mercedes-Benz Auto Receivables Trust, 2018-1 A3 | 01/17/2023 | 3.03 | % | 2,625,000 | 2,629,733 | ||||||||
Nissan Auto Lease Trust, 2018-A | 09/15/2021 | 3.25 | % | 3,450,000 | 3,454,093 | ||||||||
Santander Retail Auto Lease Trust | |||||||||||||
Series 2017-AA2A (a) | 03/20/2020 | 2.02 | % | 868,315 | 865,112 | ||||||||
Series 2018-A A2A (a) | 10/20/2020 | 2.71 | % | 2,608,556 | 2,603,333 | ||||||||
SCF Equipment Leasing LLC, 2018-1A A1 (a) | 04/20/2021 | 2.81 | % | 922,809 | 922,426 | ||||||||
TCF Auto Receivables Owner Trust | |||||||||||||
Series 2016-1A A3 (a) | 04/15/2021 | 1.71 | % | 2,568,997 | 2,558,085 | ||||||||
Series 2016-PT1 A (a) | 06/15/2022 | 1.93 | % | 1,678,686 | 1,661,897 | ||||||||
Toyota Auto Receivables Owner Trust | |||||||||||||
Series 2017-AA-4 | 09/15/2022 | 2.10 | % | 2,170,000 | 2,146,425 | ||||||||
Series 2018-D | 03/15/2023 | 3.18 | % | 2,010,000 | 2,026,047 | ||||||||
Verizon Owner Trust, 2018-1A A1B (1 Month LIBOR USD + 0.260%) (a)(c) | 09/20/2022 | 2.73 | % | 3,750,000 | 3,744,352 | ||||||||
World Omni Auto Trust, 2018-B | 07/17/2023 | 2.87 | % | 2,025,000 | 2,020,516 | ||||||||
TOTAL ASSET BACKED SECURITIES (Cost $84,897,828) | 84,873,462 |
MORTGAGE BACKED SECURITIES: 10.57% | |||||||||||||
Fannie Mae Aces | |||||||||||||
Series 2009-M2 A3 | 01/25/2019 | 4.00 | % | | 160,770 | | 160,396 | ||||||
Series 2014-M10ASQ2 (d) | 09/25/2019 | 2.17 | % | 4,006,750 | 3,981,387 | ||||||||
Series 2010-M1 A2 | 09/25/2019 | 4.45 | % | 1,661,580 | 1,669,755 | ||||||||
Series 2010-M3 A3 (d) | 03/25/2020 | 4.33 | % | 1,824,841 | 1,841,948 | ||||||||
Series 2010-M7A2 | 11/25/2020 | 3.66 | % | 456,025 | 459,499 | ||||||||
Series 2015-M17 FA (1 Month LIBOR USD + 0.930%) (c) | 11/25/2022 | 3.23 | % | 1,946,019 | 1,962,413 | ||||||||
FHLMC Multifamily Structured Pass Through Certificates | |||||||||||||
Series K-708 A2 | 01/25/2019 | 2.13 | % | 351,001 | 350,241 | ||||||||
Series K-006 A1 | 07/25/2019 | 3.40 | % | 526,662 | 526,575 | ||||||||
Series K-P04 AG1 (1 Month LIBOR USD + 0.220%) (c) | 07/25/2020 | 2.57 | % | 3,450,000 | 3,447,924 | ||||||||
Series K-I03 (1 Month LIBOR USD + 0.250%) (c) | 02/25/2021 | 2.60 | % | 2,425,000 | 2,418,283 | ||||||||
Series K-F08 A (1 Month LIBOR USD + 0.300%) (c) | 01/25/2022 | 2.65 | % | 1,821,069 | 1,813,696 | ||||||||
Series K-J22 | 03/25/2022 | 3.17 | % | 2,665,000 | 2,681,615 | ||||||||
Series K-S05 A (1 Month LIBOR USD + 0.500%) (c) | 01/25/2023 | 2.85 | % | 2,952,015 | 2,946,484 | ||||||||
Series K-102 A (1 Month LIBOR USD + 0.200%) (c) | 02/25/2023 | 2.55 | % | 2,028,137 | 2,025,992 | ||||||||
FREMF Multifamily Aggregation Risk Transfer Trust, 2017-KT01 A | |||||||||||||
(1 Month LIBOR USD + 0.320%) (c) | 02/25/2020 | 2.82 | % | 5,890,000 | 5,882,717 | ||||||||
NCUA Guaranteed Notes Trust, 2010-R1 1A (1 Month LIBOR USD + 0.450%) (c) | 10/07/2020 | 2.83 | % | 4,097,859 | 4,102,942 | ||||||||
TOTAL MORTGAGE BACKED SECURITIES (Cost $36,309,882) | 36,271,867 |
MUNICIPAL BOND: 0.32% | |||||||||||||
Tennessee Valley Authority | 03/15/2020 | 2.25 | % | 1,110,000 | 1,106,229 |
TOTAL MUNICIPAL BOND (Cost $1,107,602) | 1,106,229 | ||||||||||||
U.S. GOVERNMENT AGENCY ISSUES: 39.90% | |||||||||||||
Federal Farm Credit Banks | 10/13/2020 | 1.68 | % | 8,000,000 | 7,873,632 | ||||||||
Federal Farm Credit Banks | 10/26/2020 | 1.75 | % | 19,095,000 | 18,810,866 | ||||||||
Federal Farm Credit Banks | 04/05/2021 | 2.54 | % | 16,255,000 | 16,245,166 | ||||||||
Federal Farm Credit Banks | 11/15/2021 | 3.05 | % | 5,000,000 | 5,065,640 | ||||||||
Federal Home Loan Banks | 06/12/2020 | 1.75 | % | 12,150,000 | 12,009,838 | ||||||||
Federal Home Loan Banks | 06/12/2020 | 3.38 | % | 3,330,000 | 3,369,660 | ||||||||
Federal Home Loan Banks | 09/11/2020 | 2.88 | % | 6,000,000 | 6,031,740 | ||||||||
Federal Home Loan Banks | 09/28/2020 | 1.38 | % | 10,565,000 | 10,351,376 | ||||||||
Federal Home Loan Banks | 06/11/2021 | 3.63 | % | 24,895,000 | 25,501,268 |
40 | | LoCorr Market Trend Fund - Consolidated Schedule of Investments (continued) |
Maturity Date | Coupon Rate | Principal Amount | Value | ||||||||||
U.S. GOVERNMENT AGENCY ISSUES (continued) | |||||||||||||
Federal Home Loan Banks | 06/10/2022 | 2.75 | % | $ | 5,000,000 | $ | 5,021,090 | ||||||
Federal Home Loan Mortgage Corp. | 09/29/2020 | 1.63 | % | 9,140,000 | 8,996,913 | ||||||||
Federal Home Loan Mortgage Corp. | 11/17/2020 | 1.88 | % | 3,715,000 | 3,668,741 | ||||||||
Federal Home Loan Mortgage Corp. | 02/16/2021 | 2.38 | % | 10,000,000 | 9,965,280 | ||||||||
Federal National Mortgage Association | 10/30/2020 | 2.88 | % | 4,000,000 | 4,021,944 | ||||||||
TOTAL U.S. GOVERNMENT AGENCY ISSUES (Cost $137,632,730) | 136,933,154 |
U.S. GOVERNMENT NOTES: 8.28% | |||||||||||||
United States Treasury Note | 07/15/2020 | 1.50 | % | 4,820,000 | 4,744,499 | ||||||||
United States Treasury Note | 02/15/2021 | 2.25 | % | 3,055,000 | 3,038,412 | ||||||||
United States Treasury Note | 04/15/2021 | 2.38 | % | 11,575,000 | 11,546,063 | ||||||||
United States Treasury Note | 07/31/2021 | 2.25 | % | 6,330,000 | 6,294,888 | ||||||||
United States Treasury Note | 11/30/2022 | 2.00 | % | 2,825,000 | 2,773,576 | ||||||||
TOTAL U.S. GOVERNMENT NOTES (Cost $28,221,213) | 28,397,438 | ||||||||||||
SHORT TERM INVESTMENT: 4.39% |
MONEY MARKET FUND: 4.39% | Shares | |||||||
STIT-Government & Agency Portfolio, Institutional Class, 2.30% (e)(f) | 15,074,667 | 15,074,667 | ||||||
TOTAL MONEY MARKET FUND (Cost $15,074,667) | 15,074,667 | |||||||
TOTAL SHORT TERM INVESTMENT (Cost $15,074,667) | 15,074,667 | |||||||
TOTAL INVESTMENTS (Cost $303,243,922): 88.19% | 302,656,817 | |||||||
Other Assets in Excess of Liabilities: 11.81% (g) | 40,543,735 | |||||||
TOTAL NET ASSETS: 100.00% | $ | 343,200,552 |
(a) | Security as defined in Rule 144A under the Securities Act of 1933 and determined to be liquid. Purchased in a private placement transaction; resale to the public may require registration or may extend only to qualified institutional buyers. At December 31, 2018, the value of these securities total $18,086,048 which represents 5.27% of total net assets. |
(b) | Foreign issued security. |
(c) | Variable rate security based on a reference index and spread. The rate reported is the rate in effect as of December 31, 2018. |
(d) | Variable rate security. The coupon is based on an underlying pool of loans. The rate reported is the rate in effect as of December 31, 2018. |
(e) | The rate quoted is the annualized seven-day effective yield as of December 31, 2018. |
(f) | All or a portion of this security is held by LCMT Fund Limited and pledged as collateral for derivative contracts. |
(g) | Includes assets pledged as collateral for derivative contracts. |
LIBOR | London Interbank Offered Rate |
LoCorr Market Trend Fund - Consolidated Schedule of Open Forward Currency Contracts | | 41 |
Currency to be Received | Currency to be Delivered | ||||||||||||||||||||||
Notional | Forward | Curr | U.S. $ Value at | Curr | U.S. $ Value on | Unrealized | Unrealized | ||||||||||||||||
Amount | Settlement Date | Abbr. | December 31, 2018 | Abbr. | Origination Date | Appreciation | (Depreciation) | ||||||||||||||||
Purchase Contracts: | |||||||||||||||||||||||
$ | 11,994,606 | 03/22/2019 | AUD | $ | 11,876,209 | USD | $ | 11,994,606 | $ | — | $ | (118,397 | ) | ||||||||||
11,748,279 | 03/22/2019 | CAD | 11,621,639 | USD | 11,748,279 | — | (126,640 | ) | |||||||||||||||
13,549,110 | 03/22/2019 | CHF | 13,646,062 | USD | 13,549,110 | 96,952 | — | ||||||||||||||||
19,653,383 | 03/22/2019 | EUR | 19,731,104 | USD | 19,653,383 | 77,721 | — | ||||||||||||||||
16,950,855 | 03/22/2019 | GBP | 17,010,511 | USD | 16,950,855 | 59,656 | — | ||||||||||||||||
48,690,765 | 03/22/2019 | JPY | 49,288,331 | USD | 48,690,765 | 597,566 | — | ||||||||||||||||
20,312,251 | 03/22/2019 | MXN | 20,756,545 | USD | 20,312,251 | 444,294 | — | ||||||||||||||||
15,030,925 | 03/22/2019 | NZD | 14,864,803 | USD | 15,030,925 | — | (166,122 | ) | |||||||||||||||
Total Purchase Contracts | 158,795,204 | 157,930,174 | 1,276,189 | (411,159 | ) | ||||||||||||||||||
Sale Contracts: | |||||||||||||||||||||||
$ | 68,590,949 | 03/22/2019 | USD | $ | 66,910,355 | AUD | $ | 68,590,949 | $ | 1,680,594 | $ | — | |||||||||||
62,359,196 | 03/22/2019 | USD | 60,859,492 | CAD | 62,359,196 | 1,499,704 | — | ||||||||||||||||
71,633,803 | 03/22/2019 | USD | 72,187,769 | CHF | 71,633,803 | — | (553,966 | ) | |||||||||||||||
103,872,606 | 03/22/2019 | USD | 104,534,589 | EUR | 103,872,606 | — | (661,983 | ) | |||||||||||||||
107,757,098 | 03/22/2019 | USD | 108,481,837 | GBP | 107,757,098 | — | (724,739 | ) | |||||||||||||||
164,371,294 | 03/22/2019 | USD | 169,462,967 | JPY | 164,371,294 | — | (5,091,673 | ) | |||||||||||||||
3,914,073 | 03/22/2019 | USD | 3,976,480 | MXN | 3,914,073 | — | (62,407 | ) | |||||||||||||||
31,873,235 | 03/22/2019 | USD | 31,330,019 | NZD | 31,873,235 | 543,216 | — | ||||||||||||||||
Total Sale Contracts | 617,743,508 | 614,372,254 | 3,723,514 | (7,094,768 | ) | ||||||||||||||||||
Net Forward Currency Contracts | $ | (458,948,304 | ) | $ | (456,442,080 | ) | $ | 4,999,703 | $ | (7,505,927 | ) | ||||||||||||
Net Unrealized Depreciation | $ | (2,506,224 | ) |
AUD | AUSTRALIAN DOLLAR |
CAD | CANADIAN DOLLAR |
CHF | SWISS FRANC |
EUR | EURO |
GBP | BRITISH POUND |
JPY | JAPANESE YEN |
MXN | MEXICAN PESO |
NZD | NEW ZEALAND DOLLAR |
USD | U.S. DOLLAR |
(a) | Bank of America Merrill Lynch is the counterparty for all open forward currency exchange contracts held by the Fund as of December 31,2018. |
42 | | LoCorr Market Trend Fund - Consolidated Schedule of Open Futures Contracts |
Number of | Value | ||||||||||||||||||||
Contracts | Settlement | Current Notional | Value at | Unrealized | Unrealized | ||||||||||||||||
Description | Purchased (Sold) | Month-Year | Amount | Trade Date | Appreciation | (Depreciation) | |||||||||||||||
Purchase Contracts: | |||||||||||||||||||||
10 Yr Mini JGB | 11 | Mar-19 | $ | 1,531,801 | $ | 1,525,375 | $ | 6,426 | $ | ||||||||||||
3 Mo Euro Euribor | 939 | Jun-20 | 269,422,284 | 269,204,481 | 217,803 | — | |||||||||||||||
Aluminum (a)(b) | 183 | Mar-19 | 8,454,600 | 8,842,851 | — | (388,251 | ) | ||||||||||||||
Australian 10 Yr Bond | 595 | Mar-19 | 55,602,469 | 55,217,863 | 384,606 | — | |||||||||||||||
Canadian 10 Yr Bond | 263 | Mar-19 | 26,348,161 | 26,352,669 | — | (4,508 | ) | ||||||||||||||
Copper(a)(b) | 190 | Mar-19 | 28,356,313 | 29,672,907 | — | (1,316,594 | ) | ||||||||||||||
Dollar | 194 | Mar-19 | 18,572,590 | 18,787,365 | — | (214,775 | ) | ||||||||||||||
Dow Jones Industrial Average Mini E-Cbot Index | 179 | Mar-19 | 20,824,860 | 21,943,380 | — | (1,118,520 | ) | ||||||||||||||
Euro-Bobl | 870 | Mar-19 | 132,096,381 | 131,793,756 | 302,625 | — | |||||||||||||||
Euro-Bund | 408 | Mar-19 | 76,449,455 | 75,923,294 | 526,161 | — | |||||||||||||||
Euro-Schatz | 805 | Mar-19 | 103,245,569 | 103,206,635 | 38,934 | — | |||||||||||||||
Japanese 10 Yr Bond | 53 | Mar-19 | 73,732,403 | 73,425,760 | 306,643 | — | |||||||||||||||
Long Gilt | 391 | Mar-19 | 61,384,049 | 61,403,927 | — | (19,878 | ) | ||||||||||||||
Nasdaq 100 E-Mini Index | 80 | Mar-19 | 10,133,200 | 10,839,773 | — | (706,573 | ) | ||||||||||||||
Natural Gas (a) | 212 | Feb-19 | 6,232,800 | 9,249,336 | — | (3,016,536 | ) | ||||||||||||||
Nikkei 225 Index | 83 | Mar-19 | 15,145,295 | 16,005,940 | — | (860,645 | ) | ||||||||||||||
U.S. 10 Yr Note | 420 | Mar-19 | 51,246,563 | 51,056,418 | 190,145 | — | |||||||||||||||
U.S. Long Bond | 226 | Mar-19 | 32,996,000 | 32,883,934 | 112,066 | — | |||||||||||||||
Zinc (a)(b) | 107 | Mar-19 | 6,608,588 | 6,804,268 | — | (195,680 | ) | ||||||||||||||
Total Purchase Contracts | 2,085,409 | (7,841,960 | ) | ||||||||||||||||||
Sales Contracts: | |||||||||||||||||||||
90 Day Euro | (2,225 | ) | Jun-20 | $ | 542,371,563 | $ | 540,352,608 | $ | $ | (2,018,955 | ) | ||||||||||
90 Day Sterling | (1,618 | ) | Jun-20 | 254,771,687 | 254,671,257 | — | (100,430 | ) | |||||||||||||
Aluminum (a)(b) | (599 | ) | Mar-19 | 27,673,800 | 29,600,526 | 1,926,726 | — | ||||||||||||||
Brent Crude (a) | (55 | ) | Mar-19 | 2,959,000 | 2,981,926 | 22,926 | — | ||||||||||||||
CAC40 10 Euro Index | (274 | ) | Jan-19 | 14,844,453 | 14,992,774 | 148,321 | — | ||||||||||||||
Cocoa (a) | (212 | ) | Mar-19 | 4,772,000 | 4,612,571 | — | (159,429 | ) | |||||||||||||
Coffee (a) | (124 | ) | Mar-19 | 4,736,025 | 5,733,375 | 997,350 | — | ||||||||||||||
Copper(a)(b) | (241 | ) | Mar-19 | 35,967,744 | 37,088,716 | 1,120,972 | — | ||||||||||||||
Corn (a) | (511 | ) | Mar-19 | 9,581,250 | 9,783,909 | 202,659 | — | ||||||||||||||
Cotton No.2 (a) | (102 | ) | Mar-19 | 3,682,200 | 3,836,703 | 154,503 | — | ||||||||||||||
DAX Index | (129 | ) | Mar-19 | 39,025,238 | 39,705,093 | 679,855 | — | ||||||||||||||
Euro-Stoxx 50 Index | (866 | ) | Mar-19 | 29,508,633 | 30,080,188 | 571,555 | — | ||||||||||||||
FTSE 100 Index | (205 | ) | Mar-19 | 17,399,498 | 17,371,215 | — | (28,283 | ) | |||||||||||||
Gasoline RBOB (a) | (201 | ) | Feb-19 | 10,992,328 | 12,123,735 | 1,131,407 | — | ||||||||||||||
Gold (a) | (4 | ) | Feb-19 | 512,520 | 501,803 | — | (10,717 | ) | |||||||||||||
Hang Seng Index | (29 | ) | Jan-19 | 4,787,472 | 4,755,920 | — | (31,552 | ) | |||||||||||||
Hard Red Wheat (a) | (194 | ) | Mar-19 | 4,740,875 | 4,960,313 | 219,438 | — | ||||||||||||||
Heating Oil (a) | (15 | ) | Feb-19 | 1,058,022 | 1,052,037 | — | (5,985 | ) | |||||||||||||
Low Sulphur Gasoil (a) | (40 | ) | Feb-19 | 2,045,000 | 2,023,103 | — | (21,897 | ) | |||||||||||||
Russell 2000 Mini Index | (197 | ) | Mar-19 | 13,287,650 | 13,099,855 | — | (187,795 | ) | |||||||||||||
S&P 500 E-Mini Index | (47 | ) | Mar-19 | 5,887,220 | 5,737,312 | — | (149,908 | ) | |||||||||||||
Silver(a) | (241 | ) | Mar-19 | 18,725,700 | 17,500,229 | — | (1,225,471 | ) | |||||||||||||
Soybean (a) | (190 | ) | Mar-19 | 8,502,500 | 8,412,073 | — | (90,427 | ) | |||||||||||||
Soybean Meal (a) | (142 | ) | Mar-19 | 4,400,580 | 4,456,302 | 55,722 | — | ||||||||||||||
Soybean Oil (a) | (117 | ) | Mar-19 | 1,955,070 | 2,013,976 | 58,906 | — | ||||||||||||||
Sugar (a) | (292 | ) | Mar-19 | 3,934,291 | 3,710,448 | — | (223,843 | ) | |||||||||||||
Tokyo Price Index | (121 | ) | Mar-19 | 16,487,706 | 17,343,254 | 855,548 | — | ||||||||||||||
U.S. 2 Yr Note | (1,384 | ) | Mar-19 | 293,840,500 | 291,892,824 | — | (1,947,676 | ) | |||||||||||||
U.S. 5 Yr Note | (559 | ) | Mar-19 | 64,110,313 | 63,092,232 | — | (1,018,081 | ) | |||||||||||||
Wheat (a) | (296 | ) | Mar-19 | 7,448,100 | 7,563,560 | 115,460 | — |
LoCorr Market Trend Fund - Consolidated Schedule of Open Futures Contracts (continued) | | 43 |
Number of | Value | ||||||||||||||||||||
Contracts | Settlement | Current Notional | Value at | Unrealized | Unrealized | ||||||||||||||||
Description | Purchased (Sold) | Month-Year | Amount | Trade Date | Appreciation | (Depreciation) | |||||||||||||||
Sale Contracts (continued) | |||||||||||||||||||||
WTI Crude (a) | (197 | ) | Feb-19 | $ | 8,945,770 | $ | 9,882,622 | $ | 936,852 | $ | — | ||||||||||
Zinc (a)(b) | (352 | ) | Mar-19 | 21,740,400 | 21,630,046 | — | (110,354 | ) | |||||||||||||
Total Sale Contracts | 9,198,200 | (7,330,803 | ) | ||||||||||||||||||
Total Futures Contracts | $ | 11,283,609 | $ | (15,172,763 | ) | ||||||||||||||||
Net Unrealized Depreciation | $ | (3,889,154 | ) |
(a) | Contract held by LCMT Fund Limited. |
(b) | London Metal Exchange ("LME") futures contracts settle on their respective maturity date. The unrealized appreciation on these contracts is a receivable for unsettled open futures contracts and the unrealized depreciation is a payable for unsettled open futures contracts on the Fund's consolidated statement of assets and liabilities. |
44 | | LoCorr Dynamic Equity Fund - Schedule of investment |
Composition of Investment Portfolio1 | Composition of Common Stock Portfolio1 |
December 31, 2018 (Unaudited) | December 31, 2018 (Unaudited) |
Shares | Value | |||||||
COMMON STOCKS: 73.14% | ||||||||
Accommodation and Food Services: 6.43% | ||||||||
Bloomin’ Brands, Inc. | 16,353 | $ | 292,555 | |||||
Extended Stay America, Inc. | 24,247 | 375,829 | ||||||
Marriott Vacations Worldwide Corp. | 16,883 | 1,190,421 | ||||||
Papa John’s International, Inc. | 2,200 | 87,582 | ||||||
1,946,387 | ||||||||
Arts, Entertainment, and Recreation: 2.51% | ||||||||
Wynn Resorts Ltd. | 7,678 | 759,431 | ||||||
Construction: 9.27% | ||||||||
Frontdoor, Inc. (a) | 23,013 | 612,376 | ||||||
MasTec, Inc. (a) | 44,515 | 1,805,529 | ||||||
Meritage Homes Corp. (a) | 5,561 | 204,200 | ||||||
Taylor Morrison Home Corp. (a) | 11,538 | 183,454 | ||||||
2,805,559 | ||||||||
Finance and Insurance: 13.19% | ||||||||
Credit Acceptance Corp. (a) | 7,169 | 2,736,837 | ||||||
Evercore Partners, Inc. | 312 | 22,327 | ||||||
Syneos Health, Inc. (a) | 19,914 | 783,616 | ||||||
Texas Capital Bancshares, Inc. (a) | 7,960 | 406,676 | ||||||
Willscot Corp. (a) | 4,761 | 44,849 | ||||||
3,994,305 | ||||||||
Information: 10.07% | ||||||||
DISH Network Corp. (a) | 22,434 | 560,177 | ||||||
Intelsat SA (a)(b) | 34,080 | 728,971 | ||||||
Lions Gate Entertainment Corp. (b) | 5,934 | 95,537 | ||||||
Madison Square Garden Co. (a) | 2,668 | 714,224 | ||||||
New York Times Co. | 6,249 | 139,290 | ||||||
News Corporation | 18,549 | 210,531 | ||||||
Pivotal Software, Inc. (a) | 2,600 | 42,510 | ||||||
Shopify, Inc. (a)(b) | 479 | 66,318 |
LoCorr Dynamic Equity Fund - Schedule of investments (continued) | | 45 |
Shares | Value | |||||||
COMMON STOCKS (continued) | | |||||||
Stars Group, Inc. (a)(b) | 12,137 | $ | 200,503 | |||||
Zayo Group Holdings, Inc. (a) | 8,410 | 192,084 | ||||||
Zillow Group, Inc. (a) | 3,143 | 99,256 | ||||||
3,049,401 | ||||||||
Manufacturing: 14.14% | ||||||||
Commercial Metals Co. | 10,510 | 168,370 | ||||||
Lear Corp. | 14,677 | 1,803,216 | ||||||
Microchip Technology, Inc. | 5,862 | 421,595 | ||||||
Nintendo Co. Ltd. - ADR(a)(b) | 3,766 | 124,655 | ||||||
REV Group, Inc. | 117,354 | 881,329 | ||||||
Skyworks Solutions, Inc. | 1,418 | 95,034 | ||||||
Versum Materials, Inc. | 3,522 | 97,630 | ||||||
ViaSat, Inc. (a) | 3,814 | 224,835 | ||||||
Zynga, Inc. (a) | 118,296 | 464,903 | ||||||
4,281,567 | ||||||||
Professional, Scientific, and Technical Services: 2.61% | ||||||||
ADT, Inc. | 26,284 | 157,967 | ||||||
Liberty Media Corp. - Liberty Formula One(a) | 14,106 | 433,054 | ||||||
Quotient Technology, Inc. (a) | 6,155 | 65,735 | ||||||
Shake Shack, Inc. (a) | 2,917 | 132,490 | ||||||
789,246 | ||||||||
Real Estate and Rental and Leasing: 5.90% | ||||||||
Newmark Group, Inc. | 11,201 | 89,832 | ||||||
Synchrony Financial | 72,333 | 1,696,932 | ||||||
1,786,764 | ||||||||
Retail Trade: 3.88% | ||||||||
Advance Auto Parts, Inc. | 6,753 | 1,063,327 | ||||||
Lithia Motors, Inc. | 1,475 | 112,587 | ||||||
1,175,914 | ||||||||
Transportation and Warehousing: 4.90% | ||||||||
Air Canada - ADR(a)(b) | 77,997 | 1,481,944 | ||||||
Wholesale Trade: 0.24% | ||||||||
American Axle & Manufacturing Holdings, Inc. (a) | 6,501 | 72,161 | ||||||
TOTAL COMMON STOCKS (Cost $23,909,032) | 22,142,679 | |||||||
REAL ESTATE INVESTMENT TRUSTS: 3.14% | ||||||||
Finance and Insurance: 1.97% | ||||||||
Kimco Realty Corp. | 40,657 | 595,625 | ||||||
Real Estate and Rental and Leasing: 1.17% | ||||||||
Gaming and Leisure Properties, Inc. | 11,000 | 355,410 | ||||||
TOTAL REAL ESTATE INVESTMENT TRUSTS (Cost $989,117) | 951,035 | |||||||
SHORT TERM INVESTMENT: 11.32% | ||||||||
MONEY MARKET FUND: 11.32% | ||||||||
STIT-Government & Agency Portfolio, Institutional Class, 2.30%(c) | 3,425,866 | 3,425,866 | ||||||
TOTAL MONEY MARKET FUND (Cost $3,425,866) | 3,425,866 | |||||||
TOTAL SHORT TERM INVESTMENT (Cost $3,425,866) | 3,425,866 | |||||||
TOTAL INVESTMENTS (Cost $28,324,015): 87.60% | 26,519,580 | |||||||
Other Assets in Excess of Liabilities: 12.40%(d) | 3,753,316 | |||||||
TOTAL NET ASSETS: 100.00% | $ | 30,272,896 |
46 | | LoCorr Dynamic Equity Fund - Schedule of Securities Sold Short |
Shares | Value | |||||||
COMMON STOCKS: (11.76)% | ||||||||
Accommodation and Food Services: (0.29)% | ||||||||
Cracker Barrel Old Country Store, Inc. | (542) | $ | (86,644) | |||||
Arts, Entertainment, and Recreation: (0.73)% | ||||||||
Live Nation Entertainment, Inc. (a) | (4,482) | (220,738) | ||||||
Construction: (0.30)% | ||||||||
D R Horton, Inc. | (2,649) | (91,814) | ||||||
Finance and Insurance: (0.44)% | ||||||||
Western Union Co. | (7,730) | (131,874) | ||||||
Information: (1.76)% | ||||||||
CenturyLink, Inc. | (6,612) | (100,172) | ||||||
Charter Communications, Inc. (a) | (316) | (90,051) | ||||||
Glu Mobile, Inc. (a) | (12,608) | (101,747) | ||||||
Medidata Solutions, Inc. (a) | (2,062) | (139,020) | ||||||
MSG Networks, Inc. (a) | (2,857) | (67,311) | ||||||
SS&C Technologies Holdings, Inc. | (729) | (32,885) | ||||||
(531,186) | ||||||||
Manufacturing: (6.33)% | ||||||||
Align Technology, Inc. (a) | (566) | (118,537) | ||||||
AO Smith Corp. | (3,176) | (135,615) | ||||||
Cisco Systems, Inc. | (4,225) | (183,069) | ||||||
Diodes, Inc. (a) | (2,776) | (89,554) | ||||||
Emerson Electric Co. | (3,208) | (191,678) | ||||||
Graco, Inc. | (3,330) | (139,361) | ||||||
iRhythm Technologies, Inc. (a) | (1,147) | (79,694) | ||||||
Kennametal, Inc. | (2,830) | (94,182) | ||||||
Mercury Systems, Inc. (a) | (404) | (19,105) | ||||||
NetApp, Inc. | (2,376) | (141,776) | ||||||
Nucor Corp. | (2,740) | (141,959) | ||||||
NVIDIA Corp. | (1,731) | (231,089) | ||||||
PACCAR, Inc. | (2,456) | (140,336) | ||||||
Teradyne, Inc. | (6,122) | (192,108) | ||||||
WABCO Holdings Inc. (a) | (182) | (19,536) | ||||||
(1,917,599) | ||||||||
Other Services (except Public Administration): (0.81)% | ||||||||
Regis Corp. (a) | (14,467) | (245,216) | ||||||
Professional, Scientific, and Technical Services: (0.63)% | ||||||||
FactSet Research Systems, Inc. | (231) | (46,230) | ||||||
Waters Corp. (a) | (767) | (144,695) | ||||||
(190,925) | ||||||||
Real Estate and Rental and Leasing: (0.15)% | ||||||||
REA Group Ltd. (b) | (888) | (46,272) | ||||||
Wholesale Trade: (0.32)% | ||||||||
Illinois Tool Works, Inc. | (590) | (74,747) | ||||||
Lennox International, Inc. | (107) | (23,418) | ||||||
(98,165) | ||||||||
TOTAL COMMON STOCKS (Proceeds $3,657,710) | (3,560,433) |
LoCorr Dynamic Equity Fund - Schedule of Securities Sold Short (continued) | | 47 |
Shares | Value | |||||||
EXCHANGE TRADED FUNDS: (3.72)% | ||||||||
iShares Russell 2000 | (4,211) | $ | (563,853) | |||||
SPDR S&P500 Trust | (2,249) | (562,069) | ||||||
TOTAL EXCHANGE TRADED FUNDS (Proceeds $1,117,680) | (1,125,922) | |||||||
TOTAL SECURITIES SOLD SHORT (Proceeds $4,775,390): (15.48)% | $ | (4,686,355) |
48 | | LoCorr Spectrum Income Fund - Schedule of Investments |
Shares | Value | |||||||
BUSINESS DEVELOPMENT COMPANIES: 9.26% | ||||||||
Finance and Insurance: 7.20% | ||||||||
Ares Capital Corp. | 92,040 | $ | 1,433,983 | |||||
BlackRock TCP Capital Corp. | 104,693 | 1,365,197 | ||||||
Hercules Capital, Inc. | 63,723 | 704,139 | ||||||
New Mountain Finance Corp. | 59,373 | 746,912 | ||||||
PennantPark Investment Corp. | 104,574 | 666,136 | ||||||
4,916,367 | ||||||||
Management of Companies and Enterprises: 2.06% | ||||||||
Newtek Business Services Corp. | 80,744 | 1,408,175 | ||||||
TOTAL BUSINESS DEVELOPMENT COMPANIES (Cost $7,023,669) | 6,324,542 | |||||||
CLOSED-END INVESTMENT COMPANIES: 14.36% | ||||||||
Aberdeen Asia-Pacific Income Fund, Inc. | 195,748 | 757,545 | ||||||
Adams Natural Resources Fund, Inc. | 46,982 | 684,528 | ||||||
BlackRock Corporate High Yield Fund, Inc. | 78,322 | 726,828 | ||||||
Eaton Vance Municipal Bond Fund | 89,815 | 1,014,011 | ||||||
Invesco Trust for Investment Grade Municipals | 110,515 | 1,268,712 | ||||||
Morgan Stanley Emerging Markets Domestic Debt Fund, Inc. | 122,954 | 745,101 | ||||||
Nuveen Quality Municipal Income Fund | 143,893 | 1,804,418 | ||||||
Nuveen Real Asset Income and Growth Fund | 101,781 | 1,387,275 | ||||||
PIMCO Dynamic Credit and Mortgage Income Fund | 33,579 | 706,838 | ||||||
Reaves Utility Income Fund | 24,446 | 719,446 | ||||||
TOTAL CLOSED-END INVESTMENT COMPANIES (Cost $9,995,567) | 9,814,702 | |||||||
COMMON STOCKS: 19.15% | ||||||||
Finance and Insurance: 1.08% | ||||||||
AMERISAFE, Inc. | 12,996 | 736,743 |
LoCorr Spectrum Income Fund - Schedule of Investments (continued) | | 49 |
Shares | Value | |||||||
COMMON STOCKS (continued) | ||||||||
Information: 3.67% | ||||||||
CenturyLink, Inc. | 83,028 | $ | 1,257,874 | |||||
Consolidated Communications Holdings, Inc. | 126,807 | 1,252,853 | ||||||
2,510,727 | ||||||||
Manufacturing: 3.04% | ||||||||
CVR Energy, Inc. | 23,221 | 800,654 | ||||||
Marathon Petroleum Corp. | 12,121 | 715,260 | ||||||
Ship Finance International Ltd. (a) | 53,570 | 564,092 | ||||||
2,080,006 | ||||||||
Mining, Quarrying, and Oil and Gas Extraction: 2.35% | ||||||||
Pattern Energy Group, Inc. | 86,247 | 1,605,919 | ||||||
Professional, Scientific, and Technical Services: 1.88% | ||||||||
Macquarie Infrastructure Corp. | 20,492 | 749,188 | ||||||
National CineMedia, Inc. | 82,353 | 533,647 | ||||||
1,282,835 | ||||||||
Real Estate and Rental and Leasing: 0.96% | ||||||||
Fortress Transportation & Infrastructure Investors LLC | 45,520 | 652,757 | ||||||
Transportation and Warehousing: 6.17% | ||||||||
GasLog Partners LP (a) | 54,823 | 1,085,496 | ||||||
Golar LNG Partners LP (a) | 63,200 | 682,560 | ||||||
Hoegh LNG Partners LP (a) | 62,764 | 963,427 | ||||||
Targa Resources Corp. | 41,118 | 1,481,071 | ||||||
4,212,554 | ||||||||
TOTAL COMMON STOCKS (Cost $15,354,279) | 13,081,541 | |||||||
MASTER LIMITED PARTNERSHIPS: 22.60% | Units | |||||||
Mining, Quarrying, and Oil and Gas Extraction: 4.60% | ||||||||
Alliance Resource Partners LP | 45,514 | 789,213 | ||||||
EnLink Midstream Partners LP | 44,970 | 495,120 | ||||||
SunCoke Energy Partners LP | 52,733 | 561,079 | ||||||
USA Compression Partners LP | 48,414 | 628,414 | ||||||
Viper Energy Partners LP | 25,627 | 667,327 | ||||||
3,141,153 | ||||||||
Real Estate and Rental and Leasing: 3.13% | ||||||||
Icahn Enterprises LP | 37,522 | 2,141,756 | ||||||
Retail Trade: 6.24% | ||||||||
Crestwood Equity Partners LP | 70,011 | 1,954,007 | ||||||
Global Partners LP | 91,958 | 1,498,915 | ||||||
Sunoco LP | 29,717 | 808,005 | ||||||
4,260,927 | ||||||||
Transportation and Warehousing: 6.77% | ||||||||
Capital Product Partners LP (a) | 233,451 | 487,913 | ||||||
Delek Logistics Partners LP | 28,311 | 828,097 | ||||||
Dominion Energy Midstream Partners LP | 53,850 | 971,454 | ||||||
MPLX LP | 45,865 | 1,389,710 | ||||||
Summit Midstream Partners LP | 94,519 | 949,916 | ||||||
4,627,090 | ||||||||
Wholesale Trade: 1.86% | ||||||||
Martin Midstream Partners LP | 47,155 | 484,753 | ||||||
NGL Energy Partners LP | 81,964 | 786,035 | ||||||
1,270,788 | ||||||||
TOTAL MASTER LIMITED PARTNERSHIPS (Cost $16,005,130) | 15,441,714 | |||||||
PREFERRED STOCKS: 3.31% | Shares | |||||||
Finance and Insurance: 0.83% | ||||||||
Oaktree Capital Group LLC, Series B, 6.550% | 25,000 | 567,500 |
50 | | LoCorr Spectrum Income Fund - Schedule of Investments (continued) |
Shares | Value | |||||||
PREFERRED STOCKS (continued) | ||||||||
Retail Trade: 1.28% | ||||||||
Crestwood Equity Partners LP, 9.250% | 99,680 | $ | 872,200 | |||||
Transportation and Warehousing: 1.20% | ||||||||
Hoegh LNG Partners LP, Series A, 8.750% (a) | 33,770 | 823,988 | ||||||
TOTAL PREFERRED STOCKS (Cost $2,376,292) | 2,263,688 | |||||||
PUBLICLY TRADED PARTNERSHIPS: 7.85% | Units | |||||||
Finance and Insurance: 6.99% | ||||||||
Apollo Global Management LLC | 43,156 | 1,059,048 | ||||||
Blackstone Group LP | 40,542 | 1,208,557 | ||||||
Carlyle Group LP | 60,345 | 950,434 | ||||||
Oaktree Capital Group LLC | 39,225 | 1,559,194 | ||||||
4,777,233 | ||||||||
Management of Companies and Enterprises: 0.86% | ||||||||
Compass Diversified Holdings | 47,104 | 586,445 | ||||||
TOTAL PUBLICLY TRADED PARTNERSHIPS (Cost $5,487,877) | 5,363,678 | |||||||
Shares | ||||||||
REAL ESTATE INVESTMENT TRUSTS: 21.07% | ||||||||
Finance and Insurance: 6.58% | ||||||||
AGNC Investment Corp. | 84,418 | 1,480,692 | ||||||
Apollo Commercial Real Estate Finance, Inc. | 89,434 | 1,489,970 | ||||||
Invesco Mortgage Capital, Inc. | 51,417 | 744,518 | ||||||
New York Mortgage Trust, Inc. | 132,404 | 779,860 | ||||||
4,495,040 | ||||||||
Information: 1.01% | ||||||||
CyrusOne, Inc. | 13,085 | 691,935 | ||||||
Real Estate and Rental and Leasing: 12.35% | ||||||||
Annaly Capital Management, Inc. | 224,912 | 2,208,636 | ||||||
CoreSite Realty Corp. | 7,211 | 629,016 | ||||||
Digital Realty Trust, Inc. | 6,998 | 745,637 | ||||||
Gaming and Leisure Properties, Inc. | 22,879 | 739,220 | ||||||
Global Net Lease, Inc. | 37,877 | 667,393 | ||||||
Sabra Health Care REIT, Inc. | 40,507 | 667,555 | ||||||
Two Harbors Investment Corp. | 51,756 | 664,547 | ||||||
Uniti Group, Inc. | 36,264 | 564,630 | ||||||
Washington Prime Group, Inc. | 319,058 | 1,550,622 | ||||||
8,437,256 | ||||||||
Transportation and Warehousing: 1.13% | ||||||||
Iron Mountain, Inc. | 23,781 | 770,742 | ||||||
TOTAL REAL ESTATE INVESTMENT TRUSTS (Cost $16,414,307) | 14,394,973 | |||||||
SHORT TERM INVESTMENT: 2.68% | ||||||||
MONEY MARKET FUND: 2.68% | ||||||||
STIT-Government & Agency Portfolio, Institutional Class, 2.30% (b) | 1,829,205 | 1,829,205 | ||||||
TOTAL MONEY MARKET FUND (Cost $1,829,205) | 1,829,205 | |||||||
TOTAL SHORT TERM INVESTMENT (Cost $1,829,205) | 1,829,205 | |||||||
TOTAL INVESTMENTS (Cost $74,486,326): 100.28% | 68,514,043 | |||||||
Liabilities in Excess of Other Assets: (0.28)% | (194,083 | ) | ||||||
TOTAL NET ASSETS: 100.00% | $ | 68,319,960 |
(a) | Foreign issued security. |
(b) | The rate quoted is the annualized seven-day effective yield as of December 31,2018. |
LoCorr Macro Strategies Fund, LoCorr Long/Short Commodities Strategy Fund and LoCorr Market Trend Fund - Consolidated Statements of Assets & Liabilities | | 51 |
LoCorr Macro Strategies Fund | LoCorr Long/Short Commodities Strategy Fund | LoCorr Market Trend Fund | ||||||||||
Assets | ||||||||||||
Investments, at value (Cost $512,600,619, $207,609,306 and $303,243,922, respectively) | $ | 509,944,706 | $ | 207,536,668 | $ | 302,656,817 | ||||||
Cash (Note 2) | 15,858,788 | — | 19,110,000 | |||||||||
Foreign currency, at value (Cost $6,140,594, $0 and $0, respectively) | 6,379,428 | — | — | |||||||||
Receivable for Fund shares sold | 5,056,888 | 8,550,654 | 3,644,417 | |||||||||
Receivable for securities sold | 5,212,407 | — | 15,621,890 | |||||||||
Interest receivable | 2,718,899 | 1,073,769 | 1,020,894 | |||||||||
Receivable for unsettled open futures contracts | 1,485,551 | — | 3,047,698 | |||||||||
Deposits with broker for derivative instruments (Note 2) | 25,019,912 | 26,547,996 | 25,518,097 | |||||||||
Unrealized appreciation on swap contracts (Note 1) | — | 4,363,946 | — | |||||||||
Unrealized appreciation on forward currency contracts (Note 2) | 6,883,983 | — | 4,999,703 | |||||||||
Advance receipt on swap contracts | — | 10,418,732 | — | |||||||||
Prepaid expenses and other assets | 58,640 | 33,423 | 24,884 | |||||||||
Total Assets | 578,619,202 | 258,525,188 | 375,644,400 | |||||||||
Liabilities | ||||||||||||
Payable for Fund shares redeemed | 13,486,067 | 484,624 | 20,957,423 | |||||||||
Payable for securities purchased | — | 461,974 | — | |||||||||
Payable for unsettled open futures contracts | 871,832 | — | 2,010,879 | |||||||||
Payable for variation margin on futures contracts | 1,072,396 | — | 933,788 | |||||||||
Accrued management fees (Note 5) | 845,075 | 264,910 | 540,441 | |||||||||
Accrued Trustees’ fees | 12,927 | 4,178 | 10,302 | |||||||||
Accrued Rule 12b-1 fees | — | 117,585 | 168,465 | |||||||||
Unrealized depreciation on forward currency contracts (Note 2) | 7,811,265 | — | 7,505,927 | |||||||||
Accrued expenses and other liabilities | 438,373 | 165,894 | 316,623 | |||||||||
Total Liabilities | 24,537,935 | 1,499,165 | 32,443,848 | |||||||||
Net Assets | $ | 554,081,267 | $ | 257,026,023 | $ | 343,200,552 | ||||||
Net Assets Consist of: | ||||||||||||
Paid-in capital | $ | 591,943,751 | $ | 254,920,928 | $ | 406,079,348 | ||||||
Total accumulated earnings/(losses) | (37,862,484 | ) | 2,105,095 | (62,878,796 | ) | |||||||
NET ASSETS | $ | 554,081,267 | $ | 257,026,023 | $ | 343,200,552 | ||||||
Class A Shares | ||||||||||||
Net assets | $ | 55,074,895 | $ | 68,718,948 | $ | 32,081,865 | ||||||
Shares issued and outstanding (unlimited shares authorized, no par value) | 6,926,645 | 6,939,577 | 3,368,248 | |||||||||
Net asset value, redemption, and minimum offering price per share (a) | $ | 7.95 | $ | 9.90 | $ | 9.52 | ||||||
Maximum offering price per share ($7.95/0.9425), ($9.90/0.9425), ($9.52/0.9425), respectively(b) | $ | 8.44 | $ | 10.50 | $ | 10.10 | ||||||
Class C Shares | ||||||||||||
Net assets | $ | 53,148,646 | $ | 6,502,642 | $ | 23,417,282 | ||||||
Shares issued and outstanding (unlimited shares authorized, no par value) | 6,976,532 | 680,762 | 2,523,295 | |||||||||
Net asset value, redemption, and offering price per share (a) | $ | 7.62 | $ | 9.55 | $ | 9.28 | ||||||
Class I Shares | ||||||||||||
Net assets | $ | 445,857,726 | $ | 181,804,433 | $ | 287,701,405 | ||||||
Shares issued and outstanding (unlimited shares authorized, no par value) | 55,252,737 | 18,127,708 | 29,970,409 | |||||||||
Net asset value, redemption, and offering price per share | $ | 8.07 | $ | 10.03 | $ | 9.60 |
(a) | A 1.00% contingent deferred sales charge may apply to redemptions made within twelve months of purchase. The contingent deferred sales charge only applies to Class A share purchases of $1 million or more. |
(b) | On investments of $25,000 or more, the offering price is reduced. |
52 | | LoCorr Dynamic Equity Fund and LoCorr Spectrum Income Fund - Statements of Assets & Liabilities |
LoCorr Dynamic Equity Fund | LoCorr Spectrum Income Fund | |||||||
Assets | ||||||||
Investments, at value (Cost $28,324,015 and $74,486,326, respectively) | $ | 26,519,580 | $ | 68,514,043 | ||||
Cash (Note 2) | 3,500,000 | — | ||||||
Receivable for Fund shares sold | 174,002 | 397,944 | ||||||
Receivable for securities sold | 2,697,919 | — | ||||||
Dividends, interest and other receivables | 32,551 | 378,148 | ||||||
Deposits with broker for securities sold short (Note 2) | 4,007,728 | — | ||||||
Prepaid expenses and other assets | 17,726 | 24,928 | ||||||
Total Assets | 36,949,506 | 69,315,063 | ||||||
Liabilities | ||||||||
Securities sold short, at value (Proceeds $4,775,390 and $0, respectively) | $ | 4,686,355 | $ | — | ||||
Payable for Fund shares redeemed | 693,901 | 616,751 | ||||||
Payable for securities purchased | 1,088,070 | — | ||||||
Payable for distributions | 69,231 | 124,970 | ||||||
Dividend payable | 12,589 | — | ||||||
Accrued management fees (Note 5) | 23,398 | 82,223 | ||||||
Accrued Trustees’ fees | 822 | 1,772 | ||||||
Accrued Rule 12b-1 fees | 26,284 | 78,427 | ||||||
Accrued expenses and other liabilities | 75,960 | 90,960 | ||||||
Total Liabilities | 6,676,610 | 995,103 | ||||||
Net Assets | $ | 30,272,896 | $ | 68,319,960 | ||||
Net Assets Consist of: | ||||||||
Paid-in capital | $ | 33,307,967 | $ | 101,455,472 | ||||
Total accumulated losses | (3,035,071 | ) | (33,135,512 | ) | ||||
NET ASSETS | $ | 30,272,896 | $ | 68,319,960 | ||||
Class A Shares | ||||||||
Net assets | $ | 8,473,113 | $ | 22,610,129 | ||||
Shares issued and outstanding (unlimited shares authorized, no par value) | 854,402 | 3,612,915 | ||||||
Net asset value, redemption, and minimum offering price per share (a) | $ | 9.92 | $ | 6.26 | (b) | |||
Maximum offering price per share ($9.92/0.9425), ($6.26/0.9425), respectively(c) | $ | 10.53 | $ | 6.64 | ||||
Class C Shares | ||||||||
Net assets | $ | 5,254,412 | $ | 18,091,542 | ||||
Shares issued and outstanding (unlimited shares authorized, no par value) | 554,864 | 2,867,151 | ||||||
Net asset value, redemption, and offering price per share (a) | $ | 9.47 | $ | 6.31 | (b) | |||
Class I Shares | ||||||||
Net assets | $ | 16,545,371 | $ | 27,618,289 | ||||
Shares issued and outstanding (unlimited shares authorized, no par value) | 1,642,376 | 4,420,099 | ||||||
Net asset value, redemption, and offering price per share | $ | 10.07 | $ | 6.25 | (b) |
(a) | A 1.00% contingent deferred sales charge may apply to redemptions made within twelve months of purchase. The contingent deferred sales charge only applies to Class A share purchases of $1 million or more. |
(b) | Redemptions made within 60 days of purchase may be assessed a redemption fee of 2.00%. |
(c) | On investments of $25,000 or more, the offering price is reduced. |
LoCorr Macro Strategies Fund, LoCorr Long/Short Commodities Strategy Fund and LoCorr Market Trend Fund - Consolidated Statements of Operations | | 53 |
LoCorr Macro Strategies Fund | LoCorr Long/Short Commodities Strategy Fund | LoCorr Market Trend Fund | ||||||||||
Investment Income | ||||||||||||
Interest income | $ | 15,620,053 | $ | 3,267,448 | $ | 10,476,476 | ||||||
Total Investment Income | 15,620,053 | 3,267,448 | 10,476,476 | |||||||||
Expenses | ||||||||||||
Management fees (Note 5) | 11,858,033 | 2,056,058 | 9,003,592 | |||||||||
Fund administration fees | 252,132 | 77,862 | 221,186 | |||||||||
Fund accounting fees | 256,417 | 101,766 | 214,024 | |||||||||
Trustees’ fees | 54,194 | 10,979 | 46,979 | |||||||||
Transfer agent fees and expenses | 934,530 | 247,224 | 662,141 | |||||||||
Custodian fees | 44,927 | 10,383 | 31,777 | |||||||||
Registration expenses | 85,360 | 56,348 | 69,482 | |||||||||
Rule 12b-1 fee - Class A (Note 5) | 194,673 | 81,915 | 127,761 | |||||||||
Rule 12b-1 fee - Class C (Note 5) | 711,447 | 50,993 | 349,262 | |||||||||
Legal and audit fees | 71,053 | 36,919 | 61,752 | |||||||||
Printing and mailing expenses | 106,427 | 18,845 | 84,776 | |||||||||
Other expenses | 27,387 | 6,238 | 24,383 | |||||||||
Total expenses before fee (waiver) / recovery from Adviser | 14,596,580 | 2,755,530 | 10,897,115 | |||||||||
Fee (waiver) recovery from Adviser (Note 5) | (67,297 | ) | 50,253 | — | ||||||||
Net Expenses | 14,529,283 | 2,805,783 | 10,897,115 | |||||||||
Net Investment Income (Loss) | 1,090,770 | 461,665 | (420,639 | ) | ||||||||
Realized and Unrealized Gain (Loss) on Investments, Swap Contracts, Forward Currency Contracts, Futures Contracts and Foreign Currency Translation: | ||||||||||||
Net realized gain (loss) on: | ||||||||||||
Investments | (5,903,009 | ) | (281,876 | ) | (4,786,244 | ) | ||||||
Swap contracts | — | 5,095,408 | — | |||||||||
Forward currency contracts | (10,601,438 | ) | — | (19,219,843 | ) | |||||||
Futures contracts | (19,762,043 | ) | — | (28,102,541 | ) | |||||||
Foreign currency translation | (512,031 | ) | — | (127,907 | ) | |||||||
Net change in unrealized appreciation (depreciation) on: | ||||||||||||
Investments | 776,770 | 238,666 | 3,097,886 | |||||||||
Swap contracts | — | 15,883,665 | — | |||||||||
Forward currency contracts | 3,810,248 | — | (1,520,169 | ) | ||||||||
Futures contracts | (11,301,829 | ) | — | (33,201,879 | ) | |||||||
Foreign currency translation | 302,248 | — | — | |||||||||
Net realized and unrealized gain (loss) | (43,191,084 | ) | 20,935,863 | (83,860,697 | ) | |||||||
Net Increase (Decrease) in Net Assets Resulting From Operations | $ | (42,100,314 | ) | $ | 21,397,528 | $ | (84,281,336 | ) |
54 | | LoCorr Dynamic Equity Fund and LoCorr Spectrum Income Fund - Statements of Operations |
LoCorr Dynamic Equity Fund | LoCorr Spectrum Income Fund | |||||||
Investment Income | ||||||||
Dividend and interest income (a) | $ | 511,888 | $ | 4,118,931 | ||||
Total Investment Income | 511,888 | 4,118,931 | ||||||
Expenses | ||||||||
Management fees (Note 5) | 1,163,284 | 1,071,778 | ||||||
Fund administration fees | 48,496 | 53,371 | ||||||
Fund accounting fees | 39,851 | 43,877 | ||||||
Trustees’ fees | 3,957 | 6,629 | ||||||
Transfer agent fees and expenses | 105,704 | 128,041 | ||||||
Custodian fees | 40,821 | 7,478 | ||||||
Registration expenses | 50,343 | 53,038 | ||||||
Rule 12b-1 fee-Class A (Note 5) | 42,552 | 66,771 | ||||||
Rule 12b-1 fee - Class C (Note 5) | 84,134 | 219,177 | ||||||
Legal and audit fees | 23,854 | 28,310 | ||||||
Printing and mailing expenses | 8,480 | 33,821 | ||||||
Other expenses | 4,082 | 3,939 | ||||||
Total expense before dividend expense | 1,615,558 | 1,716,230 | ||||||
Dividend expense on securities sold short (Note 2) | 101,900 | — | ||||||
Total expenses before fee waiver | 1,717,458 | 1,716,230 | ||||||
Fee waiver from Adviser (Note 5) | (95,089 | ) | — | |||||
Net Expenses | 1,622,369 | 1,716,230 | ||||||
Net Investment Income (Loss) | (1,110,481 | ) | 2,402,701 | |||||
Realized and Unrealized Gain (Loss) on Investments, Securities Sold Short and Foreign Currency Translation: | ||||||||
Net realized gain (loss) on: | ||||||||
Investments | 2,554,752 | 2,771 | ||||||
Securities sold short | (459,269 | ) | — | |||||
Foreign currency translation | (417 | ) | — | |||||
Net change in unrealized appreciation (depreciation) on: | ||||||||
Investments | (7,174,729 | ) | (9,102,504 | ) | ||||
Securities sold short | 115,613 | — | ||||||
Foreign currency translation | 2,440 | — | ||||||
Net realized and unrealized gain (loss) | (4,961,610 | ) | (9,491,620 | ) | ||||
Net Decrease in Net Assets Resulting From Operations | $ | (6,072,091 | ) | $ | (6,697,032 | ) |
LoCorr Macro Strategies Fund - Consolidated Statements of Changes in Net Assets | | 55 |
Year Ended December 31, | ||||||||
2018 | 2017 | |||||||
Operations | ||||||||
Net investment income (loss) | $ | 1,090,770 | $ | (5,585,222 | ) | |||
Net realized gain (loss) on investments, forward currency contracts, futures contracts and foreign currency translation | (36,778,521 | ) | 24,376,808 | |||||
Net change in unrealized appreciation (depreciation) of investments, forward currency contracts, futures contracts and foreign currency translation | (6,412,563 | ) | 882,482 | |||||
Increase (Decrease) in Net Assets Resulting From Operations | (42,100,314 | ) | 19,674,068 | |||||
Distributions From Earnings | ||||||||
Class A | (1,641,026 | ) | (5,441,843 | ) | ||||
Class C | (1,111,427 | ) | (5,525,753 | ) | ||||
Class I | (14,372,592 | ) | (34,409,482 | ) | ||||
Total Distributions From Earnings (a) | (17,125,045 | ) | (45,377,078 | ) | ||||
Capital Transactions (Note 6) | ||||||||
Proceeds from shares sold | 326,669,713 | 789,578,567 | ||||||
Reinvestment of distributions | 15,654,959 | 40,676,233 | ||||||
Cost of shares redeemed | (518,836,160 | ) | (897,405,675 | ) | ||||
Redemption fees | — | 11,727 | ||||||
Decrease in Net Assets From Capital Transactions | (176,511,488 | ) | (67,139,148 | ) | ||||
Total Decrease in Net Assets | (235,736,847 | ) | (92,842,158 | ) | ||||
Net Assets | ||||||||
Beginning of year | 789,818,114 | 882,660,272 | ||||||
End of year(b) | $ | 554,081,267 | $ | 789,818,114 |
(a) | Distributions from net investment income and net realized gain are no longer required to be separately disclosed. See Note 2. For the year ended December 31, 2017, total distributions from earnings include distributions from net realized gain of $45,377,078. |
(b) | Parenthetical disclosure of accumulated net investment income is no longer required. See Note 2. For the year ended December 31, 2017, end of year net assets includes accumulated undistributed net investment income of $0. |
56 | | LoCorr Long/Short Commodities Strategy Fund - Consolidated Statements of Changes in Net Assets |
Year Ended December 31, | ||||||||
2018 | 2017 | |||||||
Operations | ||||||||
Net investment income (loss) | $ | 461,665 | $ | (321,869 | ) | |||
Net realized gain (loss) on investments and swap contracts | 4,813,532 | (2,351,285 | ) | |||||
Net change in unrealized appreciation of investments and swap contracts | 16,122,331 | 7,660,187 | ||||||
Increase in Net Assets Resulting From Operations | 21,397,528 | 4,987,033 | ||||||
Distributions From Earnings | ||||||||
Class A | (5,426,159 | ) | (5,374 | ) | ||||
Class C | (652,659 | ) | (1,284 | ) | ||||
Class I | (17,507,215 | ) | (9,886 | ) | ||||
Total Distributions From Earnings (a) | (23,586,033 | ) | (16,544 | ) | ||||
Capital Transactions (Note 6) | ||||||||
Proceeds from shares sold | 195,310,076 | 38,229,299 | ||||||
Reinvestment of distributions | 18,672,560 | 12,720 | ||||||
Cost of shares redeemed | (38,015,146 | ) | (83,412,741 | ) | ||||
Redemption fees | — | (124 | ) | |||||
Increase (Decrease) in Net Assets From Capital Transactions | 175,967,490 | (45,170,846 | ) | |||||
Total Increase (Decrease) in Net Assets | 173,778,985 | (40,200,357 | ) | |||||
Net Assets | ||||||||
Beginning of year | 83,247,038 | 123,447,395 | ||||||
End of year (b) | $ | 257,026,023 | $ | 83,247,038 |
(a) | Distributions from net investment income and net realized gain are no longer required to be separately disclosed. See Note 2. For the year ended December 31, 2017, total distributions from earnings include distributions from net investment income of $16,544. |
(b) | Parenthetical disclosure of accumulated net investment income is no longer required. See Note 2. For the year ended December 31, 2017, end of year net assets includes accumulated undistributed net investment income of $0. |
LoCorr Market Trend Fund - Consolidated Statements of Changes in Net Assets | | 57 |
Year Ended December 31, | ||||||||
2018 | 2017 | |||||||
Operations | ||||||||
Net investment loss | $ | (420,639 | ) | $ | (6,679,324 | ) | ||
Net realized gain (loss) on investments, forward currency contracts, futures contracts and foreign currency translation | (52,236,535 | ) | 12,670,567 | |||||
Net change in unrealized appreciation (depreciation) of investments, forward currency contracts, futures contracts and foreign currency translation | (31,624,162 | ) | 14,067,086 | |||||
Increase (Decrease) in Net Assets Resulting From Operations | (84,281,336 | ) | 20,058,329 | |||||
Capital Transactions (Note 6) | ||||||||
Proceeds from shares sold | 283,959,578 | 327,920,811 | ||||||
Cost of shares redeemed | (523,178,776 | ) | (701,728,866 | ) | ||||
Redemption fees | — | 5,881 | ||||||
Decrease in Net Assets From Capital Transactions | (239,219,198 | ) | (373,802,174 | ) | ||||
Total Decrease in Net Assets | (323,500,534 | ) | (353,743,845 | ) | ||||
Net Assets | ||||||||
Beginning of year | 666,701,086 | 1,020,444,931 | ||||||
End of year (a) | $ | 343,200,552 | $ | 666,701,086 |
(a) | Parenthetical disclosure of accumulated net investment loss is no longer required. See Note 2. For the year ended December 31, 2017, end of year net assets includes accumulated undistributed net investment loss of $368,813. |
58 | | LoCorr Dynamic Equity Fund - Statements of Changes in Net Assets |
Year Ended December 31, | ||||||||
2018 | 2017 | |||||||
Operations | ||||||||
Net investment loss | $ | (1,110,481 | ) | $ | (1,961,947 | ) | ||
Net realized gain on investments, securities sold short and foreign currency translation | 2,095,066 | 5,711,548 | ||||||
Net change in unrealized depreciation of investments, securities sold short and foreign currency translation | (7,056,659 | ) | (2,380,922 | ) | ||||
Increase (Decrease) in Net Assets Resulting From Operations | (6,072,091 | ) | 1,368,679 | |||||
Distributions From Earnings | ||||||||
Class A | (323,018 | ) | (855,876 | ) | ||||
Class C | (208,891 | ) | (492,681 | ) | ||||
Class I | (630,416 | ) | (1,391,942 | ) | ||||
Total Distributions From Earnings (a) | (1,162,325 | ) | (2,740,499 | ) | ||||
Capital Transactions (Note 6) | ||||||||
Proceeds from shares sold | 11,732,272 | 53,756,244 | ||||||
Reinvestment of distributions | 1,093,095 | 2,435,213 | ||||||
Cost of shares redeemed | (39,145,301 | ) | (75,271,431 | ) | ||||
Redemption fees | — | 2,283 | ||||||
Decrease in Net Assets From Capital Transactions | (26,319,934 | ) | (19,077,691 | ) | ||||
Total Decrease in Net Assets | (33,554,350 | ) | (20,449,511 | ) | ||||
Net Assets | ||||||||
Beginning of year | 63,827,246 | 84,276,757 | ||||||
End of year (b) | $ | 30,272,896 | $ | 63,827,246 |
(a) | Distributions from net investment income and net realized gain are no longer required to be separately disclosed. See Note 2. For the year ended December 31, 2017, total distributions from earnings include distributions from net realized gain of $2,740,499. |
(b) | Parenthetical disclosure of accumulated net investment income is no longer required. See Note 2. For the year ended December 31, 2017, end of year net assets includes accumulated undistributed net investment income of $10,940. |
LoCorr Spectrum Income Fund - Statements of Changes in Net Assets | | 59 |
Year Ended December 31, | ||||||||
2018 | 2017 | |||||||
Operations | ||||||||
Net investment income | $ | 2,402,701 | $ | 2,341,093 | ||||
Net realized loss on investments | 2,771 | (2,824,448 | ) | |||||
Net change in unrealized appreciation (depreciation) of investments | (9,102,504 | ) | 3,795,364 | |||||
Increase (Decrease) in Net Assets Resulting From Operations | (6,697,032 | ) | 3,312,009 | |||||
Distributions From Earnings | ||||||||
Net investment income: | ||||||||
Class A | (956,505 | ) | (656,776 | ) | ||||
Class C | (681,277 | ) | (434,017 | ) | ||||
Class I | (1,262,271 | ) | (1,005,045 | ) | ||||
Return of capital: | ||||||||
Class A | (1,144,116 | ) | (1,857,235 | ) | ||||
Class C | (814,904 | ) | (1,227,315 | ) | ||||
Class I | (1,509,857 | ) | (2,842,070 | ) | ||||
Total Distributions From Earnings (a) | (6,368,930 | ) | (8,022,458 | ) | ||||
Capital Transactions (Note 6) | ||||||||
Proceeds from shares sold | 24,514,502 | 43,072,561 | ||||||
Reinvestment of distributions | 4,713,777 | 5,356,317 | ||||||
Cost of shares redeemed | (44,379,996 | ) | (52,992,147 | ) | ||||
Redemption fees | 25,115 | 17,840 | ||||||
Decrease in Net Assets From Capital Transactions | (15,126,602 | ) | (4,545,429 | ) | ||||
Total Decrease in Net Assets | (28,192,564 | ) | (9,255,878 | ) | ||||
Net Assets | ||||||||
Beginning of year | 96,512,524 | 105,768,402 | ||||||
End of year (b) | $ | 68,319,960 | $ | 96,512,524 |
(a) | Distributions from net investment income and net realized gain are no longer required to be separately disclosed. See Note 2. For the year ended December 31, 2017, total distributions from earnings include distributions from net investment income of $2,095,838 and return of capital of $5,926,620. |
(b) | Parenthetical disclosure of accumulated net investment loss is no longer required. See Note 2. For the year ended December 31, 2017, end of year net assets includes accumulated undistributed net investment loss of $1,339,661. |
60 | | LoCorr Macro Strategies Fund - Consolidated Financial Highlights - Class A |
Year Ended December 31, | ||||||||||||||||||||
2018 | 2017 | 2016 | 2015 | 2014 | ||||||||||||||||
Per Share | ||||||||||||||||||||
Net asset value, beginning of year | $ | 8.64 | $ | 8.91 | $ | 8.54 | $ | 8.51 | $ | 8.28 | ||||||||||
Income (loss) from investment operations: | ||||||||||||||||||||
Net investment income (loss)(a) | 0.00 | (b) | (0.06 | ) | (0.09 | ) | (0.08 | ) | (0.08 | ) | ||||||||||
Net realized and unrealized gain (loss) | (0.46 | ) | 0.31 | 0.64 | 0.36 | 1.36 | ||||||||||||||
Total from Investment Operations | (0.46 | ) | 0.25 | 0.55 | 0.28 | 1.28 | ||||||||||||||
Distributions From Earnings: | ||||||||||||||||||||
Net investment income | (0.10 | ) | — | — | (0.25 | ) | (1.04 | ) | ||||||||||||
Net realized gains | (0.13 | ) | (0.52 | ) | (0.18 | ) | — | (0.01 | ) | |||||||||||
Total Distributions | (0.23 | ) | (0.52 | ) | (0.18 | ) | (0.25 | ) | (1.05 | ) | ||||||||||
Redemption Fees | — | 0.00 | (b) | 0.00 | (b) | 0.00 | (b) | 0.00 | (b) | |||||||||||
Net Asset Value, End of Year | $ | 7.95 | $ | 8.64 | $ | 8.91 | $ | 8.54 | $ | 8.51 | ||||||||||
Total Investment Return(c) | (5.36 | )% | 2.77 | % | 6.39 | % | 3.27 | % | 15.42 | % | ||||||||||
Net Assets, End of Year, in Thousands | $ | 55,075 | $ | 93,182 | $ | 297,844 | $ | 229,427 | $ | 206,931 | ||||||||||
Ratios/Supplemental Data: | ||||||||||||||||||||
Ratio of expenses to average net assets: | ||||||||||||||||||||
Before expense waiver or recovery | 2.25 | % | 2.33 | % | 2.34 | %(d)(e) | 2.06 | %(d)(e) | 2.11 | %(d) | ||||||||||
After expense waiver or recovery | 2.24 | % | 2.28 | % | 2.34 | %(d)(e) | 2.06 | %(d)(e) | 2.11 | %(d) | ||||||||||
Ratio of net investment income (loss) to average net assets: | ||||||||||||||||||||
Before expense waiver or recovery | 0.03 | % | (0.76 | )% | (0.96 | )%(d) | (0.90 | )%(d) | (0.94 | )%(d) | ||||||||||
After expense waiver or recovery | 0.04 | % | (0.71 | )% | (0.96 | )%(d) | (0.90 | )%(d) | (0.94 | )%(d) | ||||||||||
Portfolio turnover rate(f) | 105 | % | 97 | % | 62 | % | 53 | % | 57 | % |
(a) | Net investment income (loss) per share is based on average shares outstanding. |
(b) | Amount represents less than $0.005 per share. |
(c) | Total investment return excludes the effect of applicable sales charges. |
(d) | Ratios do not include the income and expenses of the CTAs included in the swap. |
(e) | Includes interest expense of 0.01% and 0.00% for the years ended December 31, 2016 and 2015, respectively. |
(f) | Portfolio turnover rate is calculated on the basis of the Fund as a whole without distinguishing between classes of shares issued. Consists of long-term investments only; excludes derivative instruments. |
LoCorr Macro Strategies Fund - Consolidated Financial Highlights - Class C | | 61 |
Year Ended December 31, | ||||||||||||||||||||
2018 | 2017 | 2016 | 2015 | 2014 | ||||||||||||||||
Per Share | ||||||||||||||||||||
Net asset value, beginning of year | $ | 8.27 | $ | 8.62 | $ | 8.32 | $ | 8.30 | $ | 8.12 | ||||||||||
Income (loss) from investment operations: | ||||||||||||||||||||
Net investment income (loss)(a) | (0.06 | ) | (0.13 | ) | (0.15 | ) | (0.14 | ) | (0.15 | ) | ||||||||||
Net realized and unrealized gain (loss) | (0.43 | ) | 0.30 | 0.63 | 0.35 | 1.33 | ||||||||||||||
Total from Investment Operations | (0.49 | ) | 0.17 | 0.48 | 0.21 | 1.18 | ||||||||||||||
Distributions From Earnings: | ||||||||||||||||||||
Net investment income | (0.03 | ) | — | — | (0.19 | ) | (0.99 | ) | ||||||||||||
Net realized gains | (0.13 | ) | (0.52 | ) | (0.18 | ) | — | (0.01 | ) | |||||||||||
Total Distributions | (0.16 | ) | (0.52 | ) | (0.18 | ) | (0.19 | ) | (1.00 | ) | ||||||||||
Redemption Fees | — | 0.00 | (b) | 0.00 | (b) | 0.00 | (b) | 0.00 | (b) | |||||||||||
Net Asset Value, End of Year | $ | 7.62 | $ | 8.27 | $ | 8.62 | $ | 8.32 | $ | 8.30 | ||||||||||
Total Investment Return(c) | (5.98 | )% | 1.93 | % | 5.72 | % | 2.51 | % | 14.39 | % | ||||||||||
Net Assets, End of Year, in Thousands | $ | 53,148 | $ | 90,653 | $ | 113,814 | $ | 98,729 | $ | 93,924 | ||||||||||
Ratios/Supplemental Data: | ||||||||||||||||||||
Ratio of expenses to average net assets: | ||||||||||||||||||||
Before expense waiver or recovery | 3.00 | % | 3.08 | % | 3.09 | %(d)(e) | 2.81 | %(d)(e) | 2.86 | %(d) | ||||||||||
After expense waiver or recovery | 2.99 | % | 3.03 | % | 3.09 | %(d)(e) | 2.81 | %(d)(e) | 2.86 | %(d) | ||||||||||
Ratio of net investment income (loss) to average net assets: | ||||||||||||||||||||
Before expense waiver or recovery | (0.72 | )% | (1.51 | )% | (1.71 | )%(d) | (1.65 | )%(d) | (1.69 | )%(d) | ||||||||||
After expense waiver or recovery | (0.71 | )% | (1.46 | )% | (1.71 | )%(d) | (1.65 | )%(d) | (1.69 | )%(d) | ||||||||||
Portfolio turnover rate(f) | 105 | % | 97 | % | 62 | % | 53 | % | 57 | % |
(a) | Net investment income (loss) per share is based on average shares outstanding. |
(b) | Amount represents less than $0.005 per share. |
(c) | Total investment return excludes the effect of applicable sales charges. |
(d) | Ratios do not include the income and expenses of the CTAs included in the swap. |
(e) | Includes interest expense of 0.01% and 0.00% for the years ended December 31, 2016 and 2015, respectively. |
(f) | Portfolio turnover rate is calculated on the basis of the Fund as a whole without distinguishing between classes of shares issued. Consists of long-term investments only; excludes derivative instruments. |
62 | | LoCorr Macro Strategies Fund - Consolidated Financial Highlights - Class I |
Year Ended December 31, | ||||||||||||||||||||
2018 | 2017 | 2016 | 2015 | 2014 | ||||||||||||||||
Per Share | ||||||||||||||||||||
Net asset value, beginning of year | $ | 8.77 | $ | 9.01 | $ | 8.62 | $ | 8.57 | $ | 8.34 | ||||||||||
Income (loss) from investment operations: | ||||||||||||||||||||
Net investment income (loss)(a) | 0.02 | (0.04 | ) | (0.07 | ) | (0.06 | ) | (0.06 | ) | |||||||||||
Net realized and unrealized gain (loss) | (0.47 | ) | 0.32 | 0.64 | 0.38 | 1.36 | ||||||||||||||
Total from Investment Operations | (0.45 | ) | 0.28 | 0.57 | 0.32 | 1.30 | ||||||||||||||
Distributions From Earnings: | ||||||||||||||||||||
Net investment income | (0.12 | ) | — | (0.00 | )(b) | (0.27 | ) | (1.06 | ) | |||||||||||
Net realized gains | (0.13 | ) | (0.52 | ) | (0.18 | ) | — | (0.01 | ) | |||||||||||
Total Distributions | (0.25 | ) | (0.52 | ) | (0.18 | ) | (0.27 | ) | (1.07 | ) | ||||||||||
Redemption Fees | — | 0.00 | (b) | 0.00 | (b) | 0.00 | (b) | 0.00 | (b) | |||||||||||
Net Asset Value, End of Year | $ | 8.07 | $ | 8.77 | $ | 9.01 | $ | 8.62 | $ | 8.57 | ||||||||||
Total Investment Return | (5.08 | )% | 3.07 | % | 6.57 | % | 3.72 | % | 15.56 | % | ||||||||||
Net Assets, End of Year, in Thousands | $ | 445,858 | $ | 605,983 | $ | 471,002 | $ | 192,309 | $ | 190,052 | ||||||||||
Ratios/Supplemental Data: | ||||||||||||||||||||
Ratio of expenses to average net assets: | ||||||||||||||||||||
Before expense waiver or recovery | 2.00 | % | 2.08 | % | 2.09 | %(c)(d) | 1.81 | %(c)(d) | 1.86 | %(c) | ||||||||||
After expense waiver or recovery | 1.99 | % | 2.03 | % | 2.09 | %(c)(d) | 1.81 | %(c)(d) | 1.86 | %(c) | ||||||||||
Ratio of net investment income (loss) to average net assets: | ||||||||||||||||||||
Before expense waiver or recovery | 0.28 | % | (0.51 | )% | (0.71 | )%(c) | (0.65 | )%(c) | (0.69 | )%(c) | ||||||||||
After expense waiver or recovery | 0.29 | % | (0.46 | )% | (0.71 | )%(c) | (0.65 | )%(c) | (0.69 | )%(c) | ||||||||||
Portfolio turnover rate(e) | 105 | % | 97 | % | 62 | % | 53 | % | 57 | % |
(a) | Net investment income (loss) per share is based on average shares outstanding. |
(b) | Amount represents less than $0.005 per share. |
(c) | Ratios do not include the income and expenses of the CTAs included in the swap. |
(d) | Includes interest expense of 0.01% and 0.00% for the years ended December 31, 2016 and 2015, respectively. |
(e) | Portfolio turnover rate is calculated on the basis of the Fund as a whole without distinguishing between classes of shares issued. Consists of long-term investments only; excludes derivative instruments. |
LoCorr Long/Short Commodities Strategy Fund - Consolidated Financial Highlights - Class A | | 63 |
Year Ended December 31, | ||||||||||||||||||||
2018 | 2017 | 2016 | 2015 | 2014 | ||||||||||||||||
Per Share | ||||||||||||||||||||
Net asset value, beginning of year | $ | 9.71 | $ | 9.17 | $ | 9.72 | $ | 8.54 | $ | 7.67 | ||||||||||
Income (loss) from investment operations: | ||||||||||||||||||||
Net investment income (loss)(a) | 0.02 | (0.04 | ) | (0.10 | ) | (0.13 | ) | (0.14 | ) | |||||||||||
Net realized and unrealized gain (loss) | 1.39 | 0.58 | (0.18 | ) | 2.02 | 1.85 | ||||||||||||||
Total from Investment Operations | 1.41 | 0.54 | (0.28 | ) | 1.89 | 1.71 | ||||||||||||||
Distributions From Earnings: | ||||||||||||||||||||
Net investment income | (1.22 | ) | 0.00 | (b) | (0.27 | ) | (0.71 | ) | (0.84 | ) | ||||||||||
Total Distributions | (1.22 | ) | 0.00 | (0.27 | ) | (0.71 | ) | (0.84 | ) | |||||||||||
Redemption Fees | — | 0.00 | (b) | 0.00 | (b) | 0.00 | (b) | 0.00 | (b) | |||||||||||
Net Asset Value, End of Year | $ | 9.90 | $ | 9.71 | $ | 9.17 | $ | 9.72 | $ | 8.54 | ||||||||||
Total Investment Return(c) | 15.05 | % | 5.91 | % | (2.98 | )% | 22.34 | % | 22.07 | % | ||||||||||
Net Assets, End of Year, in Thousands | $ | 68,719 | $ | 25,575 | $ | 34,860 | $ | 24,425 | $ | 43,345 | ||||||||||
Ratio/Supplemental Data:(d) | ||||||||||||||||||||
Ratio of expenses to average net assets: | ||||||||||||||||||||
Before expense waiver or recovery | 2.16 | % | 2.28 | % | 2.22 | %(e) | 2.59 | %(e) | 3.01 | %(e) | ||||||||||
After expense waiver or recovery | 2.20 | % | 2.20 | % | 2.20 | %(e) | 2.20 | %(e) | 2.20 | %(e) | ||||||||||
Ratio of net investment income (loss) to average net assets: | ||||||||||||||||||||
Before expense waiver or recovery | 0.22 | % | (0.52 | )% | (0.99 | )% | (1.79 | )% | (2.39 | )% | ||||||||||
After expense waiver or recovery | 0.18 | % | (0.44 | )% | (0.97 | )% | (1.40 | )% | (1.58 | )% | ||||||||||
Portfolio turnover rate(f) | 92 | % | 74 | % | 105 | % | 164 | % | 55 | % |
(a) | Net investment income (loss) per share is based on average shares outstanding. |
(b) | Amount represents less than $0.005 per share. |
(c) | Total investment return excludes the effect of applicable sales charges. |
(d) | Ratios do not include the income and expenses of the CTAs included in the swap. |
(e) | Includes interest expense on line of credit of 0.00%, 0.00% and 0.00% for the years ended December 31, 2016, 2015 and 2014, respectively. |
(f) | Portfolio turnover rate is calculated on the basis of the Fund as a whole without distinguishing between classes of shares issued. Consists of long-term investments only; excludes derivative instruments. |
64 | | LoCorr Long/Short Commodities Strategy Fund - Consolidated Financial Highlights - Class C |
Year Ended December 31, | ||||||||||||||||||||
2018 | 2017 | 2016 | 2015 | 2014 | ||||||||||||||||
Per Share | ||||||||||||||||||||
Net asset value, beginning of year | $ | 9.41 | $ | 8.95 | $ | 9.51 | $ | 8.36 | $ | 7.54 | ||||||||||
Income (loss) from investment operations: | ||||||||||||||||||||
Net investment income (loss)(a) | (0.06 | ) | (0.11 | ) | (0.17 | ) | (0.19 | ) | (0.20 | ) | ||||||||||
Net realized and unrealized gain (loss) | 1.35 | 0.57 | (0.18 | ) | 1.96 | 1.80 | ||||||||||||||
Total from Investment Operations | 1.29 | 0.46 | (0.35 | ) | 1.77 | 1.60 | ||||||||||||||
Distributions From Earnings: | ||||||||||||||||||||
Net investment income | (1.15 | ) | 0.00 | (b) | (0.21 | ) | (0.62 | ) | (0.78 | ) | ||||||||||
Total Distributions | (1.15 | ) | 0.00 | (0.21 | ) | (0.62 | ) | (0.78 | ) | |||||||||||
Redemption Fees | — | 0.00 | (b) | 0.00 | (b) | — | — | |||||||||||||
Net Asset Value, End of Year | $ | 9.55 | $ | 9.41 | $ | 8.95 | $ | 9.51 | $ | 8.36 | ||||||||||
Total Investment Return(c) | 14.20 | % | 5.17 | % | (3.72 | )% | 21.39 | % | 21.01 | % | ||||||||||
Net Assets, End of Year, in Thousands | $ | 6,503 | $ | 4,737 | $ | 7,383 | $ | 4,330 | $ | 2,983 | ||||||||||
Ratio/Supplemental Data:(d) | ||||||||||||||||||||
Ratio of expenses to average net assets: | ||||||||||||||||||||
Before expense waiver or recovery | 2.91 | % | 3.03 | % | 2.97 | %(e) | 3.34 | %(e) | 3.76 | %(e) | ||||||||||
After expense waiver or recovery | 2.95 | % | 2.95 | % | 2.95 | %(e) | 2.95 | %(e) | 2.95 | %(e) | ||||||||||
Ratio of net investment income (loss) to average net assets: | ||||||||||||||||||||
Before expense waiver or recovery | (0.53 | )% | (1.27 | )% | (1.74 | )% | (2.54 | )% | (3.14 | )% | ||||||||||
After expense waiver or recovery | (0.57 | )% | (1.19 | )% | (1.72 | )% | (2.15 | )% | (2.33 | )% | ||||||||||
Portfolio turnover rate(f) | 92 | % | 74 | % | 105 | % | 164 | % | 55 | % |
(a) | Net investment income (loss) per share is based on average shares outstanding. |
(b) | Amount represents less than $0.005 per share. |
(c) | Total investment return excludes the effect of applicable sales charges. |
(d) | Ratios do not include the income and expenses of the CTAs included in the swap. |
(e) | Includes interest expense on line of credit of 0.00%, 0.00% and 0.00% for the years ended December 31, 2016, 2015 and 2014, respectively. |
(f) | Portfolio turnover rate is calculated on the basis of the Fund as a whole without distinguishing between classes of shares issued. Consists of long-term investments only; excludes derivative instruments. |
LoCorr Long/Short Commodities Strategy Fund - Consolidated Financial Highlights - Class | | 65 |
Consolidated Financial Highlights
Year Ended December 31, | ||||||||||||||||||||
2018 | 2017 | 2016 | 2015 | 2014 | ||||||||||||||||
Per Share | ||||||||||||||||||||
Net asset value, beginning of year | $ | 9.81 | $ | 9.24 | $ | 9.79 | $ | 8.59 | $ | 7.70 | ||||||||||
Income (loss) from investment operations: | ||||||||||||||||||||
Net investment income (loss)(a) | 0.05 | (0.02 | ) | (0.07 | ) | (0.11 | ) | (0.12 | ) | |||||||||||
Net realized and unrealized gain (loss) | 1.41 | 0.59 | (0.18 | ) | 2.03 | 1.86 | ) | |||||||||||||
Total from Investment Operations | 1.46 | 0.57 | (0.25) | 1.92 | 1.74 | |||||||||||||||
Distributions From Earnings: | ||||||||||||||||||||
Net investment income | (1.24 | ) | 0.00 | (b) | (0.30 | ) | (0.72 | ) | (0.85 | ) | ||||||||||
Total Distributions | (1.24 | ) | 0.00 | (0.30 | ) | (0.72 | ) | (0.85 | ) | |||||||||||
Redemption Fees | — | 0.00 | (b) | 0.00 | (b) | 0.00 | (b) | 0.00 | (b) | |||||||||||
Net Asset Value, End of Year | $ | 10.03 | $ | 9.81 | $ | 9.24 | $ | 9.79 | $ | 8.59 | ||||||||||
Total Investment Return | 15.40 | % | 6.19 | % | (2.67 | )% | 22.61 | % | 22.36 | % | ||||||||||
Net Assets, End of Year, in Thousands | $ | 181,804 | $ | 52,935 | $ | 81,204 | $ | 31,166 | $ | 12,825 | ||||||||||
Ratio/Supplemental Data:(c) | ||||||||||||||||||||
Ratio of expenses to average net assets: | ||||||||||||||||||||
Before expense waiver or recovery | 1.91 | % | 2.03 | % | 1.97 | %(d) | 2.34 | %(d) | 2.76 | %(d) | ||||||||||
After expense waiver or recovery | 1.95 | % | 1.95 | % | 1.95 | %(d) | 1.95 | %(d) | 1.95 | %(d) | ||||||||||
Ratio of net investment income (loss) to average net assets: | ||||||||||||||||||||
Before expense waiver or recovery | 0.47 | % | (0.27 | )% | (0.74 | )% | (1.54 | )% | (2.14 | )% | ||||||||||
After expense waiver or recovery | 0.43 | % | (0.19 | )% | (0.72 | )% | (1.15 | )% | (1.33 | )% | ||||||||||
Portfolio turnover rate(e) | 92 | % | 74 | % | 105 | % | 164 | % | 55 | % |
(a) | Net investment income (loss) per share is based on average shares outstanding. |
(b) | Amount represents less than $0.005 per share. |
(c) | Ratios do not include the income and expenses of the CTAs included in the swap. |
(d) | Includes interest expense on line of credit of 0.00%, 0.00% and 0.00% for the years ended December 31, 2016, 2015 and 2014, respectively. |
(e) | Portfolio turnover rate is calculated on the basis of the Fund as a whole without distinguishing between classes of shares issued. Consists of long-term investments only; excludes derivative instruments. |
66 | | LoCorr Market Trend Fund - Consolidated Financial Highlights - Class A |
Year Ended December 31, | Period from July 1, 2014 (commencement of operations) through December 31, 2014* | |||||||||||||||||||
2018 | 2017 | 2016 | 2015 | |||||||||||||||||
Per Share | ||||||||||||||||||||
Net asset value, beginning of period | $ | 11.03 | $ | 10.65 | $ | 12.00 | $ | 11.44 | $ | 10.00 | ||||||||||
Income (loss) from investment operations: | ||||||||||||||||||||
Net investment income (loss)(a) | (0.03 | ) | (0.10 | ) | (0.15 | ) | (0.19 | ) | (0.12 | ) | ||||||||||
Net realized and unrealized gain (loss) | (1.48 | ) | 0.48 | (1.01 | ) | 0.84 | (b) | 1.99 | ||||||||||||
Total from Investment Operations | (1.51 | ) | 0.38 | (1.16 | ) | 0.65 | 1.87 | |||||||||||||
Distributions From Earnings: | ||||||||||||||||||||
Net investment income | — | — | (0.19 | ) | (0.07 | ) | (0.25 | ) | ||||||||||||
Net realized gains | — | — | — | (0.02 | ) | (0.18 | ) | |||||||||||||
Total Distributions | — | — | (0.19 | ) | (0.09 | ) | (0.43 | ) | ||||||||||||
Redemption Fees | — | 0.00 | (c) | 0.00 | (c) | 0.00 | (c) | 0.00 | (c) | |||||||||||
Net Asset Value, End of Period | $ | 9.52 | $ | 11.03 | $ | 10.65 | $ | 12.00 | $ | 11.44 | ||||||||||
Total Investment Return(d) | (13.69 | )% | 3.57 | % | (9.71 | )% | 5.68 | % | 18.74 | % | ||||||||||
Net Assets, End of Period, in Thousands | $ | 32,082 | $ | 61,557 | $ | 133,146 | $ | 110,324 | $ | 13,337 | ||||||||||
Ratio/Supplemental Data: | ||||||||||||||||||||
Ratio of expenses to average net assets: | ||||||||||||||||||||
Before expense waiver or recovery | 1.99 | % | 2.00 | % | 2.02 | %(e) | 2.03 | % | 3.64 | % | ||||||||||
After expense waiver or recovery | 1.99 | % | 2.00 | % | 2.02 | %(e) | 2.06 | % | 2.20 | % | ||||||||||
Ratio of net investment income (loss) to average net assets: | ||||||||||||||||||||
Before expense waiver or recovery | (0.24 | )% | (0.97 | )% | (1.24 | )% | (1.49 | )% | (3.48 | )% | ||||||||||
After expense waiver or recovery | (0.24 | )% | (0.97 | )% | (1.24 | )% | (1.52 | )% | (2.04 | )% | ||||||||||
Portfolio turnover rate(f) | 91 | % | 85 | % | 83 | % | 27 | % | 6 | % |
(a) | Net investment income (loss) per share is based on average shares outstanding. |
(b) | Realized and unrealized gains and losses per share in this caption are balancing amounts necessary to reconcile the change in net asset value per share for the period, and may not reconcile with the Fund’s consolidated statement of operations due to share transactions for the period. |
(c) | Amount represents less than $0.005 per share. |
(d) | Total investment return excludes the effect of applicable sales charges. |
(e) | Includes 0.00% of interest expense for the year ended December 31, 2016. |
(f) | Portfolio turnover rate is calculated on the basis of the Fund as a whole without distinguishing between classes of shares issued. Consists of long-term investments only; excludes derivative instruments. |
LoCorr Market Trend Fund - Consolidated Financial Highlights - Class C | | 67 |
Year Ended December 31, | Period from July 1, 2014 (commencement of operations) through December 31, 2014* | |||||||||||||||||||
2018 | 2017 | 2016 | 2015 | |||||||||||||||||
Per Share | ||||||||||||||||||||
Net asset value, beginning of period | $ | 10.83 | $ | 10.53 | $ | 11.92 | $ | 11.41 | $ | 10.00 | ||||||||||
Income (loss) from investment operations: | ||||||||||||||||||||
Net investment income (loss)(a) | (0.10 | ) | (0.18 | ) | (0.23 | ) | (0.28 | ) | (0.16 | ) | ||||||||||
Net realized and unrealized gain (loss) | (1.45 | ) | 0.48 | (1.01 | ) | 0.84 | (b) | 1.99 | ||||||||||||
Total from Investment Operations | (1.55 | ) | 0.30 | (1.24 | ) | 0.56 | 1.83 | |||||||||||||
Distributions From Earnings: | ||||||||||||||||||||
Net investment income | — | — | (0.15 | ) | (0.03 | ) | (0.24 | ) | ||||||||||||
Net realized gains | — | — | — | (0.02 | ) | (0.18 | ) | |||||||||||||
Total Distributions | — | — | (0.15 | ) | (0.05 | ) | (0.42 | ) | ||||||||||||
Redemption Fees | — | 0.00 | (c) | 0.00 | (c) | 0.00 | (c) | 0.00 | (c) | |||||||||||
Net Asset Value, End of Period | $ | 9.28 | $ | 10.83 | $ | 10.53 | $ | 11.92 | $ | 11.41 | ||||||||||
Total Investment Return(d) | (14.31 | )% | 2.85 | % | (10.45 | )% | 4.90 | % | 18.29 | % | ||||||||||
Net Assets, End of Period, in Thousands | $ | 23,417 | $ | 43,772 | $ | 89,454 | $ | 94,707 | $ | 6,949 | ||||||||||
Ratio/Supplemental Data: | ||||||||||||||||||||
Ratio of expenses to average net assets: | ||||||||||||||||||||
Before expense waiver or recovery | 2.74 | % | 2.75 | % | 2.77 | %(e) | 2.78 | % | 4.39 | % | ||||||||||
After expense waiver or recovery | 2.74 | % | 2.75 | % | 2.77 | %(e) | 2.81 | % | 2.95 | % | ||||||||||
Ratio of net investment income (loss) to average net assets: | ||||||||||||||||||||
Before expense waiver or recovery | (0.99 | )% | (1.72 | )% | (1.99 | )% | (2.24 | )% | (4.23 | )% | ||||||||||
After expense waiver or recovery | (0.99 | )% | (1.72 | )% | (1.99 | )% | (2.27 | )% | (2.79 | )% | ||||||||||
Portfolio turnover rate(f) | 91 | % | 85 | % | 83 | % | 27 | % | 6 | % |
(a) | Net investment income (loss) per share is based on average shares outstanding. |
(b) | Realized and unrealized gains and losses per share in this caption are balancing amounts necessary to reconcile the change in net asset value per share for the period, and may not reconcile with the Fund’s consolidated statement of operations due to share transactions for the period. |
(c) | Amount represents less than $0.005 per share. |
(d) | Total investment return excludes the effect of applicable sales charges. |
(e) | Includes 0.00% of interest expense for the year ended December 31, 2016. |
(f) | Portfolio turnover rate is calculated on the basis of the Fund as a whole without distinguishing between classes of shares issued. Consists of long-term investments only; excludes derivative instruments. |
68 | | LoCorr Market Trend Fund - Consolidated Financial Highlights - Class I |
Period from July 1, 2014 (commencement of operations) through December 31, 2014* | ||||||||||||||||||||
Year Ended December 31, | ||||||||||||||||||||
2018 | 2017 | 2016 | 2015 | |||||||||||||||||
Per Share | ||||||||||||||||||||
Net asset value, beginning of period | $ | 11.09 | $ | 10.68 | $ | 12.02 | $ | 11.45 | $ | 10.00 | ||||||||||
Income (loss) from investment operations: | ||||||||||||||||||||
Net investment income (loss)(a) | 0.00 | (c) | (0.08 | ) | (0.12 | ) | (0.16 | ) | (0.10 | ) | ||||||||||
Net realized and unrealized gain (loss) | (1.49 | ) | 0.49 | (1.02 | ) | 0.84 | (b) | 1.99 | ||||||||||||
Total from Investment Operations | (1.49 | ) | 0.41 | (1.14 | ) | 0.68 | 1.89 | |||||||||||||
Distributions From Earnings: | ||||||||||||||||||||
Net investment income | — | — | (0.20 | ) | (0.09 | ) | (0.26 | ) | ||||||||||||
Net realized gains | — | — | — | (0.02 | ) | (0.18 | ) | |||||||||||||
Total Distributions | — | — | (0.20 | ) | (0.11 | ) | (0.44 | ) | ||||||||||||
Redemption Fees | — | 0.00 | (c) | 0.00 | (c) | 0.00 | (c) | 0.00 | (c) | |||||||||||
Net Asset Value, End of Period | $ | 9.60 | $ | 11.09 | $ | 10.68 | $ | 12.02 | $ | 11.45 | ||||||||||
Total Investment Return | (13.44 | )% | 3.84 | % | (9.49 | )% | 5.96 | % | 18.88 | % | ||||||||||
Net Assets, End of Period, in Thousands | $ | 287,702 | $ | 561,372 | $ | 797,845 | $ | 695,987 | $ | 40,192 | ||||||||||
Ratio/Supplemental Data: | ||||||||||||||||||||
Ratio of expenses to average net assets: | ||||||||||||||||||||
Before expense waiver or recovery | 1.74 | % | 1.75 | % | 1.77 | %(d) | 1.78 | % | 3.39 | % | ||||||||||
After expense waiver or recovery | 1.74 | % | 1.75 | % | 1.77 | %(d) | 1.81 | % | 1.95 | % | ||||||||||
Ratio of net investment income (loss) to average net assets: | ||||||||||||||||||||
Before expense waiver or recovery | 0.01 | % | (0.72 | )% | (0.99 | )% | (1.24 | )% | (3.23 | )% | ||||||||||
After expense waiver or recovery | 0.01 | % | (0.72 | )% | (0.99 | )% | (1.27 | )% | (1.79 | )% | ||||||||||
Portfolio turnover rate(e) | 91 | % | 85 | % | 83 | % | 27 | % | 6 | % |
(a) | Net investment income (loss) per share is based on average shares outstanding. |
(b) | Realized and unrealized gains and losses per share in this caption are balancing amounts necessary to reconcile the change in net asset value per share for the period, and may not reconcile with the Fund’s consolidated statement of operations due to share transactions for the period. |
(c) | Amount represents less than $0.005 per share. |
(d) | Includes 0.00% of interest expense for the year ended December 31, 2016. |
(e) | Portfolio turnover rate is calculated on the basis of the Fund as a whole without distinguishing between classes of shares issued. Consists of long-term investments only; excludes derivative instruments. |
LoCorr Dynamic Equity Fund - Financial Highlights - Class A | | 69 |
Year Ended December 31, | ||||||||||||||||||||
2018 | 2017 | 2016 | 2015 | 2014 | ||||||||||||||||
Per Share | ||||||||||||||||||||
Net asset value, beginning of year | $ | 11.82 | $ | 12.06 | $ | 9.64 | $ | 9.80 | $ | 11.48 | ||||||||||
Income (loss) from investment operations: | ||||||||||||||||||||
Net investment income (loss)(a) | (0.25 | ) | (0.30 | ) | (0.32 | ) | (0.27 | ) | (0.22 | ) | ||||||||||
Net realized and unrealized gain (loss) | (1.26 | ) | 0.59 | 2.74 | 0.11 | (1.42 | ) | |||||||||||||
Total from Investment Operations | (1.51 | ) | 0.29 | 2.42 | (0.16 | ) | (1.64 | ) | ||||||||||||
Distributions From Earnings: | ||||||||||||||||||||
Net realized gains | (0.39 | ) | (0.53 | ) | — | — | (0.04 | ) | ||||||||||||
Total Distributions | (0.39 | ) | (0.53 | ) | — | — | (0.04 | ) | ||||||||||||
Redemption Fees | — | 0.00 | (b) | 0.00 | (b) | 0.00 | (b) | 0.00 | (b) | |||||||||||
Net Asset Value, End of Year | $ | 9.92 | $ | 11.82 | $ | 12.06 | $ | 9.64 | $ | 9.80 | ||||||||||
Total Investment Return(c) | (12.87 | )% | 2.38 | % | 25.10 | % | (1.53 | )% | (14.37 | )% | ||||||||||
Net Assets, End of Year, in Thousands | $ | 8,473 | $ | 19,962 | $ | 28,243 | $ | 12,446 | $ | 17,174 | ||||||||||
Ratio/Supplemental Data: | ||||||||||||||||||||
Ratio of expenses to average net assets: | ||||||||||||||||||||
Before expense waiver or recovery | 3.40 | % | 3.42 | % | 3.74 | % | 3.72 | % | 3.55 | % | ||||||||||
After expense waiver or recovery | 3.21 | % | 3.35 | % | 3.49 | % | 3.35 | % | 3.30 | % | ||||||||||
Ratio of expenses to average net assets (excluding dividend and interest expense): | ||||||||||||||||||||
Before expense waiver or recovery | 3.20 | % | 3.22 | % | 3.40 | % | 3.52 | % | 3.40 | % | ||||||||||
After expense waiver or recovery | 3.01 | % | 3.15 | % | 3.15 | % | 3.15 | % | 3.15 | % | ||||||||||
Ratio of net investment income (loss) to average net assets: | ||||||||||||||||||||
Before expense waiver or recovery | (2.39 | )% | (2.61 | )% | (3.23 | )% | (3.06 | )% | (2.41 | )% | ||||||||||
After expense waiver or recovery | (2.20 | )% | (2.54 | )% | (2.98 | )% | (2.69 | )% | (2.16 | )% | ||||||||||
Portfolio turnover rate(d) | 449 | % | 363 | % | 343 | % | 269 | % | 256 | % |
(a) | Net investment income (loss) per share is based on average shares outstanding. |
(b) | Amount represents less than $0.005 per share. |
(c) | Total investment return excludes the effect of applicable sales charges. |
(d) | Portfolio turnover rate is calculated on the basis of the Fund as a whole without distinguishing between classes of shares issued. Consists of long-term investments only; excludes securities sold short. |
70 | | LoCorr Dynamic Equity Fund - Financial Highlights - Class C |
Year Ended December 31, | ||||||||||||||||||||
2018 | 2017 | 2016 | 2015 | 2014 | ||||||||||||||||
Per Share | ||||||||||||||||||||
Net asset value, beginning of year | $ | 11.39 | $ | 11.73 | $ | 9.45 | $ | 9.67 | $ | 11.42 | ||||||||||
Income (loss) from investment operations: | ||||||||||||||||||||
Net investment income (loss)(a) | (0.32 | ) | (0.38 | ) | (0.38 | ) | (0.33 | ) | (0.29 | ) | ||||||||||
Net realized and unrealized gain (loss) | (1.21 | ) | 0.57 | 2.66 | 0.11 | (1.42 | ) | |||||||||||||
Total from Investment Operations | (1.53 | ) | 0.19 | 2.28 | (0.22 | ) | (1.71 | ) | ||||||||||||
Distributions From Earnings: | ||||||||||||||||||||
Net realized gains | (0.39 | ) | (0.53 | ) | — | — | (0.04 | ) | ||||||||||||
Total Distributions | (0.39 | ) | (0.53 | ) | — | — | (0.04 | ) | ||||||||||||
Redemption Fees | — | 0.00 | (b) | 0.00 | (b) | 0.00 | (b) | 0.00 | (b) | |||||||||||
Net Asset Value, End of Year | $ | 9.47 | $ | 11.39 | $ | 11.73 | $ | 9.45 | $ | 9.67 | ||||||||||
Total Investment Return(c) | (13.45 | )% | 1.59 | % | 24.13 | % | (2.28 | )% | (14.98 | )% | ||||||||||
Net Assets, End of Year, in Thousands | $ | 5,255 | $ | 11,084 | $ | 11,218 | $ | 7,837 | $ | 12,158 | ||||||||||
Ratio/Supplemental Data: | ||||||||||||||||||||
Ratio of expenses to average net assets: | ||||||||||||||||||||
Before expense waiver or recovery | 4.15 | % | 4.17 | % | 4.49 | % | 4.47 | % | 4.30 | % | ||||||||||
After expense waiver or recovery | 3.96 | % | 4.10 | % | 4.24 | % | 4.10 | % | 4.05 | % | ||||||||||
Ratio of expenses to average net assets (excluding dividend and interest expense): | ||||||||||||||||||||
Before expense waiver or recovery | 3.95 | % | 3.97 | % | 4.15 | % | 4.27 | % | 4.15 | % | ||||||||||
After expense waiver or recovery | 3.76 | % | 3.90 | % | 3.90 | % | 3.90 | % | 3.90 | % | ||||||||||
Ratio of net investment income (loss) to average net assets: | ||||||||||||||||||||
Before expense waiver or recovery | (3.14 | )% | (3.36 | )% | (3.98 | )% | (3.81 | )% | (3.16 | )% | ||||||||||
After expense waiver or recovery | (2.95 | )% | (3.29 | )% | (3.73 | )% | (3.44 | )% | (2.91 | )% | ||||||||||
Portfolio turnover rate(d) | 449 | % | 363 | % | 343 | % | 269 | % | 256 | % |
(a) | Net investment income (loss) per share is based on average shares outstanding. |
(b) | Amount represents less than $0.005 per share. |
(c) | Total investment return excludes the effect of applicable sales charges. |
(d) | Portfolio turnover rate is calculated on the basis of the Fund as a whole without distinguishing between classes of shares issued. Consists of long-term investments only; excludes securities sold short. |
LoCorr Dynamic Equity Fund - Financial Highlights - Class I | | 71 |
Year Ended December 31, | ||||||||||||||||||||
2018 | 2017 | 2016 | 2015 | 2014 | ||||||||||||||||
Per Share | ||||||||||||||||||||
Net asset value, beginning of year | $ | 11.96 | $ | 12.17 | $ | 9.71 | $ | 9.84 | $ | 11.50 | ||||||||||
Income (loss) from investment operations: | ||||||||||||||||||||
Net investment income (loss)(a) | (0.23 | ) | (0.28 | ) | (0.30 | ) | (0.24 | ) | (0.20 | ) | ||||||||||
Net realized and unrealized gain (loss) | (1.27 | ) | 0.60 | 2.76 | 0.11 | (1.42 | ) | |||||||||||||
Total from Investment Operations | (1.50 | ) | 0.32 | 2.46 | (0.13 | ) | (1.62 | ) | ||||||||||||
Distributions From Earnings: | ||||||||||||||||||||
Net realized gains | (0.39 | ) | (0.53 | ) | — | — | (0.04 | ) | ||||||||||||
Total Distributions | (0.39 | ) | (0.53 | ) | — | — | (0.04 | ) | ||||||||||||
Redemption Fees | — | 0.00 | (b) | 0.00 | (b) | 0.00 | (b) | 0.00 | (b) | |||||||||||
Net Asset Value, End of Year | $ | 10.07 | $ | 11.96 | $ | 12.17 | $ | 9.71 | $ | 9.84 | ||||||||||
Total Investment Return | (12.55 | )% | 2.60 | % | 25.33 | % | (1.22 | )% | (14.18 | )% | ||||||||||
Net Assets, End of Year, in Thousands | $ | 16,545 | $ | 32,781 | $ | 44,816 | $ | 9,990 | $ | 12,304 | ||||||||||
Ratio/Supplemental Data: | ||||||||||||||||||||
Ratio of expenses to average net assets: | ||||||||||||||||||||
Before expense waiver or recovery | 3.15 | % | 3.17 | % | 3.49 | % | 3.47 | % | 3.30 | % | ||||||||||
After expense waiver or recovery | 2.96 | % | 3.10 | % | 3.24 | % | 3.10 | % | 3.05 | % | ||||||||||
Ratio of expenses to average net assets (excluding dividend and interest expense): | �� | |||||||||||||||||||
Before expense waiver or recovery | 2.95 | % | 2.97 | % | 3.15 | % | 3.27 | % | 3.15 | % | ||||||||||
After expense waiver or recovery | 2.76 | % | 2.90 | % | 2.90 | % | 2.90 | % | 2.90 | % | ||||||||||
Ratio of net investment income (loss) to average net assets: | ||||||||||||||||||||
Before expense waiver or recovery | (2.14 | )% | (2.36 | )% | (2.98 | )% | (2.81 | )% | (2.16 | )% | ||||||||||
After expense waiver or recovery | (1.95 | )% | (2.29 | )% | (2.73 | )% | (2.44 | )% | (1.91 | )% | ||||||||||
Portfolio turnover rate(c) | 449 | % | 363 | % | 343 | % | 269 | % | 256 | % |
(a) | Net investment income (loss) per share is based on average shares outstanding. |
(b) | Amount represents less than $0.005 per share. |
(c) | Portfolio turnover rate is calculated on the basis of the Fund as a whole without distinguishing between classes of shares issued. Consists of long-term investments only; excludes securities sold short. |
72 | | LoCorr Spectrum Income Fund - Financial Highlights - Class A |
Year Ended December 31, | ||||||||||||||||||||
2018 | 2017 | 2016 | 2015 | 2014 | ||||||||||||||||
Per Share | ||||||||||||||||||||
Net asset value, beginning of year | $ | 7.39 | $ | 7.70 | $ | 7.78 | $ | 8.97 | $ | 10.00 | ||||||||||
Income (loss) from investment operations: | ||||||||||||||||||||
Net investment income (loss)(a) | 0.22 | 0.17 | 0.29 | 0.38 | 0.41 | |||||||||||||||
Net realized and unrealized gain (loss) | (0.78 | ) | 0.09 | 0.20 | (1.00 | ) | (0.91 | ) | ||||||||||||
Total from Investment Operations | (0.56 | ) | 0.26 | 0.49 | (0.62 | ) | (0.50 | ) | ||||||||||||
Distributions From Earnings: | ||||||||||||||||||||
Net investment income | (0.26 | ) | (0.15 | ) | (0.37 | ) | (0.39 | ) | (0.36 | ) | ||||||||||
Return of capital | (0.31 | ) | (0.42 | ) | (0.20 | ) | (0.18 | ) | (0.17 | ) | ||||||||||
Total Distributions | (0.57 | ) | (0.57 | ) | (0.57 | ) | (0.57 | ) | (0.53 | ) | ||||||||||
Redemption Fees (b) | 0.00 | 0.00 | 0.00 | 0.00 | 0.00 | |||||||||||||||
Net Asset Value, End of Year | $ | 6.26 | $ | 7.39 | $ | 7.70 | $ | 7.78 | $ | 8.97 | ||||||||||
Total Investment Return(c) | (8.22 | )% | 3.50 | % | 6.64 | % | (7.36 | )% | (5.45 | )% | ||||||||||
Net Assets, End of Year, in Thousands | $ | 22,610 | $ | 29,970 | $ | 33,032 | $ | 36,957 | $ | 37,425 | ||||||||||
Ratio/Supplemental Data:(d) | ||||||||||||||||||||
Ratio of expenses to average net assets: | ||||||||||||||||||||
Before expense waiver or recovery | 1.98 | % | 1.95 | % | 2.02 | % | 1.99 | %(e) | 2.28 | %(e) | ||||||||||
After expense waiver or recovery | 1.98 | % | 1.99 | % | 2.05 | % | 2.05 | %(e) | 2.05 | %(e) | ||||||||||
Ratio of net investment income (loss) to average net assets: | ||||||||||||||||||||
Before expense waiver or recovery | 3.01 | % | 2.27 | % | 3.81 | % | 4.41 | % | 3.88 | % | ||||||||||
After expense waiver or recovery | 3.01 | % | 2.23 | % | 3.78 | % | 4.35 | % | 4.11 | % | ||||||||||
Portfolio turnover rate(f) | 82 | % | 84 | % | 92 | % | 54 | % | 43 | % |
(a) | Net investment income (loss) per share is based on average shares outstanding. |
(b) | Amount represents less than $0.005 per share. |
(c) | Total investment return excludes the effect of applicable sales charges. |
(d) | Ratios do not include the expenses of the investment companies in which the Fund invests. |
(e) | Includes interest expense on line of credit of 0.00% and 0.00% for the years ended December 31, 2015 and 2014, respectively. |
(f) | Portfolio turnover rate is calculated on the basis of the Fund as a whole without distinguishing between classes of shares issued. |
LoCorr Spectrum Income Fund - Financial Highlights - Class C | | 73 |
Year Ended December 31, | ||||||||||||||||||||
2018 | 2017 | 2016 | 2015 | 2014 | ||||||||||||||||
Per Share | ||||||||||||||||||||
Net asset value, beginning of year | $ | 7.42 | $ | 7.72 | $ | 7.78 | $ | 8.96 | $ | 10.00 | ||||||||||
Income (loss) from investment operations: | ||||||||||||||||||||
Net investment income (loss)(a) | 0.16 | 0.11 | 0.23 | 0.32 | 0.33 | |||||||||||||||
Net realized and unrealized gain (loss) | (0.77 | ) | 0.09 | 0.21 | (1.00 | ) | (0.91 | ) | ||||||||||||
Total from Investment Operations | (0.61 | ) | 0.20 | 0.44 | (0.68 | ) | (0.58 | ) | ||||||||||||
Distributions From Earnings: | ||||||||||||||||||||
Net investment income | (0.23 | ) | (0.13 | ) | (0.33 | ) | (0.34 | ) | (0.31 | ) | ||||||||||
Return of capital | (0.27 | ) | (0.37 | ) | (0.17 | ) | (0.16 | ) | (0.15 | ) | ||||||||||
Total Distributions | (0.50 | ) | (0.50 | ) | (0.50 | ) | (0.50 | ) | (0.46 | ) | ||||||||||
Redemption Fees (b) | 0.00 | 0.00 | 0.00 | 0.00 | 0.00 | |||||||||||||||
Net Asset Value, End of Year | $ | 6.31 | $ | 7.42 | $ | 7.72 | $ | 7.78 | $ | 8.96 | ||||||||||
Total Investment Return(c) | (8.85 | )% | 2.62 | % | 5.88 | % | (8.05 | )% | (6.19 | )% | ||||||||||
Net Assets, End of Year, in Thousands | $ | 18,092 | $ | 23,511 | $ | 25,898 | $ | 27,817 | $ | 25,210 | ||||||||||
Ratio/Supplemental Data:(d) | ||||||||||||||||||||
Ratio of expenses to average net assets: | ||||||||||||||||||||
Before expense waiver or recovery | 2.73 | % | 2.70 | % | 2.77 | % | 2.74 | %(e) | 3.03 | %(e) | ||||||||||
After expense waiver or recovery | 2.73 | % | 2.74 | % | 2.80 | % | 2.80 | %(e) | 2.80 | %(e) | ||||||||||
Ratio of net investment income (loss) to average net assets: | ||||||||||||||||||||
Before expense waiver or recovery | 2.26 | % | 1.52 | % | 3.06 | % | 3.66 | % | 3.13 | % | ||||||||||
After expense waiver or recovery | 2.26 | % | 1.48 | % | 3.03 | % | 3.60 | % | 3.36 | % | ||||||||||
Portfolio turnover rate(f) | 82 | % | 84 | % | 92 | % | 54 | % | 43 | % |
(a) | Net investment income (loss) per share is based on average shares outstanding. |
(b) | Amount represents less than $0.005 per share. |
(c) | Total investment return excludes the effect of applicable sales charges. |
(d) | Ratios do not include the expenses of the investment companies in which the Fund invests. |
(e) | Includes interest expense on line of credit of 0.00% and 0.00% for the years ended December 31, 2015 and 2014, respectively. |
(f) | Portfolio turnover rate is calculated on the basis of the Fund as a whole without distinguishing between classes of shares issued. |
74 | | LoCorr Spectrum Income Fund - Financial Highlights - Class I |
Year Ended December 31, | ||||||||||||||||||||
2018 | 2017 | 2016 | 2015 | 2014 | ||||||||||||||||
Per Share | ||||||||||||||||||||
Net asset value, beginning of year | $ | 7.38 | $ | 7.69 | $ | 7.78 | $ | 8.97 | $ | 10.00 | ||||||||||
Income (loss) from investment operations: | ||||||||||||||||||||
Net investment income (loss)(a) | 0.24 | 0.19 | 0.31 | 0.41 | 0.43 | |||||||||||||||
Net realized and unrealized gain (loss) | (0.77 | ) | 0.10 | 0.20 | (1.00 | ) | (0.91 | ) | ||||||||||||
Total from Investment Operations | (0.53 | ) | 0.29 | 0.51 | (0.59 | ) | (0.48 | ) | ||||||||||||
Distributions From Earnings: | ||||||||||||||||||||
Net investment income | (0.27 | ) | (0.16 | ) | (0.39 | ) | (0.41 | ) | (0.38 | ) | ||||||||||
Return of capital | (0.33 | ) | (0.44 | ) | (0.21 | ) | (0.19 | ) | (0.17 | ) | ||||||||||
Total Distributions | (0.60 | ) | (0.60 | ) | (0.60 | ) | (0.60 | ) | (0.55 | ) | ||||||||||
Redemption Fees (b) | 0.00 | 0.00 | 0.00 | 0.00 | 0.00 | |||||||||||||||
Net Asset Value, End of Year | $ | 6.25 | $ | 7.38 | $ | 7.69 | $ | 7.78 | $ | 8.97 | ||||||||||
Total Investment Return | (7.91 | )% | 3.85 | % | 6.85 | % | (7.10 | )% | (5.23 | )% | ||||||||||
Net Assets, End of Year, in Thousands | $ | 27,618 | $ | 43,032 | $ | 46,838 | $ | 28,292 | $ | 31,428 | ||||||||||
Ratio/Supplemental Data:(c) | ||||||||||||||||||||
Ratio of expenses to average net assets: | ||||||||||||||||||||
Before expense waiver or recovery | 1.73 | % | 1.70 | % | 1.77 | % | 1.74 | %(d) | 2.03 | %(d) | ||||||||||
After expense waiver or recovery | 1.73 | % | 1.74 | % | 1.80 | % | 1.80 | %(d) | 1.80 | %(d) | ||||||||||
Ratio of net investment income (loss) to average net assets: | ||||||||||||||||||||
Before expense waiver or recovery | 3.26 | % | 2.52 | % | 4.06 | % | 4.66 | % | 4.13 | % | ||||||||||
After expense waiver or recovery | 3.26 | % | 2.48 | % | 4.03 | % | 4.60 | % | 4.36 | % | ||||||||||
Portfolio turnover rate(e) | 82 | % | 84 | % | 92 | % | 54 | % | 43 | % |
(a) | Net investment income (loss) per share is based on average shares outstanding. |
(b) | Amount represents less than $0.005 per share. |
(c) | Ratios do not include the expenses of the investment companies in which the Fund invests. |
(d) | Includes interest expense on line of credit of 0.00% and 0.00% for the years ended December 31, 2015 and 2014, respectively. |
(e) | Portfolio turnover rate is calculated on the basis of the Fund as a whole without distinguishing between classes of shares issued. |
LoCorr Macro Strategies Fund, LoCorr Long/Short Commodities Strategy Fund and LoCorr Market Trend Fund-Notes to Consolidated Financial Statements LoCorr Dynamic Equity Fund and LoCorr Specturm income Fund- Notes to Financial Statement | | 75 |
76 | | LoCorr Macro Strategies Fund, LoCorr Long/Short Commodities Strategy Fund and LoCorr Market Trend Fund - Notes to Consolidated Financial Statements / LoCorr Dynamic Equity Fund and LoCorr Specturm income Fund - Notes to Financial Statement (continued) |
Commencement of Operation | ||||||
Class A | Class C | Class I | ||||
LoCorr Macro Strategies Fund | March 22,2011 | March 24, 2011 | March 24, 2011 | |||
LoCorr Long/Short Commodities Strategy Fund | January 1, 2012 | January 1, 2012 | January 1, 2012 | |||
LoCorr Dynamic Equity Fund | May 10, 2013 | May 10, 2013 | May 10, 2013 | |||
LoCorr Spectrum Income Fund | January 1, 2014 | January 1, 2014 | January 1, 2014 | |||
LoCorr Market Trend Fund | July 1, 2014 | July 1, 2014 | July 1, 2014 |
LoCorr Macro Strategies Fund, LoCorr Long/Short Commodities Strategy Fund and LoCorr Market Trend Fund - Notes to Consolidated Financial Statements / LoCorr Dynamic Equity Fund and LoCorr Specturm income Fund - Notes to Financial Statement (continued) | | 77 |
78 | | LoCorr Macro Strategies Fund, LoCorr Long/Short Commodities Strategy Fund and LoCorr Market Trend Fund - Notes to Consolidated Financial Statements / LoCorr Dynamic Equity Fund and LoCorr Specturm income Fund - Notes to Financial Statement (continued) |
● | securities for which market quotations are not readily available at the valuation time on a particular business day (including without limitation securities for which there is a short and temporary lapse in the provision of a price by the regular pricing source); |
● | securities determined to be illiquid in accordance with the Trust’s Liquidity Procedures; and |
● | securities with respect to which an event that will affect the value thereof has occurred subsequent to the determination by the Adviser/relevant Sub-Adviser of the closing prices reported on the principal exchange on which the securities are traded, but prior to the relevant Fund’s calculation of its NAV . |
● | For any open-end mutual funds that do not provide timely NAV information, the Adviser/relevant Sub-Adviser shall evaluate those ‘similar’ funds and determine which are most appropriate based on funds having similar benchmarks or similar objectives. The Adviser/relevant Sub-Adviser shall then calculate the NAV percentage move of those ‘similar’ funds for the day to create an aggregate average percentage move, which it shall use to calculate the price movement for the day of the Fund at issue. For closed-end funds, the aforementioned practice shall be utilized, in addition to monitoring secondary market activity during the day. |
● | a multiple of earnings; |
● | a discount from market of a similar freely traded security (including a derivative security or a basket of securities traded on other markets, exchanges or among dealers); or |
● | yield to maturity with respect to debt issues, or a combination of these and other methods. |
● | the fundamental analytical data relating to the investment; |
● | the nature and duration of restrictions (if any) on disposition of the securities; |
● | evaluation of the forces that influence the market in which these securities are purchased or sold; |
● | changes in interest rates; |
● | government (domestic or foreign) actions or pronouncements; and |
● | other news events. |
LoCorr Macro Strategies Fund, LoCorr Long/Short Commodities Strategy Fund and LoCorr Market Trend Fund – Notes to Consolidated Financial Statements / LoCorr Dynamic Equity Fund and LoCorr Spectrum Income Fund – Notes to Financial Statements (continued) | | 79 |
• | type of security; |
• | financial statements of the issuer; |
• | cost at date of purchase; |
• | size of holding; |
• | discount from market value of unrestricted securities of the same class at time of purchase; |
• | special reports prepared by analysts; |
• | information as to any transactions or offers with respect to the security; |
• | existence of merger proposals or tender offers affecting the securities; |
• | price and extent of public trading in similar securities of the issuer or comparable companies; and |
• | other relevant matters. |
Security Classification | Level 1 | Level 2 | Level 3 | Total | ||||||||||||
Investments | ||||||||||||||||
Asset Backed Securities | $ | — | $ | 97,293,647 | $ | — | $ | 97,293,647 | ||||||||
Corporate Bonds | — | 175,215,577 | — | 175,215,577 | ||||||||||||
Mortgage Backed Securities | — | 88,679,669 | — | 88,679,669 | ||||||||||||
Municipal Bond | — | 55,515 | — | 55,515 | ||||||||||||
U.S. Government Agency Issues | — | 90,489,026 | — | 90,489,026 | ||||||||||||
U.S. Government Notes | — | 34,744,945 | — | 34,744,945 | ||||||||||||
Short Term Investments | | 21,240,233 | 2,226,094 | — | 23,466,327 | |||||||||||
Total Investments | $ | 21,240,233 | $ | 488,704,473 | $ | — | $ | 509,944,706 | ||||||||
Other Financial Instruments* | ||||||||||||||||
Forward Currency Contracts | ||||||||||||||||
Purchase | $ | — | $ | 1,567,929 | $ | — | $ | 1,567,929 | ||||||||
Sale | — | (2,495,211 | ) | — | (2,495,211 | ) | ||||||||||
Total Forward Currency Contracts | — | (927,282 | ) | — | (927,282 | ) | ||||||||||
Futures Contracts | ||||||||||||||||
Long | (1,537,496 | ) | — | — | (1,537,496 | ) | ||||||||||
Short | 2,829,993 | — | — | 2,829,993 | ||||||||||||
Total Futures Contracts | 1,292,497 | — | — | 1,292,497 | ||||||||||||
Total Other Financial Instruments | $ | 1,292,497 | $ | (927,282 | ) | $ | — | $ | 365,215 |
80 | | LoCorr Macro Strategies Fund, LoCorr Long/Short Commodities Strategy Fund and LoCorr Market Trend Fund – Notes to Consolidated Financial Statements / LoCorr Dynamic Equity Fund and LoCorr Spectrum Income Fund – Notes to Financial Statements (continued |
Security Classification | Level 1 | Level 2 | Level 3 | Total | ||||||||||||
Investments | ||||||||||||||||
Asset Backed Securities | $ | — | $ | 40,140,533 | $ | — | $ | 40,140,533 | ||||||||
Corporate Bonds | — | 65,594,515 | — | 65,594,515 | ||||||||||||
Foreign Government Bond | — | 9,827 | — | 9,827 | ||||||||||||
Mortgage Backed Securities | — | 27,097,419 | — | 27,097,419 | ||||||||||||
Municipal Bonds | — | 103,115 | — | 103,115 | ||||||||||||
U.S. Government Agency Issues | — | 28,465,314 | — | 28,465,314 | ||||||||||||
U.S. Government Notes | — | 21,195,449 | — | 21,195,449 | ||||||||||||
Short Term Investments | 11,227,652 | 13,702,844 | — | 24,930,496 | ||||||||||||
Total Investments | $ | 11,227,652 | $ | 196,309,016 | $ | — | $ | 207,536,668 | ||||||||
| ||||||||||||||||
Swap Contracts* | ||||||||||||||||
Long Total Return Swap Contracts | $ | — | $ | 4,363,946 | $ | — | $ | 4,363,946 | ||||||||
Total Swap Contracts | $ | — | $ | 4,363,946 | $ | — | $ | 4,363,946 |
Security Classification | Level 1 | Level 2 | Level 3 | Total | ||||||||||||
Investments | ||||||||||||||||
Asset Backed Securities | $ | — | $ | 84,873,462 | $ | — | $ | 84,873,462 | ||||||||
Mortgage Backed Securities | — | 36,271,867 | — | 36,271,867 | ||||||||||||
Municipal Bond | — | 1,106,229 | — | 1,106,229 | ||||||||||||
U.S. Government Agency Issues | — | 136,933,154 | — | 136,933,154 | ||||||||||||
U.S. Government Notes | — | 28,397,438 | — | 28,397,438 | ||||||||||||
Short Term Investment | 15,074,667 | — | — | 15,074,667 | ||||||||||||
Total Investments | $ | 15,074,667 | $ | 287,582,150 | $ | — | $ | 302,656,817 | ||||||||
| ||||||||||||||||
Other Financial Instruments* | ||||||||||||||||
Forward Currency Contracts | ||||||||||||||||
Purchase | $ | — | $ | 865,030 | $ | — | $ | 865,030 | ||||||||
Sale | — | (3,371,254 | ) | — | (3,371,254 | ) | ||||||||||
Total Forward Currency Contracts | — | (2,506,224 | ) | — | (2,506,224 | ) | ||||||||||
Futures Contracts | ||||||||||||||||
Long | (5,756,551 | ) | — | — | (5,756,551 | ) | ||||||||||
Short | 1,867,397 | — | — | 1,867,397 | ||||||||||||
Total Futures Contracts | (3,889,154 | ) | — | — | (3,889,154 | ) | ||||||||||
Total Other Financial Instruments | $ | (3,889,154 | ) | $ | (2,506,224 | ) | $ | — | $ | (6,395,378 | ) |
LoCorr Macro Strategies Fund, LoCorr Long/Short Commodities Strategy Fund and LoCorr Market Trend Fund – Notes to Consolidated Financial Statements / LoCorr Dynamic Equity Fund and LoCorr Spectrum Income Fund – Notes to Financial Statements (continued) | | 81 |
Security Classification | Level 1 | Level 2 | Level 3 | Total | ||||||||||||
Investments | ||||||||||||||||
Common Stocks | $ | 22,142,679 | $ | — | $ | — | $ | 22,142,679 | ||||||||
Real Estate Investment Trusts | 951,035 | — | — | 951,035 | ||||||||||||
Short Term Investmen | 3,425,866 | — | — | 3,425,866 | ||||||||||||
Total Investments | $ | 26,519,580 | $ | — | $ | — | $ | 26,519,580 | ||||||||
Securities Sold Short | ||||||||||||||||
Common Stocks | $ | (3,560,433 | ) | $ | — | $ | — | $ | (3,560,433 | ) | ||||||
Exchange Traded Funds | (1,125,922 | ) | — | — | (1,125,922 | ) | ||||||||||
Total Securities Sold Short | $ | (4,686,355 | ) | $ | — | $ | — | $ | (4,686,355 | ) |
Security Classification | Level 1 | Level 2 | Level 3 | Total | ||||||||||||
Investments | ||||||||||||||||
Business Development Companiesjm | $ | 6,324,542 | $ | — | $ | — | $ | 6,324,542 | ||||||||
Closed—End Investment Companies | 9,814,702 | — | — | 9,814,702 | ||||||||||||
Common Stocks | 13,081,541 | — | — | 13,081,541 | ||||||||||||
Master Limited Partnerships | 15,441,714 | — | — | 15,441,714 | ||||||||||||
Preferred Stocks | 1,391,488 | 872,200 | — | 2,263,688 | ||||||||||||
Publicly Traded Partnerships | 5,363,678 | — | — | 5,363,678 | ||||||||||||
Real Estate Investment Trusts | 14,394,973 | — | — | 14,394,973 | ||||||||||||
Short Term Investment | 1,829,205 | — | — | 1,829,205 | ||||||||||||
Total Investments | $ | 67,641,843 | $ | 872,200 | $ | — | $ | 68,514,043 |
82 | | LoCorr Macro Strategies Fund, LoCorr Long/Short Commodities Strategy Fund and LoCorr Market Trend Fund – Notes to Consolidated Financial Statements / LoCorr Dynamic Equity Fund and LoCorr Spectrum Income Fund – Notes to Financial Statements (continued) |
LoCorr Macro Strategies Fund, LoCorr Long/Short Commodities Strategy Fund and LoCorr Market Trend Fund – Notes to Consolidated Financial Statements / LoCorr Dynamic Equity Fund and LoCorr Spectrum Income Fund – Notes to Financial Statements (continued) | | 83 |
Year Ended December 31, 2018 | ||||||||||||
Fund | Ordinary Income | Long-Term Capital Gains | Return of Capital | |||||||||
LoCorr Macro Strategies Fund | $ | 17,125,045 | $ | — | $ | — | ||||||
LoCorr Long/Short Commodities Strategy Fund | 23,586,033 | — | — | |||||||||
LoCorr Dynamic Equity Fund | — | 1,162,325 | — | |||||||||
LoCorr Spectrum Income Fund | 2,900,053 | — | 3,468,877 |
Year Ended December 31, 2017 | ||||||||||||
Fund | Ordinary Income | Long-Term Capital Gains | Return of Capital | |||||||||
LoCorr Macro Strategies Fund | $ | 33,327,921 | $ | 12,049,157 | $ | — | ||||||
LoCorr Long/Short Commodities Strategy Fund | 16,544 | — | — | |||||||||
LoCorr Dynamic Equity Fund | — | 2,740,499 | — | |||||||||
LoCorr Spectrum Income Fund | 2,095,838 | — | 5,926,620 |
84 | | LoCorr Macro Strategies Fund, LoCorr Long/Short Commodities Strategy Fund and LoCorr Market Trend Fund – Notes to Consolidated Financial Statements / LoCorr Dynamic Equity Fund and LoCorr Spectrum Income Fund – Notes to Financial Statements (continued) |
LoCorr Macro Strategies Fund, LoCorr Long/Short Commodities Strategy Fund and LoCorr Market Trend Fund – Notes to Consolidated Financial Statements / LoCorr Dynamic Equity Fund and LoCorr Spectrum Income Fund – Notes to Financial Statements (continued) | | 85 |
86 | | LoCorr Macro Strategies Fund, LoCorr Long/Short Commodities Strategy Fund and LoCorr Market Trend Fund – Notes to Consolidated Financial Statements / LoCorr Dynamic Equity Fund and LoCorr Spectrum Income Fund – Notes to Financial Statements (continued) |
LoCorr Macro Strategies Fund, LoCorr Long/Short Commodities Strategy Fund and LoCorr Market Trend Fund – Notes to Consolidated Financial Statements / LoCorr Dynamic Equity Fund and LoCorr Spectrum Income Fund – Notes to Financial Statements (continued) | | 87 |
LoCorr Macro Strategies Fund - December 31, 2018 | ||||||||||||||||||||||||
Assets: | Gross Amounts not offset in the Consolidated Statement of Assets & Liabilities | |||||||||||||||||||||||
Description | Gross Amounts of Recognized Assets | Gross Amounts Offset in the Consolidated Statement of Assets & Liabilities | Net Amounts Presented in the Consolidated Statement of Assets & Liabilities | Financial Instruments | Collateral Pledged (Received) | Net Amount | ||||||||||||||||||
Forward currency contracts | $ | 6,883,983 | $ | — | $ | 6,883,983 | $ | — | $ | — | $ | 6,883,983 | ||||||||||||
Futures contracts | 1,485,551 | — | 1,485,551 | — | — | 1,485,551 | ||||||||||||||||||
Total | $ | 8,369,534 | $ | — | $ | 8,369,534 | $ | — | $ | — | $ | 8,369,534 |
Liabilities: | Gross Amounts not offset in the Consolidated Statement of Assets & Liabilities | |||||||||||||||||||||||
Description | Gross Amounts of Recognized Liabilities | Gross Amounts Offset in the Consolidated Statement of Assets & Liabilities | Net Amounts Presented in the Consolidated Statement of Assets & Liabilities | Financial Instruments | Collateral Received (Pledged) | Net Amount | ||||||||||||||||||
Forward currency contracts | $ | 7,811,265 | $ | — | $ | 7,811,265 | $ | — | $ | (7,811,265 | ) | $ | — | |||||||||||
Futures contracts | 1,944,228 | — | 1,944,228 | — | (1,944,228 | ) | — | |||||||||||||||||
Total | $ | 9,755,493 | $ | — | $ | 9,755,493 | $ | — | $ | (9,755,493 | ) | $ | — |
LoCorr Long/Short Commodities Strategy Fund - December 31, 2018 | ||||||||||||||||||||||||
Assets: | Gross Amounts not offset in the Consolidated Statement of Assets & Liabilities | |||||||||||||||||||||||
Description | Gross Amounts of Recognized Assets | Gross Amounts Offset in the Consolidated Statement of Assets & Liabilities | Net Amounts Presented in the Consolidated Statement of Assets & Liabilities | Financial Instruments | Collateral Pledged (Received) | Net Amount | ||||||||||||||||||
Swap Contracts* | $ | 14,782,678 | $ | — | $ | 14,782,678 | $ | — | $ | — | $ | 14,782,678 | ||||||||||||
Total | $ | 14,782,678 | $ | — | $ | 14,782,678 | $ | — | $ | — | $ | 14,782,678 |
88 | | LoCorr Macro Strategies Fund, LoCorr Long/Short Commodities Strategy Fund and LoCorr Market Trend Fund – Notes to Consolidated Financial Statements / LoCorr Dynamic Equity Fund and LoCorr Spectrum Income Fund – Notes to Financial Statements (continued) |
LoCorr Market Trend Fund - December 31, 2018 | ||||||||||||||||||||||||
Assets: | Gross Amounts not offset in the Consolidated Statement of Assets & Liabilities | |||||||||||||||||||||||
Description | Gross Amounts of Recognized Assets | Gross Amounts Offset in the Consolidated Statement of Assets & Liabilities | Net Amounts Presented in the Consolidated Statement of Assets & Liabilities | Financial Instruments | Collateral Pledged (Received) | Net Amount | ||||||||||||||||||
Forward currency contracts | $ | 4,999,703 | $ | — | $ | 4,999,703 | $ | — | $ | — | $ | 4,999,703 | ||||||||||||
Futures contracts | 3,047,698 | — | 3,047,698 | — | — | 3,047,698 | ||||||||||||||||||
Total | $ | 8,047,401 | $ | — | $ | 8,047,401 | $ | — | $ | — | $ | 8,047,401 |
Liabilities: | Gross Amounts not offset in the Consolidated Statement of Assets & Liabilities | |||||||||||||||||||||||
Description | Gross Amounts of Recognized Liabilities | Gross Amounts Offset in the Consolidated Statement of Assets & Liabilities | Net Amounts Presented in the Consolidated Statement of Assets & Liabilities | Financial Instruments | Collateral Received (Pledged) | Net Amount | ||||||||||||||||||
Forward currency contracts | $ | 7,505,927 | $ | — | $ | 7,505,927 | $ | — | $ | (7,505,927 | ) | $ | — | |||||||||||
Futures contracts | 2,944,667 | — | 2,944,667 | — | (2,944,667 | ) | — | |||||||||||||||||
Total | $ | 10,450,594 | $ | — | $ | 10,450,594 | $ | — | $ | (10,450,594 | ) | $ | — |
Fair Value | Net Unrealized Gain (Loss) on Open Positions | |||||||||||
Derivatives Not Accounted for as Hedqinq Instruments | Assets | Liabilities | ||||||||||
LoCorr Macro Strategies Fund | ||||||||||||
Forward Currency Contracts (a) | ||||||||||||
Long | $ | 2,769,277 | $ | 1,201,348 | $ | 1,567,929 | ||||||
Short | 4,114, 706 | 6,609,917 | (2,495,211 | ) | ||||||||
Total Forward Currency Contracts | 6,883,983 | 7,811,265 | (927,282 | ) | ||||||||
Futures Contracts (b) | ||||||||||||
Long Contracts | ||||||||||||
Commodity | 9,596 | 2,492,381 | (2,482,785 | ) | ||||||||
Equity | 33,178 | 1,281,094 | (1,247,916 | ) | ||||||||
Foreign exchange | — | 112, 887 | (112, 887 | ) | ||||||||
Interest rate | 2,429,876 | 123,784 | 2,306,092 | |||||||||
Total Long Contracts | 2,472,650 | 4,010,146 | (1,537,496 | ) | ||||||||
Short Contracts | ||||||||||||
Commodity | 7,284,309 | 1,021,351 | 6,262,958 | |||||||||
Equity | 988,460 | 404,183 | 584,277 | |||||||||
Interest rate | 14 | 4,017,256 | (4,017,242 | ) | ||||||||
Total Short Contracts | 8,272,783 | 5,442,790 | 2,829,993 | |||||||||
Total Futures Contracts | 10,745,433 | 9,452,936 | 1,292,497 | |||||||||
Total Forward Currency Contracts and Futures Contracts | $ | 17,629,416 | $ | 17,264,201 | $ | 365,215 |
LoCorr Macro Strategies Fund, LoCorr Long/Short Commodities Strategy Fund and LoCorr Market Trend Fund – Notes to Consolidated Financial Statements / LoCorr Dynamic Equity Fund and LoCorr Spectrum Income Fund – Notes to Financial Statements (continued) | | 89 |
Net Unrealized Gain (Loss) on Open Positions | ||||||||||||
Fair Value | ||||||||||||
Derivatives Not Accounted for as Hedging Instruments | Assets | Liabilities | ||||||||||
LoCorr Long/Short Commodities Strategy Fund | ||||||||||||
Long Total Return Swap Contracts | ||||||||||||
LoCorr Commodities Index | $ | 4,363,946 | $ | — | $ | 4,363,946 | ||||||
LoCorr Market Trend Fund | ||||||||||||
Forward Currency Contracts (a) | ||||||||||||
Long | $ | 1,276,189 | $ | 411,159 | $ | 865,030 | ||||||
Short | 3,723,514 | 7,094,768 | (3,371,254 | ) | ||||||||
Total Forward Currency Contracts | 4,999,703 | 7,505,927 | (2,506,224 | ) | ||||||||
Futures Contracts (b) | ||||||||||||
Long Contracts | ||||||||||||
Commodity | — | 4,917,061 | (4,917,061 | ) | ||||||||
Equity | — | 2,685,738 | (2,685,738 | ) | ||||||||
Foreign exchange | — | 214,775 | (214,775 | ) | ||||||||
Interest rate | 2,085,409 | 24,386 | 2,061,023 | |||||||||
Total Long Contracts | 2,085,409 | 7,841,960 | (5,756,551 | ) | ||||||||
Short Contracts | ||||||||||||
Commodity | 6,942,921 | 1,848,123 | 5,094,798 | |||||||||
Equity | 2,255,279 | 397,538 | 1,857,741 | |||||||||
Interest rate | — | 5,085,142 | (5,085,142 | ) | ||||||||
Total Short Contracts | 9,198,200 | 7,330,803 | 1,867,397 | |||||||||
Total Futures Contracts | 11,283,609 | 15,172,763 | (3,889,154 | ) | ||||||||
Total Forward Currency Contracts and Futures Contracts | $ | 16,283,312 | $ | 22,678,690 | $ | (6,395,378 | ) |
Gain (Loss) from Trading | ||||||||
Fund and Type of Derivative Instrument | Net Realized | Net Change in Unrealized | ||||||
LoCorr Macro Strategies Fund | ||||||||
Forward Currency Contracts | $ | (10,601,438 | ) | $ | 3,810,248 | |||
Futures Contracts | ||||||||
Commodity | 14,061,181 | (8,538,645 | ) | |||||
Equity | (26,296,735 | ) | (1,230,927 | ) | ||||
Foreign exchange | (3,115,787 | ) | (252,488 | ) | ||||
Interest rate | (4,410,702 | ) | (1,279,769 | ) | ||||
Total Futures Contracts | (19,762,043 | ) | (11,301,829 | ) | ||||
Total Forward Currency Contracts and Futures Contracts | $ | (30,363,481 | ) | $ | (7,491,581 | ) | ||
LoCorr Long/Short Commodities Strategy Fund | ||||||||
Swap Contracts | $ | 5,095,408 | $ | 15,883,665 |
90 | | LoCorr Macro Strategies Fund, LoCorr Long/Short Commodities Strategy Fund and LoCorr Market Trend Fund – Notes to Consolidated Financial Statements / LoCorr Dynamic Equity Fund and LoCorr Spectrum Income Fund – Notes to Financial Statements (continued) |
Gain (Loss) from Trading | ||||||||
Fund and Type of Derivative Instrument | Net Realized | Net Change in Unrealized | ||||||
LoCorr Market Trend Fund | ||||||||
Forward Currency Contracts | $ | (19,219,843 | ) | $ | (1,520,169 | ) | ||
Futures Contracts | ||||||||
Commodity | 4,822,327 | (24,330,524 | ) | |||||
Equity | (15,963,410 | ) | (1,435,184 | ) | ||||
Foreign exchange | 640,722 | (571,144 | ) | |||||
Interest rate | (17,602,180 | ) | (6,865,027 | ) | ||||
Total Futures Contracts | (28,102,541 | ) | (33,201,879 | ) | ||||
Total Forward Currency Contracts and Futures Contracts | $ | (47,322,384 | ) | $ | (34,722,048 | ) |
Average Notional Amount | ||||||||
Long Contracts | Short Contracts | |||||||
LoCorr Macro Strategies Fund | ||||||||
Forward Currency Contracts | $ | 603,719,807 | $ | 829,720,173 | ||||
Futures Contracts | 1,655,206,053 | 1,576,508,011 | ||||||
LoCorr Long/Short Commodities Strategy Fund | ||||||||
Swap Contracts | $ | 114,874,661 | $ | — | ||||
LoCorr Market Trend Fund | ||||||||
Forward Currency Contracts | $ | 761,958,982 | $ | 1,002,047,911 | ||||
Futures Contracts | 1,993,147,801 | 2,694,801,681 |
U.S. Government Obligations | All Other | |||||||||||||||
Purchases | Sales | Purchases | Sales | |||||||||||||
LoCorr Macro Strategies Fund | $ | 234,474,491 | $ | 241,365,233 | $ | 374,496,721 | $ | 545,743,798 | ||||||||
LoCorr Long/Short Commodities Strategy Fund | 64,650,996 | 47,382,960 | 153,764,603 | 47,824,587 | ||||||||||||
LoCorr Market Trend Fund | 146,257,483 | 135,221,672 | 282,114,872 | 520,924,443 | ||||||||||||
LoCorr Dynamic Equity Fund | — | — | 163,837,508 | 182,009,996 | ||||||||||||
LoCorr Spectrum Income Fund | — | — | 63,277,188 | 74,167,663 |
Management Agreement
Fund | Annual Advisory Fee as a Percentage of the Average Daily Net Assets of the Fund |
LoCorr Macro Strategies Fund | 1.65%* |
LoCorr Market Trend Fund | 1.50% |
LoCorr Dynamic Equity Fund | 1.50%** |
LoCorr Spectrum Income Fund | 1.30% |
**Effective October 18, 2018, the Trustees of the LoCorr Dynamic Equity Fund approved an amended Management Agreement pursuant to which the Adviser receives a rate of 1.50% of the Fund’s average daily net assets. Prior to October 18, 2018, the Adviser had received a rate of 2.45% of the Fund’s average daily net assets.
LoCorr Macro Strategies Fund, LoCorr Long/Short Commodities Strategy Fund and LoCorr Market Trend Fund – Notes to Consolidated Financial Statements / LoCorr Dynamic Equity Fund and LoCorr Spectrum Income Fund – Notes to Financial Statements (continued) | | 91 |
Pursuant to the amended Management Agreement, the Adviser is entitled to receive a fee, in accordance with the Incremental Advisory Fee schedule below based on the LoCorr Long/Short Commodities Strategy Fund’s average daily net assets.
Net Assets for the LoCorr Long/Short Commodities Strategy Fund | Incremental Advisory Fee*** |
$0.0 - $0.5 billion | 1.50% |
$0.5 - $1.0 billion | 1.40% |
$1.0 - $1.5 billion | 1.30% |
$1.5 - $2.0 billion | 1.20% |
$2.0 - $2.5 billion | 1.10% |
Over $2.5 billion | 1.00% |
Fund | Management Fees For the Year Ended December 31, 2018 | Accrued Net Management Fees as of December 31, 2018 | ||||||
LoCorr Macro Strategies Fund | $ | 11,858,033 | $ | 845,075 | ||||
LoCorr Long/Short Commodities Strategy Fund | 2,056,058 | 264,910 | ||||||
LoCorr Market Trend Fund | 9,003,592 | 540,441 | ||||||
LoCorr Dynamic Equity Fund | 1,163,284 | 23,398 | ||||||
LoCorr Spectrum Income Fund | 1,071,778 | 82,223 |
Fund | Expense Limit as a Percentage of the Average Daily Net Assets of the Fund | Effective Period Through |
LoCorr Macro Strategies Fund | 1.99% | April 30, 2020 |
LoCorr Long/Short Commodities Strategy Fund | 1.95% | April 30, 2020 |
LoCorr Market Trend Fund | 1.95% | April 30, 2020 |
LoCorr Dynamic Equity Fund | 1.99%* | April 30, 2020 |
LoCorr Spectrum Income Fund | 1.80% | April 30, 2020 |
92 | | LoCorr Macro Strategies Fund, LoCorr Long/Short Commodities Strategy Fund and LoCorr Market Trend Fund – Notes to Consolidated Financial Statements / LoCorr Dynamic Equity Fund and LoCorr Spectrum Income Fund – Notes to Financial Statements (continued) |
LoCorr Macro Strategies Fund | ||||||||||||||||
Management Fees (Waived) by Adviser Subject to Recovery | Recovery to Adviser | Remaining Available Subject to Recovery | Subject to Recovery on or Before Fiscal Year Ending December 31, | |||||||||||||
Period | Year Ended December 31, 2018 | |||||||||||||||
Year Ended December 31, 2018 | $ | (67,297 | ) | $ | — | $ | (67,297 | ) | 2021 | |||||||
Year Ended December 31, 2017 | (485,398 | ) | — | (485,398 | ) | 2020 | ||||||||||
Total | $ | (552,695 | ) | $ | — | $ | (552,695 | ) |
LoCorr Long/Short Commodities Strategy Fund | ||||||||||||||||
Management Fees (Waived) by Adviser Subject to Recovery | Recovery to Adviser | Remaining Available Subject to Recovery | Subject to Recovery on or Before Fiscal Year Ending December 31, | |||||||||||||
Period | Year Ended December 31, 2018 | |||||||||||||||
Year Ended December 31, 2018 | $ | — | $ | — | $ | — | 2021 | |||||||||
Year Ended December 31, 2017 | (81,840 | ) | — | (81,840 | ) | 2020 | ||||||||||
Year Ended December 31, 2016 | (21,779 | ) | — | (21,779 | ) | 2019 | ||||||||||
Total | $ | (103,619 | ) | $ | — | $ | (103,619 | ) |
LoCorr Dynamic Equity Fund | ||||||||||||||||
Management Fees (Waived) by Adviser Subject to Recovery | Recovery to Adviser | Remaining Available Subject to Recovery | Subject to Recovery on or Before Fiscal Year Ending December 31, | |||||||||||||
Period | Year Ended December 31, 2018 | |||||||||||||||
Year Ended December 31, 2018 | $ | (95,089 | ) | $ | — | $ | (95,089 | ) | 2021 | |||||||
Year Ended December 31, 2017 | (58,609 | ) | — | (58,609 | ) | 2020 | ||||||||||
Year Ended December 31, 2016 | (102,813 | ) | — | (102,813 | ) | 2019 | ||||||||||
Total | $ | (256,511 | ) | $ | — | $ | (256,511 | ) |
LoCorr Macro Strategies Fund, LoCorr Long/Short Commodities Strategy Fund and LoCorr Market Trend Fund – Notes to Consolidated Financial Statements / LoCorr Dynamic Equity Fund and LoCorr Spectrum Income Fund – Notes to Financial Statements (continued) | | 93 |
LoCorr Macro Strategies Fund – Class A | ||||||||||||||||
For the Year Ended December 31, 2018 | For the Year Ended December 31, 2017 | |||||||||||||||
Shares | Amount | Shares | Amount | |||||||||||||
Shares Sold | 2,896,743 | $ | 24,405,481 | 5,661,607 | $ | 50,641,256 | ||||||||||
Reinvestment of Distributions | 199,801 | 1,570,436 | 593,753 | 5,130,033 | ||||||||||||
Shares Redeemed | (6,956,481 | ) | (57,264,468 | ) | (28,880,996 | ) | (261,068,594 | ) | ||||||||
Redemption Fees | — | — | — | 382 | ||||||||||||
(3,859,937 | ) | $ | (31,288,551 | ) | (22,625,636 | ) | $ | (205,296,923 | ) | |||||||
Beginning Shares | 10,786,582 | 33,412,218 | ||||||||||||||
Ending Shares | 6,926,645 | 10,786,582 |
LoCorr Macro Strategies Fund – Class C | ||||||||||||||||
For the Year Ended December 31, 2018 | For the Year Ended December 31, 2017 | |||||||||||||||
Shares | Amount | Shares | Amount | |||||||||||||
Shares Sold | 780,250 | $ | 6,256,139 | 2,350,906 | $ | 20,222,139 | ||||||||||
Reinvestment of Distributions | 143,755 | 1,082,469 | 639,470 | 5,294,811 | ||||||||||||
Shares Redeemed | (4,904,955 | ) | (38,557,306 | ) | (5,243,828 | ) | (44,937,545 | ) | ||||||||
Redemption Fees | — | — | — | 680 | ||||||||||||
(3,980,950 | ) | $ | (31,218,698 | ) | (2,253,452 | ) | $ | (19,419,915 | ) | |||||||
Beginning Shares | 10,957,482 | 13,210,934 | ||||||||||||||
Ending Shares | 6,976,532 |
LoCorr Macro Strategies Fund – Class I | ||||||||||||||||
For the Year Ended December 31, 2018 | For the Year Ended December 31, 2017 | |||||||||||||||
Shares | Amount | Shares | Amount | |||||||||||||
Shares Sold | 35,161,086 | $ | 296,008,093 | 79,170,065 | $ | 718,715,172 | ||||||||||
Reinvestment of Distributions | 1,631,374 | 13,002,054 | 3,449,418 | 30,251,389 | ||||||||||||
Shares Redeemed | (50,629,729 | ) | (423,014,386 | ) | (65,784,898 | ) | (591,399,536 | ) | ||||||||
Redemption Fees | — | — | — | 10,665 | ||||||||||||
(13,837,269 | ) | $ | (114,004,239 | ) | 16,834,585 | $ | 157,577,690 | |||||||||
Beginning Shares | 69,090,006 | 52,255,421 | ||||||||||||||
Ending Shares | 55,252,737 | 69,090,006 | ||||||||||||||
LoCorr Macro Strategies Fund | ||||||||||||||||
Total Net Decrease | $ | (176,511,488 | ) | $ | (67,139,148 | ) |
LoCorr Long/Short Commodities Strategy Class A | ||||||||||||||||
For the Year Ended December 31, 2018 | For the Year Ended December 31, 2017 | |||||||||||||||
Shares | Amount | Shares | Amount | |||||||||||||
Shares Sold | 4,847,619 | $ | 49,396,793 | 800,753 | $ | 7,404,023 | ||||||||||
Reinvestment of Distributions | 513,483 | 4,883,224 | 473 | 4,544 | ||||||||||||
Shares Redeemed | (1,055,893 | ) | (10,813,133 | ) | (1,967,602 | ) | (18,198,293 | ) | ||||||||
Redemption Fees | — | — | — | 74 | ||||||||||||
4,305,209 | $ | 43,466,884 | (1,166,376 | ) | $ | (10,789,652 | ) | |||||||||
Beginning Shares | 2,634,368 | 3,800,744 | ||||||||||||||
Ending Shares | 6,939,577 | 2,634,368 |
LoCorr Long/Short Commodities Strategy Fund – Class C | ||||||||||||||||
For the Year Ended December 31, 2018 | For the Year Ended December 31, 2017 | |||||||||||||||
Shares | Amount | Shares | Amount | |||||||||||||
Shares Sold | 257,769 | $ | 2,549,916 | 193,488 | $ | 1,708,397 | ||||||||||
Reinvestment of Distributions | 69,279 | 635,984 | 127 | 1,180 | ||||||||||||
Shares Redeemed | (149,818 | ) | (1,446,429 | ) | (514,536 | ) | (4,603,847 | ) | ||||||||
Redemption Fees | — | — | — | 34 | ||||||||||||
177,230 | $ | 1,739,471 | (320,921 | ) | $ | (2,894,236 | ) | |||||||||
Beginning Shares | 503,532 | 824,453 | ||||||||||||||
Ending Shares | 680,762 | 503,532 |
LoCorr Long/Short Commodities Strategy Fund – Class I | ||||||||||||||||
For the Year Ended December 31, 2018 | For the Year Ended December 31, 2017 | |||||||||||||||
Shares | Amount | Shares | Amount | |||||||||||||
Shares Sold | 13,864,200 | $ | 143,363,367 | 3,126,277 | $ | 29,116,879 | ||||||||||
Reinvestment of Distributions | 1,365,873 | 13,153,352 | 720 | 6,996 | ||||||||||||
Shares Redeemed | (2,498,836 | ) | (25,755,584 | ) | (6,520,100 | ) | (60,610,601 | ) | ||||||||
Redemption Fees | — | — | — | (232 | ) | |||||||||||
12,731,237 | $ | 130,761,135 | (3,393,103 | ) | $ | (31,486,958 | ) | |||||||||
Beginning Shares | 5,396,471 | 8,789,574 | ||||||||||||||
Ending Shares | 18,127,708 | 5,396,471 | ||||||||||||||
LoCorr Long/Short Commodities Strategy Fund | ||||||||||||||||
Total Net Increase (Decrease) | $ | 175,967,490 | $ | (45,170,846 | ) |
94 | | LoCorr Macro Strategies Fund, LoCorr Long/Short Commodities Strategy Fundand LoCorr Market Trend Fund – Notes to Consolidated Financial Statements / LoCorr Dynamic Equity Fund and LoCorr Spectrum Income Fund – Notes to Financial Statements (continued) |
LoCorr Market Trend Fund – Class A | ||||||||||||||||
For the Year Ended December 31, 2018 | For the Year Ended December 31,2017 | |||||||||||||||
Shares | Amount | Shares | Amount | |||||||||||||
Shares Sold | 2,041,593 | $ | 21,534,780 | 2,737,484 | $ | 28,708,153 | ||||||||||
Shares Redeemed | (4,253,791 | ) | (44,013,360 | ) | (9,662,150 | ) | (101,779,824 | ) | ||||||||
Redemption Fees | — | — | — | 784 | ||||||||||||
(2,212,198 | ) | $ | (22,478,580 | ) | (6,924,666 | ) | $ | (73,070,887 | ) | |||||||
Beginning Shares | 5,580,446 | 12,505,112 | ||||||||||||||
Ending Shares | 3,368,248 | 5,580,446 | ||||||||||||||
LoCorr Market Trend Fund – Class C | ||||||||||||||||
For the Year Ended December 31, 2018 | For the Year Ended December 31, 2017 | |||||||||||||||
Shares | Amount | Shares | Amount | |||||||||||||
Shares Sold | 354,298 | $ | 3,626,237 | 484,308 | $ | 5,025,256 | ||||||||||
Shares Redeemed | (1,872,667 | ) | (18,856,227 | ) | (4,936,089 | ) | (51,374,646 | ) | ||||||||
Redemption Fees | — | — | — | 6 | ||||||||||||
(1,518,369 | ) | $ | (15,229,990 | ) | (4,451,781 | ) | $ | (46,349,384 | ) | |||||||
Beginning Shares | 4,041,664 | 8,493,445 | ||||||||||||||
Ending Shares | 2,523,295 | 4,041,664 | ||||||||||||||
LoCorr Market Trend Fund – Class I | ||||||||||||||||
For the Year Ended December 31, 2018 | For the Year Ended December 31, 2017 | |||||||||||||||
Shares | Amount | Shares | Amount | |||||||||||||
Shares Sold | 24,293,597 | $ | 258,798,561 | 27,701,096 | $ | 294,187,402 | ||||||||||
Shares Redeemed | (44,938,075 | ) | (460,309,189 | ) | (51,803,362 | ) | (548,574,396 | ) | ||||||||
Redemption Fees | — | — | — | 5,091 | ||||||||||||
(20,644,478 | ) | $ | (201,510,628 | ) | (24,102,266 | ) | $ | (254,381,903 | ) | |||||||
Beginning Shares | 50,614,887 | 74,717,153 | ||||||||||||||
Ending Shares | 29,970,409 | 50,614,887 | ||||||||||||||
LoCorr Market Trend Fund | ||||||||||||||||
Total Net Decrease | $ | (239,219,198 | ) | $ | (373,802,174 | ) |
LoCorr Dynamic Equity Fund – Class A | ||||||||||||||||
For the Year Ended December 31, 2018 | For the Year Ended December 31, 2017 | |||||||||||||||
Shares | Amount | Shares | Amount | |||||||||||||
Shares Sold | 204,446 | $ | 2,334,198 | 1,410,774 | $ | 16,809,092 | ||||||||||
Reinvestment of Distributions | 30,595 | 303,192 | 65,357 | 772,526 | ||||||||||||
Shares Redeemed | (1,070,038 | ) | (11,843,915 | ) | (2,128,740 | ) | (25,425,721 | ) | ||||||||
Redemption Fees | — | — | — | 1,548 | ||||||||||||
(834,997 | ) | $ | (9,206,525 | ) | (652,609 | ) | $ | (7,842,555 | ) | |||||||
Beginning Shares | 1,689,399 | 2,342,008 | ||||||||||||||
Ending Shares | 854,402 | 1,689,399 | ||||||||||||||
LoCorr Dynamic Equity Fund – Class C | ||||||||||||||||
For the Year Ended December 31, 2018 | For the Year Ended December 31, 2017 | |||||||||||||||
Shares | Amount | Shares | Amount | |||||||||||||
Shares Sold | 12,061 | $ | 129,613 | 377,313 | $ | 4,365,067 | ||||||||||
Reinvestment of Distributions | 20,409 | 193,276 | 38,402 | 437,395 | ||||||||||||
Shares Redeemed | (451,054 | ) | (4,895,777 | ) | (398,936 | ) | (4,611,126 | ) | ||||||||
Redemption Fees | — | — | — | 121 | ||||||||||||
(418,584 | ) | $ | (4,572,888 | ) | 16,779 | $ | 191,457 | |||||||||
Beginning Shares | 973,448 | 956,669 | ||||||||||||||
Ending Shares | 554,864 | 973,448 | ||||||||||||||
LoCorr Dynamic Equity Fund – Class I | ||||||||||||||||
For the Year Ended December 31, 2018 | For the Year Ended December 31, 2017 | |||||||||||||||
Shares | Amount | Shares | Amount | |||||||||||||
Shares Sold | 808,578 | $ | 9,268,461 | 2,700,182 | $ | 32,582,085 | ||||||||||
Reinvestment of Distributions | 59,248 | 596,627 | 102,449 | 1,225,292 | ||||||||||||
Shares Redeemed | (1,965,613 | ) | (22,405,609 | ) | (3,744,615 | ) | (45,234,584 | ) | ||||||||
Redemption Fees | — | — | — | 614 | ||||||||||||
(1,097,787 | ) | $ | (12,540,521 | ) | (941,984 | ) | $ | (11,426,593 | ) | |||||||
Beginning Shares | 2,740,163 | 3,682,147 | ||||||||||||||
Ending Shares | 1,642,376 | 2,740,163 | ||||||||||||||
LoCorr Dynamic Equity Fund | ||||||||||||||||
Total Net Decrease | $ | (26,319,934 | ) | $ | (19,077,691 | ) |
LoCorr Macro Strategies Fund, LoCorr Long/Short Commodities Strategy Fund and LoCorr Market Trend Fund – Notes to Consolidated Financial Statements / LoCorr Dynamic Equity Fund and LoCorr Spectrum Income Fund – Notes to Financial Statements (continued) | | 95 |
LoCorr Spectrum Income Fund – Class A | ||||||||||||||||
For the Year Ended December 31, 2018 | For the Year Ended December 31, 2017 | |||||||||||||||
Shares | Amount | Shares | Amount | |||||||||||||
Shares Sold | 1,001,209 | $ | 7,351,429 | 1,852,628 | $ | 14,027,817 | ||||||||||
Reinvestment of Distributions | 202,320 | 1,445,202 | 212,605 | 1,613,841 | ||||||||||||
Shares Redeemed | (1,648,412 | ) | (11,964,611 | ) | (2,298,854 | ) | (17,279,850 | ) | ||||||||
Redemption Fees | — | 523 | — | 2,071 | ||||||||||||
(444,883 | ) | $ | (3,167,457 | ) | (233,621 | ) | $ | (1,636,121 | ) | |||||||
Beginning Shares | 4,057,798 | 4,291,419 | ||||||||||||||
Ending Shares | 3,612,915 | 4,057,798 | ||||||||||||||
LoCorr Spectrum Income Fund – Class C | ||||||||||||||||
For the Year Ended December 31, 2018 | For the Year Ended December 31, 2017 | |||||||||||||||
Shares | Amount | Shares | Amount | |||||||||||||
Shares Sold | 560,060 | $ | 4,179,406 | 863,495 | $ | 6,604,509 | ||||||||||
Reinvestment of Distributions | 156,310 | 1,123,445 | 176,185 | 1,343,087 | ||||||||||||
Shares Redeemed | (1,017,079 | ) | (7,360,766 | ) | (1,228,452 | ) | (9,312,807 | ) | ||||||||
Redemption Fees | — | 408 | — | 263 | ||||||||||||
(300,709 | ) | $ | (2,057,507 | ) | (188,772 | ) | $ | (1,364,948 | ) | |||||||
Beginning Shares | 3,167,860 | 3,356,632 | ||||||||||||||
Ending Shares | 2,867,151 | 3,167,860 | ||||||||||||||
LoCorr Spectrum Income Fund – Class I | ||||||||||||||||
For the Year Ended December 31, 2018 | For the Year Ended December 31, 2017 | |||||||||||||||
Shares | Amount | Shares | Amount | |||||||||||||
Shares Sold | 1,790,254 | $ | 12,983,667 | 2,937,706 | $ | 22,440,235 | ||||||||||
Reinvestment of Distributions | 300,481 | 2,145,130 | 316,484 | 2,399,389 | ||||||||||||
Shares Redeemed | (3,504,043 | ) | (25,054,619 | ) | (3,509,290 | ) | (26,399,490 | ) | ||||||||
Redemption Fees | — | 24,184 | — | 15,506 | ||||||||||||
(1,413,308 | ) | $ | (9,901,638 | ) | (255,100 | ) | $ | (1,544,360 | ) | |||||||
Beginning Shares | 5,833,407 | 6,088,507 | ||||||||||||||
Ending Shares | 4,420,099 | 5,833,407 | ||||||||||||||
LoCorr Spectrum Income Fund | ||||||||||||||||
Total Net Decrease | $ | (15,126,602 | ) | $ | (4,545,429 | ) |
LoCorr Macro Strategies Fund(2) | LoCorr Long/Short Commodities Strategy Fund(2) | LoCorr Market Trend Fund(2) | ||||||||||
Tax cost of portfolio | $ | 564,003,036 | $ | 242,747,901 | $ | 312,199,163 | ||||||
Gross unrealized appreciation | $ | 7,855,108 | $ | 11,187,250 | $ | 5,325,322 | ||||||
Gross unrealized depreciation | (5,908,737 | ) | (6,896,884 | ) | (4,953,334 | ) | ||||||
Net unrealized appreciation (depreciation) | 1,946,371 | 4,290,366 | 371,988 | |||||||||
Undistributed ordinary income | 9,770,918 | 15,958 | 3,078,171 | |||||||||
Undistributed long-term capital gains | — | — | — | |||||||||
Total Distributable earnings | 9,770,918 | 15,958 | 3,078,171 | |||||||||
Other accumulated losses | (49,579,773 | ) | (2,201,229 | ) | (66,328,955 | ) | ||||||
Total accumulated earnings (losses) | $ | (37,862,484 | ) | $ | 2,105,095 | $ | (62,878,796 | ) |
LoCorr Dynamic Equity Fund | LoCorr Spectrum Income Fund | |||||||
Tax cost of portfolio | $ | 29,383,989 | $ | 73,493,864 | ||||
Gross unrealized appreciation | $ | 1,167,022 | $ | 5,251,648 | ||||
Gross unrealized depreciation | (4,080,140 | ) | (10,231,469 | ) | ||||
Net unrealized appreciation (depreciation) | (2,913,118 | ) | (4,979,821 | ) | ||||
Undistributed ordinary income | — | — | ||||||
Undistributed long-term capital gains | 93,534 | — | ||||||
Total Distributable earnings | 93,534 | — | ||||||
Other accumulated earnings (losses) | (215,487 | ) | (28,155,691 | ) | ||||
Total accumulated earnings (losses) | $ | (3,035,071 | ) | $ | (33,135,512 | ) |
(1) | Total Portfolio represents aggregate amounts of Fund’s investments, securities sold short, forward currency contracts and futures contracts, where applicable. |
(2) | Tax Cost is presented on a non-consolidated basis and includes each of the Fund’s investment in the respective CFC’s and the unrealized appreciation and depreciation associated with those investments. |
96 | | LoCorr Macro Strategies Fund, LoCorr Long/Short Commodities Strategy Fund and LoCorr Market Trend Fund - Notes to Consolidated Financial Statements / LoCorr Dynamic Equity Fund and LoCorr Spectrum Income Fund - Notes to Financial Statements (continued) |
Undistributed income or net realized gains for financial statement purposes may differ from amounts recognized for federal income tax purposes due to differences in the recognition and characterization of income, expense and capital gain items. The difference between book-basis and tax-basis unrealized appreciation (depreciation) is attributed primarily to the tax deferral of losses on wash sales, mark to market, investments in partnerships and other temporary differences.
Accumulated Net Investment Income (Loss) | Accumulated Net Realized Gain (Loss) | Paid-in Capital | |||||||||||
LoCorr Macro Strategies Fund | $ | 16,664,597 | $ | (14,375,964 | ) | $ | (2,288,633 | ) | |||||
LoCorr Long/Short Commodities Strategy Fund | 23,140,326 | (5,170,392 | ) | (17,969,934 | ) | ||||||||
LoCorr Market Trend Fund | 3,851,689 | (4,805,039 | ) | 953,350 | |||||||||
LoCorr Dynamic Equity Fund | 1,099,541 | (2,244,776 | ) | 1,145,235 | |||||||||
LoCorr Spectrum Income Fund | 559,411 | (2,981,657 | ) | 2,422,246 |
Post October Loss Deferral | Late Year Ordinary Loss Deferral | |||||||
LoCorr Dynamic Equity Fund | $ | 167,174 | $ | — |
Capital Loss Carryover | Year of Expiration | ||||||||
Short-Term | Long-Term | ||||||||
LoCorr Macro Strategies Fund | $ | 25,624,736 | $ | 24,193,872 | Indefinitely | ||||
LoCorr Long/Short Commodities Strategy Fund | 1,125,032 | 1,076,197 | Indefinitely | ||||||
LoCorr Market Trend Fund | 32,588,883 | 33,724,138 | Indefinitely | ||||||
LoCorr Spectrum Income Fund | 11,098,789 | 15,638,249 | Indefinitely |
LoCorr Macro Strategies Fund, LoCorr Long/Short Commodities Strategy Fund and LoCorr Market Trend Fund - Notes to Consolidated Financial Statements / LoCorr Dynamic Equity Fund and LoCorr Spectrum Income Fund - Notes to Financial Statements (continued) | | 97 |
Dividend Declaration Date(a) | Shareholder of Record Date | Distribution Amount per Share Class | ||||
Class A | Class C | Class I | ||||
January 31, 2019 | January 30, 2019 | $ 0.04790 | $ 0.04170 | $ 0.05000 |
98 | | Report of Independent Registered Public Accounting Firm |
LoCorr Investment Trust - Expense Example (Unaudited) | | 99 |
100 | | LoCorr Investment Trust - Expense Example (Unaudited) (continued) |
Actual | Hypothetical ( 5% gross annual return) | |||||||
Class | Fund’s Annualized Expense Ratio 1, 2 | Beginning Account Value July 1, 2018 | Ending Account Value December 31, 2018 | Expenses Paid During Period 1, 2, 3 | Ending Account Value December 31, 2018 | Expenses Paid During Period 1, 2, 3 | ||
LoCorr Macro Strategies Fund |
| A | 2.24% | $1,000.00 | $998.50 | $11.28 | $1,013.91 | $11.37 | |
| C | 2.99% | $1,000.00 | $994.30 | $15.03 | $1,010.13 | $15.15 | |
| I | 1.99% | $1,000.00 | $999.40 | $10.03 | $1,015.17 | $10.11 |
| ||||||||
LoCorr Long/Short Commodities Strategy Fund |
A | 2.20% | $1,000.00 | $1,082.50 | $11.55 | $1,014.12 | $11.17 | ||
C | 2.95% | $1,000.00 | $1,078.90 | $15.46 | $1,010.33 | $14.95 | ||
I | 1.95% | $1,000.00 | $1,084.40 | $10.24 | $1,015.38 | $9.91 |
LoCorr Market Trend Fund |
A | 1.98% | $1,000.00 | $939.80 | $9.68 | $1,015.22 | $10.06 | ||
C | 2.73% | $1,000.00 | $936.40 | $13.32 | $1,011.44 | $13.84 | ||
I | 1.73% | $1,000.00 | $941.20 | $8.46 | $1,016.48 | $8.79 |
LoCorr Dynamic Equity Fund |
A | 3.09% | $1,000.00 | $911.40 | $14.89 | $1,009.63 | $15.65 | ||
C | 3.84% | $1,000.00 | $908.60 | $18.47 | $1,005.85 | $19.41 | ||
I | 2.84% | $1,000.00 | $912.60 | $13.69 | $1,010.89 | $14.39 |
LoCorr Spectrum Income Fund |
A | 1.95% | $1,000.00 | $889.00 | $9.28 | $1,015.38 | $9.91 | ||
C | 2.70% | $1,000.00 | $886.40 | $12.84 | $1,011.59 | $13.69 | ||
I | 1.70% | $1,000.00 | $890.40 | $8.10 | $1,016.64 | $8.64 |
1 | Includes dividend and/or interest expense of 0.00%, 0.00%, 0.00%, 0.26% and 0.00% for the LoCorr Macro Strategies Fund, the LoCorr Long/Short Commodities Strategy Fund, the LoCorr Market Trend Fund, the LoCorr Dynamic Equity Fund and the LoCorr Spectrum Income Fund, respectively. |
2 | Includes expenses of wholly-owned and controlled Cayman Islands subsidiaries for the LoCorr Macro Strategies Fund, the LoCorr Long/Short Commodities Strategy Fund and the LoCorr Market Trend Fund. |
3 | Expenses Paid During Period are equal to the net annualized expense ratio for the class, multiplied by the average account value over the period, multiplied by 184/365 (to reflect the one-half year period). |
Approval of Advisory Agreements (Unaudited) | | 101 |
102 | | Approval of Advisory Agreements (Unaudited) (continued) |
Notice of Privacy Policy & Practices/Quarterly Portfolio Holdings/Proxy (Unaudited) | | 103 |
● | Information we receive from you on or in applications or other forms, correspondence, or conversations, including, but not limited to, your name, address, phone number, social security number, assets, income and date of birth; and |
● | Information about your transactions with us, our affiliates, or others, including, but not limited to, your account number and balance, payments history, parties to transactions, cost basis information and other financial information. |
104 | | Qualified Dividend Income (“QDI”) / Dividends Received Deduction (“DRD”) (Unaudited) |
Fund | QDI% | |
LoCorr Macro Strategies Fund | 0.00% | |
LoCorr Long/Short Commodities Strategy Fund | 0.00% | |
LoCorr Market Trend Fund | 0.00% | |
LoCorr Dynamic Equity Fund | 0.00% | |
LoCorr Spectrum Income Fund | 50.08% |
Fund | DRD% | |
LoCorr Macro Strategies Fund | 0.00% | |
LoCorr Long/Short Commodities Strategy Fund | 0.00% | |
LoCorr Market Trend Fund | 0.00% | |
LoCorr Dynamic Equity Fund | 0.00% | |
LoCorr Spectrum Income Fund | 45.57% |
Independent Trustees/Interested Trustees and Officers | | 105 |
Independent Trustees | ||||
Name and Year of Birth | Position/Term of Office1 | Principal Occupation During the Past 5 Years | Number of Portfolios in Fund Complex2 Overseen by Trustee | Other Directorships Held by Trustee During the Past 5 Years |
Gary Jarrett Year of Birth: 1954 | Trustee/ 2016 to present | Chief Executive Officer, Black River Asset Management LLC, investment subsidiary of Cargill, Inc., 2002 to 2015. | 5 | None |
Mark Thompson Year of Birth: 1959 | Trustee/ 2011 to present | Chairman and Chief Manager, Riverbridge Partners, LLC (investment management), 1987 to present. | 5 | None |
Ronald A. Tschetter Year of Birth: 1941 | Trustee/ 2011 to present | Mr. Tschetter is presently retired from his principal occupations; Director of the U.S. Peace Corps, 2006 to 2009. | 5 | None |
Interested Trustees and Officers | ||||
Name and Year of Birth | Position/Term of Office1 | Principal Occupation During the Past 5 Years | Number of Portfolios in Fund Complex2 Overseen by Trustee | Other Directorships Held by Trustee During the Past 5 Years |
Jon C. Essen3 Year of Birth: 1963 | Treasurer, Secretary, Chief Financial Officer/ 2011 to present; Trustee/2010 to present | LoCorr Fund Management, LLC: Chief Operating Officer (2010-2016), Chief Compliance Officer, (2010-2017); LoCorr Distributors, LLC: Principal, Chief Financial Officer, and Registered Representative (2008 to present) Chief Compliance Officer (2008-2017). | 5 | None |
Kevin M. Kinzie4 Year of Birth: 1956 | President, Trustee/ 2011 to present | Chief Executive Officer of LoCorr Fund Management, LLC, 2010 to present; President and Chief Executive Officer of LoCorr Distributors, LLC (broker/ dealer), 2002 to present. | 5 | None |
Jason Roeske5 Year of Birth: 1969 | Chief Compliance Officer/ 2017 to present | Consultant at Encore Consulting Group (2013); Chief Compliance Officer of Welsh Securities, LLC (2014-2016); Chief Compliance Officer of LoCorr Fund Management, LLC, (2017-present). | 5 | Chief Compliance Officer of Welsh Securities, LLC (2014-2016) |
106 | | |
| 107 | |
108 | | |
| 109 | |
110 | | |
FYE 12/31/2018 | FYE 12/31/2017 | |
Audit Fees | $119,000 | $139,000 |
Audit-Related Fees | $0 | $0 |
Tax Fees | $30,000 | $36,500 |
All Other Fees | $5,000 | $5,000 |
FYE 12/31/2018 | FYE 12/31/2017 | |
Audit-Related Fees | 0% | 0% |
Tax Fees | 0% | 0% |
All Other Fees | 0% | 0% |
(a) | Schedule of Investments is included as part of the report to shareholders filed under Item 1 of this Form. |
(b) | Not Applicable. |
(a) | The registrant’s President and Treasurer have reviewed the registrant's disclosure controls and procedures (as defined in Rule 30a-3(c) under the Investment Company Act of 1940 (the “Act”)) as of a date within 90 days of the filing of this report, as required by Rule 30a-3(b) under the Act and Rules 13a-15(b) or 15d‑15(b) under the Securities Exchange Act of 1934. Based on their review, such officers have concluded that the disclosure controls and procedures are effective in ensuring that information required to be disclosed in this report is appropriately recorded, processed, summarized and reported and made known to them by others within the registrant and by the registrant’s service provider. |
(b) | There were no changes in the registrant's internal control over financial reporting (as defined in Rule 30a-3(d) under the Act) that occurred during the second fiscal quarter of the period covered by this report that has materially affected, or is reasonably likely to materially affect, the registrant's internal control over financial reporting. |
(a) | (1) Any code of ethics or amendment thereto, that is the subject of the disclosure required by Item 2, to the extent that the registrant intends to satisfy Item 2 requirements through filing an exhibit. |
(b) | Certifications pursuant to Section 906 of the Sarbanes‑Oxley Act of 2002. |