UNITED STATES
SECURITIES AND EXCHANGE COMMISSION
Washington, D.C. 20549
SECURITIES AND EXCHANGE COMMISSION
Washington, D.C. 20549
FORM N-CSR
CERTIFIED SHAREHOLDER REPORT OF REGISTERED
MANAGEMENT INVESTMENT COMPANIES
Investment Company Act file number: (811-22708)
Brown Advisory Funds
(Exact name of Registrant as specified in charter)
(Exact name of Registrant as specified in charter)
901 South Bond Street Suite 400
Baltimore, MD 21231
(Address of principal executive offices) (Zip code)
(Address of principal executive offices) (Zip code)
Paul J. Chew
Principal Executive Officer
Brown Advisory Funds
901 South Bond Street Suite 400
Baltimore, MD 21231
(Name and address of agent for service)
(Name and address of agent for service)
(410) 537-5400
Registrant's telephone number, including area code
Date of fiscal year end: June 30
Date of reporting period: December 31, 2020
Item 1. Reports to Stockholders.
(a) | The registrant’s semi-annual report transmitted to shareholders pursuant to Rule 30e-1 under the Investment Company Act of 1940, as amended (the “Investment Company Act”), is as follows: |
SEMI-ANNUAL REPORT
December 31, 2020
Brown Advisory Growth Equity Fund
Brown Advisory Flexible Equity Fund
Brown Advisory Equity Income Fund
Brown Advisory Sustainable Growth Fund
Brown Advisory Mid-Cap Growth Fund
Brown Advisory Small-Cap Growth Fund
Brown Advisory Small-Cap Fundamental Value Fund
Brown Advisory Global Leaders Fund
Brown Advisory Intermediate Income Fund
Brown Advisory Total Return Fund
Brown Advisory Sustainable Bond Fund
Brown Advisory Maryland Bond Fund
Brown Advisory Tax-Exempt Bond Fund
Brown Advisory Tax-Exempt Sustainable Bond Fund
Brown Advisory Mortgage Securities Fund
Brown Advisory – WMC Strategic European Equity Fund
Brown Advisory Emerging Markets Select Fund
Brown Advisory – Beutel Goodman Large-Cap Value Fund
TABLE OF CONTENTS
Brown Advisory Growth Equity Fund | 1 | |
Brown Advisory Flexible Equity Fund | 4 | |
Brown Advisory Equity Income Fund | 7 | |
Brown Advisory Sustainable Growth Fund | 10 | |
Brown Advisory Mid-Cap Growth Fund | 13 | |
Brown Advisory Small-Cap Growth Fund | 16 | |
Brown Advisory Small-Cap Fundamental Value Fund | 20 | |
Brown Advisory Global Leaders Fund | 23 | |
Brown Advisory Intermediate Income Fund | 26 | |
Brown Advisory Total Return Fund | 32 | |
Brown Advisory Sustainable Bond Fund | 39 | |
Brown Advisory Maryland Bond Fund | 45 | |
Brown Advisory Tax-Exempt Bond Fund | 49 | |
Brown Advisory Tax-Exempt Sustainable Bond Fund | 55 | |
Brown Advisory Mortgage Securities Fund | 60 | |
Brown Advisory – WMC Strategic European Equity Fund | 69 | |
Brown Advisory Emerging Markets Select Fund | 72 | |
Brown Advisory – Beutel Goodman Large-Cap Value Fund | 75 | |
Statements of Assets and Liabilities | 78 | |
Statements of Operations | 83 | |
Statements of Changes in Net Assets | 88 | |
Financial Highlights | 97 | |
Notes to Financial Statements | 105 | |
Additional Information | 118 |
The views in the report contained herein were those of the Funds’ investment adviser, Brown Advisory LLC, or, for the sub-advised funds, of the respective sub-adviser, as of December 31, 2020 and may not reflect their views on the date this report is first published or anytime thereafter. This report may contain discussions about certain investments both held and not held in the portfolio as of December 31, 2020. All current and future holdings are subject to risk and are subject to change. While these views are intended to assist shareholders in understanding their investment in each Fund, they do not constitute investment advice, are not a guarantee of future performance and are not intended as an offer or solicitation with respect to the purchase or sale of any security. Performance figures include the reinvestment of dividend and capital gain distributions.
The Global Industry Classification Standard (GICS®) was developed by and is the exclusive property of MSCI, Inc. and Standard & Poor’s Financial Services LLC (“S&P”). GICS® is a service mark of MSCI, Inc. and S&P and has been licensed for use by the Administrator, U.S. Bancorp Fund Services, LLC.
GLOSSARY OF TERMS
Alpha refers to the abnormal rate of return on a security or portfolio in excess of what would be predicted by an equilibrium model like the capital asset pricing model (CAPM).
Bloomberg Barclays 1-10 Year Blended Municipal Bond Index is a market index of high quality, domestic fixed income securities with maturities of less than 10 years.
Bloomberg Barclays Intermediate US Aggregate Bond Index represents domestic taxable investment-grade bonds with index components for government and corporate securities, mortgage pass-through securities and asset-backed securities with average maturities and durations in the intermediate range. This index represents a sector of the Bloomberg Barclays US Aggregate Bond Index.
Bloomberg Barclays Mortgage Backed Securities Index is a market value-weighted index which covers the mortgage-backed securities component of the Bloomberg Barclays US Aggregate Bond Index. The index is composed of agency mortgage-backed passthrough securities of the Government National Mortgage Association (Ginnie Mae), the Federal National Mortgage Association (Fannie Mae), and the Federal Home Loan Mortgage Corporation (Freddie Mac) with a minimum $150 million par amount outstanding and a weighted-average maturity of at least 1 year. The index includes reinvestment of income.
Bloomberg Barclays US Aggregate Bond Index is a broad-based benchmark that measures the investment grade, US dollar-denominated, fixed-rate taxable bond market. The index includes Treasuries, government-related and corporate securities, MBS, ABS and CMBS.
Bloomberg Barclays US Corporate High Yield Index measures the US Dollar denominated, high-yield, fixed-rate corporate bond market.
Basis point(s) (bps) is a unit that is equal to 1/100th of 1%, and is used to denote the change in a financial instrument. The basis point is commonly used for calculating changes in interest rates, equity indexes and the yield of a fixed-income security. 1% is equal to 100 basis points.
Beta is a measure of the volatility, or systematic risk, of a security or a portfolio in comparison to the market as a whole.
Book value is the net asset value of a company, calculated by total assets minus intangible assets (patents, goodwill) and liabilities.
CAPEX, or capital expenditures, are funds used by a company to acquire or upgrade physical assets such as property, industrial buildings or equipment. It is often used to undertake new projects or investments by the firm. This type of outlay is also made by companies to maintain or increase the scope of their operations.
Cash flow measures the cash generating capability of a company by adding non-cash charges (e.g. depreciation) and interest expense to pretax income.
Correlation is a statistical measurement of how two securities move in relation to each other.
Dividend Yield is a financial ratio that shows how much a company pays out in dividends each year relative to its share price. In the absence of any capital gains, the dividend yield is the return on investment for a stock.
Downside Capture is a statistical measure of a fund’s performance in down markets. For example, a fund with downside capture of 90% would only have declined 90% as much as the related index during the same down market period.
Duration is a measure of the sensitivity of the price of a fixed-income investment to a change in interest rates. Duration is expressed as a number of years.
Earnings growth is a measure of growth in a company’s net income over a specific period, often one year. The term can apply to actual data from previous periods or estimated data for future periods.
Earnings per share (EPS) is calculated by taking the total earnings divided by the number of shares outstanding.
Earnings Yield is the earnings per share for the most recent 12-month period divided by the current market price per share. The earnings yield shows the percentage of each dollar invested in the stock that was earned by the company.
EBITDA is the Earnings Before Interest, Taxes, Depreciation and Amortization. An approximate measure of a company’s operating cash flow based on data from the company’s income statement.
Enterprise Value (EV) is a measure of a company’s value, often used as an alternative to straightforward market capitalization. Enterprise Value is calculated as market capitalization plus debt, minority interest and preferred shares, minus total cash and cash equivalents.
FTSE All-World Index is a market capitalization weighted index representing the performance of large and mid-capitalization stocks from the FTSE Global Equity Index Series.
FTSE Emerging Index is a market capitalization weighted index representing the performance of over 790 large and mid-capitalization companies in 22 emerging markets.
Forward price to earnings ratio uses forecasted earnings, rather than current earnings, to calculate the price to earnings ratio.
Free Cash Flow is the operating cash flows (net income plus amortization and depreciation) minus capital expenditures and dividends. Free cash flow is the amount of cash that a company has left over after it has paid all of its expenses, including investments.
Gross Domestic Product (GDP) is the monetary value of all the goods and services produced by an economy over a specified period. It includes consumption, government purchases, investments, and exports minus imports.
ICE BofAML 0-3 Month US Treasury Bill Index is a subset of the ICE BofAML US Treasury Bill Index and includes all securities with a remaining term to final maturity less than 3 months.
GLOSSARY OF TERMS
MSCI Emerging Markets Index is a free float-adjusted market capitalization index that is designed to measure equity market performance in the global emerging markets.
MSCI Emerging Markets Small Cap Index is a free float-adjusted market capitalization index that is designed to measure small cap equity market performance in the global emerging markets.
MSCI Europe Index is an index that captures large and mid cap representation across 15 developed market countries in Europe.
Positive Convexity is a measure describing the sensitivity of a bond’s duration to changes in yield where a fall in yields leads to a greater increase in price than price declines due to an increase in yields providing downside protection for investors.
Price to Book Value Ratio (P/B) is ratio used to compare a stock’s market value to its book value. It is calculated by dividing the current closing price of the stock by the latest quarter’s book value per share.
Price to earnings ratio (P/E) is a common tool for comparing the prices of different common stocks and is calculated by dividing the current market price of a stock by the earnings per share.
Quantitative Easing is an expansionary monetary policy implemented by a central bank aiming to increase the money supply and decrease interest rates by buying bonds in order to inject liquidity into the economy.
Return of Capital (ROC) is a return from an investment that is not considered income. The return of capital is when some or all of the money an investor has in an investment is paid back to him or her, thus decreasing the value of the investment.
Return on Capital Employed (ROCE) is a financial ratio that measures a company’s profitability and the efficiency with which its capital is employed. Return on Capital Employed (ROCE) is calculated as: ROCE = Earnings Before Interest and Tax (EBIT) / Capital Employed.
Return on Equity (ROE) is the amount of net income returned as a percentage of shareholders equity. Return on equity measures a corporation’s profitability by revealing how much profit a company generates with the money shareholders have invested.
Return on Invested Capital (ROIC) is a calculation used to assess a company’s efficiency at allocating the capital under its control to profitable investments. ROIC is typically calculated by taking a company’s net income, subtracting dividends the company paid out and dividing that amount by the company’s total capital.
Russell Midcap Growth Index measures the performance of the mid-capitalization growth sector of the U.S. equity market.
Russell 1000® Growth Index measures the performance of the large-cap growth segment of the of the U.S. equity universe. It includes those Russell 1000® companies with higher price to book value ratios and higher forecasted growth values.
Russell 1000® Value Index measures the performance of the large-cap value segment of the U.S. equity universe. It includes those Russell 1000® companies with lower price to book value ratios and lower expected growth values.
Russell 2000® Growth Index measures the performance of the small-cap growth segment of the U.S. equity universe. It includes those Russell 2000® companies with higher price to book value ratios and higher forecasted growth values.
Russell 2000® Index measures the performance of the 2,000 smallest companies in the Russell 3000® Index.
Russell 2000® Value Index measures the performance of the small-cap value segment of the U.S. equity universe. It includes those Russell 2000® companies with lower price to book value ratios and lower forecasted growth values.
Russell 3000® Index measures the performance of the 3,000 largest U.S. companies representing approximately 98% of the investable U.S. equity market.
S&P 500 Index (“S&P 500”) is a market-value weighted index representing the performance of 500 widely held, publicly traded large capitalization stocks.
Tangible Book Value (“TBV”) is a valuation ratio expressing the price of a security compared to its hard, or tangible, book value as reported in the company’s balance sheet. The tangible book value number is equal to the company’s total book value less the value of any intangible assets.
Tier 1 Capital Ratio is a comparison between a banking firm’s core equity capital and total risk-weighted assets. A firm’s core equity capital is known as its Tier 1 capital and is the measure of a bank’s financial strength based on the sum of its equity capital and disclosed reserves, and sometimes non-redeemable, non-cumulative preferred stock. A firm’s risk-weighted assets include all assets that the firm holds that are systematically weighted for credit risk. Central banks typically develop the weighting scale for different asset classes, such as cash and coins, which have zero risk, versus a letter or credit, which carries more risk.
Turnover refers to a fund buying or selling securities. (The fund “turns over” its portfolio.) A fund pays transaction costs, such as commissions, when it buys and sells securities. Additionally, a higher turnover rate may result in higher taxes when the fund shares are held in a taxable account.
Yield Curve is a line that plots the yields of securities having equal credit quality but different maturity dates.
Yield Spread is the difference between yields on differing securities, calculated by deducting the yield of one security from another.
The broad based market indexes referenced in the following management commentaries are considered representative of their indicated market, the indexes are unmanaged and do not reflect the deduction of fees, such as, investment management and fund accounting fees, or taxes associated with a mutual fund. Investors cannot invest directly in an index.
Brown Advisory Growth Equity Fund
A Message to Our Shareholders
December 31, 2020
Dear Shareholders:
During the six-month period ended December 31, 2020, the Brown Advisory Growth Equity Fund – Investor Shares (the “Fund”) increased 19.94% in value. During the same period, the Russell 1000® Growth Index (the “Index”), the Fund’s benchmark, increased 26.12%.
The COVID-19 pandemic all but defined 2020, particularly the conjoined economic and market volatility. The Index continued to rally sharply in the second half of the year. This was largely driven by continued strength in the technology and online consumer COVID-19 beneficiaries coupled with refreshed sentiment for the stocks of companies geared towards a potential re-opening of the economy. Despite the ongoing economic uncertainty, our benchmark, which is increasingly being driven by a small number of momentum-driven stocks, eclipsed its all-time high. While the portfolio posted a solid absolute return for the period it did trail on a relative basis over the last six months. The underperformance is disappointing but not necessarily surprising given the market backdrop, and the continued outperformance on the days that value stocks outperformed growth stocks is encouraging.
Investor sentiment wavered between confidence that a return to normalcy is at hand with the help of vaccines, and concern that rising COVID-19 cases could lead to renewed shutdowns. The market rewarded companies with business models that exhibited resiliency in light of the pandemic such as Estee Lauder and Cintas. We believe that Estee Lauder has built an impressive collection of brands and an exceptional distribution model which ultimately held up much better than expected given the challenges facing consumers. Intuitive Surgical initially came under pressure as hospitals redirected resources to fighting COVID-19, then rebounded. The vaccine served as a harbinger of a continued recovery for elective surgical procedures. These gains were partially offset by weakness in Dexcom driven by profit taking after a considerable rally during the first half of the year.
Illumina shocked investors by announcing plans to acquire GRAIL, which is an oncology diagnostic business. This represents a material change to the strategic direction of the company, which, prior to this announcement, had been solely focused on the gene sequencing market. Investors reacted negatively to the announcement sending the stock lower. As our process dictates, we sold our position and used the proceeds to initiate a new position in Shopify, which is a leading provider of e-commerce software to both small and large companies. We also eliminated our holding in Salesforce which has been a strong investment over the course of our investment period spanning more than a decade. As the business model has matured, investors expected the company to deliver increased profitability. While we did start to see this transition, the company’s most recent acquisition seems to be a setback for this thesis. In addition, the company has experienced turnover amongst its senior management team which has engendered concern. We found a better opportunity in ServiceNow which has a similar cloud-based software business model, but it is at an earlier stage of market penetration.
Over short periods of time, individual stocks can have an outsized impact on our relative performance; however, it is usually stocks that we hold that are the most impactful. Sometimes we do make mistakes that negatively impact performance, but that has not been the case this period. Two stocks that we do not own, Tesla and Apple, created a 376 basis point drag on relative performance. Tesla was up more that 226% over the last six months, well ahead of COVID-19 beneficiaries. Aside from a healthy sprinkling of environmental pixie dust, there is no obvious near-term fundamental explanation for a move of this magnitude in our view. Rest assured, these two stocks did not slip through the cracks of our process, as we know both of them well. They simply do not meet our criteria for investment—be it growth rate, in the case of Apple, or valuation with respect to Tesla. Our investors can remain confident that we will not relax the most important elements of our investment process in order to join the crowd, despite the inevitable fact that we can and expect to underperform our benchmark in times like these.
Sincerely,
Kenneth M. Stuzin, CFA
Portfolio Manager
1
Brown Advisory Growth Equity Fund
A Message to Our Shareholders
December 31, 2020
Past performance is not a guarantee of future results.
Mutual fund investing involves risk. Principal loss is possible. Investments in medium capitalization companies generally carry greater risk than is customarily associated with larger companies for various reasons such as narrower markets, limited financial resources and less liquid stock. The value of the Fund’s investments in REITs may change in response to changes in the real estate market such as declines in the value of real estate, lack of available capital or financing opportunities, and increases in property taxes or operating costs. Investments in foreign securities entail certain risks not associated with investments in domestic securities, such as volatility of currency exchange rates, and in some cases, political and economic instability and relatively illiquid markets. These risks are greater for investments in emerging markets. The Fund may invest in ETFs, which may trade at a discount to the aggregate value of the underlying securities and although expense ratios for ETFs are generally low, frequent trading of ETFs by the Fund can generate brokerage expenses.
Fund holdings and sector allocations are subject to change and should not be considered a recommendation to buy or sell any security. For a complete list of fund holdings, please refer to the Schedule of Investments provided in this report.
Definitions for terms and indices are provided in the Glossary of Terms.
2
Brown Advisory Growth Equity Fund
Schedule of Investments
December 31, 2020 (Unaudited)
Shares | Security Description | Value $ | ||||||
Common Stocks — 93.9% | ||||||||
Communication Services — 10.5% | ||||||||
72,184 | Alphabet, Inc. — Class C* | 126,457,706 | ||||||
879,028 | Electronic Arts, Inc. | 126,228,421 | ||||||
579,537 | Match Group, Inc.* | 87,620,199 | ||||||
340,306,326 | ||||||||
Consumer Discretionary — 10.7% | ||||||||
198,139 | Alibaba Group Holding, Ltd. ADR* | 46,112,889 | ||||||
40,217 | Amazon.com, Inc.* | 130,983,954 | ||||||
199,906 | Lululemon Athletica, Inc.* | 69,573,285 | ||||||
86,768 | Shopify, Inc.* | 98,217,038 | ||||||
344,887,166 | ||||||||
Consumer Staples — 7.7% | ||||||||
1,047,262 | Brown-Forman Corp. | 83,184,021 | ||||||
189,300 | Costco Wholesale Corp. | 71,324,454 | ||||||
357,681 | Estee Lauder Companies, Inc. | 95,211,105 | ||||||
249,719,580 | ||||||||
Health Care — 20.8% | ||||||||
451,078 | Danaher Corp. | 100,202,467 | ||||||
244,248 | DexCom, Inc.* | 90,303,371 | ||||||
1,053,596 | Edwards Lifesciences Corp.* | 96,119,563 | ||||||
175,747 | Intuitive Surgical, Inc.* | 143,778,621 | ||||||
268,408 | Thermo Fisher Scientific, Inc. | 125,019,078 | ||||||
694,884 | Zoetis, Inc. | 115,003,302 | ||||||
670,426,402 | ||||||||
Industrials — 11.3% | ||||||||
286,380 | Cintas Corp. | 101,223,875 | ||||||
1,256,891 | Fortive Corp. | 89,013,021 | ||||||
399,223 | L3Harris Technologies, Inc. | 75,461,131 | ||||||
230,106 | Roper Technologies, Inc. | 99,196,395 | ||||||
364,894,422 | ||||||||
Information Technology — 29.5% | ||||||||
189,005 | Adobe, Inc.* | 94,525,181 | ||||||
425,740 | Autodesk, Inc.* | 129,995,452 | ||||||
1,397,494 | Genpact, Ltd. | 57,800,352 | ||||||
311,571 | Intuit, Inc. | 118,350,244 | ||||||
350,020 | MasterCard, Inc. | 124,936,139 | ||||||
631,834 | Microsoft Corp. | 140,532,518 | ||||||
543,003 | NXP Semiconductors NV | 86,342,907 | ||||||
568,930 | PayPal Holdings, Inc.* | 133,243,406 | ||||||
122,815 | ServiceNow, Inc.* | 67,601,060 | ||||||
953,327,259 | ||||||||
Materials — 3.4% | ||||||||
147,610 | Sherwin-Williams Co. | 108,480,065 | ||||||
Total Common Stocks (Cost $1,384,434,063) | 3,032,041,220 | |||||||
Real Estate Investment Trusts — 3.0% | ||||||||
345,012 | SBA Communications Corp. | 97,338,236 | ||||||
Total Real Estate Investment Trusts (Cost $32,169,080) | 97,338,236 | |||||||
Short-Term Investments — 3.5% | ||||||||
Money Market Funds — 3.5% | ||||||||
114,153,903 | First American Government | |||||||
Obligations Fund — Class Z, 0.03%# | 114,153,903 | |||||||
Total Short-Term Investments (Cost $114,153,903) | 114,153,903 | |||||||
Total Investments — 100.4% (Cost $1,530,757,046) | 3,243,533,359 | |||||||
Liabilities in Excess of Other Assets — (0.4)% | (13,975,073 | ) | ||||||
NET ASSETS — 100.0% | $ | 3,229,558,286 |
ADR — American Depositary Receipt
* | Non-Income Producing | |
# | Annualized seven-day yield as of the date of this report. |
PORTFOLIO HOLDINGS | ||||
% of Net Assets | ||||
Information Technology | 29.5 | % | ||
Health Care | 20.8 | % | ||
Industrials | 11.3 | % | ||
Consumer Discretionary | 10.7 | % | ||
Communication Services | 10.5 | % | ||
Consumer Staples | 7.7 | % | ||
Money Market Funds | 3.5 | % | ||
Materials | 3.4 | % | ||
Real Estate Investment Trusts | 3.0 | % | ||
Other Assets and Liabilities | (0.4 | )% | ||
100.0 | % |
The accompanying notes are an integral part of these financial statements.
3
Brown Advisory Flexible Equity Fund
A Message to Our Shareholders
December 31, 2020
Dear Shareholders:
During the six-month period ended December 31, 2020, the Brown Advisory Flexible Equity Fund – Investor Shares (the “Fund”) increased 22.80% in value. During the same period, the S&P 500® Index, the Fund’s benchmark, increased 22.16%.
COVID-19 brought the world to its knees quite rapidly. The world was blindsided by the pace of the spread of the virus, the initial lack of understanding of the disease and its treatment, the voluntary halt of the global economy, the inconsistency and incompetency of handling the health crisis, the politicization of “wearing a mask” in the U.S.—and the list goes on. For most equity market participants, even more blinding was the sharp equity market correction in the first quarter that lasted a “whopping” five weeks followed by the steepest ever “v-shaped” recovery in the markets. From the peak on February 19, at an all-time high, the market corrected nearly 34%, but since hitting the bottom on March 23, we have now had three consecutive quarters of strong market appreciation and new record levels in major U.S. indices to end 2020.
The economy declined steeply but was progressively less bad through the year due to the “all-in” monetary actions by the Federal Reserve and the fiscal response from the government earlier in the year. The equity markets responded sharply to this news as well as more recently to the hopes of ending the spread of the disease from the recent launches of two highly innovative vaccines. The speed and size of the liquidity injection by the Fed as well as the fiscal response nearing $3 trillion (including the one recently passed) have dwarfed actions taken during past crises, including the ones during the Great Recession (2007–2009), which were at that time considered unconventional and extraordinary.
Notwithstanding the tumultuous “bookends” of the last decade—the great financial crisis of 2009 at one end and the pandemic of 2020 at the other—this period has generally been favorable for U.S. equity investors. The 10-year compounded average total returns for the Index is 13.88%, well ahead of the dividend plus the growth in earnings per share of approximately 7% to 8% for the Index during the same period. The difference is due to multiple expansion. As of the end of the year, the Index’s forward P/E multiple was 22x to 23x versus a 20-year average of 16x to 17x. This expansion in multiples seems justified against an extraordinary backdrop of a 0.9% yield on 10-year U.S. Treasury bonds. Indeed, with inflation running at approximately twice the yield on bonds, the 10-year risk-free rate is negative in real terms.
While our expectation of long-term contribution to returns of 7% to 8% is no different from the last cycle, equity returns could be suppressed if long-term interest rates were to rise materially in the future. In fact, in the shorter term, we are expecting even more robust earnings growth in 2021 as an economic recovery takes hold and pent-up demand comes into play. However, total returns for equities from this point are dependent on how multiples shake out in the future, which in turn may be influenced by the outlook of long-term interest rates.
The biggest contributors to returns in the six-month period were Apple Inc., a manufacturer of various personal digital, computing and communications devices, Taiwan Semiconductor Manufacturing, a manufacturer of semiconductor chips, Mastercard, a global payments network, Facebook, a leader in social media and Booking Holdings, an online travel company. The top four contributors achieved strong business results and higher valuations. Booking Holdings reported better-than-expected results, driven by an increase in domestic travel after the lockdowns earlier in the year. We expect that the company will gain market share when travel recovers.
The largest detractors to returns were Kinder Morgan, a pipeline transportation company, SBAC Communications and Crown Castle Communications, both wireless communications tower companies, General Dynamics, an aerospace and defense company, and Suncor Energy, an integrated Canadian energy company.
The decline in energy demand negatively impacted Kinder Morgan and Suncor Energy. SBAC Communications and Crown Castle Communications provided a conservative outlook for 2021 in advance of the carriers’ (AT&T, T-Mobile, Verizon) fifth-generation mobile network, or 5G, build plans. COVID-19 continues to adversely impact General Dynamics’ aerospace and defense-related businesses.
We added one new investment and eliminated one since our June 30, 2020 annual report to shareholders.
Bright Horizons Family Solutions, a child care services company, is the largest provider of employer-sponsored child care with centers nationwide for child care and early education. We like its business model with recurring revenue, high retention rates, strong free cash flow and the opportunity to reinvest capital. We invested after the stock fell 35% from its peak related to centers closing due to COVID-19. We believe that the company will be well-positioned post-COVID-19 and the demand for child care services returns.
4
Brown Advisory Flexible Equity Fund
A Message to Our Shareholders
December 31, 2020
Raytheon Technologies entered the portfolio as the result of a merger with United Technologies and a subsequent spin-off. We eliminated the position because of the negative impact of the pandemic on the commercial aerospace business, which is likely to remain challenged in the foreseeable future.
Despite the very real challenges in 2020, and of course others we have encountered in the past and no doubt will occur in the future, we expect the following to continue to be a sound basis for an investment program:
The Flexible Equity team searches for investment bargains among long-term, attractive businesses with shareholder-oriented managers—those with productive assets and productive managers. These businesses should have or develop competitive advantages that result in good business economics, managers who allocate capital well, capacity to adjust to changes in the world and the ability to grow business value over time. Bargains in these types of stocks can arise for various reasons but are often due to short-term investor perceptions, temporary business challenges that will improve, company or industry changes for the better, or as-yet-unrecognized potential for long-term growth and development. Despite the occasional investment that will go awry and stretches when the general stock market is unrewarding, we are optimistic about the long-term outlook for equities of good businesses purchased at reasonable prices and our ability to find them.
Sincerely,
Maneesh Bajaj, CFA
Portfolio Manager
Past performance is not a guarantee of future results.
Mutual fund investing involves risk. Principal loss is possible. The Fund’s investment focus on environmental factors could cause it to make or avoid investments that could result in the Fund underperforming similar funds that do not have an environmental focus. Investments in smaller and medium-sized capitalization companies generally carry greater risk than is customarily associated with larger companies for various reasons such as narrower markets, limited financial resources and less liquid stock. Investments in foreign securities entail certain risks not associated with investments in domestic securities, such as volatility of currency exchange rates, and in some cases, political and economic instability and relatively illiquid markets. These risks are greater for investments in emerging markets. The value of the Fund’s investments in REITS may change in response to changes in the real estate market such as declines in the value of real estate, lack of available capital or financing opportunities, and increases in property taxes or operating costs.
Fund holdings and sector allocations are subject to change and should not be considered a recommendation to buy or sell any security. For a complete list of fund holdings, please refer to the Schedule of Investments provided in this report.
Definitions for terms and indices are provided in the Glossary of Terms.
5
Brown Advisory Flexible Equity Fund
Schedule of Investments
December 31, 2020 (Unaudited)
Shares | Security Description | Value $ | ||||||
Common Stocks — 95.8% | ||||||||
Communication Services — 11.5% | ||||||||
5,631 | Alphabet, Inc. — Class A* | 9,869,116 | ||||||
11,587 | Alphabet, Inc. — Class C* | 20,299,034 | ||||||
96,253 | Facebook, Inc.* | 26,292,469 | ||||||
61,234 | Walt Disney Co.* | 11,094,376 | ||||||
67,554,995 | ||||||||
Consumer Discretionary — 17.1% | ||||||||
62,166 | Alibaba Group Holding, Ltd. ADR* | 14,467,893 | ||||||
3,642 | Amazon.com, Inc.* | 11,861,739 | ||||||
7,885 | Booking Holdings, Inc.* | 17,562,024 | ||||||
40,209 | Bright Horizons Family Solutions, Inc.* | 6,955,755 | ||||||
187,954 | CarMax, Inc.* | 17,754,135 | ||||||
61,446 | Dollar Tree, Inc.* | 6,638,626 | ||||||
129,766 | Lowe’s Companies, Inc. | 20,828,740 | ||||||
71,600 | TJX Companies, Inc. | 4,889,564 | ||||||
100,958,476 | ||||||||
Consumer Staples — 4.7% | ||||||||
216,298 | Conagra Brands, Inc. | 7,842,966 | ||||||
197,443 | Hain Celestial Group, Inc.* | 7,927,336 | ||||||
470,433 | Nomad Foods, Ltd.* | 11,958,407 | ||||||
27,728,709 | ||||||||
Energy — 2.0% | ||||||||
548,262 | Kinder Morgan, Inc. | 7,494,741 | ||||||
276,888 | Suncor Energy, Inc. | 4,646,181 | ||||||
12,140,922 | ||||||||
Financials — 13.9% | ||||||||
77,324 | Ameriprise Financial, Inc. | 15,026,373 | ||||||
475,874 | Bank of America Corp. | 14,423,741 | ||||||
87,070 | Berkshire Hathaway, Inc.* | 20,188,921 | ||||||
103,192 | Blackstone Group, Inc. | 6,687,874 | ||||||
122,684 | JPMorgan Chase & Co. | 15,589,456 | ||||||
249,805 | KKR & Co., Inc. | 10,114,604 | ||||||
82,030,969 | ||||||||
Health Care — 9.9% | ||||||||
49,329 | Agilent Technologies, Inc. | 5,844,993 | ||||||
31,778 | Anthem, Inc. | 10,203,598 | ||||||
202,133 | Edwards Lifesciences Corp.* | 18,440,594 | ||||||
64,819 | Merck & Co., Inc. | 5,302,194 | ||||||
53,084 | UnitedHealth Group, Inc. | 18,615,497 | ||||||
58,406,876 | ||||||||
Industrials — 7.0% | ||||||||
60,503 | Canadian National Railway Co. | 6,646,255 | ||||||
223,130 | Carrier Global Corp. | 8,416,464 | ||||||
18,997 | General Dynamics Corp. | 2,827,134 | ||||||
91,977 | Otis Worldwide Corp. | 6,213,046 | ||||||
129,056 | Stericycle, Inc.* | 8,947,452 | ||||||
34,655 | United Rentals, Inc.* | 8,036,841 | ||||||
41,087,192 | ||||||||
Information Technology — 29.7% | ||||||||
43,456 | Accenture PLC | 11,351,142 | ||||||
60,890 | Analog Devices, Inc. | 8,995,280 | ||||||
180,620 | Apple, Inc. | 23,966,468 | ||||||
21,793 | Intuit, Inc. | 8,278,071 | ||||||
88,117 | MasterCard, Inc. | 31,452,482 | ||||||
141,014 | Microsoft Corp. | 31,364,334 | ||||||
67,449 | PayPal Holdings, Inc.* | 15,796,556 | ||||||
103,436 | Taiwan Semiconductor | |||||||
Manufacturing Co., Ltd. ADR | 11,278,661 | |||||||
148,354 | Visa, Inc. | 32,449,470 | ||||||
174,932,464 | ||||||||
Total Common Stocks (Cost $235,060,754) | 564,840,603 | |||||||
Real Estate Investment Trusts — 2.4% | ||||||||
35,291 | Crown Castle International Corp. | 5,617,974 | ||||||
30,330 | SBA Communications Corp. | 8,557,003 | ||||||
Total Real Estate Investment Trusts (Cost $7,134,545) | 14,174,977 | |||||||
Short-Term Investments — 1.8% | ||||||||
Money Market Funds — 1.8% | ||||||||
10,403,444 | First American Government | |||||||
Obligations Fund — Class Z, 0.03%# | 10,403,444 | |||||||
Total Short-Term Investments (Cost $10,403,444) | 10,403,444 | |||||||
Total Investments — 100.0% (Cost $252,598,743) | 589,419,024 | |||||||
Liabilities in Excess of Other Assets — (0.0)% | (3,910 | ) | ||||||
NET ASSETS — 100.0% | $ | 589,415,114 |
* | Non-Income Producing | |
ADR — American Depositary Receipt | ||
# | Annualized seven-day yield as of the date of this report. |
PORTFOLIO HOLDINGS | ||||
% of Net Assets | ||||
Information Technology | 29.7 | % | ||
Consumer Discretionary | 17.1 | % | ||
Financials | 13.9 | % | ||
Communication Services | 11.5 | % | ||
Health Care | 9.9 | % | ||
Industrials | 7.0 | % | ||
Consumer Staples | 4.7 | % | ||
Real Estate Investment Trusts | 2.4 | % | ||
Energy | 2.0 | % | ||
Money Market Funds | 1.8 | % | ||
Other Assets and Liabilities | (0.0 | )% | ||
100.0 | % |
The accompanying notes are an integral part of these financial statements.
6
Brown Advisory Equity Income Fund
A Message to Our Shareholders
December 31, 2020
Dear Shareholders:
During the six-month period ended December 31, 2020, the Brown Advisory Equity Income Fund – Investor Shares (the “Fund”) increased 16.24% in value. During the same period, the S&P 500® Index (the “Index”), the Fund’s benchmark, increased 22.16%.
Over the past six months, U.S. stocks continued to recover from the COVID-19-related lows seen earlier in 2020. All eleven of the Index’s industry sectors rose during the period, and nine sectors posted double-digit gains. Despite the continuing pandemic, several measures of economic activity showed resilient consumer spending, robust housing demand, and improving employment conditions in the U.S. Investors’ expectations rose during the period in an anticipation that economic conditions would continue to improve globally in 2021.
Financial stocks performed the best on a relative basis for the Fund during the period. The Fund holds a diverse group of investments in the sector that encompass a range of business models, many of which benefitted from higher long-term interest rates during the period. Diversified banking company JPMorgan Chase rose as the improving macroeconomic environment provided tailwinds for some of its largest business areas, such as credit cards and investment banking. And holding company Ameriprise Financial jumped as its advice and wealth management business posted strong asset growth and market share gains during the period.
The industrial sector was the best performing sector for the Index during the period. However, the Fund’s holdings in the sector failed to keep pace with the Index and detracted from relative performance. Defense technology firm L3Harris Technologies was added to the portfolio as near-term concerns about defense spending caused the stock to fall to attractive levels. Longer-term, the company has promising growth prospects tied to important areas such as force modernization, electronics and space systems. Among the Fund’s other holdings in the sector, commercial aerospace supplier Raytheon Technologies struggled as the pandemic significantly impacted air travel and demand for its aftermarket parts business.
The energy sector was the weakest area for the Index during the period and both of the Fund’s holdings declined in price and detracted from relative performance. Specifically, natural gas pipelines operator Kinder Morgan and Canadian oil producer Suncor Energy were negatively impacted by generally weak demand conditions and reduced activity levels in their respective businesses. Suncor was eliminated during the period because of an unfavorable outlook for future earnings and dividend growth.
In terms of new additions to the Fund, food storage and consumable products maker Reynolds Consumer Products was added on the basis of its strong competitive positions with major grocery retailers in the U.S. Favorable growth prospects, a reasonable valuation, and a demonstrated commitment to dividend growth were additional positive attributes for Reynolds. Also, the Fund added a small position in a mandatory convertible preferred security issued by alternative asset manager KKR & Co. that featured an attractive 6% annual coupon.
The general rise in stock prices over the past six months has made it challenging to find the type of long-term investments the Fund prefers, namely high quality businesses with above-average dividend yields and compelling future growth prospects at reasonable prices. As the calendar shifts to 2021, the Fund remains ready to act on attractive investment opportunities as they arise. As always, the focus is to build the best possible portfolio of high-quality investments with better-than-benchmark yield and lower volatility, providing the Fund’s investors with a reliable stream of growing income over time.
Sincerely,
Brian Graney, CFA
Portfolio Manager
7
Brown Advisory Equity Income Fund
A Message to Our Shareholders
December 31, 2020
Past performance is not a guarantee of future results.
Mutual fund investing involves risk. Principal loss is possible. Investments in debt securities typically decrease in value when interest rates rise. This risk is usually greater for longer-term debt securities. Investments in lower-rated and nonrated securities present a greater risk of loss to principal and interest than higher-rated securities. Investments in smaller and medium capitalization companies generally carry greater risk than is customarily associated with larger companies for various reasons such as narrower markets, limited financial resources and less liquid stock. The value of the Fund’s investments in REITs and Real Estate may change in response to changes in the real estate market such as declines in the value of real estate, lack of available capital or financing opportunities, and increases in property taxes or operating costs.
The Fund may invest in ETFs, which may trade at a discount to the aggregate value of the underlying securities and although expense ratios for ETFs are generally low, frequent trading of ETFs by the Fund can generate brokerage expenses. Investments in foreign securities entail certain risks not associated with investments in domestic securities, such as volatility of currency exchange rates, and in some cases, political and economic instability and relatively illiquid markets. Investing in Master Limited Partnerships (“MLPs”) entails risk related to fluctuations in energy prices, decreases in supply of or demand for energy commodities, unique tax consequences due to the partnership structure and various other risks. Private Placement issued securities are restricted securities that are not publicly traded. Delay or difficulty in selling such securities may result in a loss to the Fund.
Fund holdings and sector allocations are subject to change and should not be considered a recommendation to buy or sell any security. For a complete list of fund holdings, please refer to the Schedule of Investments provided in this report.
Definitions for terms and indices are provided in the Glossary of Terms.
8
Brown Advisory Equity Income Fund
Schedule of Investments
December 31, 2020 (Unaudited)
Shares | Security Description | Value $ | ||||||
Common Stocks — 93.1% | ||||||||
Communication Services — 2.7% | ||||||||
42,345 | Comcast Corp. | 2,218,878 | ||||||
Consumer Discretionary — 13.5% | ||||||||
15,871 | Best Buy Co., Inc. | 1,583,767 | ||||||
14,173 | Hasbro, Inc. | 1,325,742 | ||||||
7,381 | Home Depot, Inc. | 1,960,541 | ||||||
10,967 | Lowe’s Companies, Inc. | 1,760,313 | ||||||
10,829 | McDonald’s Corp. | 2,323,687 | ||||||
12,943 | Target Corp. | 2,284,828 | ||||||
11,238,878 | ||||||||
Consumer Staples — 8.9% | ||||||||
19,111 | Altria Group, Inc. | 783,551 | ||||||
37,424 | Coca-Cola Co. | 2,052,332 | ||||||
19,821 | Philip Morris International, Inc. | 1,640,981 | ||||||
47,999 | Reynolds Consumer Products, Inc. | 1,441,890 | ||||||
25,071 | Unilever PLC ADR | 1,513,285 | ||||||
7,432,039 | ||||||||
Energy — 1.6% | ||||||||
100,000 | Kinder Morgan, Inc. | 1,367,000 | ||||||
Financials — 16.9% | ||||||||
12,908 | Ameriprise Financial, Inc. | 2,508,412 | ||||||
61,525 | Bank of America Corp. | 1,864,823 | ||||||
28,410 | Blackstone Group, Inc. | 1,841,252 | ||||||
19,353 | Cincinnati Financial Corp. | 1,690,872 | ||||||
8,178 | Erie Indemnity Co. | 2,008,517 | ||||||
20,237 | JPMorgan Chase & Co. | 2,571,515 | ||||||
10,413 | T. Rowe Price Group, Inc. | 1,576,424 | ||||||
14,061,815 | ||||||||
Health Care — 17.0% | ||||||||
14,173 | AbbVie, Inc. | 1,518,637 | ||||||
12,544 | Gilead Sciences, Inc. | 730,814 | ||||||
15,749 | Johnson & Johnson | 2,478,578 | ||||||
17,880 | Medtronic PLC | 2,094,463 | ||||||
40,508 | Merck & Co., Inc. | 3,313,554 | ||||||
24,187 | Novartis AG ADR | 2,283,978 | ||||||
4,851 | UnitedHealth Group, Inc. | 1,701,149 | ||||||
14,121,173 | ||||||||
Industrials — 5.0% | ||||||||
8,039 | Canadian National Railway Co. | 883,084 | ||||||
5,712 | General Dynamics Corp. | 850,060 | ||||||
4,675 | L3Harris Technologies, Inc. | 883,669 | ||||||
7,987 | Otis Worldwide Corp. | 539,522 | ||||||
13,795 | Raytheon Technologies Corp. | 986,480 | ||||||
4,142,815 | ||||||||
Information Technology — 23.2% | ||||||||
6,619 | Accenture PLC | 1,728,949 | ||||||
7,000 | Analog Devices, Inc. | 1,034,110 | ||||||
39,451 | Apple, Inc. | 5,234,753 | ||||||
15,836 | Automatic Data Processing, Inc. | 2,790,303 | ||||||
64,574 | Cisco Systems, Inc. | 2,889,687 | ||||||
25,400 | Microsoft Corp. | 5,649,468 | ||||||
19,327,270 | ||||||||
Materials — 4.3% | ||||||||
22,524 | Dow, Inc. | 1,250,082 | ||||||
8,888 | Linde PLC | 2,342,077 | ||||||
3,592,159 | ||||||||
Total Common Stocks (Cost $38,489,683) | 77,502,027 | |||||||
Preferred Stocks — 1.6% | ||||||||
Financials — 0.6% | ||||||||
8,913 | KKR & Co., Inc. — Series C, 6.00% | 537,275 | ||||||
Health Care — 1.0% | ||||||||
15,213 | Becton, Dickinson & Co. Depositary Shares^ | 838,693 | ||||||
Total Preferred Stocks (Cost $1,237,963) | 1,375,968 | |||||||
Real Estate Investment Trusts — 4.3% | ||||||||
8,940 | American Tower Corp. | 2,006,672 | ||||||
21,883 | W.P. Carey, Inc. | 1,544,502 | ||||||
Total Real Estate Investment Trusts (Cost $2,167,487) | 3,551,174 | |||||||
Short-Term Investments — 0.9% | ||||||||
Money Market Funds — 0.9% | ||||||||
734,706 | First American Government | |||||||
Obligations Fund — Class Z, 0.03%# | 734,706 | |||||||
Total Short-Term Investments (Cost $734,706) | 734,706 | |||||||
Total Investments — 99.9% (Cost $42,629,839) | 83,163,875 | |||||||
Other Assets in Excess of Liabilities — 0.1% | 82,267 | |||||||
NET ASSETS — 100.0% | $ | 83,246,142 |
ADR — American Depositary Receipt | ||
^ | Each depositary share represents 1/20th interest in a share of Becton, Dickinson and Co. 6.00% Mandatory Convertible Preferred Stock, Series B. Each outstanding depositary share will automatically convert on June 1, 2023 into a number of shares of common stock. Refer to the company’s filings at sec.gov for additional information. | |
# | Annualized seven-day yield as of the date of this report. |
PORTFOLIO HOLDINGS | ||||
% of Net Assets | ||||
Information Technology | 23.2 | % | ||
Health Care | 18.0 | % | ||
Financials | 17.5 | % | ||
Consumer Discretionary | 13.5 | % | ||
Consumer Staples | 8.9 | % | ||
Industrials | 5.0 | % | ||
Materials | 4.3 | % | ||
Real Estate Investment Trusts | 4.3 | % | ||
Communication Services | 2.7 | % | ||
Energy | 1.6 | % | ||
Money Market Funds | 0.9 | % | ||
Other Assets and Liabilities | 0.1 | % | ||
100.0 | % |
The accompanying notes are an integral part of these financial statements.
9
Brown Advisory Sustainable Growth Fund
A Message to Our Shareholders
December 31, 2020
Dear Shareholders:
During the six-month period ended December 31, 2020, the Brown Advisory Sustainable Growth Fund – Institutional Shares (the “Fund”) increased 22.68% in value. During the same period, the Russell 1000® Growth Index (the “Index”), the Fund’s benchmark, increased 26.12%.
The third quarter experienced a meaningful rotation toward mega-cap technology stocks, then cyclical and value stocks in the fourth quarter. Our strategy did not keep pace. In macroeconomic environments that are increasingly uncertain, investors have the tendency to shorten time horizons. Discussions around the timing of vaccine distribution, government stimulus, and the reopening of the economy have many investors focusing on time horizons over the next few months. We take a multi-year approach, and believe it is more important than ever to focus on what we can control: conducting deep fundamental and sustainability research.
From a sector perspective in the third and fourth quarter, both health care and technology added to performance. Stock selection in both sectors have been major drivers of the strategy’s positive relative performance for a number of years. We are pleased that our strongest individual performers cut across several sectors, with strong results from IDEXX Laboratories, Etsy and Monolithic Power Systems.
American Tower Corporation, Illumina and Aspen Technology were our top detractors. American Tower remains a core position (and we have added to the position to take advantage of weakness), but we sold out of Illumina and Aspen technologies in favor of new holdings, Square and Dynatrace.
Dynatrace is a leader in Application Performance Management (APM) that helps identify problems in complex multi-cloud environments and, where possible, automate solutions. This drives efficiencies in operations infrastructure utilization, enabling customers to innovate faster, collaborate more efficiently and deliver results with less effort.
Square is a merchant services aggregator and mobile payment company. In its merchant business, Square is a one-stop-shop, providing payment tools for the merchant, including both hardware and software. Additionally, Square’s CashApp business provides safe and affordable access to financial services, especially for individuals and families with limited wealth.
Our final portfolio upgrade during the period was a swap from TJX Companies to Cadence Design Systems. Cadence enables semiconductor and system companies to design and optimize differentiated electronic products for a variety of end-markets. Its superior products enable high recurring revenue and leadership positioning in an already consolidated industry. Cadence enables customers to optimize innovative and differentiated electronic products that conserve energy and power.
While we enter 2021 with considerable macroeconomic uncertainty, we will maintain focus on our disciplined, repeatable process of investing in companies at the intersection of strong fundamentals, sustainable business advantages and attractive valuations.
Sincerely,
David Powell, CFA
Portfolio Manager
Karina Funk, CFA
Portfolio Manager
10
Brown Advisory Sustainable Growth Fund
A Message to Our Shareholders
December 31, 2020
Past performance is not a guarantee of future results.
Mutual fund investing involves risk. Principal loss is possible. The Fund’s investment focus on environmental factors could cause it to make or avoid investments that could result in the Fund underperforming similar funds that do not have an environmental focus. Investments in smaller and medium-sized capitalization companies generally carry greater risk than is customarily associated with larger companies for various reasons such as narrower markets, limited financial resources and less liquid stock. Investments in foreign securities entail certain risks not associated with investments in domestic securities, such as volatility of currency exchange rates, and in some cases, political and economic instability and relatively illiquid markets. These risks are greater for investments in emerging markets. The value of the Fund’s investments in REITS may change in response to changes in the real estate market such as declines in the value of real estate, lack of available capital or financing opportunities, and increases in property taxes or operating costs.
Fund holdings and sector allocations are subject to change and should not be considered a recommendation to buy or sell any security. For a complete list of fund holdings, please refer to the Schedule of Investments provided in this report.
Definitions for terms and indices are provided in the Glossary of Terms.
11
Brown Advisory Sustainable Growth Fund
Schedule of Investments
December 31, 2020 (Unaudited)
Shares | Security Description | Value $ | ||||||
Common Stocks — 94.4% | ||||||||
Communication Services — 3.6% | ||||||||
95,504 | Alphabet, Inc. — Class A* | 167,384,130 | ||||||
Consumer Discretionary — 13.9% | ||||||||
63,669 | Amazon.com, Inc.* | 207,365,476 | ||||||
592,126 | Etsy, Inc.* | 105,345,137 | ||||||
433,862 | Home Depot, Inc. | 115,242,424 | ||||||
872,272 | NIKE, Inc. | 123,400,320 | ||||||
943,218 | Starbucks Corp. | 100,905,462 | ||||||
652,258,819 | ||||||||
Health Care — 22.9% | ||||||||
209,200 | Bio-Rad Laboratories, Inc.* | 121,951,048 | ||||||
779,496 | Danaher Corp. | 173,157,241 | ||||||
1,119,673 | Edwards Lifesciences Corp.* | 102,147,768 | ||||||
352,001 | IDEXX Laboratories, Inc.* | 175,954,740 | ||||||
360,187 | Thermo Fisher Scientific, Inc. | 167,767,901 | ||||||
533,004 | UnitedHealth Group, Inc. | 186,913,843 | ||||||
536,643 | West Pharmaceutical Services, Inc. | 152,036,328 | ||||||
1,079,928,869 | ||||||||
Industrials — 7.9% | ||||||||
1,681,784 | Fortive Corp. | 119,103,943 | ||||||
416,580 | Nordson Corp. | 83,711,751 | ||||||
806,783 | Verisk Analytics, Inc. | 167,480,083 | ||||||
370,295,777 | ||||||||
Information Technology — 41.9% | ||||||||
319,257 | Accenture PLC | 83,393,121 | ||||||
298,337 | Adobe, Inc.* | 149,204,300 | ||||||
1,087,838 | Analog Devices, Inc. | 160,706,308 | ||||||
482,978 | Autodesk, Inc.* | 147,472,502 | ||||||
929,574 | Cadence Design Systems, Inc.* | 126,821,781 | ||||||
2,989,737 | Dynatrace, Inc.* | 129,365,920 | ||||||
485,707 | Intuit, Inc. | 184,495,804 | ||||||
3,104,342 | Marvell Technology Group, Ltd. | 147,580,419 | ||||||
956,861 | Microsoft Corp. | 212,825,024 | ||||||
380,198 | Monolithic Power Systems, Inc. | 139,239,914 | ||||||
265,593 | ServiceNow, Inc.* | 146,190,355 | ||||||
383,836 | Square, Inc.* | 83,538,067 | ||||||
153,716 | Tyler Technologies, Inc.* | 67,100,108 | ||||||
882,277 | Visa, Inc. | 192,980,448 | ||||||
1,970,914,071 | ||||||||
Materials — 4.2% | ||||||||
1,133,317 | Ball Corp. | 105,602,478 | ||||||
426,585 | Ecolab, Inc. | 92,295,931 | ||||||
197,898,409 | ||||||||
Total Common Stocks (Cost $2,836,372,431) | 4,438,680,075 | |||||||
Real Estate Investment Trusts — 3.5% | ||||||||
726,742 | American Tower Corp. | 163,124,509 | ||||||
Total Real Estate Investment Trusts (Cost $141,084,223) | 163,124,509 | |||||||
Short-Term Investments — 2.2% | ||||||||
Money Market Funds — 2.2% | ||||||||
104,786,244 | First American Government | |||||||
Obligations Fund — Class Z, 0.03%# | 104,786,244 | |||||||
Total Short-Term Investments (Cost $104,786,244) | 104,786,244 | |||||||
Total Investments — 100.1% (Cost $3,082,242,898) | 4,706,590,828 | |||||||
Liabilities in Excess of Other Assets — (0.1)% | (2,636,140 | ) | ||||||
NET ASSETS — 100.0% | $ | 4,703,954,688 |
* | Non-Income Producing | |
# | Annualized seven-day yield as of the date of this report. |
PORTFOLIO HOLDINGS | ||||
% of Net Assets | ||||
Information Technology | 41.9 | % | ||
Health Care | 22.9 | % | ||
Consumer Discretionary | 13.9 | % | ||
Industrials | 7.9 | % | ||
Materials | 4.2 | % | ||
Communication Services | 3.6 | % | ||
Real Estate Investment Trusts | 3.5 | % | ||
Money Market Funds | 2.2 | % | ||
Other Assets and Liabilities | (0.1 | )% | ||
100.0 | % |
The accompanying notes are an integral part of these financial statements.
12
Brown Advisory Mid-Cap Growth Fund
A Message to Our Shareholders
December 31, 2020
Dear Shareholders:
During the six-month period ended December 31, 2020, the Brown Advisory Mid-Cap Growth Fund – Investor Shares (the “Fund”) increased 31.88% in value. During the same period, the Russell Midcap® Growth Index (the “Index”), the Fund’s benchmark, increased 30.18%.
The Fund seeks to produce attractive risk-adjusted returns over a full market cycle by owning companies that are well positioned to grow their enterprise value meaningfully (or “compound”) over time. We define a firm’s potential to “compound” with a set of traits we call the “3Gs”—durable growth, sound governance, and scalable go-to-market strategies. This philosophy typically leads us to own higher-quality, less-cyclical businesses. Finally, we strive to mitigate risk through deep due diligence, a valuation sensitivity, and by employing a structured sell discipline.
The COVID-19 pandemic continued to ravage most countries in the second half of 2020. A lull in daily infections during the summer gave way to a “second wave” as temperatures dropped in the Northern hemisphere. Despite the substantial human toll of the virus and tragic economic consequences of the pandemic, equities moved higher through the fall as investors looked forward to an economic recovery. The U.S. election, followed quickly by the announcement of an effective vaccine in November, fueled additional rallies. For the full six months, growth outperformed value in the mid-cap space by approximately 2%. Returns in our benchmark were broad-based. Generally, information technology and communication services stocks outperformed, while those in the consumer staples sector lagged.
The Fund outperformed during the period mostly due to returns in the communication services and consumer discretionary sectors. Pinterest and Etsy, categorized in those two sectors, respectively, were top contributors during the period. Both companies benefitted from an acceleration in adoption of e-commerce and time spent online in 2020, as well as from an investor rotation into technology and internet stocks. We believe both firms also benefited from numerous company-specific initiatives to further monetize their unique platforms. In industrials, damaged-vehicle auctioneer IAA benefited from a rebound in vehicle miles driven and elevated used car pricing as well as a shift from physical to online auctions.
Gains from Pinterest, Etsy, IAA and others more than offset negative contributions from Neurocrine Biosciences, Jack Henry & Associates, and Dexcom during the period. Sales growth from Neurocrine’s flagship drug, INGREZZA, used to treat movement disorders like Tardive Dyskinesia, slowed and the company experienced delays in its new-drug pipeline due to COVID-19. Dexcom’s share price moderated in the last six months of the year after approximately doubling in the first six months. Jack Henry’s stock price fell after management guided to lower-than-expected growth in 2021; the near-term outlook was hurt by lower bank M&A activity and some COVID-19-related implementation delays.
Activity in the Fund, which generally targets an investment time horizon greater than three years, was mildly elevated during the last six months due to heightened market volatility and a surge in initial public offerings (IPOs). The Fund added 14 new positions (including seven IPOs) and exited 16 during the period. We built new positions in companies that fit our “3G” philosophy, such as Fair Isaac Corp., Twilio, Ulta Beauty, Veeva Systems, Workiva, and Chewy. We sold positions in several companies including Ecolab, Allegion, Broadridge Financial Solutions, Datadog, and IHS Markit (among others) either due to valuation or to fund new positions that we believe improve the “quality” or return potential of the portfolio.
Despite the lingering pandemic, we see signs of an improving domestic economy with equity valuations stretched in certain areas (such as technology) due to the market’s run and a rotation into businesses which seem insulated from, or especially suited for, the pandemic. We are comfortable with the positioning of the Fund relative to the Index due to our philosophy, approach, and valuation sensitivity.
As always, we remain committed to seeking attractive risk-adjusted returns over a full market cycle by owning a diversified portfolio of companies, each of which we believe could one day grow much larger. We thank you for your support and interest and look forward to updating you in more detail in our next letter.
Sincerely,
George Sakellaris, CFA
Portfolio Manager
13
Brown Advisory Mid-Cap Growth Fund
A Message to Our Shareholders
December 31, 2020
Past performance is not a guarantee of future results.
Mutual fund investing involves risk. Principal loss is possible. The Fund may invest in securities of foreign issuers. Investments in such securities entail certain risks not associated with investments in domestic securities, such as volatility of currency exchange rates, and in some cases, political and economic instability and relatively illiquid markets. These risks are greater for investments in emerging markets. The value of the Fund’s investments in REITs may change in response to changes in the real estate market such as declines in the value of real estate, lack of available capital or financing opportunities, and increases in property taxes or operating costs. The Fund may invest in ETFs, which may trade at a discount to the aggregate value of the underlying securities and although expense ratios for ETFs are generally low, frequent trading of ETFs by the Fund can generate brokerage expenses. Investments in smaller and medium-sized companies generally carry greater risk than is customarily associated with larger companies for various reasons such as narrower markets, limited financial resources and less liquid stock. Investments in debt securities typically decrease in value when interest rates rise. This risk is usually greater for longer term debt securities. Investments in lower-rated and non-rated securities present a greater risk of loss to principal and interest than higher-rated securities.
Fund holdings and sector allocations are subject to change and should not be considered a recommendation to buy or sell any security. For a complete list of fund holdings, please refer to the Schedule of Investments provided in this report.
Definitions for terms and indices are provided in the Glossary of Terms.
14
Brown Advisory Mid-Cap Growth Fund
Schedule of Investments
December 31, 2020 (Unaudited)
Shares | Security Description | Value $ | ||||||
Common Stocks — 95.6% | ||||||||
Communication Services — 11.5% | ||||||||
20,992 | Electronic Arts, Inc. | 3,014,451 | ||||||
14,933 | Liberty Broadband Corp.* | 2,353,142 | ||||||
24,149 | Live Nation Entertainment, Inc.* | 1,774,469 | ||||||
27,904 | Match Group, Inc.* | 4,218,806 | ||||||
86,869 | Pinterest, Inc.* | 5,724,667 | ||||||
296,531 | Zynga, Inc.* | 2,926,761 | ||||||
20,012,296 | ||||||||
Consumer Discretionary — 9.7% | ||||||||
14,336 | Bright Horizons Family Solutions, Inc.* | 2,479,985 | ||||||
16,981 | Etsy, Inc.* | 3,021,090 | ||||||
5,120 | Lululemon Athletica, Inc.* | 1,781,914 | ||||||
73,130 | National Vision Holdings, Inc.* | 3,312,057 | ||||||
15,189 | Ross Stores, Inc. | 1,865,361 | ||||||
34,389 | Shift4 Payments, Inc.* | 2,592,930 | ||||||
5,973 | Ulta Beauty, Inc.* | 1,715,207 | ||||||
16,768,544 | ||||||||
Consumer Staples — 2.3% | ||||||||
15,104 | Brown-Forman Corp. | 1,199,711 | ||||||
15,531 | Casey’s General Stores, Inc. | 2,774,147 | ||||||
3,973,858 | ||||||||
Financials — 1.2% | ||||||||
52,821 | KKR & Co., Inc. | 2,138,722 | ||||||
Health Care — 21.7% | ||||||||
9,984 | Ascendis Pharma A/S ADR* | 1,665,131 | ||||||
15,104 | Biohaven Pharmaceutical Holding Co. Ltd.* | 1,294,564 | ||||||
4,949 | Bio-Rad Laboratories, Inc.* | 2,884,970 | ||||||
9,984 | Blueprint Medicines Corp.* | 1,119,706 | ||||||
32,000 | Bruker Corp. | 1,732,160 | ||||||
33,792 | Catalent, Inc.* | 3,516,733 | ||||||
12,203 | Charles River Laboratories International, Inc.* | 3,049,042 | ||||||
4,779 | Cooper Companies, Inc. | 1,736,306 | ||||||
4,352 | DexCom, Inc.* | 1,609,021 | ||||||
41,301 | Edwards Lifesciences Corp.* | 3,767,891 | ||||||
22,784 | HealthEquity, Inc.* | 1,588,273 | ||||||
12,459 | Inari Medical, Inc.* | 1,087,546 | ||||||
7,424 | Neurocrine Biosciences, Inc.* | 711,590 | ||||||
43,946 | Oak Street Health, Inc.* | 2,687,737 | ||||||
14,165 | Teleflex, Inc. | 5,829,890 | ||||||
12,885 | Veeva Systems, Inc.* | 3,507,941 | ||||||
37,788,501 | ||||||||
Industrials — 14.5% | ||||||||
4,352 | Cintas Corp. | 1,538,258 | ||||||
49,920 | Dun & Bradstreet Holdings, Inc.* | 1,243,008 | ||||||
87,039 | IAA, Inc.* | 5,655,795 | ||||||
8,875 | IDEX Corp. | 1,767,900 | ||||||
17,323 | SiteOne Landscape Supply, Inc.* | 2,747,947 | ||||||
26,880 | TransUnion | 2,667,033 | ||||||
11,776 | Verisk Analytics, Inc. | 2,444,580 | ||||||
45,568 | Waste Connections, Inc. | 4,673,910 | ||||||
20,821 | Woodward, Inc. | 2,530,376 | ||||||
25,268,807 | ||||||||
Information Technology — 30.0% | ||||||||
9,472 | Aspen Technology, Inc.* | 1,233,728 | ||||||
12,373 | Autodesk, Inc.* | 3,777,972 | ||||||
25,514 | Booz Allen Hamilton Holding Corp. | 2,224,311 | ||||||
88,831 | Dynatrace, Inc.* | 3,843,717 | ||||||
4,352 | Fair Isaac Corp.* | 2,224,046 | ||||||
84,650 | Genpact, Ltd. | 3,501,124 | ||||||
73,045 | GoDaddy, Inc.* | 6,059,082 | ||||||
15,360 | Guidewire Software, Inc.* | 1,977,293 | ||||||
9,060 | Intuit, Inc. | 3,441,441 | ||||||
8,021 | Jack Henry & Associates, Inc. | 1,299,322 | ||||||
11,861 | KLA Corp. | 3,070,932 | ||||||
106,751 | Marvell Technology Group, Ltd. | 5,074,942 | ||||||
64,682 | Mimecast, Ltd.* | 3,676,525 | ||||||
14,507 | NXP Semiconductors NV | 2,306,758 | ||||||
3,104 | ServiceNow, Inc.* | 1,708,535 | ||||||
7,083 | Twilio, Inc.* | 2,397,596 | ||||||
12,203 | WEX, Inc.* | 2,483,676 | ||||||
21,333 | Workiva, Inc.* | 1,954,529 | ||||||
52,255,529 | ||||||||
Materials — 4.7% | ||||||||
55,210 | Ball Corp. | 5,144,468 | ||||||
26,112 | FMC Corp. | 3,001,052 | ||||||
8,145,520 | ||||||||
Total Common Stocks (Cost $111,752,156) | 166,351,777 | |||||||
Real Estate Investment Trusts — 2.0% | ||||||||
12,373 | SBA Communications Corp. | 3,490,794 | ||||||
Total Real Estate Investment Trusts (Cost $2,905,115) | 3,490,794 | |||||||
Short-Term Investments — 2.2% | ||||||||
Money Market Funds — 2.2% | ||||||||
3,777,605 | First American Government | |||||||
Obligations Fund — Class Z, 0.03%# | 3,777,605 | |||||||
Total Short-Term Investments (Cost $3,777,605) | 3,777,605 | |||||||
Total Investments — 99.8% (Cost $118,434,876) | 173,620,176 | |||||||
Other Assets in Excess of Liabilities — 0.2% | 402,718 | |||||||
NET ASSETS — 100.0% | $ | 174,022,894 |
* | Non-Income Producing | |
ADR — American Depositary Receipt | ||
# | Annualized seven-day yield as of the date of this report. |
PORTFOLIO HOLDINGS | ||||
% of Net Assets | ||||
Information Technology | 30.0 | % | ||
Health Care | 21.7 | % | ||
Industrials | 14.5 | % | ||
Communication Services | 11.5 | % | ||
Consumer Discretionary | 9.7 | % | ||
Materials | 4.7 | % | ||
Consumer Staples | 2.3 | % | ||
Money Market Funds | 2.2 | % | ||
Real Estate Investment Trusts | 2.0 | % | ||
Financials | 1.2 | % | ||
Other Assets and Liabilities | 0.2 | % | ||
100.0 | % |
The accompanying notes are an integral part of these financial statements.
15
Brown Advisory Small-Cap Growth Fund
A Message to Our Shareholders
December 31, 2020
Dear Shareholders:
During the six-month period ended December 31, 2020, the Brown Advisory Small-Cap Growth Fund – Institutional Shares (the “Fund”) increased 31.64% in value. During the same period, the Russell 2000® Growth Index (the “Index”), the Fund’s benchmark, increased 38.88%. The difference in returns was wholly due to the massive November and December rally in “lower quality” small-cap issues, including penny stocks, low priced stocks, unprofitable stocks, highly shorted stocks, high beta stocks, highly variable companies, highly-valued stocks and low return-on-equity businesses. Our philosophy and process dictate a “higher quality” portfolio construction when compared to the Index.
The six-month period witnessed the continued strong and surprising rise of equity prices after the despondent lows witnessed in March of 2020 due to the onset of the COVID-19 pandemic. Initially, the growth-oriented sectors of the market, technology and health care, drove returns. However, as time passed and positive vaccine news was announced, the market rise embraced its more cyclical components. Value-oriented segments also greatly benefitted from the political “blue wave” – a democrat controlled White House and Congress – that likely ushers in a period of greater fiscal stimulus aimed at infrastructure and other projects to enhance economic growth. As bullish equity market sentiment creeped into more sectors as 2020 progressed, it also moved into riskier securities as investors clamored for higher returns, faster. Evidence of this was the fourth quarter difference between profitable and unprofitable companies. In the fourth quarter, loss-making companies outperformed the Index by over 700 basis points, while money-making companies underperformed by an almost similar amount. Our portfolio’s underweight to unprofitable holdings explains the entirety of the delta in returns mentioned above.
Our strategy is based on bottom-up, fundamental security selection. History shows that over the long-term, most of our results will be dictated by this practice. Therefore, let us review the primary contributors and detractors for the period. On the positive side of the ledger, IAA Inc., a provider of auto auction services, continued to benefit from a rebound in miles driven and elevated used car pricing. These trends combined with the transition to all digital auctions should push cash flow growth at a strong double-digit rate. In health care, Neogenomics, a leading clinical laboratory company specializing in cancer diagnostics, saw a continued rebound in its core oncology diagnostics business, while its smaller next generation sequencing and pharmaceutical services platforms continued to make strong, sustainable gains. Finally, in technology, Workiva, a software-as-a-service company focused on corporate reporting, announced solid third quarter results that highlighted accelerating growth trends, which are likely sustainable due to its push into international markets. Investors have taken notice and awarded the company with a higher multiple. Fortunately, on the negative side of the ledger, our position weights were relatively small. The top three detractors were Neurocrine Biosciences, Global Blood Therapeutics and Tabula Rasa. All three companies were negatively impacted by the pandemic in unique ways – the latter of which has been eliminated from the portfolio.
Our philosophy is to harness the power of compounding. We strive to think like business owners vs. renters of stocks. We seek out companies with durable growth, sound governance and scalable go-to-market strategies – qualities that increase the odds of finding “compounders.” This focus leads us to a portfolio with high asset quality in addition to its diversity and valuation discipline. Our stock selection drives returns, while our portfolio architecture mitigates downside risk. This combination has and, hopefully will continue, to enable us to achieve our goal of building an all-weather portfolio that one can own through a full market cycle.
Sincerely,
Christopher A. Berrier
Portfolio Manager
16
Brown Advisory Small-Cap Growth Fund
A Message to Our Shareholders
December 31, 2020
Past performance is not a guarantee of future results.
Mutual fund investing involves risk. Principal loss is possible. Investments in smaller companies generally carry greater risk than is customarily associated with larger companies for various reasons such as narrower markets, limited financial resources and less liquid stock. The value of the Fund’s investments in REITs may change in response to changes in the real estate market such as declines in the value of real estate, lack of available capital or financing opportunities, and increases in property taxes or operating costs. The Fund may invest in ETFs, which may trade at a discount to the aggregate value of the underlying securities and although expense ratios for ETFs are generally low, frequent trading of ETFs by the Fund can generate brokerage expenses. Earnings growth is not representative of the fund’s future performance. Diversification does not assure a profit, nor does it protect against a loss in a declining market. Investments in foreign securities entail certain risks not associated with investments in domestic securities, such as volatility of currency exchange rates, and in some cases, political and economic instability and relatively illiquid markets. These risks are greater for investments in emerging markets. Privately Placement issued securities are restricted securities that are not publicly traded. Delay or difficulty in selling such securities may result in a loss to the Fund.
Fund holdings and sector allocations are subject to change and should not be considered a recommendation to buy or sell any security. For a complete list of fund holdings, please refer to the Schedule of Investments provided in this report.
Definitions for terms and indices are provided in the Glossary of Terms.
17
Brown Advisory Small-Cap Growth Fund
Schedule of Investments
December 31, 2020 (Unaudited)
Shares | Security Description | Value $ | ||||||
Common Stocks — 92.4% | ||||||||
Communication Services — 5.0% | ||||||||
1,414,526 | ANGI Homeservices, Inc.* | 18,664,671 | ||||||
468,694 | Cogent Communications Holdings, Inc. | 28,060,710 | ||||||
0 | Liberty Broadband Corp. | |||||||
(fractional amount held)* | 16 | |||||||
6,926,936 | Zynga, Inc.* | 68,368,858 | ||||||
115,094,255 | ||||||||
Consumer Discretionary — 12.9% | ||||||||
315,061 | Bright Horizons Family Solutions, Inc.* | 54,502,402 | ||||||
305,344 | Chegg, Inc.* | 27,581,724 | ||||||
202,667 | Choice Hotels International, Inc. | 21,630,649 | ||||||
67,713 | Churchill Downs, Inc. | 13,189,815 | ||||||
1,139,434 | Clarus Corp. | 17,547,284 | ||||||
39,118 | Etsy, Inc.* | 6,959,483 | ||||||
1,026,720 | MakeMyTrip, Ltd.* | 30,319,042 | ||||||
842,178 | National Vision Holdings, Inc.* | 38,142,242 | ||||||
467,658 | Progyny, Inc.* | 19,824,023 | ||||||
387,234 | Stitch Fix, Inc.* | 22,738,380 | ||||||
182,642 | TopBuild Corp.* | 33,620,739 | ||||||
339,127 | Vroom, Inc.* | 13,894,033 | ||||||
299,949,816 | ||||||||
Consumer Staples — 5.5% | ||||||||
231,998 | Casey’s General Stores, Inc. | 41,439,483 | ||||||
1,626,533 | Hain Celestial Group, Inc.* | 65,305,300 | ||||||
703,760 | Simply Good Foods Co.* | 22,069,913 | ||||||
128,814,696 | ||||||||
Energy — 0.3% | ||||||||
307,655 | Cactus, Inc. | 8,020,566 | ||||||
Financials — 3.0% | ||||||||
456,371 | Ares Management Corp. | 21,472,256 | ||||||
116,828 | Hamilton Lane, Inc. | 9,118,425 | ||||||
434,052 | Nesco Holdings, Inc.* | 3,198,963 | ||||||
504,279 | Prosperity Bancshares, Inc. | 34,976,792 | ||||||
68,766,436 | ||||||||
Health Care — 20.0% | ||||||||
514,104 | Abcam PLC ADR* | 11,078,941 | ||||||
142,097 | Acceleron Pharma, Inc.* | 18,179,890 | ||||||
286,172 | Biohaven Pharmaceutical Holding Co., Ltd.* | 24,527,802 | ||||||
253,605 | Blueprint Medicines Corp.* | 28,441,801 | ||||||
449,064 | Bruker Corp. | 24,307,834 | ||||||
472,427 | Catalent, Inc.* | 49,165,478 | ||||||
272,444 | Charles River Laboratories International, Inc.* | 68,072,858 | ||||||
315,460 | Encompass Health Corp. | 26,085,387 | ||||||
526,645 | Establishment Labs Holdings, Inc.* | 19,822,918 | ||||||
210,530 | FibroGen, Inc.* | 7,808,558 | ||||||
185,303 | Global Blood Therapeutics, Inc.* | 8,025,473 | ||||||
436,793 | HealthEquity, Inc.* | 30,448,840 | ||||||
158,669 | Inari Medical, Inc.* | 13,850,217 | ||||||
250,891 | Iovance Biotherapeutics, Inc.* | 11,641,342 | ||||||
1,074,526 | NeoGenomics, Inc.* | 57,852,480 | ||||||
232,625 | Neurocrine Biosciences, Inc.* | 22,297,106 | ||||||
92,165 | Nevro Corp.* | 15,953,762 | ||||||
190,950 | Oak Street Health, Inc.* | 11,678,502 | ||||||
406,560 | OrthoPediatrics Corp.* | 16,770,600 | ||||||
466,009,789 | ||||||||
Industrials — 13.9% | ||||||||
406,141 | BWX Technologies, Inc. | 24,482,180 | ||||||
91,607 | ESCO Technologies, Inc. | 9,455,675 | ||||||
229,877 | FTI Consulting, Inc.* | 25,681,858 | ||||||
1,125,886 | IAA, Inc.* | 73,160,072 | ||||||
48,001 | IDEX Corp. | 9,561,799 | ||||||
206,936 | John Bean Technologies Corp. | 23,563,802 | ||||||
353,147 | Knight-Swift Transportation Holdings, Inc. | 14,768,608 | ||||||
119,148 | Mercury Systems, Inc.* | 10,492,173 | ||||||
168,408 | MSA Safety, Inc. | 25,158,471 | ||||||
302,910 | SiteOne Landscape Supply, Inc.* | 48,050,613 | �� | |||||
436,804 | Waste Connections, Inc. | 44,802,986 | ||||||
117,928 | Woodward, Inc. | 14,331,790 | ||||||
323,510,027 | ||||||||
Information Technology — 30.3% | ||||||||
405,015 | Accolade, Inc.* | 17,618,153 | ||||||
87,580 | Aspen Technology, Inc.* | 11,407,295 | ||||||
312,027 | BlackLine, Inc.* | 41,618,161 | ||||||
245,208 | Certara, Inc.* | 8,268,414 | ||||||
224,389 | CMC Materials, Inc. | 33,950,056 | ||||||
521,123 | Dynatrace, Inc.* | 22,548,992 | ||||||
310,027 | Entegris, Inc. | 29,793,595 | ||||||
349,631 | Envestnet, Inc.* | 28,771,135 | ||||||
1,656,202 | EVO Payments, Inc.* | 44,734,016 | ||||||
1,686,076 | Genpact, Ltd. | 69,736,103 | ||||||
82,100 | Guidewire Software, Inc.* | 10,568,733 | ||||||
1,141,649 | Infinera Corp.* | 11,964,482 | ||||||
915,360 | Lattice Semiconductor Corp.* | 41,941,795 | ||||||
102,579 | Littelfuse, Inc. | 26,122,768 | ||||||
298,166 | ManTech International Corp. | 26,518,884 | ||||||
156,381 | MAXIMUS, Inc. | 11,445,525 | ||||||
883,993 | Mimecast, Ltd.* | 50,246,162 | ||||||
893,266 | Nuance Communications, Inc.* | 39,384,098 | ||||||
662,073 | Phreesia, Inc.* | 35,924,081 | ||||||
459,805 | PROS Holdings, Inc.* | 23,344,300 | ||||||
164,049 | Sumo Logic, Inc.* | 4,688,520 | ||||||
116,624 | WEX, Inc.* | 23,736,483 | ||||||
796,352 | Workiva, Inc.* | 72,961,770 | ||||||
1,193,565 | Zuora, Inc.* | 16,626,361 | ||||||
703,919,882 | ||||||||
Materials — 1.5% | ||||||||
140,088 | Quaker Chemical Corp. | 35,496,898 | ||||||
Total Common Stocks (Cost $1,308,516,537) | 2,149,582,365 | |||||||
Private Placements — 0.1% | ||||||||
19,200 | Greenspring Global Partners IV-B, L.P.*^† | 1,540,975 | ||||||
91,769 | Greenspring Global Partners V-B, L.P.*~† | 145,050 | ||||||
Total Private Placements (Cost $—) | 1,686,025 |
The accompanying notes are an integral part of these financial statements.
18
Brown Advisory Small-Cap Growth Fund
Schedule of Investments
December 31, 2020 (Unaudited)
Shares | Security Description | Value $ | ||||||
Real Estate Investment Trusts — 1.6% | ||||||||
262,106 | EastGroup Properties, Inc. | 36,186,354 | ||||||
Total Real Estate Investment Trusts (Cost $29,292,640) | 36,186,354 | |||||||
Short-Term Investments — 6.3% | ||||||||
Money Market Funds — 6.3% | ||||||||
147,250,430 | First American Government | |||||||
Obligations Fund — Class Z, 0.03%# | 147,250,430 | |||||||
Total Short-Term Investments (Cost $147,250,430) | 147,250,430 | |||||||
Total Investments — 100.4% (Cost $1,485,059,607) | 2,334,705,174 | |||||||
Liabilities in Excess of Other Assets — (0.4)% | (9,318,669 | ) | ||||||
NET ASSETS — 100.0% | $ | 2,325,386,505 |
ADR — American Depositary Receipt
* | Non-Income Producing | |
^ | Security is exempt from registration under Regulation D of the Securities Act of 1933. Security was acquired from February 2008 to April 2018 as part of a $2,000,000 capital commitment. As of the date of this report, $1,920,000 of the capital commitment has been fulfilled by the Fund. | |
~ | Security is exempt from registration under Regulation D of the Securities Act of 1933. Security was acquired from October 2012 to August 2018 as part of a $100,000 capital commitment. As of the date of this report, $91,000 of the capital commitment has been fulfilled by the Fund. | |
† | These securities are being fair valued, using significant unobservable inputs (Level 3), under the supervision of the Board of Trustees. Further, they may not be sold by the Fund. Total unfunded capital commitments related to these holdings are immaterial and total $89,000, or 0.0% of the Fund’s net assets as of the date of this report. | |
# | Annualized seven-day yield as of the date of this report. |
PORTFOLIO HOLDINGS | ||||
% of Net Assets | ||||
Information Technology | 30.3 | % | ||
Health Care | 20.0 | % | ||
Industrials | 13.9 | % | ||
Consumer Discretionary | 12.9 | % | ||
Money Market Funds | 6.3 | % | ||
Consumer Staples | 5.5 | % | ||
Communication Services | 5.0 | % | ||
Financials | 3.0 | % | ||
Real Estate Investment Trusts | 1.6 | % | ||
Materials | 1.5 | % | ||
Energy | 0.3 | % | ||
Private Placements | 0.1 | % | ||
Other Assets and Liabilities | (0.4 | )% | ||
100.0 | % |
The accompanying notes are an integral part of these financial statements.
19
Brown Advisory Small-Cap Fundamental Value Fund
A Message to Our Shareholders
December 31, 2020
Dear Shareholders:
During the six-month period ended December 31, 2020, the Brown Advisory Small-Cap Fundamental Value Fund – Investor Shares (the “Fund”) increased 25.31% in value. During the same period, the Russell 2000® Value Index (the “Index”), the Fund’s benchmark, increased 36.77%.
During 2020, small cap company share prices experienced both one of their worst quarters in history (Q1) and one of their best quarters (Q4). The COVID-19 pandemic and the associated economic fallout drove both phenomenon – first, in response to business shut-downs early in the year and then in response to the announcement of a vaccine. The fourth quarter also included concerns surrounding the potential political impact from the election and a change in administration. Although our initial thought was that small caps would be pressured by the negative impact of potentially higher corporate tax rates, they responded instead to the possibility of ongoing and meaningful fiscal stimulus. Political discussions, though, were quickly overshadowed by the announcement in early November of a vaccine which had an extremely high efficacy and thus the potential to bring some sense of normalcy back to the economy. Small cap value shares were up over 19% in November alone. This rally continued into December despite rapidly growing case numbers and initial challenges surrounding the vaccine roll-out. While small cap value shares outperformed both the growth and larger cap segments of the market, they still trailed meaningfully for the year.
For the six-month period ended December 31, 2020, the Fund was up materially on an absolute basis, but slightly trailed relative to the Index. Consumer discretionary, information technology and industrials were the largest detractors for the second half of the year relative to the benchmark. Financials were the best performing sector for the third and fourth quarter, up 2.10% on a relative basis as well.
Virtus Investment Partners, Inc. (VRTS) was the top contributor during the period. Virtus is an asset management company, which engages in the provision of investment management and related services to individuals and institutions. Virtus’ shares were up after it announced that it was acquiring a sizable portion of the Allianz Global’s U.S. asset management business. This acquisition includes one wholly owned subsidiary, closed end funds, as well as a U.S. distribution agreement. The transaction was done at attractive terms.
Sprouts Farmers Markets, Inc. (SFM) was the largest detractor during the period. Sprouts Farmers Markets is a leading specialty grocery chain. SFM shares underperformed in the fourth quarter as positive vaccine news overshadowed strong third quarter earnings and concerns that sales could slow in 2021 as consumers shift spend to food away from home options.
The Fund had the opportunity to add nine new additions during this time period. Notable additions include: LazBoy Incorporated, American Woodmark Corporation, ChampionX Corporation and Hanover Insurance Group.
La-Z-Boy (LZB) is the second largest manufacturer and distributor of residential furniture in the United States. We believe that La-Z-Boy’s strong results pre-COVID-19 indicate strong operations with new initiatives taking hold, which creates a compelling investment opportunity when paired with increased spending on home furnishings.
American Woodmark (AMWD) is one of the top three cabinet makers in the United States that controls roughly 50% of the market, with no clear fourth competitor of scale. AMWD’s acquisition of RSI Home Products in 2017 put the company in a position to capture an outsized piece of the current demand for both new entry level single family homes as well as the “value” segment of the repair and remodel markets as consumers spend more time and money in their homes. AMWD’s business model is mature and thus fairly light from a capital expenditure perspective, driving strong and consistent free cash flow conversion. The company has already paid down a meaningful amount of debt since the RSI deal and we expect future free cash flow (FCF) to be allocated towards further debt reduction. At the time of our purchase, AMWD was trading under 9x EV/EBITDA with a 9.3% FCF yield.
ChampionX Corporation (CHX) is an oilfield services company that was created when Apergy and ChampionX (a former division of Ecolab) combined through a Reverse Morris Trust in June of 2020. The combination of COVID-19 and the ensuing collapse in oil and gas demand during the second quarter made this timing of this transaction rather unfortunate. While both Apergy and ChampionX were strong in their respective market on their own prior to the merger, the newly formed entity has increased global scale and structurally higher EBITDA margins given the sizable operating synergies that are expected to be realized over time. Over 80% of CHX’s combined revenue base is tied to production as opposed to drilling, thus making the underlying revenues less cyclical than many other small cap energy names. The company’s core Production Chemicals Technologies business has 25% global share of a consolidated industry, that is consumption based (as opposed to equipment/asset based) and requires little ongoing capital investment. Management expects that total capital expenditure for CHX should remain
20
Brown Advisory Small-Cap Fundamental Value Fund
A Message to Our Shareholders
December 31, 2020
near 2.5% of sales going forward and all FCF is expected to be targeted towards debt reduction until the leverage ratio under <1x EBITDA is reached. At the time of our purchase, CHX was trading at 9.3x EV/EBITDA and a 9% FCF yield.
Hanover Insurance (THG) is a diversified commercial and personal P&C insurer that’s shored up its reserve and underwriting focus in recent years and has shown strong combined ratio improvement. In addition to the pandemic effect, the stock sold off also due to concerns around insurance regulatory reform in Michigan, its largest exposure by state. We thought the concern was overblown and therefore took advantage of the valuation discount to buy into a well-run company that we believe stands to benefit from a hardening insurance market.
The Fund was also active in selling its investments, with ten eliminations, including corporate actions. Overall, corporate actions were elevated for the year, but especially the fourth quarter. Three companies, National General, Waddell Reed and Cardtronics, all announced that they agreed to be sold in cash transaction. Although they each received sizable premiums, the premiums did not match the returns for the Index for the quarter. Also, this disparity was exacerbated as the Index continued to rise dramatically following the announcements and meaningfully contributed to our relative underperformance.
There was one acquisition that occurred during the period. GCI Liberty announced it would merge with Liberty Broadband in order to help reduce the sum-of-the-parts discount driven between the value of GCI’s stake in Liberty Broadband and GCI’s market capitalization.
The fourth quarter of 2020 was similar to other “lower quality” rallies. During both the fourth quarter of 2016 and the second and third quarters of 2009, we saw the same types of markets and our strategy under-performed materially. In each case, we trailed the Index by over 1000 basis points. In the subsequent period, we saw higher quality companies within the Index regain their leadership which allowed us to outperform. In many recent discussions, we have mentioned that we are excited by the prospects for our strategy in 2021. While we acknowledge the irony that M&A has actually been a drag on recent relative performance, we think recent activity just highlights the attractive cash flows and relative valuations of our portfolio to other market participants. While it is too soon to judge whether we are going to see a continuation of the rotation back to value, we feel our portfolio has attractive investments characteristics that should enable it to perform well and deliver attractive risk-adjusted returns for our investors.
Sincerely,
J. David Schuster
Portfolio Manager
Past performance is not a guarantee of future results.
Investments in smaller companies generally carry greater risk than is customarily associated with larger companies for various reasons such as narrower markets, limited financial resources and less liquid stock. The value of the Fund’s investments in REITs may change in response to changes in the real estate market such as declines in the value of real estate, lack of available capital or financing opportunities, and increases in property taxes or operating costs. The Fund may invest in ETFs, which may trade at a discount to the aggregate value of the underlying securities and although expense ratios for ETFs are generally low, frequent trading of ETFs by the Fund can generate brokerage expenses. Investments in debt securities typically decrease in value when interest rates rise. This risk is usually greater for longer-term debt securities. Investments in foreign securities entail certain risks not associated with investments in domestic securities, such as volatility of currency exchange rates, and in some cases, political and economic instability and relatively illiquid markets. These risks are greater for investments in emerging markets. The risks of investments in derivatives, including options, futures contracts and options on futures contracts include imperfect correlation between the value of these instruments and the underlying assets; risks of default by the other party to the derivative transactions; risks that the transactions may result in losses that partially or completely offset gains in portfolio positions; and risks that the derivative transactions may not be liquid. Private Placement issued securities are restricted securities that are not publicly traded. Delay or difficulty in selling such securities may result in a loss to the Fund. Earnings growth is not a measure of the Fund’s future performance.
Fund holdings and sector allocations are subject to change and should not be considered a recommendation to buy or sell any security. For a complete list of fund holdings, please refer to the Schedule of Investments provided in this report.
Definitions for terms and indices are provided in the Glossary of Terms.
21
Brown Advisory Small-Cap Fundamental Value Fund
Schedule of Investments
December 31, 2020 (Unaudited)
Shares | Security Description | Value $ | ||||||
Common Stocks — 89.9% | ||||||||
Communication Services — 3.8% | ||||||||
26,560 | Liberty Broadband Corp.* | 4,206,228 | ||||||
292,775 | Nexstar Media Group, Inc. | 31,968,102 | ||||||
36,174,330 | ||||||||
Consumer Discretionary — 13.6% | ||||||||
431,682 | Century Casinos, Inc.* | 2,758,448 | ||||||
734,531 | Core-Mark Holding Co., Inc. | 21,573,175 | ||||||
303,765 | Culp, Inc. | 4,820,751 | ||||||
507,700 | Denny’s Corp.* | 7,453,036 | ||||||
1,233,988 | Extended Stay America, Inc. | 18,275,362 | ||||||
91,282 | Helen of Troy, Ltd.* | 20,281,948 | ||||||
507,700 | La-Z-Boy, Inc. | 20,226,768 | ||||||
132,802 | Murphy USA, Inc. | 17,379,798 | ||||||
756,512 | Vista Outdoor, Inc.* | 17,974,725 | ||||||
130,744,011 | ||||||||
Consumer Staples — 1.4% | ||||||||
697,286 | Sprouts Farmers Market, Inc.* | 14,015,449 | ||||||
Energy — 2.4% | ||||||||
559,396 | ChampionX Corp.* | 8,558,759 | ||||||
247,897 | Natural Gas Services Group, Inc.* | 2,350,063 | ||||||
138,297 | REX American Resources Corp.* | 10,160,680 | ||||||
252,476 | Solaris Oilfield Infrastructure, Inc. | 2,055,155 | ||||||
23,124,657 | ||||||||
Financials — 29.4% | ||||||||
111,431 | Alerus Financial Corp. | 3,049,866 | ||||||
183,175 | Ameris Bancorp | 6,973,472 | ||||||
156,004 | Assurant, Inc. | 21,250,865 | ||||||
1,328,323 | Eastern Bankshares, Inc.* | 21,664,948 | ||||||
149,288 | Hanover Insurance Group, Inc. | 17,454,753 | ||||||
249,728 | Kemper Corp. | 19,186,602 | ||||||
1,556,987 | MGIC Investment Corp. | 19,540,187 | ||||||
779,409 | Pacific Premier Bancorp, Inc. | 24,418,884 | ||||||
255,834 | Peapack Gladstone Financial Corp. | 5,822,782 | ||||||
162,415 | Primerica, Inc. | 21,752,241 | ||||||
263,161 | Renasant Corp. | 8,863,262 | ||||||
618,215 | TriState Capital Holdings, Inc.* | 10,756,941 | ||||||
114,790 | Triumph Bancorp, Inc.* | 5,573,055 | ||||||
382,836 | UMB Financial Corp. | 26,411,856 | ||||||
913,127 | Veritex Holdings, Inc. | 23,430,839 | ||||||
132,469 | Virtus Investment Partners, Inc. | 28,745,773 | ||||||
669,809 | Washington Federal, Inc. | 17,240,884 | ||||||
282,137,210 | ||||||||
Health Care — 3.0% | ||||||||
345,590 | Magellan Health, Inc.* | 28,628,676 | ||||||
Industrials — 20.1% | ||||||||
225,305 | Albany International Corp. | 16,541,893 | ||||||
173,711 | American Woodmark Corp.* | 16,302,777 | ||||||
368,182 | Comfort Systems USA, Inc. | 19,388,464 | ||||||
197,524 | CRA International, Inc. | 10,059,897 | ||||||
201,492 | Curtiss-Wright Corp. | 23,443,594 | ||||||
535,176 | Federal Signal Corp. | 17,751,788 | ||||||
115,095 | Kadant, Inc. | 16,226,093 | ||||||
303,460 | McGrath RentCorp | 20,362,166 | ||||||
1,093,554 | Mueller Water Products, Inc. | 13,538,199 | ||||||
186,228 | Simpson Manufacturing Co., Inc. | 17,403,007 | ||||||
406,954 | SPX Corp.* | 22,195,271 | ||||||
193,213,149 | ||||||||
Information Technology — 10.9% | ||||||||
427,713 | Cardtronics PLC* | 15,098,269 | ||||||
147,761 | CMC Materials, Inc. | 22,356,239 | ||||||
197,829 | CTS Corp. | 6,791,470 | ||||||
518,385 | EchoStar Corp.* | 10,984,578 | ||||||
222,252 | MAXIMUS, Inc. | 16,266,624 | ||||||
386,194 | Onto Innovation, Inc.* | 18,363,525 | ||||||
114,790 | PC Connection, Inc. | 5,428,419 | ||||||
184,396 | Vectrus, Inc.* | 9,168,169 | ||||||
104,457,293 | ||||||||
Materials — 2.1% | ||||||||
199,661 | Eagle Materials, Inc. | 20,235,642 | ||||||
Real Estate — 0.2% | ||||||||
47,931 | CTO Realty Growth, Inc. | 2,020,759 | ||||||
Utilities — 3.0% | ||||||||
486,635 | Portland General Electric Co. | 20,813,379 | ||||||
852,679 | Star Group L.P. | 8,023,709 | ||||||
28,837,088 | ||||||||
Total Common Stocks (Cost $615,267,984) | 863,588,264 | |||||||
Real Estate Investment Trusts — 5.1% | ||||||||
116,927 | EastGroup Properties, Inc. | 16,142,941 | ||||||
976,322 | Essential Properties Realty Trust, Inc. | 20,698,027 | ||||||
453,053 | Getty Realty Corp. | 12,477,080 | ||||||
Total Real Estate Investment Trusts (Cost $34,875,255) | 49,318,048 | |||||||
Short-Term Investments — 4.9% | ||||||||
Money Market Funds — 4.9% | ||||||||
46,984,642 | First American Government | |||||||
Obligations Fund — Class Z, 0.03%# | 46,984,642 | |||||||
Total Short-Term Investments (Cost $46,984,642) | 46,984,642 | |||||||
Total Investments — 99.9% (Cost $697,127,881) | 959,890,954 | |||||||
Other Assets in Excess of Liabilities — 0.1% | 962,046 | |||||||
NET ASSETS — 100.0% | $ | 960,853,000 |
* | Non-Income Producing | |
# | Annualized seven-day yield as of the date of this report. |
PORTFOLIO HOLDINGS | ||||
% of Net Assets | ||||
Financials | 29.4 | % | ||
Industrials | 20.1 | % | ||
Consumer Discretionary | 13.6 | % | ||
Information Technology | 10.9 | % | ||
Real Estate Investment Trusts | 5.1 | % | ||
Money Market Funds | 4.9 | % | ||
Communication Services | 3.8 | % | ||
Health Care | 3.0 | % | ||
Utilities | 3.0 | % | ||
Energy | 2.4 | % | ||
Materials | 2.1 | % | ||
Consumer Staples | 1.4 | % | ||
Real Estate | 0.2 | % | ||
Other Assets and Liabilities | 0.1 | % | ||
100.0 | % |
The accompanying notes are an integral part of these financial statements.
22
Brown Advisory Global Leaders Fund
A Message to Our Shareholders
December 31, 2020
Dear Shareholders:
During the six-month period ended December 31, 2020, the Brown Advisory Global Leaders Fund – Investor Shares (the “Fund”) increased 24.45% in value. During the same period, the FTSE All-World Index (the “Index”), the Fund’s benchmark, increased 23.93%.
The Fund is focused on delivering long-term performance by investing in companies that create tremendous value for their customers and as an outcome of this, generate attractive economics for shareholders. We are fundamental, bottom-up stock-pickers and invest in companies and management teams, not countries, economies or macroeconomic factors. Given we currently have only thirty investments vs. approximately 3,900 in the FTSE All-World Index, our performance is primarily an output of stock picking, which can vary meaningfully from the benchmark over short periods. Patience and a long time horizon are underrated virtues in investing, and we remain disciplined on both. We continue to believe that overpaying for good businesses is an ever-present risk for quality-focused investors and do our best to avoid this mistake too. For the second half of the year, the biggest contributing sectors to relative performance were consumer staples and health care. Consumer discretionary was the worst performing sector as companies have been heavily impacted by the crushing hit to demand of COVID-19.
From an individual stock perspective, our top contributor to return was Taiwan Semiconductor Manufacturing Company (TSMC). TSMC has consistently been a top ten position in the Fund since inception nearly six years ago. Its share price rose over 90% in 2020 as the industry digested the shock news from Intel that they were again delaying leading-edge semiconductor production and were now considering outsourcing to foundry suppliers such as TSMC. Intel has led the world for forty years as the most advanced semiconductor manufacturer; for the first time, Intel has now fallen behind TSMC. In the past five years, TSMC has gone from over a year behind Intel at leading-edge geometry production, to over a year ahead. Once behind, a laggard rarely catches up. TSMC has produced over one billion defect free chips at 7nm and is ramping 5nm now. Production at both nodes is heavily booked out and pricing per wafer has been rising as competitors to Intel such as AMD and NVIDIA in datacentres now have access to more advanced technology than the traditional industry leader. The strongest growth from TSMC lies in high performance computing as cloud adoption, 5G and artificial intelligence mean more customers need leading edge performance, no longer just servers and PCs. We believe TSMC has delivered tremendous value firstly to its customers and then secondly, as a result, to investors.
One of our largest detractors to return was Deutsche Boerse AG. A lack of clear cyclical upside in the near term was potentially weighing on the stock. However, there was no specific reason for weakness as the thesis is on track. Furthermore, the Investor Day in November 2020 was encouraging with long-term secular drivers expected to continue over the next five years. We have increased our investment in Deutsche Boerse in the period.
The Global Leaders’ team remains dedicated to executing on our investment process and scouring the globe for high quality companies at attractive prices. Though we eliminated four stocks and purchased three stocks within the first half of the year, there were no new additions or deletions from the portfolio in the second half of the year. We remain optimistic that new opportunities for long-term investors may present themselves soon.
Sincerely,
Mick Dillon, CFA
Portfolio Manager
Bertie Thomson, CFA
Portfolio Manager
23
Brown Advisory Global Leaders Fund
A Message to Our Shareholders
December 31, 2020
Past performance is not a guarantee of future results.
Mutual fund investing involves risk. Principal loss is possible. The Fund invests in small and medium capitalization companies which carry greater risk than is associated with larger companies for various reasons, such as narrower markets, limited financial resources and less liquid stock. The value of the Fund’s investments in REITs may change in response to changes in the real estate market such as declines in the value of real estate, lack of available capital or financing opportunities, and increases in property taxes or operating costs. The Fund may invest in ETFs, which may trade at a discount to the aggregate value of the underlying securities and although expense ratios for ETFs are generally low, frequent trading of ETFs by the Fund can generate brokerage expenses. Investments in foreign securities entail certain risks not associated with investments in domestic securities, such as volatility of currency exchange rates, and in some cases, political and economic instability and relatively illiquid markets. These risks are greater for investments in emerging markets. Private Placement issued securities are restricted securities that are not publicly traded. Delay or difficulty in selling such securities may result in a loss to the Fund.
Fund holdings and sector allocations are subject to change and should not be considered a recommendation to buy or sell any security. For a complete list of fund holdings, please refer to the Schedule of Investments provided in this report.
Definitions for terms and indices are provided in the Glossary of Terms.
24
Brown Advisory Global Leaders Fund
Schedule of Investments
December 31, 2020 (Unaudited)
Shares | Security Description | Value $ | ||||||
Common Stocks — 98.1% | ||||||||
China — 6.3% | ||||||||
2,360,701 | AIA Group, Ltd. | 28,767,791 | ||||||
454,758 | Tencent Holdings, Ltd. | 32,721,565 | ||||||
61,489,356 | ||||||||
France — 3.4% | ||||||||
233,772 | Safran SA* | 33,133,212 | ||||||
Germany — 6.4% | ||||||||
429,350 | CTS Eventim AG & Co. KGaA* | 28,698,139 | ||||||
196,991 | Deutsche Boerse AG | 33,541,912 | ||||||
62,240,051 | ||||||||
India — 2.9% | ||||||||
1,440,237 | HDFC Bank, Ltd.* | 28,367,609 | ||||||
Indonesia — 3.1% | ||||||||
102,494,453 | Bank Rakyat Indonesia Persero | 30,471,956 | ||||||
Netherlands — 2.8% | ||||||||
318,331 | Wolters Kluwer NV | 26,827,340 | ||||||
Sweden — 2.3% | ||||||||
501,505 | Atlas Copco AB | 22,511,298 | ||||||
Switzerland — 5.3% | ||||||||
94,606 | Roche Holding AG | 32,951,134 | ||||||
68,410 | Schindler Holding AG | 18,490,815 | ||||||
51,441,949 | ||||||||
Taiwan — 5.0% | ||||||||
450,650 | Taiwan Semiconductor | |||||||
Manufacturing Co., Ltd. ADR | 49,138,876 | |||||||
United Kingdom — 2.6% | ||||||||
428,644 | Unilever PLC | 25,707,406 | ||||||
United States — 58.0% | ||||||||
Communication Services — 8.7% | ||||||||
26,949 | Alphabet, Inc. — Class C* | 47,211,414 | ||||||
260,138 | Electronic Arts, Inc. | 37,355,817 | ||||||
84,567,231 | ||||||||
Consumer Discretionary — 4.9% | ||||||||
12,621 | Booking Holdings, Inc.* | 28,110,374 | ||||||
295,361 | TJX Companies, Inc. | 20,170,203 | ||||||
48,280,577 | ||||||||
Consumer Staples — 6.1% | ||||||||
301,082 | Brown-Forman Corp. | 23,914,943 | ||||||
135,094 | Estee Lauder Companies, Inc. | 35,960,672 | ||||||
59,875,615 | ||||||||
Financials — 2.6% | ||||||||
468,863 | Charles Schwab Corp. | 24,868,494 | ||||||
Health Care — 2.5% | ||||||||
271,921 | Edwards Lifesciences Corp.* | 24,807,353 | ||||||
Information Technology — 28.5% | ||||||||
160,733 | Aspen Technology, Inc.* | 20,935,473 | ||||||
89,920 | Autodesk, Inc.* | 27,456,173 | ||||||
58,307 | Intuit, Inc. | 22,147,914 | ||||||
693,862 | Marvell Technology Group, Ltd. | 32,986,199 | ||||||
114,838 | MasterCard, Inc. | 40,990,276 | ||||||
348,284 | Microsoft Corp. | 77,465,328 | ||||||
256,026 | Visa, Inc. | 56,000,567 | ||||||
277,981,930 | ||||||||
Materials — 4.7% | ||||||||
88,584 | Ecolab, Inc. | 19,166,034 | ||||||
36,862 | Sherwin-Williams Co. | 27,090,253 | ||||||
46,256,287 | ||||||||
Total United States | 566,637,487 | |||||||
Total Common Stocks (Cost $667,511,390) | 957,966,540 | |||||||
Short-Term Investments — 1.3% | ||||||||
Money Market Funds — 1.3% | ||||||||
12,839,388 | First American Government | |||||||
Obligations Fund — Class Z, 0.03%# | 12,839,388 | |||||||
Total Short-Term Investments (Cost $12,839,388) | 12,839,388 | |||||||
Total Investments — 99.4% (Cost $680,350,778) | 970,805,928 | |||||||
Other Assets in Excess of Liabilities — 0.6% | 6,176,602 | |||||||
NET ASSETS — 100.0% | $ | 976,982,530 | ||||||
* | Non-Income Producing | |
ADR — American Depositary Receipt | ||
# | Annualized seven-day yield as of the date of this report. |
PORTFOLIO HOLDINGS | ||||
% of Net Assets | ||||
Information Technology | 33.5 | % | ||
Financials | 15.0 | % | ||
Communication Services | 15.0 | % | ||
Industrials | 10.3 | % | ||
Consumer Staples | 8.8 | % | ||
Health Care | 5.9 | % | ||
Consumer Discretionary | 4.9 | % | ||
Materials | 4.7 | % | ||
Money Market Funds | 1.3 | % | ||
Other Assets and Liabilities | 0.6 | % | ||
100.0 | % |
The accompanying notes are an integral part of these financial statements.
25
Brown Advisory Intermediate Income Fund
A Message to Our Shareholders
December 31, 2020
Dear Shareholders:
During the six-month period ended December 31, 2020, the Brown Advisory Intermediate Income Fund – Investor Shares (the “Fund”) increased 1.67% in value. During the same period, the Bloomberg Barclays Intermediate US Aggregate Bond Index (the “Index”), the Fund’s benchmark, increased 0.90%.
The Fund aims to generate performance primarily through individual security analysis, supported by a detailed and disciplined research process focused on capital preservation. Duration and sector weightings are set mainly by an analysis of the intermediate-term risk/reward outlook as opposed to any particular macroeconomic forecast.
The second half of 2020 was marked by a continuation of accommodative policy by the Federal Reserve to help perpetuate economic momentum. As various economic metrics pointed to a mixed economic recovery, Treasury yields initially remained tightly range bound and corporate credit spreads continued to move tighter, but they remained elevated relative to pre-pandemic levels. In late August at its annual Jackson Hole conference, the Federal Reserve announced that it would be adopting an “average inflation targeting” regime after previously targeting a 2% inflation rate. In practice, this would imply that the Federal Reserve would tolerate inflation rising above 2% for a period of time to offset earlier periods of undershooting its target. In the initial period following this policy change, indicators of expected future inflation pointed lower as investors remained skeptical.
During the second half of the period, volatility began to increase as market expectations regarding growth and inflation began to evolve. Notable developments included a pending shift in economic policy, the emergence of COVID-19 vaccines and ongoing negotiations regarding the extension of fiscal support programs nearing expiration. In this environment, Treasury rates began to slowly rise and credit spreads continued to tighten reflecting the prospects for a shift in fiscal priorities as a result of a pending Biden Administration taking office.
Throughout this period, we maintained our emphasis on corporate bonds and other spread products with the exception of mortgage-backed securities because of their cash flow characteristics. Specifically, for corporate bonds our ongoing overweight positioning and strong individual security selection were additive to relative performance as our holdings outpaced their index counterparts. Credit spreads ended the period near pre-pandemic levels. This highlights the value of having a clearly defined investment thesis for a company supported by robust fundamental analysis.
Although interest rates were slowly rising, mortgage originators held mortgage rates steady to slightly lower which helped to perpetuate already increased refinance activity. Our emphasis on defensive positioning in regard to principal repayments during a period of strong refinance activity enhanced performance on a relative basis as we held less mortgage pass-through securities in favor of a greater amount of asset-backed and commercial mortgage-backed bonds.
We are pleased with the portfolio’s current positioning and future potential. Looking forward, there continues to be elevated uncertainty around economic growth, which is something we will take into account as we evaluate the portfolio’s future positions. However, we seek to continue to structure the portfolio in order to generate attractive income while focusing on capital preservation.
Sincerely,
Jason T. Vlosich
Portfolio Manager
Paul D. Corbin
Portfolio Manager
26
Brown Advisory Intermediate Income Fund
A Message to Our Shareholders
December 31, 2020
Past performance is not a guarantee of future results.
Mutual fund investing involves risk. Principal loss is possible. The Fund is subject to interest rate risk which is the risk that debt securities in the Fund’s portfolio will decline in value because of increases in market interest rates. Investments in Asset Backed and Mortgage Backed Securities include additional risks that investors should be aware of such as credit risk, prepayment risk, possible illiquidity and default, as well as increased susceptibility to adverse economic developments. Investments in debt securities typically decrease in value when interest rates rise. The risk is usually greater for longer-term debt securities. Inflation-indexed bonds see the principal value of the security increased as the Consumer Price Index increases. Should the Consumer Price Index decline, those securities should be adversely impacted. Diversification does not assure a profit, nor does it protect against a loss in a declining market.
Fund holdings and sector allocations are subject to change and should not be considered a recommendation to buy or sell any security. For a complete list of fund holdings, please refer to the Schedule of Investments provided in this report.
Definitions for terms and indices are provided in the Glossary of Terms.
27
Brown Advisory Intermediate Income Fund
Schedule of Investments
December 31, 2020 (Unaudited)
Par Value | Security Description | Rate | Maturity | Value $ | |||||||||
Corporate Bonds & Notes — 31.8% | |||||||||||||
1,785,000 | Air Products and Chemicals, Inc. | 1.50 | % | 10/15/2025 | 1,861,823 | ||||||||
1,635,000 | American Tower Corp. | 3.60 | % | 01/15/2028 | 1,859,394 | ||||||||
1,770,000 | Amphenol Corp. | 2.05 | % | 03/01/2025 | 1,871,301 | ||||||||
1,580,000 | AT&T, Inc. | 4.10 | % | 02/15/2028 | 1,859,243 | ||||||||
1,760,000 | AvalonBay Communities, Inc. | 2.30 | % | 03/01/2030 | 1,879,396 | ||||||||
785,000 | Booking Holdings, Inc. | 4.50 | % | 04/13/2027 | 934,917 | ||||||||
1,735,000 | BorgWarner, Inc. | 2.65 | % | 07/01/2027 | 1,867,258 | ||||||||
820,000 | BP Capital Markets America, Inc. | 3.80 | % | 09/21/2025 | 930,433 | ||||||||
875,000 | Chevron Corp. | 2.00 | % | 05/11/2027 | 928,741 | ||||||||
1,805,000 | Clorox Co. | 1.80 | % | 05/15/2030 | 1,866,666 | ||||||||
830,000 | Colonial Enterprises, Inc.^ | 3.25 | % | 05/15/2030 | 939,883 | ||||||||
803,000 | Comcast Corp. | 3.40 | % | 04/01/2030 | 929,282 | ||||||||
805,000 | Consolidated Edison Co. of New York, Inc. | 3.35 | % | 04/01/2030 | 923,922 | ||||||||
1,665,000 | Crown Castle International Corp. | 3.30 | % | 07/01/2030 | 1,866,600 | ||||||||
805,000 | Dollar General Corp. | 3.88 | % | 04/15/2027 | 932,914 | ||||||||
1,565,000 | Dollar Tree, Inc. | 4.20 | % | 05/15/2028 | 1,863,784 | ||||||||
935,000 | Ecolab, Inc. | 1.30 | % | 01/30/2031 | 927,421 | ||||||||
785,000 | Exelon Corp. | 4.05 | % | 04/15/2030 | 930,312 | ||||||||
1,645,000 | FMC Corp. | 3.20 | % | 10/01/2026 | 1,834,424 | ||||||||
845,000 | Fortis, Inc. | 3.06 | % | 10/04/2026 | 931,261 | ||||||||
830,000 | General Dynamics Corp. | 3.50 | % | 05/15/2025 | 928,691 | ||||||||
1,181,000 | Hasbro, Inc. | 3.50 | % | 09/15/2027 | 1,287,624 | ||||||||
830,000 | Healthcare Trust of America Holdings L.P. | 3.75 | % | 07/01/2027 | 942,174 | ||||||||
810,000 | JB Hunt Transport Services, Inc. | 3.88 | % | 03/01/2026 | 931,402 | ||||||||
780,000 | Keysight Technologies, Inc. | 4.60 | % | 04/06/2027 | 930,175 | ||||||||
805,000 | Kimberly-Clark Corp. | 3.10 | % | 03/26/2030 | 927,759 | ||||||||
1,380,000 | Land O’Lakes, Inc.^ | 6.00 | % | 11/15/2022 | 1,486,017 | ||||||||
910,000 | LYB International Finance III LLC | 2.25 | % | 10/01/2030 | 938,202 | ||||||||
790,000 | Mastercard, Inc. | 3.35 | % | 03/26/2030 | 919,653 | ||||||||
870,000 | Morgan Stanley | 3.75 | % | 02/25/2023 | 933,079 | ||||||||
836,000 | NIKE, Inc. | 2.75 | % | 03/27/2027 | 925,836 | ||||||||
750,000 | Northrop Grumman Corp. | 4.40 | % | 05/01/2030 | 932,012 | ||||||||
1,640,000 | NXP BV^ | 3.88 | % | 06/18/2026 | 1,880,734 | ||||||||
1,685,000 | Oracle Corp. | 2.80 | % | 04/01/2027 | 1,860,441 | ||||||||
805,000 | Procter & Gamble Co. | 3.00 | % | 03/25/2030 | 929,048 | ||||||||
1,405,000 | SYSCO Corp. | 5.95 | % | 04/01/2030 | 1,848,929 | ||||||||
1,815,000 | Takeda Pharmaceutical Co., Ltd. | 2.05 | % | 03/31/2030 | 1,860,103 | ||||||||
825,000 | Thermo Fisher Scientific, Inc. | 3.20 | % | 08/15/2027 | 928,696 | ||||||||
1,605,000 | TJX Companies, Inc. | 3.75 | % | 04/15/2027 | 1,858,683 | ||||||||
1,805,000 | Truist Financial Corp. | 2.75 | % | 04/01/2022 | 1,857,512 | ||||||||
1,810,000 | USAA Capital Corp.^ | 1.50 | % | 05/01/2023 | 1,857,251 | ||||||||
1,745,000 | VF Corp. | 2.40 | % | 04/23/2025 | 1,862,518 | ||||||||
1,710,000 | Wells Fargo & Co. | 3.75 | % | 01/24/2024 | 1,867,846 | ||||||||
918,000 | Xylem, Inc. | 1.95 | % | 01/30/2028 | 968,589 | ||||||||
Total Corporate Bonds & Notes (Cost $55,876,468) | 59,601,949 | ||||||||||||
Mortgage Backed Securities — 15.4% | |||||||||||||
825,000 | BAMLL Commercial Mortgage Securities Trust, | ||||||||||||
Series 2018-DSNY C (1 Month LIBOR USD + 1.35%)^ | 1.51 | % | 09/15/2034 | 800,693 | |||||||||
750,000 | BAMLL Commercial Mortgage Securities Trust, | ||||||||||||
Series 2019-RLJ C (1 Month LIBOR USD + 1.60%)^ | 1.76 | % | 04/15/2036 | 712,954 | |||||||||
499,543 | BX Commercial Mortgage Trust, Series 2020-BXLP (1 Month LIBOR USD + 1.25%)^ | 1.41 | % | 12/15/2036 | 495,285 | ||||||||
500,000 | BX Trust, Series 2019-CALM C (1 Month LIBOR USD + 1.30%)^ | 1.46 | % | 11/15/2032 | 497,866 | ||||||||
913,543 | CGDBB Commercial Mortgage Trust, Series 2017-BIOC D (1 Month LIBOR USD + 1.60%)^ | 1.76 | % | 07/15/2032 | 916,736 | ||||||||
750,000 | CSMC, Series 2019-ICE4 C (1 Month LIBOR USD + 1.43%)^ | 1.59 | % | 05/15/2036 | 750,813 | ||||||||
1,000,000 | CSMC, Series 2019-ICE4 D (1 Month LIBOR USD + 1.60%)^ | 1.76 | % | 05/15/2036 | 992,510 | ||||||||
500,000 | DBGS Mortgage Trust, Series 2018-C1 7EA^ | 4.64 | % | 10/17/2051 | 496,364 |
The accompanying notes are an integral part of these financial statements.
28
Brown Advisory Intermediate Income Fund
Schedule of Investments
December 31, 2020 (Unaudited)
Par Value | Security Description | Rate | Maturity | Value $ | |||||||||
Mortgage Backed Securities — 15.4% (Continued) | |||||||||||||
639 | FHLMC PC, Pool# C0-0210 | 8.00 | % | 01/01/2023 | 668 | ||||||||
99,417 | FHLMC PC, Pool# 1B-0889 (12 Month LIBOR USD + 1.59%) | 2.90 | % | 05/01/2033 | 99,596 | ||||||||
18,183 | FHLMC REMIC, Series 4778 GA | 4.50 | % | 10/15/2042 | 18,177 | ||||||||
302,402 | FHLMC REMIC, Series 4711 NA | 3.50 | % | 11/15/2042 | 303,865 | ||||||||
545,073 | FHLMC REMIC, Series 4665 KA | 4.00 | % | 12/15/2042 | 552,597 | ||||||||
744,217 | FHLMC REMIC, Series 4740 KB | 3.50 | % | 02/15/2043 | 751,480 | ||||||||
397,105 | FHLMC REMIC, Series 4747 DA | 3.50 | % | 04/15/2043 | 400,125 | ||||||||
147,578 | FHLMC REMIC, Series 4784 EG | 3.50 | % | 06/15/2044 | 149,010 | ||||||||
308,318 | FHLMC REMIC, Series 4840 BK | 4.50 | % | 09/15/2046 | 319,030 | ||||||||
494,319 | FHLMC STACR, Series 2014-HQ2 M3 (1 Month LIBOR USD + 3.75%) | 3.90 | % | 09/25/2024 | 509,333 | ||||||||
1,686,050 | FHMS, Series Q-006 APT1# | 2.67 | % | 04/25/2028 | 1,728,594 | ||||||||
354,127 | FHMS, Series Q-006 APT2# | 2.57 | % | 10/25/2028 | 360,441 | ||||||||
478,275 | FHMS, Series Q-010 APT1# | 2.78 | % | 04/25/2046 | 480,316 | ||||||||
420,672 | FHMS, Series Q-007 APT1# | 2.98 | % | 10/25/2047 | 432,536 | ||||||||
429,878 | FHMS, Series Q-007 APT2# | 3.30 | % | 10/25/2047 | 461,876 | ||||||||
955,195 | FHMS, Series Q-013 APT1# | 1.16 | % | 05/25/2050 | 967,668 | ||||||||
10,007 | FNMA, Pool# 628837 | 6.50 | % | 03/01/2032 | 11,505 | ||||||||
630,222 | FNMA, Pool# MA2998 | 3.50 | % | 04/01/2032 | 675,238 | ||||||||
48,314 | FNMA, Pool# 663238 | 5.50 | % | 09/01/2032 | 54,079 | ||||||||
25,649 | FNMA, Pool# 744805 (6 Month LIBOR USD + 1.52%) | 1.89 | % | 11/01/2033 | 25,769 | ||||||||
10,787 | FNMA, Pool# 741373 (1 Year CMT Rate + 2.28%) | 2.41 | % | 12/01/2033 | 10,780 | ||||||||
24,938 | FNMA, Pool# 764342 (6 Month LIBOR USD + 1.52%) | 2.40 | % | 02/01/2034 | 25,085 | ||||||||
1,004,985 | FNMA, Pool# AS7789 | 3.00 | % | 08/01/2036 | 1,062,829 | ||||||||
1,691,673 | FNMA, Pool# MA2804 | 3.00 | % | 11/01/2036 | 1,789,049 | ||||||||
695,359 | FNMA, Pool# MA2897 | 3.00 | % | 02/01/2037 | 732,557 | ||||||||
982,211 | FNMA, Pool# BM1370 | 3.00 | % | 04/01/2037 | 1,032,872 | ||||||||
133,701 | FNMA, Pool# BN0202 | 5.50 | % | 09/01/2048 | 153,015 | ||||||||
144,289 | FNMA REMIC Trust, Series 2016-M5 (1 Month LIBOR USD + 0.72%) | 0.87 | % | 04/25/2023 | 144,654 | ||||||||
591,489 | FNMA REMIC Trust, Series 2013-115 AI~ | 3.00 | % | 04/25/2031 | 29,248 | ||||||||
55,432 | FNMA REMIC Trust, Series 2018-24 CA | 3.50 | % | 11/25/2040 | 55,498 | ||||||||
419,008 | FNMA REMIC Trust, Series 2013-M6 1AC# | 3.44 | % | 02/25/2043 | 479,816 | ||||||||
814,341 | FNMA REMIC Trust, Series 2020-6 GL | 3.00 | % | 04/25/2043 | 834,229 | ||||||||
829,087 | FNMA REMIC Trust, Series 2017-44 BA | 3.50 | % | 01/25/2044 | 846,515 | ||||||||
954,347 | FNMA REMIC Trust, Series 2020-10 Q | 3.00 | % | 03/25/2050 | 1,006,432 | ||||||||
500,000 | FREMF Mortgage Trust, Series 2020-K737 B#^ | 3.30 | % | 11/25/2026 | 545,099 | ||||||||
1,150,000 | FREMF Mortgage Trust, Series 2016-K723 B#^ | 3.58 | % | 10/25/2039 | 1,215,862 | ||||||||
750,000 | FREMF Mortgage Trust, Series 2019-K735 B#^ | 4.02 | % | 05/25/2052 | 833,800 | ||||||||
14,937 | GNMA, Pool# 781186X | 9.00 | % | 06/15/2030 | 15,148 | ||||||||
700,000 | GS Mortgage Securities Corp Trust, Series 2017-500K C (1 Month LIBOR USD + 1.00%)^ | 1.16 | % | 07/15/2032 | 698,501 | ||||||||
700,000 | JPMCC, Series 2019-BKWD C (1 Month LIBOR USD + 1.60%)^ | 1.76 | % | 09/17/2029 | 683,052 | ||||||||
500,000 | JPMCC, Series 2019-MFP C (1 Month LIBOR USD + 1.36%)^ | 1.52 | % | 07/15/2036 | 492,603 | ||||||||
500,000 | KNDL Mortgage Trust, Series 2019-KNSQ C (1 Month LIBOR USD + 1.05%)^ | 1.21 | % | 05/15/2036 | 500,424 | ||||||||
500,000 | MRCD Mortgage Trust, Series 2019-PARK C^ | 2.72 | % | 12/15/2036 | 507,756 | ||||||||
900,000 | MSC, Series 2017-CLS A (1 Month LIBOR USD + 0.70%)^ | 0.86 | % | 11/15/2034 | 900,472 | ||||||||
400,000 | MSC, Series 2019-NUGS B (1 Month LIBOR USD + 1.30%)^ | 2.80 | % | 12/15/2036 | 405,890 | ||||||||
Total Mortgage Backed Securities (Cost $28,793,652) | 28,966,310 | ||||||||||||
Asset Backed Securities — 11.5% | |||||||||||||
510,000 | American Homes 4 Rent Trust, Series 2015-SFR2 C^ | 4.69 | % | 10/18/2052 | 563,836 | ||||||||
750,000 | DT Auto Owner Trust, Series 2019-3A D^ | 2.96 | % | 04/15/2025 | 775,901 | ||||||||
357,441 | FHF Trust, Series 2020-1A A^ | 2.59 | % | 12/15/2023 | 359,951 | ||||||||
746,422 | FREED ABS Trust, Series 2019-1 B^ | 3.87 | % | 06/18/2026 | 754,108 | ||||||||
358,343 | FREED ABS Trust, Series 2020-2CP A^ | 4.52 | % | 06/18/2027 | 362,344 | ||||||||
590,000 | GTP Acquisition Partners I LLC, Series 2015-1-2^ | 3.48 | % | 06/15/2050 | 634,364 | ||||||||
700,000 | HPEFS Equipment Trust, Series 2019-1A D^ | 2.72 | % | 09/20/2029 | 716,469 | ||||||||
500,000 | HPEFS Equipment Trust, Series 2020-1A D^ | 2.26 | % | 02/20/2030 | 505,546 | ||||||||
500,000 | Invitation Homes Trust, Series 2017-SFR2 C (1 Month LIBOR USD + 1.45%)^ | 1.60 | % | 12/19/2036 | 501,712 |
The accompanying notes are an integral part of these financial statements.
29
Brown Advisory Intermediate Income Fund
Schedule of Investments
December 31, 2020 (Unaudited)
Par Value | Security Description | Rate | Maturity | Value $ | |||||||||
Asset Backed Securities — 11.5% (Continued) | |||||||||||||
998,535 | Invitation Homes Trust, Series 2017-SFR2 D (1 Month LIBOR USD + 1.80%)^ | 1.95 | % | 12/19/2036 | 1,004,579 | ||||||||
734,000 | Invitation Homes Trust, Series 2018-SFR1 C (1 Month LIBOR USD + 1.25%)^ | 1.40 | % | 03/19/2037 | 735,378 | ||||||||
500,000 | Invitation Homes Trust, Series 2018-SFRI D (1 Month LIBOR USD + 1.45%) ^ | 1.60 | % | 03/19/2037 | 501,417 | ||||||||
700,000 | Madison Park Funding XVI, Ltd., Series 2015-16A A2R (3 Month LIBOR USD + 1.90%)^ | 2.12 | % | 04/20/2026 | 700,123 | ||||||||
500,000 | Mariner CLO LLC, Series 2016-3A AR2 (3 Month LIBOR USD + 0.99%)^ | 1.20 | % | 07/23/2029 | 498,348 | ||||||||
752,656 | MVW Owner Trust, Series 2017-1A A^ | 2.42 | % | 12/20/2034 | 771,861 | ||||||||
703,128 | Nationstar HECM Loan Trust, Series 2020-1 A#^ | 1.27 | % | 09/25/2030 | 704,891 | ||||||||
259,854 | NYCTL Trust, Series 2018-A A^ | 3.22 | % | 11/10/2031 | 262,017 | ||||||||
634,869 | NYCTL Trust, Series 2019-A A^ | 2.19 | % | 11/10/2032 | 643,598 | ||||||||
500,000 | OCP CLO Ltd., Series 2015-8R (3 Month LIBOR USD + 1.85%)^ | 2.07 | % | 04/17/2027 | 500,034 | ||||||||
1,000,000 | Oportun Funding VIII LLC, Series 2018-A A^ | 3.61 | % | 03/08/2024 | 1,000,000 | ||||||||
400,000 | Oportun Funding X LLC, Series 2018-C A^ | 4.10 | % | 10/08/2024 | 406,555 | ||||||||
350,000 | Palmer Square Loan Funding 2019-3 Ltd., Series A-2 (3 Month LIBOR USD + 1.60%)^ | 1.82 | % | 08/20/2027 | 348,769 | ||||||||
1,150,000 | PFS Financing Corp., Series 2020-F A^ | 0.93 | % | 08/15/2024 | 1,157,919 | ||||||||
500,000 | Progress Residential Trust, Series 2018-SFR1 C^ | 3.68 | % | 03/17/2035 | 502,043 | ||||||||
799,028 | Progress Residential Trust, Series 2018-SFR1 A^ | 3.26 | % | 03/19/2035 | 801,685 | ||||||||
998,288 | Progress Residential Trust, Series 2018-SFR3 A^ | 3.88 | % | 10/18/2035 | 1,022,451 | ||||||||
374,630 | Progress Residential Trust, Series 2019-SFR1 A^ | 3.42 | % | 03/19/2036 | 385,755 | ||||||||
600,000 | Santander Drive Auto Receivables Trust, Series 2019-3 D | 2.68 | % | 10/15/2025 | 617,252 | ||||||||
274,000 | SBA Tower Trust, Series 2020-1-2^ | 2.33 | % | 01/15/2028 | 277,576 | ||||||||
300,000 | SBA Tower Trust, Series 2020-1-2^ | 1.88 | % | 07/15/2050 | 309,706 | ||||||||
850,000 | Stack Infrastructure Issuer LLC, Series 2020-1A A2^ | 1.89 | % | 08/25/2045 | 861,481 | ||||||||
750,000 | Tesla Auto Lease Trust 2020-A, Series 2020-A^ | 0.68 | % | 12/20/2023 | 754,700 | ||||||||
1,125,000 | Vantage Data Centers LLC, Series 2020-1A A2^ | 1.65 | % | 09/15/2045 | 1,135,974 | ||||||||
500,000 | Verizon Owner Trust, Series 2019-A C | 3.22 | % | 09/20/2023 | 518,371 | ||||||||
Total Asset Backed Securities (Cost $21,393,754) | 21,596,714 | ||||||||||||
U.S. Treasury Notes — 25.5% | |||||||||||||
4,000,000 | United States Treasury Note | 2.25 | % | 03/31/2021 | 4,020,117 | ||||||||
1,000,000 | United States Treasury Note | 1.38 | % | 04/30/2021 | 1,004,095 | ||||||||
12,965,000 | United States Treasury Note | 0.38 | % | 03/31/2022 | 13,008,301 | ||||||||
12,680,000 | United States Treasury Note | 1.63 | % | 08/15/2022 | 12,990,313 | ||||||||
6,775,000 | United States Treasury Note | 2.25 | % | 03/31/2026 | 7,432,122 | ||||||||
6,395,000 | United States Treasury Note | 2.88 | % | 05/15/2028 | 7,410,456 | ||||||||
2,000,000 | United States Treasury Note | 0.88 | % | 11/15/2030 | 1,993,594 | ||||||||
Total U.S. Treasury Notes (Cost $46,837,346) | 47,858,998 |
The accompanying notes are an integral part of these financial statements.
30
Brown Advisory Intermediate Income Fund
Schedule of Investments
December 31, 2020 (Unaudited)
Shares | Security Description | Value $ | ||||||
Affiliated Mutual Funds (Note 3) — 11.7% | ||||||||
2,090,464 | Brown Advisory Mortgage Securities Fund — Institutional Shares | 22,054,396 | ||||||
Total Affiliated Mutual Funds (Cost $21,527,744) | 22,054,396 | |||||||
Short-Term Investments — 2.5% | ||||||||
Money Market Funds — 2.5% | ||||||||
4,622,690 | First American Government Obligations Fund — Class Z, 0.03%* | 4,622,690 | ||||||
Total Short-Term Investments (Cost $4,622,690) | 4,622,690 | |||||||
Total Investments — 98.4% (Cost $179,051,654) | 184,701,057 | |||||||
Other Assets in Excess of Liabilities — 1.6% | 3,002,694 | |||||||
NET ASSETS — 100.0% | $ | 187,703,751 |
^ | Security exempt from registration under Rule 144A of the Securities Act of 1933. These securities may be resold in transactions exempt from registration, normally to qualified institutional buyers. | |
# | Variable rate security. Rate disclosed is as of the date of this report. | |
~ | Interest Only Security | |
* | Annualized seven-day yield as of the date of this report. |
PORTFOLIO HOLDINGS | ||||
% of Net Assets | ||||
Corporate Bonds & Notes | 31.8 | % | ||
U.S. Treasury Notes | 25.5 | % | ||
Mortgage Backed Securities | 15.4 | % | ||
Affiliated Mutual Funds | 11.7 | % | ||
Asset Backed Securities | 11.5 | % | ||
Money Market Funds | 2.5 | % | ||
Other Assets and Liabilities | 1.6 | % | ||
100.0 | % |
The accompanying notes are an integral part of these financial statements.
31
Brown Advisory Total Return Fund
A Message to Our Shareholders
December 31, 2020
Dear Shareholders:
During the six-month period ended December 31, 2020, the Brown Advisory Total Return Fund – Institutional Shares (the “Fund”) increased 3.87% in value. During the same period, the Bloomberg Barclays US Aggregate Bond Index (the “Index”), the Fund’s benchmark, increased 1.29%.
The Fund aims to generate performance primarily through individual security analysis, supported by a detailed and disciplined credit process and focused on capital preservation. Duration and sector weightings are set mainly by an analysis of the intermediate-term risk/reward as opposed to any particular macroeconomic forecast.
The onset of the COVID-19 pandemic in the first quarter caused credit spreads of all varieties to widen materially. During this period, we added meaningfully to higher quality corporate credit both in terms of percentage weight and contribution to duration. As credit spreads normalized in the second half of 2020, these corporate positions were the major driver of outperformance. Credit contributed 309 basis points to overall performance versus just 125 basis points for the benchmark. Our corporate positions contributed to performance both through allocation and selection. Corporate bonds were generally the best performing sector during this period, so the overweight was a positive. Second our selections outperformed those in the benchmark (6.4% vs. 4.6%).
Interest rate positioning was a small positive. During this period, the Fund was positioned for the yield curve to steepen, and toward the end of the year we chose to also underweight duration outright. The yield curve indeed steepened slightly and rates rose modestly. These combined to add 15 basis points to relative performance. Our rates positioning is mainly meant to ameliorate volatility should it come, and therefore should only have a small effect for “normal” rate movements.
Other factors were relatively minor. We are meaningfully underweight agency-backed mortgage bonds, and this space struggled through most of 2020. Falling rates touched off a refinancing boom, which is usually problematic for mortgage-backed securities (MBS,) investors. As such, MBS was the worst performing of the major sectors during this period save for Treasury bonds.
Looking forward, after an incredibly volatile 2020, we are all probably hoping for a more staid 2021. Our base case would be that fixed income markets are quite boring next year. However, we believe that we have positioned portfolios to protect against unexpected volatility, be it from a surprisingly weaker or stronger economy.
Sincerely,
Thomas D.D. Graff, CFA
Portfolio Manager
Past performance is not a guarantee of future results.
Mutual fund investing involves risk. Principal loss is possible. Investments in debt securities typically decrease in value when interest rates rise. This risk is usually greater for longer-term debt securities. Investments in Asset-Backed and Mortgage-Backed securities include additional risks that investor should be aware of including credit risk, prepayment risk, possible illiquidity and default, as well as increased susceptibility to adverse economic developments. Investments in lower rated and non-rated securities present a great risk of loss to principal and interest than higher rated securities. In addition, the fund is susceptible to risks from investments in derivatives, U.S. Government securities, and changes in interest rates. Income from tax-exempt funds may be subject to state and local taxes and a portion of income may be subject to the Federal Alternative minimum tax for certain investors.
Fund holdings and sector allocations are subject to change and should not be considered a recommendation to buy or sell any security. For a complete list of fund holdings, please refer to the Schedule of Investments provided in this report.
Definitions for terms and indices are provided in the Glossary of Terms.
32
Brown Advisory Total Return Fund
Schedule of Investments
December 31, 2020 (Unaudited)
Par Value | Security Description | Rate | Maturity | Value $ | |||||||||
Corporate Bonds & Notes — 48.3% | |||||||||||||
4,335,000 | Agilent Technologies, Inc. | 2.10 | % | 06/04/2030 | 4,494,509 | ||||||||
4,625,000 | Alexandria Real Estate Equities, Inc. | 1.88 | % | 02/01/2033 | 4,630,034 | ||||||||
1,930,000 | Allison Transmission, Inc.^ | 5.88 | % | 06/01/2029 | 2,135,285 | ||||||||
4,205,000 | Amphenol Corp. | 2.80 | % | 02/15/2030 | 4,643,853 | ||||||||
1,076,000 | Aptiv PLC | 4.35 | % | 03/15/2029 | 1,251,292 | ||||||||
4,340,000 | AvalonBay Communities, Inc. | 2.30 | % | 03/01/2030 | 4,634,420 | ||||||||
2,220,000 | Beacon Roofing Supply, Inc.^ | 4.88 | % | 11/01/2025 | 2,276,754 | ||||||||
1,870,000 | Booking Holdings, Inc. | 4.63 | % | 04/13/2030 | 2,326,274 | ||||||||
3,970,000 | BP Capital Markets America, Inc. | 3.63 | % | 04/06/2030 | 4,628,509 | ||||||||
3,935,000 | Broadcom, Inc. | 4.15 | % | 11/15/2030 | 4,564,989 | ||||||||
2,070,000 | BWX Technologies, Inc.^ | 4.13 | % | 06/30/2028 | 2,161,856 | ||||||||
4,315,000 | Carrier Global Corp. | 2.72 | % | 02/15/2030 | 4,621,813 | ||||||||
200,000 | CCM Merger, Inc.^ | 6.38 | % | 05/01/2026 | 210,500 | ||||||||
2,165,000 | CCO Holdings LLC / CCO Holdings Capital Corp.^ | 4.50 | % | 05/01/2032 | 2,314,320 | ||||||||
2,087,000 | Chevron Corp. | 2.24 | % | 05/11/2030 | 2,239,846 | ||||||||
4,095,000 | Colonial Enterprises, Inc.^ | 3.25 | % | 05/15/2030 | 4,637,135 | ||||||||
2,030,000 | CommonSpirit Health | 4.19 | % | 10/01/2049 | 2,373,294 | ||||||||
5,313,000 | Conservation Fund | 3.47 | % | 12/15/2029 | 5,757,995 | ||||||||
1,930,000 | Consolidated Edison Co. of New York, Inc. | 3.35 | % | 04/01/2030 | 2,215,118 | ||||||||
4,125,000 | Crown Castle International Corp. | 3.30 | % | 07/01/2030 | 4,624,459 | ||||||||
3,900,000 | CVS Health Corp. | 4.30 | % | 03/25/2028 | 4,643,698 | ||||||||
4,155,000 | Darden Restaurants, Inc. | 3.85 | % | 05/01/2027 | 4,559,244 | ||||||||
3,975,000 | Dollar General Corp. | 3.88 | % | 04/15/2027 | 4,606,624 | ||||||||
4,570,000 | Enterprise Products Operating LLC (Fixed until 08/16/2022, then 3 Month LIBOR USD + 2.99%) | 4.88 | % | 08/16/2077 | 4,421,452 | ||||||||
3,890,000 | Exelon Corp. | 4.05 | % | 04/15/2030 | 4,610,083 | ||||||||
3,050,000 | Ferguson Finance PLC^ | 4.50 | % | 10/24/2028 | 3,660,126 | ||||||||
4,125,000 | FMC Corp. | 3.20 | % | 10/01/2026 | 4,599,999 | ||||||||
4,210,000 | Fortis, Inc. | 3.06 | % | 10/04/2026 | 4,639,771 | ||||||||
2,080,000 | frontdoor, Inc.^ | 6.75 | % | 08/15/2026 | 2,223,000 | ||||||||
1,460,000 | Graphic Packaging International LLC^ | 4.75 | % | 07/15/2027 | 1,622,148 | ||||||||
3,175,000 | Hasbro, Inc. | 3.50 | % | 09/15/2027 | 3,461,647 | ||||||||
3,000,000 | Healthcare Trust of America Holdings L.P. | 3.75 | % | 07/01/2027 | 3,405,447 | ||||||||
3,910,000 | Huntsman International LLC | 4.50 | % | 05/01/2029 | 4,512,722 | ||||||||
4,180,000 | IDEX Corp. | 3.00 | % | 05/01/2030 | 4,607,378 | ||||||||
2,115,000 | KeHE Distributors LLC^ | 8.63 | % | 10/15/2026 | 2,379,047 | ||||||||
3,985,000 | Kinross Gold Corp. | 4.50 | % | 07/15/2027 | 4,619,044 | ||||||||
2,275,000 | LBM Acquisition LLC^ | 6.25 | % | 01/15/2029 | 2,353,203 | ||||||||
4,015,000 | Lear Corp. | 4.25 | % | 05/15/2029 | 4,596,278 | ||||||||
4,440,000 | LYB International Finance III LLC | 2.25 | % | 10/01/2030 | 4,577,601 | ||||||||
1,975,000 | Marriott International, Inc. | 5.75 | % | 05/01/2025 | 2,311,487 | ||||||||
2,045,000 | Marriott International, Inc. | 4.65 | % | 12/01/2028 | 2,374,803 | ||||||||
3,899,000 | Marvell Technology Group Ltd. | 4.88 | % | 06/22/2028 | 4,611,309 | ||||||||
2,265,000 | Mercer International, Inc. | 5.50 | % | 01/15/2026 | 2,310,300 | ||||||||
2,900,000 | MPLX L.P. | 4.80 | % | 02/15/2029 | 3,507,185 | ||||||||
2,060,000 | NextEra Energy Capital Holdings, Inc. (Fixed until 12/01/2027, then 3 Month LIBOR USD + 2.41%) | 4.80 | % | 12/01/2077 | 2,264,411 | ||||||||
1,989,000 | NIKE, Inc. | 2.85 | % | 03/27/2030 | 2,255,080 | ||||||||
4,062,000 | NXP BV^ | 3.88 | % | 06/18/2026 | 4,658,258 | ||||||||
3,010,000 | PVH Corp. | 4.63 | % | 07/10/2025 | 3,394,929 | ||||||||
2,180,000 | SBA Communications Corp.^ | 3.88 | % | 02/15/2027 | 2,292,379 | ||||||||
1,830,000 | ServiceMaster Co. LLC | 7.45 | % | 08/15/2027 | 2,136,177 | ||||||||
4,665,000 | Southwest Airlines Co. | 2.63 | % | 02/10/2030 | 4,766,959 | ||||||||
3,450,000 | SYSCO Corp. | 5.95 | % | 04/01/2030 | 4,540,075 | ||||||||
4,440,000 | Takeda Pharmaceutical Co., Ltd. | 2.05 | % | 03/31/2030 | 4,550,336 | ||||||||
4,060,000 | Thermo Fisher Scientific, Inc. | 3.20 | % | 08/15/2027 | 4,570,309 | ||||||||
3,732,000 | TJX Companies, Inc. | 3.88 | % | 04/15/2030 | 4,483,338 |
The accompanying notes are an integral part of these financial statements.
33
Brown Advisory Total Return Fund
Schedule of Investments
December 31, 2020 (Unaudited)
Par Value | Security Description | Rate | Maturity | Value $ | |||||||||
Corporate Bonds & Notes — 48.3% (Continued) | |||||||||||||
3,895,000 | Trimble, Inc. | 4.90 | % | 06/15/2028 | 4,665,037 | ||||||||
4,035,000 | Verisk Analytics, Inc. | 4.00 | % | 06/15/2025 | 4,575,324 | ||||||||
4,170,000 | VF Corp. | 2.95 | % | 04/23/2030 | 4,619,453 | ||||||||
2,700,000 | VOC Escrow, Ltd.^ | 5.00 | % | 02/15/2028 | 2,686,001 | ||||||||
3,965,000 | Vulcan Materials Co. | 3.50 | % | 06/01/2030 | 4,557,864 | ||||||||
4,395,000 | Xylem, Inc. | 2.25 | % | 01/30/2031 | 4,634,866 | ||||||||
Total Corporate Bonds & Notes (Cost $204,501,439) | 221,606,647 | ||||||||||||
Mortgage Backed Securities — 23.7% | |||||||||||||
1,800,000 | BAMLL Commercial Mortgage Securities Trust, | ||||||||||||
Series 2018-DSNY C (1 Month LIBOR USD + 1.35%)^ | 1.51 | % | 09/15/2034 | 1,746,968 | |||||||||
1,250,000 | BAMLL Commercial Mortgage Securities Trust, | ||||||||||||
Series 2019-RLJ C (1 Month LIBOR USD + 1.60%)^ | 1.76 | % | 04/15/2036 | 1,188,257 | |||||||||
1,498,628 | BX Commercial Mortgage Trust, Series 2020-BXLP (1 Month LIBOR USD + 1.25%)^ | 1.41 | % | 12/15/2036 | 1,485,854 | ||||||||
940,000 | BX Trust, Series 2019-CALM C (1 Month LIBOR USD + 1.30%)^ | 1.46 | % | 11/15/2032 | 935,989 | ||||||||
500,000 | CAMB Commercial Mortgage Trust, Series 2019-LIFE B (1 Month LIBOR USD + 1.25%)^ | 1.41 | % | 12/15/2037 | 501,682 | ||||||||
500,000 | CAMB Commercial Mortgage Trust, Series 2019-LIFE C (1 Month LIBOR USD + 1.45%)^ | 1.61 | % | 12/15/2037 | 501,761 | ||||||||
1,461,669 | CGDBB Commercial Mortgage Trust, Series 2017-BIOC B (1 Month LIBOR USD + 0.97%)^ | 1.13 | % | 07/15/2032 | 1,462,575 | ||||||||
1,423,301 | CGDBB Commercial Mortgage Trust, Series 2017-BIOC D (1 Month LIBOR USD + 1.60%)^ | 1.76 | % | 07/15/2032 | 1,428,274 | ||||||||
1,370,315 | CGDBB Commercial Mortgage Trust, Series 2017-BIOC E (1 Month LIBOR USD + 2.15%)^ | 2.31 | % | 07/15/2032 | 1,368,820 | ||||||||
750,000 | CORE Mortgage Trust, Series 2019-CORE C (1 Month LIBOR USD + 1.30%)^ | 1.46 | % | 12/15/2031 | 744,163 | ||||||||
1,250,000 | CSMC, Series 2019-ICE4 C (1 Month LIBOR USD + 1.43%)^ | 1.59 | % | 05/15/2036 | 1,251,354 | ||||||||
2,950,000 | CSMC, Series 2019-ICE4 D (1 Month LIBOR USD + 1.60%)^ | 1.76 | % | 05/15/2036 | 2,927,905 | ||||||||
4,000,000 | DBGS Mortgage Trust, Series 2018-C1 7EA^ | 4.64 | % | 10/17/2051 | 3,970,916 | ||||||||
1,398,592 | FHLMC PC, Pool# G3-1063 | 3.50 | % | 11/01/2037 | 1,488,811 | ||||||||
1,153,321 | FHLMC REMIC, Series 4094 NI~ | 2.50 | % | 03/15/2027 | 42,767 | ||||||||
1,608,247 | FHLMC REMIC, Series 4107 LI~ | 3.00 | % | 08/15/2027 | 214,141 | ||||||||
2,052,487 | FHLMC REMIC, Series 4143 IA~ | 3.50 | % | 09/15/2042 | 214,460 | ||||||||
183,694 | FHLMC SCRTT, Series 2016-1 M1#^ | 3.00 | % | 09/25/2055 | 184,010 | ||||||||
300,000 | FHLMC SCRTT, Series 2017-1 M1#^ | 4.00 | % | 01/25/2056 | 301,439 | ||||||||
3,964,569 | FHMS, Series K-021 X1#~ | 1.40 | % | 06/25/2022 | 58,581 | ||||||||
10,267,779 | FHMS, Series K-C02 X1#~ | 0.37 | % | 03/25/2024 | 111,384 | ||||||||
4,415,417 | FHMS, Series K-038 X1#~ | 1.12 | % | 03/25/2024 | 133,617 | ||||||||
64,429,951 | FHMS, Series K-047 X1#~ | 0.13 | % | 05/25/2025 | 385,079 | ||||||||
12,417,534 | FHMS, Series Q-013 XPT1~ | 1.66 | % | 05/25/2025 | 384,821 | ||||||||
19,150,000 | FHMS, Series K-C06 X1#~ | 0.90 | % | 06/25/2025 | 643,599 | ||||||||
10,382,099 | FHMS, Series K-734 X1#~ | 0.65 | % | 02/25/2026 | 296,849 | ||||||||
6,635,921 | FHMS, Series K-735 X1#~ | 0.96 | % | 05/25/2026 | 304,085 | ||||||||
8,496,589 | FHMS, Series K-736 X1#~ | 1.31 | % | 07/25/2026 | 513,178 | ||||||||
666,888 | FHMS, Series K-058 X1#~ | 0.92 | % | 08/25/2026 | 30,819 | ||||||||
2,999,488 | FHMS, Series K-C04 X1#~ | 1.25 | % | 12/25/2026 | 162,508 | ||||||||
5,993,180 | FHMS, Series K-738 X1#~ | 1.52 | % | 01/25/2027 | 476,717 | ||||||||
6,000,000 | FHMS, Series K-738 XAM#~ | 1.37 | % | 03/25/2027 | 467,224 | ||||||||
8,138,846 | FHMS, Series Q-013 XPT2 ~ | 1.81 | % | 05/25/2027 | 346,129 | ||||||||
1,367,307 | FHMS, Series K-W03 X1#~ | 0.84 | % | 06/25/2027 | 54,959 | ||||||||
7,484,950 | FHMS, Series K-C05 X1#~ | 1.20 | % | 07/25/2027 | 420,088 | ||||||||
6,000,000 | FHMS, Series K-739 XAM#~ | 1.61 | % | 09/25/2027 | 586,540 | ||||||||
16,500,000 | FHMS, Series K-740 XAM#~ | 1.11 | % | 10/25/2027 | 1,150,543 | ||||||||
9,906,262 | FHMS, Series K-070 X1#~ | 0.33 | % | 11/25/2027 | 213,977 | ||||||||
654,777 | FHMS, Series Q-006 APT1# | 2.67 | % | 04/25/2028 | 671,299 | ||||||||
4,980,725 | FHMS, Series K-087 X1#~ | 0.36 | % | 12/25/2028 | 138,337 | ||||||||
3,993,209 | FHMS, Series K-092 X1#~ | 0.71 | % | 04/25/2029 | 213,641 | ||||||||
5,498,158 | FHMS, Series K-G01 X1#~ | 0.97 | % | 04/25/2029 | 328,442 | ||||||||
3,541,361 | FHMS, Series K-094 X1#~ | 0.88 | % | 06/25/2029 | 235,400 | ||||||||
4,496,862 | FHMS, Series K-103 X1#~ | 0.64 | % | 11/25/2029 | 229,867 | ||||||||
6,999,853 | FHMS, Series K-108 XAM#~ | 1.66 | % | 03/25/2030 | 956,748 |
The accompanying notes are an integral part of these financial statements.
34
Brown Advisory Total Return Fund
Schedule of Investments
December 31, 2020 (Unaudited)
Par Value | Security Description | Rate | Maturity | Value $ | |||||||||
Mortgage Backed Securities — 23.7% (Continued) | |||||||||||||
5,030,000 | FHMS, Series K-109 XAM#~ | 1.80 | % | 04/25/2030 | 764,355 | ||||||||
4,800,000 | FHMS, Series K-110 XAM#~ | 1.87 | % | 04/25/2030 | 741,862 | ||||||||
3,410,000 | FHMS, Series K-112 XAM#~ | 1.66 | % | 05/25/2030 | 476,446 | ||||||||
4,750,000 | FHMS, Series K-111 XAM#~ | 1.80 | % | 05/25/2030 | 710,762 | ||||||||
6,238,500 | FHMS, Series K-114 XAM#~ | 1.34 | % | 06/25/2030 | 721,167 | ||||||||
11,000,000 | FHMS, Series K-G03 X1#~ | 1.38 | % | 06/25/2030 | 1,169,713 | ||||||||
12,000,000 | FHMS, Series K-113 XAM#~ | 1.59 | % | 06/25/2030 | 1,639,786 | ||||||||
9,300,000 | FHMS, Series K-115 XAM#~ | 1.55 | % | 07/25/2030 | 1,227,561 | ||||||||
7,250,000 | FHMS, Series K-116 XAM#~ | 1.60 | % | 08/25/2030 | 1,000,712 | ||||||||
15,998,158 | FHMS, Series K-SG1 X1#~ | 1.16 | % | 09/25/2030 | 1,462,926 | ||||||||
4,879,046 | FHMS, Series K-118 XAM#~ | 1.17 | % | 09/25/2030 | 507,619 | ||||||||
4,360,000 | FHMS, Series K-G04 A2 | 1.49 | % | 11/25/2030 | 4,497,337 | ||||||||
478,275 | FHMS, Series Q-010 APT1# | 2.78 | % | 04/25/2046 | 480,316 | ||||||||
3,362,990 | FHMS, Series Q-007 APT2# | 3.30 | % | 10/25/2047 | 3,613,314 | ||||||||
2,406,907 | FHMS, Series K-118 X3#~ | 2.69 | % | 10/25/2048 | 507,445 | ||||||||
1,432,792 | FHMS, Series Q-013 APT1# | 1.16 | % | 05/25/2050 | 1,451,502 | ||||||||
909,316 | FNMA, Pool# MA2897 | 3.00 | % | 02/01/2037 | 957,960 | ||||||||
261,521 | FNMA, Pool# 467095 | 5.90 | % | 01/01/2041 | 300,759 | ||||||||
172,902 | FNMA, Pool# 469130 | 4.87 | % | 10/01/2041 | 205,540 | ||||||||
249,932 | FNMA, Pool# BH7686 | 4.50 | % | 12/01/2047 | 273,842 | ||||||||
151,225 | FNMA, Pool# BK5105 | 5.50 | % | 05/01/2048 | 172,985 | ||||||||
136,153 | FNMA, Pool# BK8032 | 5.50 | % | 06/01/2048 | 154,199 | ||||||||
133,701 | FNMA, Pool# BN0202 | 5.50 | % | 09/01/2048 | 153,015 | ||||||||
146,887 | FNMA, Pool# BN4936 | 5.50 | % | 12/01/2048 | 165,833 | ||||||||
151,077 | FNMA, Pool# BN4921 | 5.50 | % | 01/01/2049 | 170,178 | ||||||||
7,500,000 | FNMA, 2.0%, TBA January | 2.00 | % | 01/15/2036 | 7,841,602 | ||||||||
3,000,000 | FNMA, 1.5%, TBA January | 1.50 | % | 01/15/2051 | 3,031,289 | ||||||||
12,000,000 | FNMA, 2.0%, TBA January | 2.00 | % | 01/15/2051 | 12,466,406 | ||||||||
20,992,929 | FNMA REMIC Trust, Series 2019-M23 X3#~ | 0.28 | % | 10/27/2031 | 579,279 | ||||||||
412,049 | FNMA REMIC Trust, Series 2012-65 HJ | 5.00 | % | 07/25/2040 | 465,268 | ||||||||
1,908,693 | FNMA REMIC Trust, Series 2020-10 Q | 3.00 | % | 03/25/2050 | 2,012,865 | ||||||||
1,750,000 | FREMF Mortgage Trust, Series 2016-K723 B#^ | 3.58 | % | 10/25/2039 | 1,850,224 | ||||||||
1,785,000 | FREMF Mortgage Trust, Series 2017-K64 B#^ | 3.98 | % | 05/25/2050 | 2,001,358 | ||||||||
1,500,000 | FREMF Mortgage Trust, Series 2019-K89 B#^ | 4.29 | % | 01/25/2051 | 1,737,609 | ||||||||
1,500,000 | FREMF Mortgage Trust, Series 2019-K734 B#^ | 4.05 | % | 02/25/2051 | 1,672,932 | ||||||||
2,000,000 | FREMF Mortgage Trust, Series 2019-K735 B#^ | 4.02 | % | 05/25/2052 | 2,223,467 | ||||||||
750,000 | FREMF Mortgage Trust, Series 2019-K736 B#^ | 3.76 | % | 09/25/2052 | 825,773 | ||||||||
418,666 | GNMA, Pool# 723334X | 5.00 | % | 09/15/2039 | 482,772 | ||||||||
7,500,000 | GNMA, 2.0%, TBA January | 2.00 | % | 01/15/2051 | 7,843,652 | ||||||||
3,590,643 | GNMA REMIC Trust, Series 2017-167 SE (1 Month LIBOR USD + 6.20%)~ | 6.05 | % | 11/20/2047 | 733,027 | ||||||||
777,873 | GNMA REMIC Trust, Series 2014-45 B1#~ | 0.67 | % | 07/16/2054 | 20,437 | ||||||||
580,546 | GNMA REMIC Trust, Series 2014-135 I0#~ | 0.64 | % | 01/16/2056 | 17,911 | ||||||||
561,523 | GNMA REMIC Trust, Series 2015-172 I0#~ | 0.74 | % | 03/16/2057 | 21,209 | ||||||||
917,864 | GNMA REMIC Trust, Series 2016-40 I0#~ | 0.67 | % | 07/16/2057 | 35,661 | ||||||||
732,203 | GNMA REMIC Trust, Series 2016-56 I0#~ | 0.87 | % | 11/16/2057 | 37,455 | ||||||||
929,935 | GNMA REMIC Trust, Series 2016-98 I0#~ | 0.89 | % | 05/16/2058 | 51,767 | ||||||||
1,000,000 | JPMCC, Series 2019-BKWD C (1 Month LIBOR USD + 1.60%)^ | 1.76 | % | 09/17/2029 | 975,789 | ||||||||
1,500,000 | JPMCC, Series 2019-MFP C (1 Month LIBOR USD + 1.36%)^ | 1.52 | % | 07/15/2036 | 1,477,809 | ||||||||
1,301,678 | KKR Industrial Portfolio Trust, Series 2020-AIP D (1 Month LIBOR USD + 2.03%)^ | 2.19 | % | 03/16/2037 | 1,298,399 | ||||||||
1,500,000 | MRCD Mortgage Trust, Series 2019-PARK C^ | 2.72 | % | 12/15/2036 | 1,523,267 | ||||||||
600,000 | MSC, Series 2019-NUGS B (1 Month LIBOR USD + 1.30%)^ | 2.80 | % | 12/15/2036 | 608,835 | ||||||||
1,000,000 | Natixis Commercial Mortgage Securities Trust, Series 2020-2PAC C^ | 3.40 | % | 12/16/2038 | 1,012,902 | ||||||||
1,000,000 | Velocity Commercial Capital Loan Trust, Series 2017-1 M1#^ | 3.55 | % | 05/25/2047 | 1,013,104 | ||||||||
Total Mortgage Backed Securities (Cost $105,366,648) | 108,863,779 |
The accompanying notes are an integral part of these financial statements.
35
Brown Advisory Total Return Fund
Schedule of Investments
December 31, 2020 (Unaudited)
Par Value | Security Description | Rate | Maturity | Value $ | |||||||||
Asset Backed Securities — 15.7% | |||||||||||||
540,000 | American Homes 4 Rent Trust, Series 2014-SFR2 D^ | 5.15 | % | 10/17/2036 | 591,353 | ||||||||
2,000,000 | American Homes 4 Rent Trust, Series 2014-SFR3 B^ | 4.20 | % | 12/18/2036 | 2,153,130 | ||||||||
520,000 | American Homes 4 Rent Trust, Series 2015-SFR1 D^ | 4.41 | % | 04/18/2052 | 559,197 | ||||||||
1,000,000 | AmeriCredit Automobile Receivables Trust, Series 2020-2 C | 1.48 | % | 02/18/2026 | 1,014,685 | ||||||||
423,988 | California Street CLO XII, Ltd., Series 2013-12A AR (3 Month LIBOR USD + 1.03%)^ | 1.27 | % | 10/15/2025 | 424,006 | ||||||||
500,000 | CNH Equipment Trust, Series 2020-A A4 | 1.51 | % | 04/15/2027 | 515,824 | ||||||||
1,000,000 | Dell Equipment Finance Trust, Series 2018-1 C^ | 3.53 | % | 06/22/2023 | 1,010,752 | ||||||||
1,263,745 | Dext LLC, Series 2020-1 A^ | 1.46 | % | 02/16/2027 | 1,268,315 | ||||||||
1,000,000 | Drive Auto Receivables Trust, Series 2019-3 D | 3.18 | % | 10/15/2026 | 1,042,221 | ||||||||
1,320,000 | Drive Auto Receivables Trust, Series 2020-1 | 2.70 | % | 05/15/2027 | 1,369,894 | ||||||||
1,250,000 | DT Auto Owner Trust, Series 2019-3A D^ | 2.96 | % | 04/15/2025 | 1,293,168 | ||||||||
1,500,000 | Exeter Automobile Receivables Trust, Series 2019-3A D^ | 3.11 | % | 08/15/2025 | 1,551,234 | ||||||||
3,574,410 | FHF Trust, Series 2020-1A A^ | 2.59 | % | 12/15/2023 | 3,599,508 | ||||||||
1,866,054 | FREED ABS Trust, Series 2019-1 B^ | 3.87 | % | 06/18/2026 | 1,885,269 | ||||||||
767,878 | FREED ABS Trust, Series 2020-2CP A^ | 4.52 | % | 06/18/2027 | 776,452 | ||||||||
2,000,000 | GoldenTree Loan Opportunities XI, Ltd., Series 2015-11A AR2 (3 Month LIBOR USD + 1.07%)^ | 1.29 | % | 01/21/2031 | 1,995,940 | ||||||||
500,000 | GreatAmerica Leasing Receivables Funding LLC, Series 2019-1 B^ | 3.37 | % | 02/18/2025 | 527,465 | ||||||||
500,000 | GreatAmerica Leasing Receivables Funding LLC, Series 2019-1 C^ | 3.54 | % | 02/17/2026 | 528,436 | ||||||||
500,000 | HPEFS Equipment Trust, Series 2019-1A D^ | 2.72 | % | 09/20/2029 | 511,764 | ||||||||
750,000 | HPEFS Equipment Trust, Series 2020-1A C^ | 2.03 | % | 02/20/2030 | 762,761 | ||||||||
1,000,000 | HPEFS Equipment Trust, Series 2020-1A D^ | 2.26 | % | 02/20/2030 | 1,011,092 | ||||||||
1,380,000 | Invitation Homes Trust, Series 2017-SFR2 B (1 Month LIBOR USD + 1.15%)^ | 1.30 | % | 12/19/2036 | 1,381,105 | ||||||||
1,200,000 | Invitation Homes Trust, Series 2017-SFR2 C (1 Month LIBOR USD + 1.45%)^ | 1.60 | % | 12/19/2036 | 1,204,109 | ||||||||
1,997,070 | Invitation Homes Trust, Series 2017-SFR2 D (1 Month LIBOR USD + 1.80%)^ | 1.95 | % | 12/19/2036 | 2,009,158 | ||||||||
800,000 | Invitation Homes Trust, Series 2018-SFR1 B (1 Month LIBOR USD + 0.95%)^ | 1.10 | % | 03/19/2037 | 795,462 | ||||||||
2,200,000 | Invitation Homes Trust, Series 2018-SFR1 C (1 Month LIBOR USD + 1.25%)^ | 1.40 | % | 03/19/2037 | 2,204,130 | ||||||||
2,995,881 | Invitation Homes Trust, Series 2018-SFR2 A (1 Month LIBOR USD + 0.90%)^ | 1.06 | % | 06/18/2037 | 3,010,583 | ||||||||
1,000,000 | Invitation Homes Trust, Series 2018-SFR2 B (1 Month LIBOR USD + 1.08%)^ | 1.24 | % | 06/18/2037 | 999,735 | ||||||||
2,100,000 | Madison Park Funding XVI, Ltd., Series 2015-16A A2R (3 Month LIBOR USD + 1.90%)^ | 2.12 | % | 04/20/2026 | 2,100,368 | ||||||||
1,500,000 | Mariner CLO LLC, Series 2016-3A AR2 (3 Month LIBOR USD + 0.99%)^ | 1.20 | % | 07/23/2029 | 1,495,046 | ||||||||
2,107,436 | MVW Owner Trust, Series 2017-1A A^ | 2.42 | % | 12/20/2034 | 2,161,212 | ||||||||
2,109,383 | Nationstar HECM Loan Trust, Series 2020-1 A#^ | 1.27 | % | 09/25/2030 | 2,114,674 | ||||||||
669,839 | Newtek Small Business Loan Trust, Series 2018-1 A (1 Month LIBOR USD + 1.70%)^ | 1.85 | % | 02/25/2044 | 652,628 | ||||||||
2,000,000 | Octagon Investment Partners 36, Ltd., Series 2018-1A A1 (3 Month LIBOR USD + 0.97%)^ | 1.21 | % | 04/15/2031 | 1,987,140 | ||||||||
1,000,000 | Oportun Funding VIII LLC, Series 2018-A A^ | 3.61 | % | 03/08/2024 | 1,000,000 | ||||||||
2,600,000 | Oportun Funding X LLC, Series 2018-C A^ | 4.10 | % | 10/08/2024 | 2,642,610 | ||||||||
2,000,000 | PFS Financing Corp., Series 2020-F A^ | 0.93 | % | 08/15/2024 | 2,013,772 | ||||||||
1,000,000 | Prestige Auto Receivables Trust, Series 2019-1A D^ | 3.01 | % | 08/15/2025 | 1,034,908 | ||||||||
1,500,000 | Progress Residential Trust, Series 2018-SFR1 C^ | 3.68 | % | 03/17/2035 | 1,506,129 | ||||||||
1,140,612 | Progress Residential Trust, Series 2018-SFR1 A^ | 3.26 | % | 03/19/2035 | 1,144,406 | ||||||||
2,495,720 | Progress Residential Trust, Series 2018-SFR3 A^ | 3.88 | % | 10/18/2035 | 2,556,128 | ||||||||
790,000 | Santander Drive Auto Receivables Trust, Series 2019-3 D | 2.68 | % | 10/15/2025 | 812,715 | ||||||||
364,000 | SBA Tower Trust, Series 2020-1-2^ | 2.33 | % | 01/15/2028 | 368,750 | ||||||||
2,700,000 | Stack Infrastructure Issuer LLC, Series 2020-1A A2^ | 1.89 | % | 08/25/2045 | 2,736,470 | ||||||||
1,890,262 | Theorem Funding Trust, Series 2020-1A A^ | 2.48 | % | 10/15/2026 | 1,905,557 | ||||||||
1,250,000 | Treman Park CLO, Ltd., Series 2015-1A ARR (3 Month LIBOR USD + 1.07%)^ | 1.29 | % | 10/20/2028 | 1,250,040 | ||||||||
3,000,000 | Vantage Data Centers LLC, Series 2020-1A A2^ | 1.65 | % | 09/15/2045 | 3,029,264 | ||||||||
898,925 | Westgate Resorts LLC, Series 2018-1A C^ | 4.10 | % | 12/20/2031 | 890,648 | ||||||||
1,872,981 | Westlake Automobile Receivables Trust, Series 2020-2A A2A^ | 0.93 | % | 02/15/2024 | 1,879,685 | ||||||||
1,000,000 | Westlake Automobile Receivables Trust, Series 2020-2A C^ | 2.01 | % | 07/15/2025 | 1,021,166 | ||||||||
Total Asset Backed Securities (Cost $71,667,084) | 72,300,064 |
The accompanying notes are an integral part of these financial statements.
36
Brown Advisory Total Return Fund
Schedule of Investments
December 31, 2020 (Unaudited)
Par | ||||||||||||||
Value/Shares | Security Description | Rate | Maturity | Value $ | ||||||||||
U.S. Treasury Notes — 14.9% | ||||||||||||||
31,910,000 | United States Treasury Note | 0.38 | % | 03/31/2022 | 32,016,574 | |||||||||
17,735,000 | United States Treasury Note | 1.88 | % | 08/31/2022 | 18,250,424 | |||||||||
17,210,000 | United States Treasury Note | 2.75 | % | 04/30/2023 | 18,254,028 | |||||||||
Total U.S. Treasury Notes (Cost $68,438,012) | 68,521,026 | |||||||||||||
Municipal Bonds — 0.9% | ||||||||||||||
230,000 | American Municipal Power, Inc. | 6.05 | % | 02/15/2043 | 338,003 | |||||||||
1,200,000 | Health Care Authority for Baptist Health | 5.50 | % | 11/15/2043 | 1,617,108 | |||||||||
2,000,000 | Oregon Health & Science University | 3.00 | % | 07/01/2032 | 2,169,500 | |||||||||
Total Municipal Bonds (Cost $3,527,617) | 4,124,611 | |||||||||||||
Preferred Stocks — 0.3% | ||||||||||||||
49,152 | AGNC Investment Corp., Series C, 7.00% | |||||||||||||
(Fixed until 10/15/2022, then 3 Month LIBOR + 5.11%) | 1,252,884 | |||||||||||||
10,000 | Annaly Capital Management, Inc., Series G, 6.50% | |||||||||||||
(Fixed until 03/31/2023, then 3 Month LIBOR + 4.17%) | 246,300 | |||||||||||||
Total Preferred Stocks (Cost $1,465,173) | 1,499,184 | |||||||||||||
Short-Term Investments — 1.9% | ||||||||||||||
Money Market Funds — 1.5% | ||||||||||||||
6,710,928 | First American Government Obligations Fund — Class Z, 0.03%* | 6,710,928 | ||||||||||||
U.S. Treasury Bills — 0.4% | ||||||||||||||
1,800,000 | United States Treasury Bill, 0.10%† | 1,799,983 | ||||||||||||
Total Short-Term Investments (Cost $8,510,865) | 8,510,911 | |||||||||||||
Total Investments — 105.7% (Cost $463,476,838) | 485,426,222 | |||||||||||||
Liabilities in Excess of Other Assets — (5.7)% | (26,191,201 | ) | ||||||||||||
NET ASSETS — 100.0% | $ | 459,235,021 |
# | Variable rate security. Rate disclosed is as of the date of this report. | |
^ | Security exempt from registration under Rule 144A of the Securities Act of 1933. These securities may be resold in transactions exempt from registration, normally to qualified institutional buyers. | |
~ | Interest Only Security | |
* | Annualized seven-day yield as of the date of this report. | |
† | This security is pledged as collateral in connection with open futures contracts. Rate disclosed is yield to maturity as of the date of this report. |
PORTFOLIO HOLDINGS | ||||
% of Net Assets | ||||
Corporate Bonds & Notes | 48.3 | % | ||
Mortgage Backed Securities | 23.7 | % | ||
Asset Backed Securities | 15.7 | % | ||
U.S. Treasury Notes | 14.9 | % | ||
Money Market Funds | 1.5 | % | ||
Municipal Bonds | 0.9 | % | ||
U.S. Treasury Bills | 0.4 | % | ||
Preferred Stocks | 0.3 | % | ||
Other Assets and Liabilities | (5.7 | )% | ||
100.0 | % |
The accompanying notes are an integral part of these financial statements.
37
Brown Advisory Total Return Fund
Schedule of Investments
December 31, 2020 (Unaudited)
Futures Contracts — Long (Note 6)
Notional | Notional | Unrealized Appreciation | |||||||||||||||
Issue | Contracts | Expiration Date | Amount | Value | (Depreciation) | ||||||||||||
U.S. Treasury 5-Year Note Futures | 182 | 03/31/2021 | $ | 22,917,490 | $ | 22,961,859 | $ | 44,369 | |||||||||
U.S. Treasury 2-Year Note Futures | 31 | 03/31/2021 | 6,843,151 | 6,850,274 | 7,123 | ||||||||||||
U.S. Treasury Long Bond Futures | 102 | 03/22/2021 | 17,809,851 | 17,665,125 | (144,726 | ) | |||||||||||
U.S. Treasury 10-Year Ultra Note Futures | 161 | 03/22/2021 | 34,756,666 | 34,383,563 | (373,103 | ) | |||||||||||
$ | 82,327,158 | $ | 81,860,821 | $ | (466,337 | ) | |||||||||||
Futures Contracts — Short (Note 6) | |||||||||||||||||
Notional | Notional | Unrealized Appreciation | |||||||||||||||
Issue | Contracts | Expiration Date | Amount | Value | (Depreciation) | ||||||||||||
U.S. Treasury 10-Year Note Futures | (207 | ) | 03/22/2021 | $ | (28,557,039 | ) | $ | (28,582,172 | ) | $ | (25,133 | ) | |||||
U.S. Treasury Ultra Bond Futures | (186 | ) | 03/22/2021 | (29,196,753 | ) | (29,082,844 | ) | 113,909 | |||||||||
$ | (57,753,792 | ) | $ | (57,665,016 | ) | $ | 88,776 |
There is no variation margin due to or from the Fund as of the date of this report.
Schedule of Securities Sold Short
December 31, 2020 (Unaudited)
Par Value | Security Description | Rate | Maturity | Value $ | |||||||||||
Mortgage Backed Securities — (1.1)% | |||||||||||||||
5,000,000 | FNMA, 3.0%, Due TBA January | 3.00 | % | 01/15/2051 | (5,239,062 | ) | |||||||||
Total Mortgage Backed Securities (Proceeds $5,229,297) | $ | (5,239,062 | ) |
Percentages are stated as a percent of net assets.
The accompanying notes are an integral part of these financial statements.
38
Brown Advisory Sustainable Bond Fund
A Message to Our Shareholders
December 31, 2020
Dear Shareholders:
During the six-month period ended December 31, 2020, the Brown Advisory Sustainable Bond Fund – Investor Shares (the “Fund”) increased 2.97% in value. During the same period, the Bloomberg Barclays US Aggregate Bond Index (the “Index”), the Fund’s benchmark, increased 1.29%.
The Fund aims to generate performance primarily through individual security selection that augments fundamental credit analysis with integrated ESG research. The Fund seeks to identify and invest in issuers whose ESG characteristics strengthen their credit profiles, as well as issuers whose use of proceeds create positive environmental and social impacts. Duration and sector weightings are set mainly by an analysis of the intermediate-term risk/reward, as opposed to any particular macroeconomic forecast.
The onset of the COVID-19 pandemic in the first quarter caused credit spreads of all varieties to widen materially. During this period, we added meaningfully to higher quality corporate credit both in terms of percentage weight and contribution to duration. As credit spreads normalized in the second half of 2020, these corporate positions were the major driver of outperformance. Our corporate positions contributed to performance both through allocation and selection. Corporate bonds were generally the best performing sector during this period, so the overweight was a positive. Secondly, our selections outperformed those in the Index.
Interest rate positioning was a small positive. During this period the Fund was positioned for the yield curve to steepen, and toward the end of the year we chose to also underweight duration outright. The yield curve indeed steepened slightly and rates rose modestly. These combined to add 15 basis points to relative performance. Our rates’ positioning is mainly meant to ameliorate volatility should it come, and therefore, should only have a small effect for “normal” rate movements.
Other factors were relatively minor. We are meaningfully underweight agency-backed mortgage bonds, and this space struggled through most of 2020. Falling rates touched off a refinancing boom, which is usually problematic for mortgage-backed securities (MBS) investors. As such, MBS was the worst performing of the major sectors during this period, save for Treasury bonds.
Looking forward, after an incredibly volatile 2020, we are all probably hoping for a more staid 2021. Our base case would be that fixed income markets are quite boring next year. However, we believe that we have positioned portfolios to protect against unexpected volatility, be it from a surprisingly weaker or stronger economy.
The global labeled bond market surpassed two trillion in total issuance, driven by green bonds that surpassed one trillion and increased 13% this year. While green bonds still make up the lion share of the broader labeled bond market, we saw exponential growth in other label types, specifically social bonds and sustainability-linked loans. This growth is impressive, given companies and other issuers tend to focus on short-term liquidity and easing up the balance sheet during peak volatility. We saw issuers double down on their commitment to sustainability and understand the importance of balancing profit with the well-being of employees, customers and other key stakeholders. The growth outlook for the labeled bond market in 2021 and beyond is promising. We not only expect to see record growth, but also enhanced regulation which will lead to increased transparency.
We are in the process of completing our third annual Impact Report on the Fund and we look forward to hearing feedback and continuing to enhance our reporting efforts.
Sincerely,
Amy Hauter, CFA
Portfolio Manager
Thomas D.D. Graff, CFA
Portfolio Manager
39
Brown Advisory Sustainable Bond Fund
A Message to Our Shareholders
December 31, 2020
Past performance is not a guarantee of future results.
Mutual fund investing involves risk. Principal loss is possible. Investments in debt securities typically decrease in value when interest rates rise. This risk is usually greater for longer-term debt securities. Investments in Asset-Backed and Mortgage-Backed securities include additional risks that investor should be aware of including credit risk, prepayment risk, possible illiquidity and default, as well as increased susceptibility to adverse economic developments. Investments in lower rated and non-rated securities present a great risk of loss to principal and interest than higher rated securities. In addition, the fund is susceptible to risks from investments in derivatives, U.S. Government securities, and changes in interest rates. Income from tax-exempt funds may be subject to state and local taxes and a portion of income may be subject to the Federal Alternative minimum tax for certain investors.
Fund holdings and sector allocations are subject to change and should not be considered a recommendation to buy or sell any security. For a complete list of fund holdings, please refer to the Schedule of Investments provided in this report.
Definitions for terms and indices are provided in the Glossary of Terms.
40
Brown Advisory Sustainable Bond Fund
Schedule of Investments
December 31, 2020 (Unaudited)
Par Value | Security Description | Rate | Maturity | Value $ | |||||||||
Corporate Bonds & Notes — 43.3% | |||||||||||||
1,820,000 | Agilent Technologies, Inc. | 2.10 | % | 06/04/2030 | 1,886,968 | ||||||||
2,830,000 | Alexandria Real Estate Equities, Inc. | 1.88 | % | 02/01/2033 | 2,833,081 | ||||||||
810,000 | Allison Transmission, Inc.^ | 5.88 | % | 06/01/2029 | 896,156 | ||||||||
2,565,000 | American Tower Corp. | 3.13 | % | 01/15/2027 | 2,833,457 | ||||||||
1,705,000 | Amphenol Corp. | 2.80 | % | 02/15/2030 | 1,882,941 | ||||||||
1,731,000 | Analog Devices, Inc. | 2.95 | % | 04/01/2025 | 1,891,152 | ||||||||
1,850,000 | Apple, Inc. | 1.13 | % | 05/11/2025 | 1,904,062 | ||||||||
429,000 | Aptiv PLC | 4.35 | % | 03/15/2029 | 498,889 | ||||||||
850,000 | AvalonBay Communities, Inc. | 3.45 | % | 06/01/2025 | 947,087 | ||||||||
835,000 | Ball Corp. | 4.88 | % | 03/15/2026 | 944,527 | ||||||||
1,870,000 | Bank of America Corp. (Fixed until 09/25/2024, then SOFR + 0.91%) | 0.98 | % | 09/25/2025 | 1,891,725 | ||||||||
1,840,000 | Citigroup, Inc. (Fixed until 05/15/2023, then SOFR + 1.67%) | 1.68 | % | 05/15/2024 | 1,896,505 | ||||||||
1,840,000 | Clorox Co. | 1.80 | % | 05/15/2030 | 1,902,862 | ||||||||
2,399,000 | Conservation Fund | 3.47 | % | 12/15/2029 | 2,599,930 | ||||||||
815,000 | Consolidated Edison Co. of New York, Inc. | 3.35 | % | 04/01/2030 | 935,400 | ||||||||
1,700,000 | Crown Castle International Corp. | 3.30 | % | 07/01/2030 | 1,905,837 | ||||||||
2,410,000 | CVS Health Corp. | 4.30 | % | 03/25/2028 | 2,869,567 | ||||||||
1,920,000 | Ecolab, Inc. | 1.30 | % | 01/30/2031 | 1,904,438 | ||||||||
765,000 | Ford Foundation | 2.42 | % | 06/01/2050 | 783,596 | ||||||||
1,710,000 | Fortis, Inc. | 3.06 | % | 10/04/2026 | 1,884,563 | ||||||||
685,000 | Graphic Packaging International LLC^ | 4.75 | % | 07/15/2027 | 761,076 | ||||||||
2,645,000 | Hasbro, Inc. | 3.50 | % | 09/15/2027 | 2,883,797 | ||||||||
1,635,000 | Huntsman International LLC | 4.50 | % | 05/01/2029 | 1,887,033 | ||||||||
1,690,000 | IDEX Corp. | 3.00 | % | 05/01/2030 | 1,862,792 | ||||||||
1,630,000 | JB Hunt Transport Services, Inc. | 3.88 | % | 03/01/2026 | 1,874,303 | ||||||||
885,000 | KeHE Distributors LLC^ | 8.63 | % | 10/15/2026 | 995,488 | ||||||||
815,000 | Kimberly-Clark Corp. | 3.10 | % | 03/26/2030 | 939,283 | ||||||||
1,400,000 | Land O’Lakes, Inc.^ | 7.25 | % | 07/14/2027 | 1,374,513 | ||||||||
950,000 | LBM Acquisition LLC^ | 6.25 | % | 01/15/2029 | 982,656 | ||||||||
835,000 | Marriott International, Inc. | 5.75 | % | 05/01/2025 | 977,262 | ||||||||
865,000 | Marriott International, Inc. | 4.65 | % | 12/01/2028 | 1,004,501 | ||||||||
2,355,000 | Marvell Technology Group Ltd. | 4.88 | % | 06/22/2028 | 2,785,235 | ||||||||
1,720,000 | NextEra Energy Capital Holdings, Inc. | ||||||||||||
(Fixed until 12/01/2027, then 3 Month LIBOR USD + 2.41%) | 4.80 | % | 12/01/2077 | 1,890,673 | |||||||||
836,000 | NIKE, Inc. | 2.85 | % | 03/27/2030 | 947,837 | ||||||||
2,480,000 | Northwell Healthcare, Inc. | 4.26 | % | 11/01/2047 | 2,985,341 | ||||||||
1,665,000 | NXP BV^ | 3.88 | % | 06/18/2026 | 1,909,404 | ||||||||
1,685,000 | Oracle Corp. | 2.95 | % | 04/01/2030 | 1,885,563 | ||||||||
1,270,000 | PVH Corp. | 4.63 | % | 07/10/2025 | 1,432,412 | ||||||||
915,000 | SBA Communications Corp.^ | 3.88 | % | 02/15/2027 | 962,168 | ||||||||
1,960,000 | Southwest Airlines Co. | 2.63 | % | 02/10/2030 | 2,002,838 | ||||||||
1,915,000 | Takeda Pharmaceutical Co., Ltd. | 2.05 | % | 03/31/2030 | 1,962,588 | ||||||||
1,670,000 | Thermo Fisher Scientific, Inc. | 3.20 | % | 08/15/2027 | 1,879,906 | ||||||||
1,570,000 | TJX Companies, Inc. | 3.88 | % | 04/15/2030 | 1,886,077 | ||||||||
730,000 | T-Mobile USA, Inc.^ | 3.88 | % | 04/15/2030 | 846,399 | ||||||||
1,595,000 | Trimble, Inc. | 4.90 | % | 06/15/2028 | 1,910,330 | ||||||||
900,000 | Trustees of the University of Pennsylvania | 4.01 | % | 08/15/2047 | 988,185 | ||||||||
2,485,000 | Verisk Analytics, Inc. | 4.00 | % | 06/15/2025 | 2,817,765 | ||||||||
2,395,000 | Verizon Communications, Inc. | 3.88 | % | 02/08/2029 | 2,823,032 | ||||||||
1,720,000 | VF Corp. | 2.95 | % | 04/23/2030 | 1,905,385 | ||||||||
1,780,000 | Xylem, Inc. | 2.25 | % | 01/30/2031 | 1,877,147 | ||||||||
Total Corporate Bonds & Notes (Cost $80,256,245) | 86,333,732 |
The accompanying notes are an integral part of these financial statements.
41
Brown Advisory Sustainable Bond Fund
Schedule of Investments
December 31, 2020 (Unaudited)
Par Value | Security Description | Rate | Maturity | Value $ | |||||||||
Mortgage Backed Securities — 18.8% | |||||||||||||
500,000 | CAMB Commercial Mortgage Trust, Series 2019-LIFE B (1 Month LIBOR USD + 1.25%)^ | 1.41 | % | 12/15/2037 | 501,682 | ||||||||
500,000 | CAMB Commercial Mortgage Trust, Series 2019-LIFE C (1 Month LIBOR USD + 1.45%)^ | 1.61 | % | 12/15/2037 | 501,761 | ||||||||
913,543 | CGDBB Commercial Mortgage Trust, Series 2017-BIOC B (1 Month LIBOR USD + 0.97%)^ | 1.13 | % | 07/15/2032 | 914,109 | ||||||||
1,370,315 | CGDBB Commercial Mortgage Trust, Series 2017-BIOC D (1 Month LIBOR USD + 1.60%)^ | 1.76 | % | 07/15/2032 | 1,375,103 | ||||||||
456,772 | CGDBB Commercial Mortgage Trust, Series 2017-BIOC E (1 Month LIBOR USD + 2.15%)^ | 2.31 | % | 07/15/2032 | 456,273 | ||||||||
750,000 | CORE Mortgage Trust, Series 2019-CORE C (1 Month LIBOR USD + 1.30%)^ | 1.46 | % | 12/15/2031 | 744,163 | ||||||||
500,000 | CSMC, Series 2019-ICE4 C (1 Month LIBOR USD + 1.43%)^ | 1.59 | % | 05/15/2036 | 500,542 | ||||||||
1,350,000 | CSMC, Series 2019-ICE4 D (1 Month LIBOR USD + 1.60%)^ | 1.76 | % | 05/15/2036 | 1,339,889 | ||||||||
494,319 | FHLMC STACR, Series 2014-HQ2 M3 (1 Month LIBOR USD + 3.75%) | 3.90 | % | 09/25/2024 | 509,333 | ||||||||
478,180 | FHLMC STACR, Series 2015-HQ2 (1 Month LIBOR USD + 3.25%) | 3.40 | % | 05/27/2025 | 488,580 | ||||||||
170,799 | FHMS, Series K-W01 A1 | 2.59 | % | 05/25/2025 | 179,992 | ||||||||
600,000 | FHMS, Series K-G01 A7 | 2.88 | % | 04/25/2026 | 659,424 | ||||||||
585,989 | FHMS, Series K-W03 X1#~ | 0.84 | % | 06/25/2027 | 23,554 | ||||||||
300,000 | FHMS, Series K-W03 A2 | 3.02 | % | 06/25/2027 | 336,560 | ||||||||
1,391,400 | FHMS, Series Q-006 APT1# | 2.67 | % | 04/25/2028 | 1,426,510 | ||||||||
634,980 | FHMS, Series K-W04 A (1 Month LIBOR USD + 0.24%) | 0.39 | % | 09/25/2028 | 630,024 | ||||||||
5,498,158 | FHMS, Series K-G01 X1#~ | 0.97 | % | 04/25/2029 | 328,442 | ||||||||
6,250,000 | FHMS, Series K-G02 X1#~ | 1.02 | % | 08/25/2029 | 456,624 | ||||||||
800,000 | FHMS, Series K-G03 A2# | 1.30 | % | 06/25/2030 | 803,733 | ||||||||
5,900,000 | FHMS, Series K-G03 X1#~ | 1.38 | % | 06/25/2030 | 627,391 | ||||||||
7,499,136 | FHMS, Series K-SG1 X1#~ | 1.16 | % | 09/25/2030 | 685,747 | ||||||||
1,850,000 | FHMS, Series K-G04 A2 | 1.49 | % | 11/25/2030 | 1,908,273 | ||||||||
478,275 | FHMS, Series Q-010 APT1# | 2.78 | % | 04/25/2046 | 480,316 | ||||||||
776,625 | FHMS, Series Q-007 APT1# | 2.98 | % | 10/25/2047 | 798,528 | ||||||||
955,195 | FHMS, Series Q-013 APT1# | 1.16 | % | 05/25/2050 | 967,668 | ||||||||
151,225 | FNMA, Pool# BK5105 | 5.50 | % | 05/01/2048 | 172,985 | ||||||||
136,153 | FNMA, Pool# BK8032 | 5.50 | % | 06/01/2048 | 154,199 | ||||||||
133,701 | FNMA, Pool# BN0202 | 5.50 | % | 09/01/2048 | 153,015 | ||||||||
146,887 | FNMA, Pool# BN4936 | 5.50 | % | 12/01/2048 | 165,833 | ||||||||
151,077 | FNMA, Pool# BN4921 | 5.50 | % | 01/01/2049 | 170,178 | ||||||||
300,000 | FNMA REMIC Trust, Series 2017-M10 AV2# | 2.56 | % | 07/25/2024 | 319,787 | ||||||||
80,000 | FNMA REMIC Trust, Series 2017-M2 A# | 2.80 | % | 02/25/2027 | 89,161 | ||||||||
831,000 | FNMA REMIC Trust, Series 2017-M13 A2# | 2.94 | % | 09/25/2027 | 942,921 | ||||||||
930,000 | FNMA REMIC Trust, Series 2019-M1 A2# | 3.55 | % | 09/25/2028 | 1,100,329 | ||||||||
1,000,000 | FREMF Mortgage Trust, Series 2020-K737 B#^ | 3.30 | % | 11/25/2026 | 1,090,197 | ||||||||
1,000,000 | FREMF Mortgage Trust, Series 2019-K89 B#^ | 4.29 | % | 01/25/2051 | 1,158,406 | ||||||||
1,000,000 | FREMF Mortgage Trust, Series 2019-K734 B#^ | 4.05 | % | 02/25/2051 | 1,115,288 | ||||||||
1,250,000 | FREMF Mortgage Trust, Series 2019-K735 B#^ | 4.02 | % | 05/25/2052 | 1,389,667 | ||||||||
986,909 | GNMA, Pool# 781950X | 4.50 | % | 07/15/2035 | 1,097,297 | ||||||||
1,752,133 | GNMA, Pool# AV8310C | 3.50 | % | 08/20/2046 | 1,951,049 | ||||||||
1,985,079 | GNMA REMIC Trust, Series 2020-167 | 1.00 | % | 02/20/2049 | 1,997,497 | ||||||||
399,457 | IMT Trust, Series 2017-APTS BFL (1 Month LIBOR USD + 0.95%)^ | 1.11 | % | 06/15/2034 | 398,541 | ||||||||
1,008,583 | IMT Trust, Series 2017-APTS CFL (1 Month LIBOR USD + 1.10%)^ | 1.26 | % | 06/15/2034 | 1,007,039 | ||||||||
1,000,000 | JPMCC, Series 2019-MFP C (1 Month LIBOR USD + 1.36%)^ | 1.52 | % | 07/15/2036 | 985,206 | ||||||||
1,345,000 | KNDL Mortgage Trust, Series 2019-KNSQ C (1 Month LIBOR USD + 1.05%)^ | 1.21 | % | 05/15/2036 | 1,346,140 | ||||||||
700,000 | MRCD Mortgage Trust, Series 2019-PARK C^ | 2.72 | % | 12/15/2036 | 710,858 | ||||||||
200,000 | MSC, Series 2017-CLS A (1 Month LIBOR USD + 0.70%)^ | 0.86 | % | 11/15/2034 | 200,105 | ||||||||
1,110,000 | MSC, Series 2017-CLS D (1 Month LIBOR USD + 1.40%)^ | 1.56 | % | 11/15/2034 | 1,108,006 | ||||||||
1,000,000 | Natixis Commercial Mortgage Securities Trust, Series 2020-2PAC C^ | 3.40 | % | 12/16/2038 | 1,012,902 | ||||||||
Total Mortgage Backed Securities (Cost $36,344,372) | 37,480,827 | ||||||||||||
Asset Backed Securities — 9.0% | |||||||||||||
500,000 | CNH Equipment Trust, Series 2020-A A4 | 1.51 | % | 04/15/2027 | 515,825 | ||||||||
608,470 | Dext LLC, Series 2020-1LLC A^ | 1.46 | % | 02/16/2027 | 610,670 | ||||||||
893,602 | FHF Trust, Series 2020-1A A^ | 2.59 | % | 12/15/2023 | 899,877 | ||||||||
1,119,633 | FREED ABS Trust, Series 2019-1 B^ | 3.87 | % | 06/18/2026 | 1,131,160 |
The accompanying notes are an integral part of these financial statements.
42
Brown Advisory Sustainable Bond Fund
Schedule of Investments
December 31, 2020 (Unaudited)
Par Value | Security Description | Rate | Maturity | Value $ | |||||||||
Asset Backed Securities — 9.0% (Continued) | |||||||||||||
947,049 | FREED ABS Trust, Series 2020-2CP A^ | 4.52 | % | 06/18/2027 | 957,625 | ||||||||
500,000 | GreatAmerica Leasing Receivables Funding LLC, Series 2019-1 B^ | 3.37 | % | 02/18/2025 | 527,465 | ||||||||
500,000 | GreatAmerica Leasing Receivables Funding LLC, Series 2019-1 C^ | 3.54 | % | 02/17/2026 | 528,436 | ||||||||
1,000,000 | HPEFS Equipment Trust, Series 2019-1A D^ | 2.72 | % | 09/20/2029 | 1,023,527 | ||||||||
1,000,000 | HPEFS Equipment Trust, Series 2020-1A D^ | 2.26 | % | 02/20/2030 | 1,011,092 | ||||||||
669,839 | Newtek Small Business Loan Trust, Series 2018-1 A (1 Month LIBOR USD + 1.70%)^ | 1.85 | % | 02/25/2044 | 652,628 | ||||||||
259,854 | NYCTL Trust, Series 2018-A A^ | 3.22 | % | 11/10/2031 | 262,018 | ||||||||
597,055 | NYCTL Trust, Series 2019-A A^ | 2.19 | % | 11/10/2032 | 605,264 | ||||||||
500,000 | Oportun Funding IX LLC, Series 2018-B A^ | 3.91 | % | 07/08/2024 | 503,884 | ||||||||
1,000,000 | Oportun Funding VIII LLC, Series 2018-A A^ | 3.61 | % | 03/08/2024 | 1,000,000 | ||||||||
1,000,000 | Oportun Funding X LLC, Series 2018-C A^ | 4.10 | % | 10/08/2024 | 1,016,389 | ||||||||
327,000 | Oportun Funding XIII LLC, Series 2019-A A^ | 3.08 | % | 08/08/2025 | 331,646 | ||||||||
650,000 | PFS Financing Corp., Series 2020-F A^ | 0.93 | % | 08/15/2024 | 654,476 | ||||||||
362,000 | SBA Tower Trust, Series 2020-1-2^ | 2.33 | % | 01/15/2028 | 366,724 | ||||||||
850,000 | Stack Infrastructure Issuer LLC, Series 2020-1A A2^ | 1.89 | % | 08/25/2045 | 861,481 | ||||||||
750,000 | Tesla Auto Lease Trust, Series 2020-A A3^ | 0.68 | % | 12/20/2023 | 754,700 | ||||||||
750,000 | Tesla Auto Lease Trust, Series 2020-A C^ | 1.68 | % | 02/20/2024 | 761,204 | ||||||||
1,125,000 | Vantage Data Centers LLC, Series 2020-1A A2^ | 1.65 | % | 09/15/2045 | 1,135,973 | ||||||||
750,000 | Verizon Owner Trust, Series 2019-A C | 3.22 | % | 09/20/2023 | 777,557 | ||||||||
1,000,000 | Verizon Owner Trust, Series 2019-B C# | 2.60 | % | 12/20/2023 | 1,032,875 | ||||||||
Total Asset Backed Securities (Cost $17,668,136) | 17,922,496 | ||||||||||||
Municipal Bonds — 7.1% | |||||||||||||
2,650,000 | California Health Facilities Financing Authority | 3.03 | % | 06/01/2034 | 2,830,783 | ||||||||
1,000,000 | Colorado Health Facilities Authority | 3.36 | % | 12/01/2030 | 1,036,970 | ||||||||
100,000 | Honolulu, City & County Hawaii | 3.00 | % | 09/01/2027 | 113,323 | ||||||||
30,000 | Los Angeles California Community College District | 6.60 | % | 08/01/2042 | 49,650 | ||||||||
430,000 | Los Angeles California Wastewater System Revenue | 3.49 | % | 06/01/2029 | 485,272 | ||||||||
20,000 | Maryland Community Development Administration | 3.24 | % | 09/01/2048 | 20,640 | ||||||||
3,300,000 | Metropolitan Pier & Exposition Authority | 3.96 | % | 12/15/2026 | 3,311,615 | ||||||||
675,000 | Miami-Dade County Florida Educational Facilities Authority | 4.47 | % | 04/01/2051 | 732,159 | ||||||||
1,000,000 | New York City Housing Development Corp. | 2.71 | % | 08/01/2031 | 1,039,300 | ||||||||
2,470,000 | Oregon Health & Science University | 3.00 | % | 07/01/2032 | 2,679,333 | ||||||||
250,000 | Pennsylvania Economic Development | 3.20 | % | 11/15/2027 | 270,005 | ||||||||
60,000 | San Francisco, City & County of California Public Utilities Commission Water Revenue | 3.55 | % | 11/01/2031 | 67,807 | ||||||||
355,000 | University of California | 2.99 | % | 05/15/2026 | 392,509 | ||||||||
850,000 | University of Massachusetts Building Authority | 5.45 | % | 11/01/2040 | 1,170,510 | ||||||||
25,000 | University of North Texas System | 3.69 | % | 04/15/2030 | 28,083 | ||||||||
Total Municipal Bonds (Cost $13,396,382) | 14,227,959 | ||||||||||||
Foreign Government Bonds — 8.7% | |||||||||||||
1,000,000 | Industrial Bank of Korea (3 Month LIBOR USD + 0.60%)^ | 0.81 | % | 08/02/2021 | 1,002,690 | ||||||||
5,600,000 | International Bank for Reconstruction & Development | 0.63 | % | 04/22/2025 | 5,656,494 | ||||||||
3,920,000 | International Finance Corp. | 2.00 | % | 10/24/2022 | 4,047,410 | ||||||||
2,425,000 | Korea Development Bank (3 Month LIBOR USD + 0.73%) | 0.96 | % | 07/06/2022 | 2,442,120 | ||||||||
4,000,000 | Kreditanstalt fuer Wiederaufbau | 2.00 | % | 09/29/2022 | 4,127,535 | ||||||||
Total Foreign Government Bonds (Cost $17,227,672) | 17,276,249 | ||||||||||||
U.S. Treasury Notes — 10.7% | |||||||||||||
11,500,000 | United States Treasury Note | 1.88 | % | 08/31/2022 | 11,834,219 | ||||||||
8,890,000 | United States Treasury Note | 2.75 | % | 04/30/2023 | 9,429,304 | ||||||||
Total U.S. Treasury Notes (Cost $21,246,438) | 21,263,523 |
The accompanying notes are an integral part of these financial statements.
43
Brown Advisory Sustainable Bond Fund
Schedule of Investments
December 31, 2020 (Unaudited)
Shares/ | ||||||||
Par Value | Security Description | Value $ | ||||||
Short-Term Investments — 4.6% | ||||||||
Money Market Funds — 4.5% | ||||||||
8,989,554 | First American Government Obligations Fund — Class Z, 0.03%* | 8,989,554 | ||||||
U.S. Treasury Bills — 0.1% | ||||||||
250,000 | United States Treasury Bill, 0.10%† | 249,998 | ||||||
Total Short-Term Investments (Cost $9,239,545) | 9,239,552 | |||||||
Total Investments — 102.2% (Cost $195,378,790) | 203,744,338 | |||||||
Liabilities in Excess of Other Assets — (2.2)% | (4,290,834 | ) | ||||||
NET ASSETS — 100.0% | $ | 199,453,504 |
# | Variable rate security. Rate disclosed is as of the date of this report. | |
^ | Security exempt from registration under Rule 144A of the Securities Act of 1933. These securities may be resold in transactions exempt from registration, normally to qualified institutional buyers. | |
~ | Interest Only Security | |
* | Annualized seven-day yield as of the date of this report. | |
† | This security is pledged as collateral in connection with open futures contracts. Rate disclosed is yield to maturity as of the date of this report. |
PORTFOLIO HOLDINGS | ||||
% of Net Assets | ||||
Corporate Bonds & Notes | 43.3 | % | ||
Mortgage Backed Securities | 18.8 | % | ||
U.S. Treasury Notes | 10.7 | % | ||
Asset Backed Securities | 9.0 | % | ||
Foreign Government Bonds | 8.7 | % | ||
Municipal Bonds | 7.1 | % | ||
Money Market Funds | 4.5 | % | ||
U.S. Treasury Bills | 0.1 | % | ||
Other Assets and Liabilities | (2.2 | )% | ||
100.0 | % |
Futures Contracts — Long (Note 6) | |||||||||||||||||
Notional | Notional | Unrealized Appreciation | |||||||||||||||
Issue | Contracts | Expiration Date | Amount | Value | (Depreciation) | ||||||||||||
U.S. Treasury 5-Year Note Futures | 70 | 03/31/2021 | $ | 8,811,577 | $ | 8,831,484 | $ | 19,907 | |||||||||
U.S. Treasury 2-Year Note Futures | 103 | 03/31/2021 | 22,736,920 | 22,760,586 | 23,666 | ||||||||||||
U.S. Treasury Long Bond Futures | 51 | 03/22/2021 | 8,904,925 | 8,832,562 | (72,363 | ) | |||||||||||
U.S. Treasury Ultra Bond Futures | 48 | 03/22/2021 | 10,360,734 | 10,251,000 | (109,734 | ) | |||||||||||
$ | 50,814,156 | $ | 50,675,632 | $ | (138,524 | ) | |||||||||||
Futures Contracts — Short (Note 6) | |||||||||||||||||
Notional | Notional | Unrealized Appreciation | |||||||||||||||
Issue | Contracts | Expiration Date | Amount | Value | (Depreciation) | ||||||||||||
U.S. Treasury 10-Year Note Futures | (96 | ) | 03/22/2021 | $ | (13,243,851 | ) | $ | (13,255,500 | ) | $ | (11,649 | ) | |||||
U.S. Treasury 10-Year Ultra Note Futures | (93 | ) | 03/22/2021 | (14,598,377 | ) | (14,541,422 | ) | 56,955 | |||||||||
$ | (27,842,228 | ) | $ | (27,796,922 | ) | $ | 45,306 |
There is no variation margin due to or from the Fund as of the date of this report.
The accompanying notes are an integral part of these financial statements.
44
Brown Advisory Maryland Bond Fund
A Message to Our Shareholders
December 31, 2020
Dear Shareholders:
During the six-month period ended December 31, 2020, the Brown Advisory Maryland Bond Fund – Investor Shares (the “Fund”) increased 3.03% in value. During the same period, the Bloomberg Barclays 1-10 Year Blended Municipal Bond Index (the “Index”), the Fund’s benchmark, increased 2.06%.
Broad municipal market sentiment continued to improve from a crisis nadir induced by the pandemic during the second half of the year, and the municipal market showed surprising resilience on a variety of fronts. From a market technical perspective, indicators have rebounded dramatically from the historically extreme levels seen at the onset of the pandemic towards a range consistent with a more normal environment. In terms of supply/demand dynamics, despite a record level of primary supply for the 2020 calendar year ($470 billion) the nuances involved allowed the market to absorb the supply easily. This primary supply record was largely driven by the surge in taxable municipal issuance of $180 billion (up 125% year-over-year), as municipal issuers took advantage of a meaningful drop in interest rates to refinance outstanding debt at material interest cost savings (combined with limited ability to refund in the tax-exempt market due to 2017 tax legislation). Demand for municipal bonds also proved resilient as mutual fund industry flows finished the year up $44 billion on a net basis. This net flow amount is particularly notable given the unprecedented outflows that the industry experienced in March and early April (-$50 billion in four weeks, a pace well in excess of any historical period).
Finally, and most importantly, on the credit front, broad municipal credit quality also showed surprising resilience, especially when contrasted against some of the dire projections in the height of the pandemic uncertainty. The resilience of municipal credit during this time is attributable to a number of factors. Many state and local governments and revenue-backed municipal issuers had built up meaningful liquidity reserves during the decade-long economic expansion following the Great Financial Crisis. These efforts helped offset revenue declines. Also, federal stimulus in the form of the Coronavirus Aid, Relief, and Economic Security Act (CARES Act) aided in controlling increased unexpected expenses. This is not to say the entirety of the municipal bond market has avoided challenges. Payment defaults have modestly increased in 2020 compared to 2019, especially with regards to speculative projects; however, the municipal asset class as a whole has remained resilient while navigating through the pandemic.
Within the Fund, we took advantage of the confluence of robust primary market supply, heightened secondary volume, and elevated credit spreads to add exposure to many large, essential revenue issuers at attractive yield concessions. During these periods of extreme valuation drawdowns, we take solace in the fact that our bottom-up fundamental investment approach can help guide our decisions and help separate headline or market illiquidity risk from credit impairment risk. We spent much of the year assessing pockets of vulnerability and actively re-underwriting our holdings as new information became available. This experience reemphasized to us our need to analyze every credit individually. Our work paid off in the second half of the year as liquidity conditions improved and the market began to discern relative value within some of the harder hit sectors. It was our fundamental research process that gave us the conviction to lean into challenged sectors like airports, mass transportation, and dedicated tax revenue bonds, but it was exactly these decisions (and sectors) that drove the overwhelming majority of the outperformance for the Fund.
As we reflect on 2020, a year defined by pandemic-related challenges, it would have been almost impossible to foresee either the extreme liquidity shock that roiled the market in March or the pursuant bifurcation in market performance from a flight-to-quality rally in April. Going forward however, we believe the market will continue to focus on and balance the risk and reward across issuers. Given the fragmented nature of the municipal market, with over 40,000 of these distinct issuers, generic credit spreads there have been slower to recover than other investment grade U.S. fixed income markets. We see this lag, and the resulting relatively inexpensive valuation environment, as an opportunity to continue to find attractive relative value plays across the market.
Sincerely,
Stephen M. Shutz, CFA
Portfolio Manager
Joshua R. Perry, CFA, CAIA, FRM
Portfolio Manager
45
Brown Advisory Maryland Bond Fund
A Message to Our Shareholders
December 31, 2020
Past performance is not a guarantee of future results.
Mutual fund investing involves risk. Principal loss is possible. The Fund is non-diversified which means it may invest a large percentage of its assets in the securities of fewer issuers. Investment in a limited number of issuers exposes the Fund to greater market risk than if its assets were diversified among a greater number of issuers. The Fund is also subject to interest rate risk which is the risk that debt securities in the Fund’s portfolio will decline in value because of an increase in market interest rates. Municipal securities are subject to adverse political or economic factors, including changes in the tax law. Income from tax-exempt funds may be subject to state and local taxes and a portion of income may be subject to the federal alternative minimum tax for certain investors.
Fund holdings and sector allocations are subject to change and should not be considered a recommendation to buy or sell any security. For a complete list of fund holdings, please refer to the Schedule of Investments provided in this report. Credit Quality weights by rating are derived from the highest bond rating as determined by Standard & Poor’s (“S&P”), Moody’s or Fitch. Bond ratings are grades given to bonds that indicate their credit quality as determined by private independent rating services such as S&P, Moody’s and Fitch. These firms evaluate a bond issuer’s financial strength, or its ability to pay a bond’s principal and interest in a timely fashion. Ratings are expressed as letters ranging from ‘AAA’, which is the highest grade, to ‘D’, which is the lowest grade. In limited situations when none of the three rating agencies have issued a formal rating, the Advisor will classify the security as nonrated.
Definitions for terms and indices are provided in the Glossary of Terms.
46
Brown Advisory Maryland Bond Fund
Schedule of Investments
December 31, 2020 (Unaudited)
Par Value | Security Description | Rate | Maturity | Value $ | |||||||||
Municipal Bonds — 97.0% | |||||||||||||
General Obligation Bonds — 21.3% | |||||||||||||
1,650,000 | Baltimore County Maryland | 5.00 | % | 08/01/2028 | 1,922,184 | ||||||||
6,000,000 | Baltimore County Maryland | 5.00 | % | 03/01/2032 | 7,995,000 | ||||||||
5,000,000 | Baltimore County Maryland | 4.00 | % | 03/01/2036 | 6,124,250 | ||||||||
1,080,000 | Baltimore, Maryland | 5.00 | % | 10/15/2032 | 1,368,371 | ||||||||
2,400,000 | Maryland State | 5.00 | % | 08/01/2024 | 2,813,040 | ||||||||
1,400,000 | Maryland State | 5.00 | % | 08/01/2031 | 1,838,144 | ||||||||
5,000,000 | Montgomery County Maryland | 5.00 | % | 11/01/2023 | 5,681,700 | ||||||||
3,370,000 | Montgomery County Maryland | 3.00 | % | 10/01/2034 | 3,832,667 | ||||||||
5,000,000 | Prince George’s County Maryland | 4.00 | % | 07/15/2037 | 6,078,300 | ||||||||
37,653,656 | |||||||||||||
Revenue Bonds — 75.7% | |||||||||||||
975,000 | Austin, Texas | 7.88 | % | 09/01/2026 | 991,282 | ||||||||
1,000,000 | Baltimore, Maryland | 5.00 | % | 07/01/2028 | 1,250,380 | ||||||||
1,320,000 | Baltimore, Maryland | 5.00 | % | 07/01/2028 | 1,650,502 | ||||||||
520,000 | Baltimore, Maryland | 5.00 | % | 06/15/2030 | 582,707 | ||||||||
1,000,000 | Baltimore, Maryland | 5.00 | % | 07/01/2032 | 1,143,290 | ||||||||
670,000 | Baltimore, Maryland | 5.00 | % | 06/15/2033 | 744,665 | ||||||||
1,000,000 | Baltimore, Maryland | 4.00 | % | 07/01/2034 | 1,234,800 | ||||||||
1,600,000 | Baltimore, Maryland | 5.00 | % | 07/01/2035 | 1,952,560 | ||||||||
1,260,000 | Baltimore, Maryland^ | 3.50 | % | 06/01/2039 | 1,258,274 | ||||||||
1,750,000 | California Municipal Finance Authority^ | 5.00 | % | 11/01/2039 | 1,984,447 | ||||||||
1,550,000 | Franklin County Ohio | 5.00 | % | 11/15/2034 | 1,684,586 | ||||||||
1,000,000 | Frederick County Maryland^ | 5.00 | % | 09/01/2027 | 1,088,900 | ||||||||
2,000,000 | Frederick County Maryland | 5.00 | % | 07/01/2029 | 2,598,080 | ||||||||
5,050,000 | Frederick County Maryland^ | 5.00 | % | 09/01/2032 | 5,527,427 | ||||||||
1,110,000 | Frederick County Maryland^ | 5.00 | % | 09/01/2037 | 1,195,747 | ||||||||
1,410,000 | Frederick County Maryland | 3.75 | % | 07/01/2039 | 1,419,179 | ||||||||
1,000,000 | Gaithersburg, City of Maryland | 5.00 | % | 01/01/2028 | 1,110,870 | ||||||||
2,000,000 | Gaithersburg, City of Maryland | 5.00 | % | 01/01/2033 | 2,195,880 | ||||||||
2,000,000 | Lancaster County Pennsylvania Hospital Authority | 5.00 | % | 07/01/2035 | 2,137,320 | ||||||||
1,245,000 | Maryland Community Development Administration | 5.00 | % | 09/01/2030 | 1,627,950 | ||||||||
1,030,000 | Maryland Community Development Administration | 5.00 | % | 09/01/2031 | 1,339,010 | ||||||||
1,000,000 | Maryland Community Development Administration | 3.25 | % | 03/01/2036 | 1,075,740 | ||||||||
1,140,000 | Maryland Community Development Administration Local Government Infrastructure | 4.00 | % | 06/01/2035 | 1,394,197 | ||||||||
5,000,000 | Maryland Economic Development Corp. | 5.00 | % | 06/01/2026 | 5,094,550 | ||||||||
850,000 | Maryland Economic Development Corp. | 5.00 | % | 07/01/2031 | 862,954 | ||||||||
1,000,000 | Maryland Economic Development Corp.# | 0.09 | % | 02/15/2043 | 1,000,000 | ||||||||
4,500,000 | Maryland Economic Development Corp. | 4.50 | % | 07/01/2044 | 4,655,115 | ||||||||
830,000 | Maryland Stadium Authority# | 0.08 | % | 03/01/2026 | 830,000 | ||||||||
3,000,000 | Maryland Stadium Authority | 5.00 | % | 05/01/2030 | 3,616,320 | ||||||||
1,055,000 | Maryland State Department of Transportation | 4.00 | % | 05/15/2022 | 1,110,356 | ||||||||
1,715,000 | Maryland State Department of Transportation | 5.00 | % | 10/01/2027 | 2,157,401 | ||||||||
485,000 | Maryland State Health & Higher Educational Facilities | 5.00 | % | 07/01/2023 | 495,549 | ||||||||
500,000 | Maryland State Health & Higher Educational Facilities | 5.00 | % | 08/15/2023 | 557,715 | ||||||||
500,000 | Maryland State Health & Higher Educational Facilities | 5.00 | % | 07/01/2024 | 532,290 | ||||||||
1,000,000 | Maryland State Health & Higher Educational Facilities | 6.00 | % | 07/01/2025 | 1,025,980 | ||||||||
1,060,000 | Maryland State Health & Higher Educational Facilities | 5.00 | % | 07/01/2025 | 1,135,769 | ||||||||
1,500,000 | Maryland State Health & Higher Educational Facilities | 5.00 | % | 07/01/2025 | 1,781,700 | ||||||||
1,450,000 | Maryland State Health & Higher Educational Facilities | 5.00 | % | 07/01/2025 | 1,664,586 | ||||||||
2,500,000 | Maryland State Health & Higher Educational Facilities | 5.25 | % | 07/01/2026 | 2,925,375 | ||||||||
420,000 | Maryland State Health & Higher Educational Facilities | 5.00 | % | 07/01/2026 | 505,163 | ||||||||
1,605,000 | Maryland State Health & Higher Educational Facilities | 5.00 | % | 07/01/2028 | 1,812,735 | ||||||||
3,500,000 | Maryland State Health & Higher Educational Facilities | 5.00 | % | 07/01/2029 | 4,414,515 | ||||||||
100,000 | Maryland State Health & Higher Educational Facilities | 4.00 | % | 10/01/2030 | 110,403 |
The accompanying notes are an integral part of these financial statements.
47
Brown Advisory Maryland Bond Fund
Schedule of Investments
December 31, 2020 (Unaudited)
Par | |||||||||||||
Value/Shares | Security Description | Rate | Maturity | Value $ | |||||||||
Municipal Bonds — 97.0% (Continued) | |||||||||||||
Revenue Bonds — 75.7% (Continued) | |||||||||||||
1,130,000 | Maryland State Health & Higher Educational Facilities | 6.25 | % | 07/01/2031 | 1,161,086 | ||||||||
300,000 | Maryland State Health & Higher Educational Facilities | 4.00 | % | 10/01/2031 | 330,468 | ||||||||
1,070,000 | Maryland State Health & Higher Educational Facilities | 5.00 | % | 07/01/2032 | 1,199,877 | ||||||||
250,000 | Maryland State Health & Higher Educational Facilities | 5.00 | % | 06/01/2033 | 284,455 | ||||||||
1,250,000 | Maryland State Health & Higher Educational Facilities | 5.00 | % | 08/15/2033 | 1,447,250 | ||||||||
1,955,000 | Maryland State Health & Higher Educational Facilities | 5.00 | % | 07/01/2034 | 2,290,322 | ||||||||
1,000,000 | Maryland State Health & Higher Educational Facilities# | 0.07 | % | 04/01/2035 | 1,000,000 | ||||||||
1,300,000 | Maryland State Health & Higher Educational Facilities# | 0.09 | % | 04/01/2035 | 1,300,000 | ||||||||
200,000 | Maryland State Health & Higher Educational Facilities | 4.50 | % | 07/01/2035 | 200,100 | ||||||||
430,000 | Maryland State Health & Higher Educational Facilities | 5.00 | % | 06/01/2036 | 487,048 | ||||||||
1,200,000 | Maryland State Health & Higher Educational Facilities | 5.00 | % | 07/01/2037 | 1,429,692 | ||||||||
1,500,000 | Maryland State Health & Higher Educational Facilities | 5.00 | % | 07/01/2038 | 1,709,625 | ||||||||
1,310,000 | Maryland State Health & Higher Educational Facilities | 5.00 | % | 07/01/2043 | 1,480,994 | ||||||||
4,000,000 | Maryland State Health & Higher Educational Facilities# | 5.00 | % | 07/01/2045 | 4,978,000 | ||||||||
4,255,000 | Maryland State Transportation Authority | 5.00 | % | 03/01/2022 | 4,463,665 | ||||||||
1,000,000 | Maryland State Transportation Authority | 5.00 | % | 06/01/2022 | 1,057,270 | ||||||||
2,500,000 | Maryland State Transportation Authority | 5.00 | % | 07/01/2023 | 2,799,175 | ||||||||
850,000 | Maryland State Transportation Authority | 5.00 | % | 07/01/2024 | 991,942 | ||||||||
1,510,000 | Maryland State Transportation Authority | 5.00 | % | 07/01/2025 | 1,830,800 | ||||||||
4,420,000 | Maryland State Transportation Authority | 5.00 | % | 07/01/2028 | 5,658,882 | ||||||||
4,330,000 | Maryland State Transportation Authority | 4.00 | % | 06/01/2035 | 4,926,977 | ||||||||
1,500,000 | Metropolitan Washington DC Airports Authority | 5.00 | % | 10/01/2039 | 1,903,275 | ||||||||
1,185,000 | New Hope Texas Cultural Education Facilities Finance Corp. | 5.75 | % | 07/01/2051 | 921,646 | ||||||||
2,000,000 | Newport News Virginia Economic Development Authority | 5.00 | % | 12/01/2031 | 2,181,160 | ||||||||
2,000,000 | North Carolina Medical Care Commission | 5.00 | % | 10/01/2031 | 2,153,960 | ||||||||
1,000,000 | St Mary’s College of Maryland | 4.00 | % | 09/01/2024 | 1,101,470 | ||||||||
4,335,000 | University System of Maryland | 5.00 | % | 04/01/2022 | 4,596,227 | ||||||||
3,280,000 | Washington State Housing Finance Commission^ | 4.00 | % | 01/01/2026 | 3,453,971 | ||||||||
2,700,000 | Washington Suburban Sanitary Commission | 4.00 | % | 06/01/2032 | 3,379,941 | ||||||||
134,195,547 | |||||||||||||
Total Municipal Bonds (Cost $163,931,749) | 171,849,203 | ||||||||||||
Short-Term Investments — 1.7% | |||||||||||||
Money Market Funds — 1.7% | |||||||||||||
2,963,927 | First American Government Obligations Fund — Class Z, 0.03%* | 2,963,927 | |||||||||||
Total Short-Term Investments (Cost $2,963,927) | 2,963,927 | ||||||||||||
Total Investments — 98.7% (Cost $166,895,676) | 174,813,130 | ||||||||||||
Other Assets in Excess of Liabilities — 1.3% | 2,334,132 | ||||||||||||
NET ASSETS — 100.0% | $ | 177,147,262 |
^ | Security exempt from registration under Rule 144A of the Securities Act of 1933. These securities may be resold in transactions exempt from registration, normally to qualified institutional buyers. | |
# | Variable rate security. Rate disclosed is as of the date of this report. | |
* | Annualized seven-day yield as of the date of this report. |
PORTFOLIO HOLDINGS | ||||
% of Net Assets | ||||
Revenue Bonds | 75.7 | % | ||
General Obligation Bonds | 21.3 | % | ||
Money Market Funds | 1.7 | % | ||
Other Assets and Liabilities | 1.3 | % | ||
100.0 | % |
The accompanying notes are an integral part of these financial statements.
48
Brown Advisory Tax-Exempt Bond Fund
A Message to Our Shareholders
December 31, 2020
Dear Shareholders:
During the six-month period ended December 31, 2020, the Brown Advisory Tax-Exempt Bond Fund – Investor Shares (the “Fund”) increased 4.20% in value. During the same period, the Bloomberg Barclays 1-10 Year Blended Municipal Bond Index (the “Index”), the Fund’s benchmark, increased 2.06%.
Broad municipal market sentiment continued to improve from a crisis nadir induced by the pandemic during the second half of the year, and the municipal market showed surprising resilience on a variety of fronts. From a market technical perspective, indicators have rebounded dramatically from the historically extreme levels seen at the onset of the pandemic towards a range consistent with a more normal environment. In terms of supply/demand dynamics, despite a record level of primary supply for the 2020 calendar year ($470 billion) the nuances involved allowed the market to absorb the supply easily. This primary supply record was largely driven by the surge in total taxable municipal issuance of $180 billion at the end of 2020 (up 125% year-over-year), as municipal issuers took advantage of a meaningful drop in interest rates to refinance outstanding debt at material interest cost savings (combined with limited ability to refund in the tax-exempt market due to 2017 tax legislation)1. Demand for municipal bonds also proved resilient as mutual fund industry flows finished the year up $44 billion on a net basis2. This net flow amount is particularly notable given the unprecedented outflows that the industry experienced in March and early April of 2020 (-$50 billion in four weeks, a pace well in excess of any historical period)2.
Finally, and most importantly, on the credit front, broad municipal credit quality also showed surprising resilience, especially when contrasted against some of the dire projections in the height of the pandemic uncertainty. The resilience of municipal credit during this time is attributable to a number of factors. Many state and local governments and revenue-backed municipal issuers had built up meaningful liquidity reserves during the decade-long economic expansion following the Great Financial Crisis. These efforts helped offset revenue declines. Also, federal stimulus in the form of the Coronavirus Aid, Relief, and Economic Security Act (CARES Act) aided in controlling increased unexpected expenses. This is not to say the entirety of the municipal bond market has avoided challenges. Payment defaults have modestly increased in 2020 compared to 2019, especially with regards to speculative projects; however, the municipal asset class as a whole has remained resilient while navigating through the pandemic.
Within the Fund, we took advantage of the confluence of robust primary market supply, heightened secondary volume, and elevated credit spreads to add exposure to many large, essential revenue issuers at attractive yield concessions. During these periods of extreme valuation drawdowns, we take solace in the fact that our bottom-up fundamental investment approach can help guide our decisions and help separate headline or market illiquidity risk from credit impairment risk. We spent much of the year assessing pockets of vulnerability and actively re-underwriting our holdings as new information became available. This experience reemphasized to us our need to analyze every credit individually. Our work paid off in the second half of the year as liquidity conditions improved and the market began to discern relative value within some of the harder hit sectors. It was our fundamental research process that gave us the conviction to lean into challenged sectors like airports, mass transportation, and dedicated tax revenue bonds, but it was exactly these decisions (and sectors) that drove the overwhelming majority of the outperformance for the Fund.
As we reflect on 2020, a year defined by pandemic-related challenges, it would have been almost impossible to foresee either the extreme liquidity shock that roiled the market in March or the pursuant bifurcation in market performance from a flight-to-quality rally in April. Going forward however, we believe the market will continue to focus on and balance the risk and reward across issuers. Given the fragmented nature of the municipal market, with over 40,000 of these distinct issuers, generic credit spreads there have been slower to recover than other investment grade U.S. fixed income markets. We see this lag, and the resulting relatively inexpensive valuation environment, as an opportunity to continue to find attractive relative value plays across the market.
Sincerely,
Stephen M. Shutz, CFA
Portfolio Manager
Joshua R. Perry, CFA, CAIA, FRM
Portfolio Manager
______________
1 Source: J.P. Morgan Municipal Monthly Index and Data Chartbook (December 2020)
2 Source: Barclays Municipal Strategy Monthly (2020 Performance Overview)
49
Brown Advisory Tax-Exempt Bond Fund
A Message to Our Shareholders
December 31, 2020
Past performance is not a guarantee of future results.
Mutual fund investing involves risk. Principal loss is possible. The Fund is non-diversified which means it may invest a large percentage of its assets in the securities of fewer issuers. Concentration in a limited number of issuers exposes the Fund to greater market risk than if its assets were diversified among a greater number of issuers. The Fund is also subject to interest rate risk which is the risk that debt securities in the Fund’s portfolio will decline in value because of an increase in market interest rates. This risk is usually greater for longer-term debt securities. Income from tax-exempt funds may be subject to state and local taxes and a portion of income may be subject to the Federal Alternative minimum tax for certain investors.
Diversification does not assure a profit nor protect against loss in a declining market.
Fund holdings and sector allocations are subject to change and should not be considered a recommendation to buy or sell any security. For a complete list of fund holdings, please refer to the Schedule of Investments provided in this report.
Credit Quality weights by rating are derived from the highest bond rating as determined by Standard & Poor’s (“S&P”), Moody’s or Fitch. Bond ratings are grades given to bonds that indicate their credit quality as determined by private independent rating services such as S&P, Moody’s and Fitch. These firms evaluate a bond issuer’s financial strength, or its ability to pay a bond’s principal and interest in a timely fashion. Ratings are expressed as letters ranging from ‘AAA’, which is the highest grade, to ‘D’, which is the lowest grade. In limited situations when none of the three rating agencies have issued a formal rating, the Advisor will classify the security as nonrated.
Definitions for terms and indices are provided in the Glossary of Terms.
50
Brown Advisory Tax-Exempt Bond Fund
Schedule of Investments
December 31, 2020 (Unaudited)
Par Value | Security Description | Rate | Maturity | Value $ | |||||||||
Municipal Bonds — 97.7% | |||||||||||||
General Obligation Bonds — 13.9% | |||||||||||||
4,480,000 | Alameda California Unified School District+ | 2.47 | % | 08/01/2032 | 3,751,821 | ||||||||
3,600,000 | California, State of | 4.00 | % | 11/01/2033 | 4,303,332 | ||||||||
2,000,000 | California, State of | 4.00 | % | 11/01/2034 | 2,385,620 | ||||||||
2,800,000 | Chicago Illinois Park District | 5.75 | % | 01/01/2038 | 3,074,624 | ||||||||
9,000,000 | Florida, State of | 4.00 | % | 07/01/2028 | 9,163,440 | ||||||||
8,045,000 | Grossmont California Healthcare District+ | 2.46 | % | 07/15/2033 | 6,554,744 | ||||||||
5,000,000 | Hartnell California Community College District | 3.00 | % | 08/01/2048 | 5,361,050 | ||||||||
25,140,000 | Illinois, State of | 5.00 | % | 11/01/2024 | 27,580,340 | ||||||||
14,295,000 | Illinois, State of | 5.00 | % | 11/01/2025 | 15,970,517 | ||||||||
5,000,000 | Kane, McHenry, Cook & DeKalb Counties Illinois Unit School District No. 300 | 5.25 | % | 01/01/2033 | 5,448,850 | ||||||||
1,435,000 | Lane County Oregon School District No 19 Springfield+ | 3.49 | % | 06/15/2032 | 1,179,843 | ||||||||
5,240,000 | Louisiana, State of | 4.00 | % | 05/01/2035 | 5,914,964 | ||||||||
2,895,000 | Massachusetts, Commonwealth of (3 Month LIBOR USD + 0.57%) | 0.71 | % | 05/01/2037 | 2,804,589 | ||||||||
830,000 | Massachusetts, Commonwealth of (3 Month LIBOR USD + 0.57%) | 0.71 | % | 05/01/2037 | 804,079 | ||||||||
5,255,000 | Memphis, City of Tennessee | 4.00 | % | 05/01/2033 | 6,319,610 | ||||||||
4,325,000 | New Jersey, State of | 4.00 | % | 06/01/2028 | 4,663,518 | ||||||||
4,495,000 | New Jersey, State of | 4.00 | % | 06/01/2030 | 4,825,967 | ||||||||
17,005,000 | New York, City of New York | 4.00 | % | 08/01/2037 | 20,219,285 | ||||||||
4,015,000 | New York, City of New York | 5.00 | % | 03/01/2043 | 5,144,500 | ||||||||
10,690,000 | Palomar Health+ | 4.20 | % | 08/01/2039 | 6,997,460 | ||||||||
4,600,000 | Texas, State of | 5.00 | % | 08/01/2036 | 4,718,634 | ||||||||
7,000,000 | Texas, State of | 4.00 | % | 10/01/2044 | 7,813,120 | ||||||||
4,640,000 | Twin Rivers California Unified School District+ | 2.38 | % | 08/01/2032 | 3,793,293 | ||||||||
5,315,000 | Victor Valley California Union High School District+ | 3.77 | % | 08/01/2035 | 3,993,053 | ||||||||
162,786,253 | |||||||||||||
Revenue Bonds — 83.8% | |||||||||||||
8,990,000 | Anaheim California Public Financing Authority+ | 2.75 | % | 09/01/2031 | 7,460,801 | ||||||||
1,285,000 | Arizona Sports & Tourism Authority | 5.00 | % | 07/01/2028 | 1,347,014 | ||||||||
1,500,000 | Arlington, Texas | 5.00 | % | 02/15/2037 | 1,808,805 | ||||||||
10,000,000 | Austin Texas Water & Wastewater System Revenue | 5.00 | % | 11/15/2043 | 11,331,600 | ||||||||
4,200,000 | Austin, Texas | 7.88 | % | 09/01/2026 | 4,270,140 | ||||||||
17,000,000 | Black Belt Energy Gas District# | 4.00 | % | 12/01/2048 | 18,612,620 | ||||||||
10,475,000 | Buckeye Ohio Tobacco Settlement Financing Authority | 4.00 | % | 06/01/2038 | 12,683,130 | ||||||||
18,625,000 | Cedar Rapids, Iowa# | 0.16 | % | 08/15/2029 | 17,926,562 | ||||||||
8,375,000 | Cedar Rapids, Iowa# | 0.25 | % | 08/15/2032 | 7,998,125 | ||||||||
16,840,000 | Central Plains Energy Project | 5.25 | % | 09/01/2037 | 18,093,064 | ||||||||
4,000,000 | Chicago Illinois Waterworks Revenue | 5.00 | % | 11/01/2039 | 4,497,280 | ||||||||
6,330,000 | Chicago O’Hare International Airport | 5.00 | % | 01/01/2033 | 7,293,553 | ||||||||
1,300,000 | Colorado Health Facilities Authority | 5.00 | % | 12/01/2027 | 1,418,625 | ||||||||
7,715,000 | Colorado Health Facilities Authority | 5.00 | % | 12/01/2035 | 8,683,773 | ||||||||
4,800,000 | Dallas Fort Worth Texas International Airport | 4.50 | % | 11/01/2045 | 5,040,672 | ||||||||
5,530,000 | Dauphin County Pennsylvania General Authority | 5.00 | % | 06/01/2042 | 5,816,730 | ||||||||
2,500,000 | Delaware State Health Facilities Authority | 5.00 | % | 06/01/2034 | 3,071,675 | ||||||||
15,000,000 | Delaware Valley Pennsylvania Regional Finance Authority (3 Month LIBOR USD + 0.75%) | 0.90 | % | 06/01/2037 | 13,695,450 | ||||||||
6,750,000 | Denver Colorado Airport System Revenue | 5.00 | % | 12/01/2034 | 9,382,365 | ||||||||
9,150,000 | Denver Colorado Airport System Revenue | 5.00 | % | 12/01/2036 | 13,022,555 | ||||||||
9,000,000 | Detroit Michigan Sewage Disposal System (3 Month LIBOR USD + 0.60%) | 0.75 | % | 07/01/2032 | 8,717,490 | ||||||||
4,855,000 | District of Columbia | 5.00 | % | 03/01/2038 | 6,470,113 | ||||||||
15,445,000 | Golden State Tobacco Securitization Corp. | 5.00 | % | 06/01/2031 | 19,257,135 | ||||||||
14,260,000 | Golden State Tobacco Securitization Corp. | 5.00 | % | 06/01/2032 | 17,644,326 | ||||||||
6,800,000 | Grand Forks County North Dakota | 6.38 | % | 12/15/2043 | 6,132,104 | ||||||||
16,400,000 | Harris County Texas (3 Month LIBOR USD + 0.67%) | 0.82 | % | 08/15/2035 | 14,826,748 | ||||||||
3,865,000 | Harris County Texas Sports Authority+ | 4.42 | % | 11/15/2034 | 2,332,682 | ||||||||
1,200,000 | Henrico County Virginia Economic Development Authority# | 0.26 | % | 08/23/2027 | 1,200,000 | ||||||||
6,070,000 | Imperial California Irrigation District Electric System Revenue | 4.00 | % | 11/01/2037 | 7,090,124 |
The accompanying notes are an integral part of these financial statements.
51
Brown Advisory Tax-Exempt Bond Fund
Schedule of Investments
December 31, 2020 (Unaudited)
Par Value | Security Description | Rate | Maturity | Value $ | |||||||||
Municipal Bonds — 97.7% (Continued) | |||||||||||||
Revenue Bonds — 83.8% (Continued) | |||||||||||||
3,720,000 | Kansas City Missouri Municipal Assistance Corp.+ | 3.04 | % | 04/15/2026 | 3,543,970 | ||||||||
3,000,000 | Lancaster County Pennsylvania Hospital Authority | 5.00 | % | 07/01/2035 | 3,205,980 | ||||||||
2,280,000 | Las Vegas Nevada Redevelopment Agency | 5.00 | % | 06/15/2028 | 2,685,680 | ||||||||
5,235,000 | Lees Summit Missouri Industrial Development Authority | 5.25 | % | 08/15/2039 | 5,537,583 | ||||||||
3,000,000 | Louisiana Public Facilities Authority | 3.50 | % | 06/01/2030 | 3,034,830 | ||||||||
1,000,000 | Louisiana Public Facilities Authority | 5.00 | % | 06/01/2036 | 1,160,230 | ||||||||
7,000,000 | Louisiana State Gasoline & Fuels Tax Revenue | 5.00 | % | 05/01/2041 | 8,188,600 | ||||||||
21,505,000 | Love Field Texas Airport Modernization Corp. | 5.00 | % | 11/01/2028 | 23,102,822 | ||||||||
10,370,000 | Love Field Texas Airport Modernization Corp. | 5.25 | % | 11/01/2040 | 10,411,480 | ||||||||
25,000,000 | Main Street Natural Gas, Inc. (1 Month LIBOR USD + 0.75%) | 0.85 | % | 04/01/2048 | 25,048,250 | ||||||||
39,000,000 | Main Street Natural Gas, Inc. (1 Month LIBOR USD + 0.83%) | 0.93 | % | 08/01/2048 | 39,149,370 | ||||||||
10,000,000 | Main Street Natural Gas, Inc.# | 4.00 | % | 03/01/2050 | 11,749,600 | ||||||||
5,030,000 | Maryland Health & Higher Educational Facilities Authority | 5.50 | % | 01/01/2036 | 6,065,979 | ||||||||
1,215,000 | Massachusetts Health & Educational Facilities Authority# | 0.37 | % | 07/01/2023 | 1,215,000 | ||||||||
3,900,000 | Massachusetts Health & Educational Facilities Authority# | 0.37 | % | 07/01/2023 | 3,900,000 | ||||||||
1,000,000 | Massachusetts Health & Educational Facilities Authority# | 0.37 | % | 07/01/2023 | 1,000,000 | ||||||||
4,105,000 | Massachusetts Housing Finance Agency | 4.00 | % | 12/01/2033 | 4,266,203 | ||||||||
14,250,000 | Metropolitan Pier & Exposition Authority+ | 2.08 | % | 06/15/2030 | 11,740,860 | ||||||||
10,000,000 | Metropolitan Pier & Exposition Authority+ | 4.28 | % | 06/15/2035 | 6,840,200 | ||||||||
10,165,000 | Metropolitan Pier & Exposition Authority+ | 4.16 | % | 06/15/2037 | 6,430,684 | ||||||||
5,030,000 | Metropolitan Pier & Exposition Authority+ | 3.62 | % | 06/15/2043 | 2,582,955 | ||||||||
10,000,000 | Metropolitan Pier & Exposition Authority | 4.00 | % | 06/15/2050 | 10,649,900 | ||||||||
5,225,000 | Metropolitan Pier & Exposition Authority | 5.00 | % | 06/15/2057 | 5,875,199 | ||||||||
1,705,000 | Metropolitan Transportation Authority+ | 3.20 | % | 11/15/2029 | 1,333,736 | ||||||||
6,000,000 | Metropolitan Transportation Authority+ | 3.61 | % | 11/15/2033 | 4,009,260 | ||||||||
17,370,000 | Metropolitan Transportation Authority | 5.00 | % | 11/15/2038 | 18,414,458 | ||||||||
10,000,000 | Metropolitan Transportation Authority | 5.00 | % | 11/15/2038 | 10,724,500 | ||||||||
10,000,000 | Metropolitan Transportation Authority | 5.25 | % | 11/15/2044 | 10,963,000 | ||||||||
2,895,000 | Miami Beach Florida Health Facilities | 5.00 | % | 11/15/2029 | 3,061,520 | ||||||||
6,760,000 | Miami-Dade County Florida Water & Sewer System Revenue | 4.00 | % | 10/01/2035 | 8,107,741 | ||||||||
3,495,000 | Michigan State Housing Development Authority | 4.00 | % | 10/01/2042 | 3,596,180 | ||||||||
725,000 | Minneapolis & St. Paul, Minnesota Housing & Redevelopment Authority# | 0.12 | % | 08/01/2027 | 707,781 | ||||||||
5,000,000 | Nebraska Educational Health Cultural & Social Services Finance Authority | 4.00 | % | 01/01/2044 | 5,540,850 | ||||||||
1,080,000 | New Hope Texas Cultural Education Facilities Finance Corp. | 5.00 | % | 07/01/2031 | 919,210 | ||||||||
1,750,000 | New Hope Texas Cultural Education Facilities Finance Corp. | 5.25 | % | 07/01/2036 | 1,420,423 | ||||||||
4,000,000 | New Hope Texas Cultural Education Facilities Finance Corp. | 5.00 | % | 07/01/2046 | 2,927,800 | ||||||||
1,250,000 | New Hope Texas Cultural Education Facilities Finance Corp. | 5.50 | % | 07/01/2046 | 957,325 | ||||||||
1,000,000 | New Hope Texas Cultural Education Facilities Finance Corp. | 5.75 | % | 07/01/2051 | 777,760 | ||||||||
10,175,000 | New Jersey Transportation Trust Fund Authority+ | 3.04 | % | 12/15/2038 | 6,752,537 | ||||||||
10,000,000 | New Mexico Municipal Energy Acquisition Authority# | 5.00 | % | 11/01/2039 | 11,834,000 | ||||||||
16,000,000 | New York & New Jersey Port Authority | 4.00 | % | 03/15/2030 | 19,035,200 | ||||||||
6,225,000 | New York & New Jersey Port Authority | 5.00 | % | 10/15/2032 | 6,416,357 | ||||||||
12,250,000 | New York & New Jersey Port Authority | 4.00 | % | 11/01/2034 | 14,679,298 | ||||||||
2,375,000 | New York City Industrial Development Agency | 5.00 | % | 01/01/2039 | 2,376,188 | ||||||||
3,000,000 | New York City Industrial Development Agency | 5.00 | % | 01/01/2046 | 3,000,660 | ||||||||
7,575,000 | New York City Transitional Finance Authority Future Tax Secured Revenue | 4.00 | % | 05/01/2043 | 8,846,085 | ||||||||
2,340,000 | New York City Transitional Finance Authority Future Tax Secured Revenue | 4.00 | % | 05/01/2045 | 2,784,974 | ||||||||
2,750,000 | New York Convention Center Development Corp.+ | 3.08 | % | 11/15/2037 | 1,715,340 | ||||||||
5,000,000 | New York Convention Center Development Corp.+ | 3.76 | % | 11/15/2041 | 2,483,100 | ||||||||
5,000,000 | New York Convention Center Development Corp.+ | 2.68 | % | 11/15/2043 | 2,275,100 | ||||||||
4,000,000 | New York Liberty Development Corp. | 5.00 | % | 12/15/2041 | 4,155,040 | ||||||||
2,000,000 | New York State Dormitory Authority | 5.00 | % | 03/15/2036 | 2,397,220 | ||||||||
20,035,000 | New York State Thruway Authority | 5.00 | % | 01/01/2037 | 26,132,252 | ||||||||
10,000,000 | New York State Urban Development Corp. | 3.00 | % | 03/15/2040 | 10,938,800 | ||||||||
6,850,000 | New York State Urban Development Corp. | 4.00 | % | 03/15/2045 | 8,106,701 |
The accompanying notes are an integral part of these financial statements.
52
Brown Advisory Tax-Exempt Bond Fund
Schedule of Investments
December 31, 2020 (Unaudited)
Par Value | Security Description | Rate | Maturity | Value $ | |||||||||
Municipal Bonds — 97.7% (Continued) | |||||||||||||
Revenue Bonds — 83.8% (Continued) | |||||||||||||
17,610,000 | New York Transportation Development Corp. | 4.00 | % | 10/01/2030 | 20,190,569 | ||||||||
5,000,000 | New York Transportation Development Corp. | 4.00 | % | 07/01/2041 | 5,256,650 | ||||||||
3,375,000 | Newport News Virginia Economic Development Authority | 5.00 | % | 12/01/2031 | 3,680,708 | ||||||||
1,760,000 | Niagara County New York Tobacco Asset Securitization Corp. | 5.00 | % | 05/15/2024 | 1,919,368 | ||||||||
2,000,000 | North Carolina Medical Care Commission | 5.00 | % | 10/01/2031 | 2,153,960 | ||||||||
3,765,000 | North Carolina Turnpike Authority+ | 3.95 | % | 01/01/2034 | 2,791,823 | ||||||||
4,165,000 | North Texas Tollway Authority | 5.00 | % | 01/01/2032 | 4,827,277 | ||||||||
1,625,000 | Ohio, State of# | 0.18 | % | 09/01/2041 | 1,616,891 | ||||||||
1,000,000 | Onondaga County New York Trust for Cultural Resources | 4.00 | % | 12/01/2049 | 1,174,540 | ||||||||
5,790,000 | Oregon State Facilities Authority | 5.00 | % | 10/01/2031 | 6,969,828 | ||||||||
1,000,000 | Park Creek Colorado Metropolitan District | 5.00 | % | 12/01/2034 | 1,169,760 | ||||||||
10,000,000 | Pennsylvania Turnpike Commission | 5.00 | % | 06/01/2029 | 12,091,500 | ||||||||
6,360,000 | Pennsylvania Turnpike Commission | 4.00 | % | 12/01/2036 | 7,334,606 | ||||||||
10,500,000 | Philadelphia Pennsylvania Airport Revenue | 5.00 | % | 06/15/2027 | 10,698,030 | ||||||||
1,630,000 | Philadelphia Pennsylvania Airport Revenue | 4.00 | % | 07/01/2036 | 1,873,392 | ||||||||
1,695,000 | Philadelphia Pennsylvania Airport Revenue | 4.00 | % | 07/01/2037 | 1,941,656 | ||||||||
1,760,000 | Philadelphia Pennsylvania Airport Revenue | 4.00 | % | 07/01/2038 | 2,010,290 | ||||||||
1,830,000 | Philadelphia Pennsylvania Airport Revenue | 4.00 | % | 07/01/2039 | 2,085,047 | ||||||||
1,905,000 | Philadelphia Pennsylvania Airport Revenue | 4.00 | % | 07/01/2040 | 2,165,071 | ||||||||
10,000,000 | Phoenix Arizona Civic Improvement Corp. | 5.00 | % | 07/01/2049 | 12,423,400 | ||||||||
17,483,000 | Puerto Rico Sales Tax Financing Corp Sales Tax Revenue+ | 4.64 | % | 07/01/2033 | 12,540,206 | ||||||||
5,000,000 | Regional Transportation District Sales Tax Revenue | 3.50 | % | 11/01/2037 | 5,222,550 | ||||||||
4,540,000 | Sacramento County Sanitation Districts Financing Authority (3 Month LIBOR USD + 0.53%) | 0.68 | % | 12/01/2035 | 4,241,177 | ||||||||
4,230,000 | Sales Tax Securitization Corp. | 5.50 | % | 01/01/2032 | 5,444,518 | ||||||||
6,735,000 | San Diego California Tobacco Settlement Revenue Funding Corp. | 4.00 | % | 06/01/2032 | 7,300,134 | ||||||||
5,300,000 | San Francisco City & County Airport Comm-San Francisco International Airport | 4.00 | % | 05/01/2039 | 6,247,534 | ||||||||
1,400,000 | Tampa, City of Florida+ | 3.48 | % | 09/01/2040 | 760,620 | ||||||||
1,850,000 | Tampa, City of Florida+ | 3.73 | % | 09/01/2045 | 796,166 | ||||||||
3,795,000 | Tampa, City of Florida+ | 3.82 | % | 09/01/2049 | 1,366,655 | ||||||||
3,850,000 | Tampa, City of Florida+ | 3.92 | % | 09/01/2053 | 1,150,688 | ||||||||
22,140,000 | Tennessee Energy Acquisition Corp.# | 4.00 | % | 05/01/2048 | 23,823,747 | ||||||||
7,150,000 | Tennessee Energy Acquisition Corp.# | 4.00 | % | 11/01/2049 | 8,217,638 | ||||||||
3,045,000 | Terrebonne Parish Louisiana+ | 3.12 | % | 04/01/2036 | 2,227,326 | ||||||||
19,490,000 | Texas Municipal Gas Acquisition & Supply Corp II (3 Month LIBOR USD + 0.87%) | 1.02 | % | 09/15/2027 | 19,497,406 | ||||||||
6,995,000 | Texas Municipal Gas Acquisition & Supply Corp. III | 5.00 | % | 12/15/2023 | 7,590,624 | ||||||||
2,055,000 | Tobacco Settlement Authority | 5.25 | % | 06/01/2032 | 2,099,162 | ||||||||
11,105,000 | Tobacco Settlement Financing Corp. | 5.00 | % | 06/01/2031 | 14,185,305 | ||||||||
20,000,000 | Tobacco Settlement Financing Corp. | 5.00 | % | 06/01/2035 | 22,671,400 | ||||||||
5,000,000 | Tobacco Settlement Financing Corp. | 5.00 | % | 06/01/2046 | 6,004,750 | ||||||||
1,045,000 | Triborough Bridge & Tunnel Authority+ | 3.39 | % | 11/15/2031 | 851,800 | ||||||||
9,030,000 | TSASC, Inc. | 5.00 | % | 06/01/2031 | 11,039,988 | ||||||||
1,438,105 | Vermont Student Assistance Corp. (3 Month LIBOR USD + 3.00%) | 3.23 | % | 12/03/2035 | 1,455,980 | ||||||||
19,766,762 | Vermont Student Assistance Corp. (1 Month LIBOR USD + 1.00%) | 1.16 | % | 06/02/2042 | 19,790,086 | ||||||||
5,755,000 | Virginia Public Building Authority | 4.00 | % | 08/01/2036 | 6,956,011 | ||||||||
3,300,000 | Virginia Small Business Financing Authority | 5.00 | % | 07/01/2034 | 3,427,908 | ||||||||
4,000,000 | Virginia Small Business Financing Authority | 5.00 | % | 07/01/2034 | 4,155,040 | ||||||||
2,000,000 | Washington DC Metropolitan Area Transit Authority | 4.00 | % | 07/15/2045 | 2,387,820 | ||||||||
1,000,000 | Washington State Housing Finance Commission^ | 4.00 | % | 01/01/2026 | 1,053,040 | ||||||||
2,655,000 | Washington State Housing Finance Commission^ | 5.00 | % | 01/01/2031 | 2,880,463 | ||||||||
3,655,000 | Wayne County Michigan Airport Authority | 5.00 | % | 12/01/2038 | 4,241,554 | ||||||||
1,610,000 | Wisconsin Health & Educational Facilities Authority | 5.00 | % | 05/01/2027 | 1,816,724 | ||||||||
1,730,000 | Wisconsin Health & Educational Facilities Authority | 5.00 | % | 08/15/2028 | 1,878,728 | ||||||||
650,000 | Wisconsin Health & Educational Facilities Authority | 5.00 | % | 09/15/2037 | 670,969 | ||||||||
980,269,115 | |||||||||||||
Total Municipal Bonds (Cost $1,089,514,618) | 1,143,055,368 |
The accompanying notes are an integral part of these financial statements.
53
Brown Advisory Tax-Exempt Bond Fund
Schedule of Investments
December 31, 2020 (Unaudited)
Shares | Security Description | Value $ | ||||||
Short-Term Investments — 1.1% | ||||||||
Money Market Funds — 1.1% | ||||||||
13,258,022 | First American Government Obligations Fund — Class Z, 0.03%* | 13,258,022 | ||||||
Total Short-Term Investments (Cost $13,258,022) | 13,258,022 | |||||||
Total Investments — 98.8% (Cost $1,102,772,640) | 1,156,313,390 | |||||||
Other Assets in Excess of Liabilities — 1.2% | 14,071,051 | |||||||
NET ASSETS — 100.0% | $ | 1,170,384,441 |
+ | Zero coupon bond. Rate disclosed is calculated yield to maturity as of the date of this report. | |
# | Variable rate security. Rate disclosed is as of the date of this report. | |
^ | Security exempt from registration under Rule 144A of the Securities Act of 1933. These securities may be resold in transactions exempt from registration, normally to qualified institutional buyers. | |
* | Annualized seven-day yield as of the date of this report. |
PORTFOLIO HOLDINGS | ||||
% of Net Assets | ||||
Revenue Bonds | 83.8 | % | ||
General Obligation Bonds | 13.9 | % | ||
Money Market Funds | 1.1 | % | ||
Other Assets and Liabilities | 1.2 | % | ||
100.0 | % |
The accompanying notes are an integral part of these financial statements.
54
Brown Advisory Tax-Exempt Sustainable Bond Fund
A Message to Our Shareholders
December 31, 2020
Dear Shareholders:
During the six-month period ended December 31, 2020, the Brown Advisory Tax-Exempt Sustainable Bond Fund – Investor Shares (the “Fund”) increased 2.65% in value. During the same period, the Bloomberg Barclays 1-10 Year Blended Municipal Bond Index (the “Index”), the Fund’s benchmark, increased 2.06%.
The Fund aims to generate performance primarily through individual security selection that augments fundamental credit analysis with integrated ESG research. The Fund seeks to provide a high level of current income exempt from federal income tax by investing primarily in intermediate-term investment grade municipal bonds while giving special consideration to ESG criteria. The Fund seeks to identify and invest in issuers whose ESG characteristics strengthen their credit profiles, as well as issuers whose use of proceeds create positive environmental and social impacts.
Broad municipal market sentiment continued to improve from a crisis nadir induced by the pandemic during the second half of the year. The municipal market showed surprising resilience on a variety of fronts. From a market technical perspective, indicators have rebounded dramatically from the historically extreme levels seen at the onset of the pandemic towards a range consistent with a more normal environment. In terms of supply/demand dynamics, despite a record level of primary supply for the 2020 calendar year ($470 billion) the nuances involved allowed the market to absorb the supply easily. This primary supply record was largely driven by the surge in taxable municipal issuance of $180 billion (up 125% year-over-year), as municipal issuers took advantage of a meaningful drop in interest rates to refinance outstanding debt at material interest cost savings (combined with limited ability to refund in the tax-exempt market due to 2017 tax legislation)1. Demand for municipal bonds also proved resilient as mutual fund industry flows finished the year up $44 billion on a net basis2. This net flow amount is particularly notable given the unprecedented outflows that the industry experienced in March and early April (-$50 billion in four weeks, a pace well in excess of any historical period)2.
Finally, and most importantly, on the credit front, broad municipal credit quality also showed surprising resilience, especially when contrasted against some of the dire projections in the height of the pandemic uncertainty. The resilience of municipal credit during this time is attributable to a number of factors. Many state and local governments and revenue-backed municipal issuers had built up meaningful liquidity reserves during the decade-long economic expansion following the Great Financial Crisis. These efforts helped offset revenue declines. Also, federal stimulus in the form of the Coronavirus Aid, Relief, and Economic Security Act (CARES Act) aided in controlling increased unexpected expenses.
Municipal market resiliency is also a positive for the momentum of state and local ESG considerations, since struggling governments are less likely to prioritize climate change-related projects, and instead will choose to spend on immediate essential needs. California in particular accumulated a $15 billion surplus in the fiscal year ended June 30, 2020, allowing its FY 2021 budget to allocate spending to various ESG projects, including wildfire prevention, faster adoption of zero-emission vehicles, cap-and-trade emissions programs and flood control and habitat restoration.
This is not to say the entirety of the municipal bond market has avoided challenges. Payment defaults have modestly increased in 2020 compared to 2019, especially with regards to speculative projects; however, the municipal asset class as a whole has remained resilient while navigating through the pandemic.
Within the Fund, we took advantage of the confluence of robust primary market supply, heightened secondary volume, and elevated credit spreads to add exposure to many large, essential revenue issuers at attractive yield concessions. During these periods of extreme valuation drawdowns, we take solace in the fact that our bottom-up fundamental investment approach can help guide our decisions and help separate headline or market illiquidity risk from credit impairment risk. We spent much of the year assessing pockets of vulnerability and actively re-underwriting our holdings as new information became available. This experience reemphasized to us our need to analyze every credit individually. Our work paid off in the second half of the year as liquidity conditions improved and the market began to discern relative value within some of the harder hit sectors. It was our fundamental research process that gave us the conviction to lean into challenged sectors like airports, mass transportation, and dedicated tax revenue bonds, but it was exactly these decisions (and sectors) that drove the overwhelming majority of the outperformance for the Fund.
______________
1 Source: J.P. Morgan Municipal Monthly Index and Data Chartbook (December 2020)
2 Source: Barclays Municipal Strategy Monthly (2020 Performance Overview)
55
Brown Advisory Tax-Exempt Sustainable Bond Fund
A Message to Our Shareholders
December 31, 2020
As we reflect on 2020, a year defined by pandemic-related challenges, it would have been almost impossible to foresee either the extreme liquidity shock that roiled the market in March or the pursuant bifurcation in market performance from a flight-to-quality rally in April. Going forward however, we believe the market will continue to focus on and balance the risk and reward across issuers. Given the fragmented nature of the municipal market, with over 40,000 of these distinct issuers, generic credit spreads there have been slower to recover than other investment grade U.S. fixed income markets. We see this lag, and the resulting relatively inexpensive valuation environment, as an opportunity to continue to find attractive relative value plays across the market.
The global labeled bond market surpassed $2 trillion in total issuance this year, driven by green bond issuance that surpassed $1 trillion and increased 13% this year. While green bonds still make up the lion share of the broader labeled bond market, we saw exponential growth in other label types, specifically social bonds and sustainability-linked loans. This growth is impressive, given companies and municipalities tend to focus on short-term liquidity and easing up the balance sheet during peak volatility. We saw issuers double down on their commitment to sustainability and understand the importance of balancing profit with well-being of employees, customers and other key stakeholders. The growth outlook for the labeled bond market in 2021 and beyond is promising. We not only expect to see record growth but also enhanced regulation which should lead to increased transparency.
We are in the process of completing our second annual Impact Report on the Fund and we look forward to hearing feedback and continuing to enhance our reporting efforts.
Sincerely,
Stephen M. Shutz, CFA
Portfolio Manager
Amy Hauter, CFA
Portfolio Manager
Past performance is not a guarantee of future results.
Mutual fund investing involves risk. Principal loss is possible. The Fund is non-diversified which means it may invest a large percentage of its assets in the securities of fewer issuers. Concentration in a limited number of issuers exposes the Fund to greater market risk than if its assets were diversified among a greater number of issuers. The Fund is also subject to interest rate risk which is the risk that debt securities in the Fund’s portfolio will decline in value because of an increase in market interest rates. This risk is usually greater for longer-term debt securities. Income from tax-exempt funds may be subject to state and local taxes and a portion of income may be subject to the Federal Alternative minimum tax for certain investors.
Diversification does not assure a profit nor protect against loss in a declining market.
Fund holdings and sector allocations are subject to change and should not be considered a recommendation to buy or sell any security. For a complete list of fund holdings, please refer to the Schedule of Investments provided in this report.
Credit Quality weights by rating are derived from the highest bond rating as determined by Standard & Poor’s (“S&P”), Moody’s or Fitch. Bond ratings are grades given to bonds that indicate their credit quality as determined by private independent rating services such as S&P, Moody’s and Fitch. These firms evaluate a bond issuer’s financial strength, or its ability to pay a bond’s principal and interest in a timely fashion. Ratings are expressed as letters ranging from ‘AAA’, which is the highest grade, to ‘D’, which is the lowest grade. In limited situations when none of the three rating agencies have issued a formal rating, the Advisor will classify the security as nonrated.
Definitions for terms and indices are provided in the Glossary of Terms.
56
Brown Advisory Tax-Exempt Sustainable Bond Fund
Schedule of Investments
December 31, 2020 (Unaudited)
Par Value | Security Description | Rate | Maturity | Value $ | ||||||||||
Municipal Bonds — 98.2% | ||||||||||||||
General Obligation Bonds — 22.8% | ||||||||||||||
850,000 | California, State of (SIFMA Municipal Swap Index + 0.38%) | 0.47 | % | 12/01/2027 | 850,017 | |||||||||
1,350,000 | California, State of | 5.00 | % | 10/01/2028 | 1,582,011 | |||||||||
1,000,000 | California, State of | 4.00 | % | 11/01/2033 | 1,195,370 | |||||||||
2,710,000 | Chicago Illinois Metropolitan Water Reclamation | 5.00 | % | 12/01/2030 | 2,823,305 | |||||||||
2,425,000 | Chicago Park District | 4.00 | % | 01/01/2034 | 2,698,516 | |||||||||
1,080,000 | Coachella Valley California Unified School District+ | 2.64 | % | 08/01/2034 | 843,718 | |||||||||
4,515,000 | Compton California Unified School District+ | 2.92 | % | 06/01/2037 | 2,920,573 | |||||||||
1,000,000 | Cypress-Fairbanks Texas Independent School District | 5.00 | % | 02/15/2024 | 1,147,740 | |||||||||
1,000,000 | Cypress-Fairbanks Texas Independent School District | 5.00 | % | 02/15/2025 | 1,194,050 | |||||||||
1,125,000 | Detroit City Michigan School District | 5.00 | % | 05/01/2039 | 1,446,221 | |||||||||
4,555,000 | Duarte California Unified School District+ | 2.70 | % | 08/01/2036 | 3,066,244 | |||||||||
1,500,000 | Hartnell California Community College District | 3.00 | % | 08/01/2048 | 1,608,315 | |||||||||
1,000,000 | Illinois, State of | 5.38 | % | 05/01/2023 | 1,087,320 | |||||||||
2,500,000 | Illinois, State of | 5.00 | % | 11/01/2026 | 2,827,925 | |||||||||
3,000,000 | Kane, McHenry, Cook & DeKalb Counties, Illinois Unit School District No. 300 | 5.25 | % | 01/01/2032 | 3,269,310 | |||||||||
1,500,000 | Kendall Kane & Will Counties, Illinois Community Unit School District No. 308 | 5.00 | % | 02/01/2029 | 1,505,265 | |||||||||
1,000,000 | Lewisville Texas Independent School District | 5.00 | % | 08/15/2023 | 1,124,900 | |||||||||
3,000,000 | Oak Grove California School District+ | 2.41 | % | 08/01/2035 | 2,303,160 | |||||||||
1,000,000 | Palomar Pomerado Health, California+ | 1.37 | % | 08/01/2030 | 855,350 | |||||||||
1,100,000 | Placentia-Yorba Linda California Unified School District+ | 2.67 | % | 08/01/2036 | 820,941 | |||||||||
3,000,000 | Texas, State of | 4.50 | % | 08/01/2029 | 3,894,539 | |||||||||
2,060,000 | Victor Valley California Community College District+ | 1.67 | % | 08/01/2033 | 1,674,636 | |||||||||
2,000,000 | Weld County Colorado School District | 5.00 | % | 12/01/2032 | 2,686,660 | |||||||||
1,500,000 | Weld County Colorado School District | 5.00 | % | 12/01/2036 | 1,998,945 | |||||||||
45,425,031 | ||||||||||||||
Revenue Bonds — 75.4% | ||||||||||||||
2,225,000 | Allegheny County Pennsylvania Hospital Development Authority | 5.00 | % | 07/15/2023 | 2,488,752 | |||||||||
1,000,000 | American Municipal Power Ohio, Inc. | 4.00 | % | 02/15/2044 | 1,162,590 | |||||||||
950,000 | Arlington County Virginia Industrial Development Authority | 5.00 | % | 07/01/2026 | 1,175,730 | |||||||||
425,000 | Arlington Texas Higher Education Finance Corp. | 5.00 | % | 08/15/2026 | 530,222 | |||||||||
3,000,000 | Aurora Colorado Water Revenue | 5.00 | % | 08/01/2041 | 3,631,919 | |||||||||
2,250,000 | Austin, Texas | 7.88 | % | 09/01/2026 | 2,287,575 | |||||||||
1,000,000 | Baltimore County Maryland | 4.00 | % | 01/01/2039 | 1,109,420 | |||||||||
1,525,000 | Baltimore County Maryland | 4.00 | % | 01/01/2040 | 1,688,602 | |||||||||
1,500,000 | Baltimore County Maryland | 4.00 | % | 01/01/2045 | 1,634,955 | |||||||||
1,950,000 | Bay Area Water Supply & Conservation Agency | 5.00 | % | 10/01/2034 | 2,139,911 | |||||||||
630,000 | California Infrastructure & Economic Development Bank | 4.00 | % | 08/01/2023 | 687,456 | |||||||||
500,000 | California Infrastructure & Economic Development Bank | 4.00 | % | 08/01/2024 | 562,525 | |||||||||
1,005,000 | California Infrastructure & Economic Development Bank | 5.00 | % | 08/01/2038 | 1,294,922 | |||||||||
1,000,000 | California Infrastructure & Economic Development Bank | 5.00 | % | 08/01/2039 | 1,285,670 | |||||||||
3,045,000 | California Infrastructure & Economic Development Bank (1 Month LIBOR USD + 0.20%) | 0.31 | % | 10/01/2047 | 3,045,061 | |||||||||
1,170,000 | California Municipal Finance Authority^ | 5.00 | % | 11/01/2029 | 1,376,294 | |||||||||
1,575,000 | California Municipal Finance Authority^ | 5.00 | % | 11/01/2049 | 1,753,904 | |||||||||
1,180,000 | California School Finance Authority^ | 5.00 | % | 07/01/2037 | 1,429,959 | |||||||||
2,000,000 | California Statewide Communities Development Authority# | 2.63 | % | 11/01/2033 | 2,131,580 | |||||||||
950,000 | Cedar Rapids, Iowa# | 0.25 | % | 08/15/2032 | 907,250 | |||||||||
1,020,000 | Central Puget Sound Regional Transit Authority | 5.00 | % | 11/01/2032 | 1,230,579 | |||||||||
2,250,000 | Central Puget Sound Regional Transit Authority | 5.00 | % | 11/01/2045 | 2,674,418 | |||||||||
1,500,000 | Colorado Health Facilities Authority | 4.00 | % | 12/01/2040 | 1,704,615 | |||||||||
900,000 | Connecticut Housing Finance Authority# | 0.10 | % | 11/15/2046 | 900,000 | |||||||||
1,000,000 | Connecticut State Clean Water Fund | 4.00 | % | 02/01/2035 | 1,222,570 | |||||||||
1,500,000 | Connecticut State Clean Water Fund | 5.00 | % | 05/01/2036 | 1,866,015 | |||||||||
3,000,000 | Dallas-Fort Worth Texas International Airport | 5.25 | % | 11/01/2030 | 3,357,780 |
The accompanying notes are an integral part of these financial statements.
57
Brown Advisory Tax-Exempt Sustainable Bond Fund
Schedule of Investments
December 31, 2020 (Unaudited)
Par Value | Security Description | Rate | Maturity | Value $ | |||||||||
Municipal Bonds — 98.2% (Continued) | |||||||||||||
Revenue Bonds — 75.4% (Continued) | |||||||||||||
2,000,000 | Detroit Michigan Water Supply System Revenue | 5.25 | % | 07/01/2041 | 2,050,240 | ||||||||
3,000,000 | District of Columbia Water & Sewer Authority | 5.00 | % | 10/01/2039 | 3,625,289 | ||||||||
1,450,000 | Douglas County Nebraska Hospital Authority No. 2 | 4.00 | % | 11/15/2039 | 1,733,794 | ||||||||
1,700,000 | Douglas County Nebraska Hospital Authority No. 2 | 4.00 | % | 11/15/2040 | 2,026,774 | ||||||||
2,250,000 | Du Page County, Illinois | 3.00 | % | 05/15/2047 | 2,298,510 | ||||||||
1,320,000 | East Chicago Sanitary District | 4.00 | % | 07/15/2031 | 1,439,486 | ||||||||
1,100,000 | Grand Forks County North Dakota | 5.75 | % | 09/15/2028 | 1,039,104 | ||||||||
1,000,000 | Grand Forks County North Dakota | 6.38 | % | 12/15/2043 | 901,780 | ||||||||
600,000 | Harris County Texas Flood Control District | 5.00 | % | 10/01/2027 | 732,168 | ||||||||
1,405,000 | Hartford County Connecticut Metropolitan District Clean Water Project | 5.00 | % | 11/01/2036 | 1,603,948 | ||||||||
1,730,000 | Health & Educational Facilities Authority of the State of Missouri | 5.75 | % | 02/01/2031 | 1,735,415 | ||||||||
1,480,000 | Illinois Finance Authority | 5.00 | % | 01/01/2022 | 1,551,055 | ||||||||
1,005,000 | JEA Water & Sewer System Revenue# | 0.11 | % | 10/01/2036 | 1,005,000 | ||||||||
1,000,000 | Lower Colorado River Authority | 5.00 | % | 05/15/2022 | 1,065,350 | ||||||||
1,000,000 | Lower Colorado River Authority | 5.00 | % | 05/15/2025 | 1,198,830 | ||||||||
1,000,000 | Maricopa County Arizona Industrial Development Authority | ||||||||||||
(SIFMA Municipal Swap Index + 0.38%) | 0.47 | % | 01/01/2035 | 998,280 | |||||||||
850,000 | Maryland Economic Development Corp. | 4.00 | % | 07/01/2040 | 889,304 | ||||||||
1,000,000 | Massachusetts Port Authority | 5.00 | % | 07/01/2040 | 1,002,790 | ||||||||
2,500,000 | Metropolitan Pier & Exposition Authority+ | 2.08 | % | 06/15/2030 | 2,059,800 | ||||||||
1,175,000 | Metropolitan Pier & Exposition Authority+ | 3.29 | % | 12/15/2038 | 702,392 | ||||||||
1,000,000 | Metropolitan Pier & Exposition Authority | 5.00 | % | 06/15/2042 | 1,031,940 | ||||||||
380,000 | Metropolitan Pier & Exposition Authority+ | 3.36 | % | 06/15/2047 | 164,616 | ||||||||
2,000,000 | Metropolitan Pier & Exposition Authority | 4.00 | % | 06/15/2050 | 2,129,980 | ||||||||
225,000 | Metropolitan Pier & Exposition Authority+ | 3.49 | % | 12/15/2051 | 81,862 | ||||||||
590,000 | Metropolitan Pier & Exposition Authority+ | 3.49 | % | 12/15/2052 | 207,108 | ||||||||
1,955,000 | Metropolitan Transportation Authority | 5.25 | % | 11/15/2033 | 2,455,910 | ||||||||
1,050,000 | Metropolitan Transportation Authority | 5.00 | % | 11/15/2035 | 1,290,030 | ||||||||
1,250,000 | Metropolitan Transportation Authority | 5.00 | % | 11/15/2038 | 1,568,838 | ||||||||
1,870,000 | Metropolitan Transportation Authority | 5.00 | % | 11/15/2042 | 1,982,050 | ||||||||
4,530,000 | Metropolitan Water District of Southern California# | 0.09 | % | 07/01/2037 | 4,530,000 | ||||||||
1,475,000 | Miami Beach Florida Health Facilities | 5.00 | % | 11/15/2029 | 1,559,842 | ||||||||
2,000,000 | Monroeville Pennsylvania Finance Authority | 4.25 | % | 02/15/2042 | 2,098,200 | ||||||||
1,000,000 | New Hampshire Business Finance Authority (SIFMA Municipal Swap Index + 0.75%) | 0.84 | % | 10/01/2033 | 1,000,370 | ||||||||
1,190,000 | New Hope Texas Cultural Education Facilities Finance Corp. | 5.50 | % | 07/01/2046 | 911,373 | ||||||||
885,000 | New Hope Texas Cultural Education Facilities Finance Corp. | 5.75 | % | 07/01/2051 | 688,318 | ||||||||
2,205,000 | New Jersey Housing & Mortgage Finance Agency | 1.60 | % | 10/01/2026 | 2,221,736 | ||||||||
2,000,000 | New York City Housing Development Corp. | 2.60 | % | 11/01/2034 | 2,109,900 | ||||||||
2,425,000 | New York Liberty Development Corp. | 4.00 | % | 09/15/2035 | 2,512,664 | ||||||||
3,000,000 | New York Liberty Development Corp. | 5.00 | % | 09/15/2040 | 3,144,810 | ||||||||
2,000,000 | New York Liberty Development Corp. | 5.00 | % | 12/15/2041 | 2,077,520 | ||||||||
1,000,000 | New York State Dormitory Authority | 5.00 | % | 07/01/2050 | 1,114,750 | ||||||||
2,500,000 | New York State Housing Finance Agency | 1.60 | % | 11/01/2024 | 2,527,350 | ||||||||
5,000,000 | New York State Housing Finance Agency | 0.75 | % | 11/01/2025 | 5,002,199 | ||||||||
1,473,906 | New York State Housing Finance Agency | 1.65 | % | 05/15/2039 | 1,476,043 | ||||||||
1,000,000 | Ohio Higher Educational Facility Commission# | 1.63 | % | 12/01/2034 | 1,033,640 | ||||||||
850,000 | Ohio, State of# | 0.19 | % | 03/01/2036 | 847,884 | ||||||||
1,500,000 | Ohio, State of (SIFMA Municipal Swap Index + 0.40%) | 0.49 | % | 01/01/2052 | 1,499,910 | ||||||||
2,500,000 | Philadelphia Pennsylvania Water & Wastewater Revenue | 5.00 | % | 01/01/2036 | 2,500,000 | ||||||||
2,500,000 | Phoenix Arizona Civic Improvement Corp. | 5.00 | % | 07/01/2049 | 3,105,850 | ||||||||
2,000,000 | Pompano Beach, City of Florida | 3.50 | % | 09/01/2035 | 2,080,980 | ||||||||
1,500,000 | Portland Maine General Airport Revenue | 4.00 | % | 01/01/2038 | 1,708,155 | ||||||||
1,500,000 | Regional Transportation Authority | 5.00 | % | 06/01/2031 | 1,702,320 |
The accompanying notes are an integral part of these financial statements.
58
Brown Advisory Tax-Exempt Sustainable Bond Fund
Schedule of Investments
December 31, 2020 (Unaudited)
Par Value | Security Description | Rate | Maturity | Value $ | ||||||||||
Municipal Bonds — 98.2% (Continued) | ||||||||||||||
Revenue Bonds — 75.4% (Continued) | ||||||||||||||
1,000,000 | Sacramento County California Sanitation Districts | |||||||||||||
Financing Authority (3 Month LIBOR USD + 0.53%) | 0.68 | % | 12/01/2035 | 934,160 | ||||||||||
1,500,000 | San Francisco, California City & County Airports Common International Airport | 4.00 | % | 05/01/2037 | 1,802,070 | |||||||||
1,250,000 | Southern California Public Power Authority | 5.00 | % | 07/01/2021 | 1,279,613 | |||||||||
2,000,000 | Springfield Illinois Water Revenue | 5.00 | % | 03/01/2037 | 2,112,180 | |||||||||
1,200,000 | Tampa Florida Hospital Revenue | 4.00 | % | 07/01/2039 | 1,410,732 | |||||||||
1,000,000 | Tampa Florida Hospital Revenue | 4.00 | % | 07/01/2045 | 1,154,590 | |||||||||
2,635,000 | Upper Santa Clara Valley California Joint Powers Authority | 4.00 | % | 08/01/2045 | 2,977,339 | |||||||||
260,290 | Vermont Student Assistance Corp. (3 Month LIBOR USD + 3.00%) | 3.23 | % | 12/03/2035 | 263,526 | |||||||||
2,250,000 | Virginia Small Business Financing Authority | 4.00 | % | 01/01/2036 | 2,586,240 | |||||||||
2,000,000 | Washington DC Metropolitan Area Transit Authority | 4.00 | % | 07/15/2045 | 2,387,820 | |||||||||
150,214,001 | ||||||||||||||
Total Municipal Bonds (Cost $192,308,851) | 195,639,032 | |||||||||||||
Total Investments — 98.2% (Cost $192,308,851) | 195,639,032 | |||||||||||||
Other Assets in Excess of Liabilities — 1.8% | 3,534,384 | |||||||||||||
NET ASSETS — 100.0% | $ | 199,173,416 |
+ | Zero coupon bond. Rate disclosed is calculated yield to maturity as of the date of this report. | |
# | Variable rate security. Rate disclosed is as of the date of this report. | |
^ | Security exempt from registration under Rule 144A of the Securities Act of 1933. These securities may be resold in transactions exempt from registration, normally to qualified institutional buyers. | |
* | Annualized seven-day yield as of the date of this report. |
PORTFOLIO HOLDINGS | ||||
% of Net Assets | ||||
Revenue Bonds | 75.4 | % | ||
General Obligation Bonds | 22.8 | % | ||
Other Assets and Liabilities | 1.8 | % | ||
100.0 | % |
The accompanying notes are an integral part of these financial statements.
59
Brown Advisory Mortgage Securities Fund
A Message to Our Shareholders
December 31, 2020
Dear Shareholders:
During the six-month period ended December 31, 2020, the Brown Advisory Mortgage Securities Fund – Investor Shares (the “Fund”) increased 1.23%. During the same period, the Bloomberg Barclays Mortgage Backed Securities Index (the “Index”), the Fund’s benchmark, increased 0.36%.
The Fund aims to generate performance through strong current income generation from high quality mortgage-related securities. The mortgage sector in particular is highly sensitive to forward looking interest rate volatility and assumptions around borrower refinancing behavior; our disciplined process is supported by detailed individual security selection with a keen focus on capital preservation across all interest rate environments.
This period was a challenging one for all types of securitized bonds. In traditional agency mortgage-backed securities (MBS), rapidly falling rates during 2020 touched off a refinancing boom, which is usually problematic for MBS investors. With mortgage bonds of virtually all stripes trading well above par, and given that refinancings are repaid at par, each refinance eats into an investor’s yield. As a result of this, MBS was the worst performing of the major fixed income sectors during this period save for Treasury bonds.
We have generally been underweight traditional MBS, using a combination of government-guaranteed commercial mortgage-backed securities (CMBS) as well as some securitized credit positions instead. The agency-backed CMBS were strong performers. Government and other AAA-rated CMBS returned 2.10%, well ahead of the 0.36% return of the benchmark. This weighting difference was the biggest single contributor to performance.
Our MBS selection was also positive, as our agency position returned 0.61% vs. just 0.36% for the benchmark. This was driven primarily by better performance from our seasoned positions, especially those that started out as 15-year mortgages. As rates rose in the fourth quarter, these positions outperformed considerably.
Looking forward, after an incredibly volatile 2020, we are all probably hoping for a more staid 2021. Our base case would be that fixed income markets are quite boring next year. However, we believe we have positioned portfolios to protect against unexpected volatility, be it from a surprisingly weaker or stronger economy.
Sincerely,
Thomas D.D. Graff, CFA
Portfolio Manager
Past performance is not a guarantee of future results.
Mutual fund investing involves risk. Principal loss is possible. Investments in debt securities typically decrease in value when interest rates rise. This risk is usually greater for longer-term debt securities. Investments in Asset-Backed and Mortgage-Backed securities include additional risks that investor should be aware of including credit risk, prepayment risk, possible illiquidity and default, as well as increased susceptibility to adverse economic developments. Certain fixed income securities held by the Fund may be difficult (or impossible) to sell at the time and at the price the Adviser would like. As a result, the Fund may have to hold these securities longer than it would like and may forego other investment opportunities. Issuers may experience an acceleration in prepayments of mortgage loans or other receivables backing the issuers’ fixed income securities when interest rates decline, which can shorten the maturity of the security, force the Fund to invest in securities with lower interest rates, and reduce the Fund’s return. Issuers may decrease prepayments of principal when interest rates increase, extending the maturity of a fixed income security and causing the value of the security to decline. Investing involves risk. Principal loss is possible. Investors should consult a tax professional for advice and information concerning the tax features of mortgage backed securities and fixed coupon bonds. Mortgage-backed securities (MBS) are bonds secured by a mortgage or collection of mortgages. Diversification does not assure a profit nor protect against loss in a declining market.
Fund holdings and sector allocations are subject to change and should not be considered a recommendation to buy or sell any security. For a complete list of fund holdings, please refer to the Schedule of Investments provided in this report.
Definitions for terms and indices are provided in the Glossary of Terms.
60
Brown Advisory Mortgage Securities Fund
Schedule of Investments
December 31, 2020 (Unaudited)
Par Value | Security Description | Rate | Maturity | Value $ | |||||||||
Mortgage Backed Securities — 94.3% | |||||||||||||
2,080,000 | BAMLL Commercial Mortgage Securities Trust, | ||||||||||||
Series 2018-DSNY A (1 Month LIBOR USD + 0.85%)^ | 1.01 | % | 09/15/2034 | 2,058,819 | |||||||||
2,000,000 | BBCMS Mortgage Trust, Series 2018-TALL A (1 Month LIBOR USD + 0.72%)^ | 0.88 | % | 03/15/2037 | 1,970,177 | ||||||||
986,000 | DBGS Mortgage Trust, Series 2018-C1 7EA^ | 4.64 | % | 10/17/2051 | 978,831 | ||||||||
47,245 | FHLMC PC, Pool# N3-0530 | 5.50 | % | 01/01/2029 | 49,804 | ||||||||
85,740 | FHLMC PC, Pool# C5-3878 | 5.50 | % | 12/01/2030 | 98,338 | ||||||||
199,308 | FHLMC PC, Pool# C9-1366 | 4.50 | % | 04/01/2031 | 220,400 | ||||||||
59,389 | FHLMC PC, Pool# C6-6421 | 6.50 | % | 02/01/2032 | 66,580 | ||||||||
210,748 | FHLMC PC, Pool# N7-0078 | 5.50 | % | 01/01/2033 | 229,371 | ||||||||
46,448 | FHLMC PC, Pool# 1B-0889 (12 Month LIBOR USD + 1.59%) | 2.90 | % | 05/01/2033 | 46,532 | ||||||||
85,877 | FHLMC PC, Pool# A1-4256 | 5.50 | % | 10/01/2033 | 100,059 | ||||||||
237,617 | FHLMC PC, Pool# G3-0932 | 4.50 | % | 03/01/2034 | 262,702 | ||||||||
819,401 | FHLMC PC, Pool# C9-1826 | 3.00 | % | 05/01/2035 | 864,525 | ||||||||
47,343 | FHLMC PC, Pool# 1J-0204 (12 Month LIBOR USD + 1.75%) | 3.21 | % | 05/01/2035 | 49,821 | ||||||||
161,993 | FHLMC PC, Pool# N7-0071 | 6.00 | % | 06/01/2035 | 178,333 | ||||||||
66,241 | FHLMC PC, Pool# A4-6629 | 5.00 | % | 08/01/2035 | 77,097 | ||||||||
812,158 | FHLMC PC, Pool# K9-3365 | 3.50 | % | 11/01/2035 | 874,004 | ||||||||
395,592 | FHLMC PC, Pool# K9-3349 | 4.00 | % | 11/01/2035 | 423,515 | ||||||||
26,346 | FHLMC PC, Pool# 1L-1263 (1 Year CMT Rate + 2.25%) | 3.75 | % | 03/01/2036 | 27,929 | ||||||||
24,584 | FHLMC PC, Pool# 1H-1348 (1 Year CMT Rate + 2.14%) | 2.44 | % | 10/01/2036 | 25,869 | ||||||||
238,130 | FHLMC PC, Pool# G2-0028 | 7.50 | % | 12/01/2036 | 271,145 | ||||||||
99,418 | FHLMC PC, Pool# B3-1891 | 5.38 | % | 01/01/2037 | 110,835 | ||||||||
120,450 | FHLMC PC, Pool# 84-7727 (12 Month LIBOR USD + 1.74%) | 2.26 | % | 02/01/2037 | 120,923 | ||||||||
195,683 | FHLMC PC, Pool# B3-1900 | 5.38 | % | 02/01/2037 | 218,333 | ||||||||
45,813 | FHLMC PC, Pool# B3-1934 | 5.38 | % | 04/01/2037 | 51,080 | ||||||||
93,015 | FHLMC PC, Pool# B3-1976 | 5.10 | % | 05/01/2037 | 103,183 | ||||||||
171,284 | FHLMC PC, Pool# A6-7884 | 5.38 | % | 05/01/2037 | 190,976 | ||||||||
55,549 | FHLMC PC, Pool# 1J-1681 (12 Month LIBOR USD + 1.98%) | 2.86 | % | 06/01/2037 | 58,956 | ||||||||
165,824 | FHLMC PC, Pool# B3-2000 | 5.10 | % | 06/01/2037 | 184,056 | ||||||||
93,868 | FHLMC PC, Pool# U3-0471 | 5.10 | % | 07/01/2037 | 104,129 | ||||||||
53,920 | FHLMC PC, Pool# U3-0653 | 5.13 | % | 07/01/2037 | 60,235 | ||||||||
221,496 | FHLMC PC, Pool# U3-0681 | 5.10 | % | 09/01/2037 | 245,996 | ||||||||
70,805 | FHLMC PC, Pool# U3-0606 | 5.10 | % | 09/01/2037 | 78,535 | ||||||||
50,185 | FHLMC PC, Pool# 1G-2249 (12 Month LIBOR USD + 1.78%) | 2.28 | % | 10/01/2037 | 50,533 | ||||||||
259,540 | FHLMC PC, Pool# T3-0346 | 5.38 | % | 10/01/2037 | 291,343 | ||||||||
1,398,592 | FHLMC PC, Pool# G3-1063 | 3.50 | % | 11/01/2037 | 1,488,811 | ||||||||
82,706 | FHLMC PC, Pool# U3-0800 | 5.10 | % | 11/01/2037 | 91,742 | ||||||||
142,446 | FHLMC PC, Pool# U3-1874 | 5.38 | % | 04/01/2038 | 158,825 | ||||||||
342,820 | FHLMC PC, Pool# N7-0082 | 6.00 | % | 07/01/2038 | 381,750 | ||||||||
217,209 | FHLMC PC, Pool# G0-4540 | 6.00 | % | 08/01/2038 | 257,374 | ||||||||
184,391 | FHLMC PC, Pool# G0-4655 | 6.00 | % | 08/01/2038 | 218,369 | ||||||||
109,081 | FHLMC PC, Pool# U3-2470 | 5.10 | % | 11/01/2038 | 121,011 | ||||||||
108,713 | FHLMC PC, Pool# G0-8348 | 5.00 | % | 06/01/2039 | 126,363 | ||||||||
532,414 | FHLMC PC, Pool# C0-3427 | 5.50 | % | 10/01/2039 | 619,854 | ||||||||
462,398 | FHLMC PC, Pool# Q3-8585 | 4.00 | % | 10/01/2043 | 497,954 | ||||||||
4,844,839 | FHLMC PC, Pool# ZA-5113 | 4.00 | % | 12/01/2047 | 5,292,668 | ||||||||
409,268 | FHLMC PC, Pool# G0-8828 | 5.50 | % | 04/01/2048 | 464,025 | ||||||||
745,517 | FHLMC REMIC, Series 4318 DI~ | 2.50 | % | 08/15/2022 | 9,264 | ||||||||
919,399 | FHLMC REMIC, Series 4329 CI~ | 2.50 | % | 01/15/2023 | 15,306 | ||||||||
25,672 | FHLMC REMIC, Series 1843 Z | 7.00 | % | 04/15/2026 | 27,514 | ||||||||
140,901 | FHLMC REMIC, Series 2517 Z | 5.50 | % | 10/15/2032 | 156,709 | ||||||||
1,407,330 | FHLMC REMIC, Series 2907 VZ | 4.50 | % | 05/15/2034 | 1,555,084 | ||||||||
301,935 | FHLMC REMIC, Series 2890 ZA | 5.00 | % | 11/15/2034 | 347,893 | ||||||||
484,504 | FHLMC REMIC, Series 3150 DZ | 5.50 | % | 05/15/2036 | 565,423 | ||||||||
232,463 | FHLMC REMIC, Series 3294 CB | 5.50 | % | 03/15/2037 | 271,822 | ||||||||
766,603 | FHLMC REMIC, Series 4309 BI~ | 3.00 | % | 08/15/2039 | 22,432 |
The accompanying notes are an integral part of these financial statements.
61
Brown Advisory Mortgage Securities Fund
Schedule of Investments
December 31, 2020 (Unaudited)
Par Value | Security Description | Rate | Maturity | Value $ | |||||||||
Mortgage Backed Securities — 94.3% (Continued) | |||||||||||||
119,964 | FHLMC REMIC, Series 4675 CA | 3.50 | % | 02/15/2042 | 120,449 | ||||||||
93,219 | FHLMC REMIC, Series 4775 DA | 4.00 | % | 07/15/2042 | 93,345 | ||||||||
123,417 | FHLMC REMIC, Series 4693 NA | 3.50 | % | 08/15/2042 | 123,971 | ||||||||
498,178 | FHLMC REMIC, Series 4773 EA | 4.00 | % | 10/15/2042 | 501,254 | ||||||||
1,423,432 | FHLMC REMIC, Series 4773 KA | 4.00 | % | 10/15/2042 | 1,432,221 | ||||||||
1,848,009 | FHLMC REMIC, Series 4711 NA | 3.50 | % | 11/15/2042 | 1,856,953 | ||||||||
2,780,417 | FHLMC REMIC, Series 4665 KA | 4.00 | % | 12/15/2042 | 2,818,800 | ||||||||
159,057 | FHLMC REMIC, Series 4703 KA | 3.50 | % | 02/15/2043 | 160,353 | ||||||||
1,488,433 | FHLMC REMIC, Series 4740 KB | 3.50 | % | 02/15/2043 | 1,502,960 | ||||||||
904,701 | FHLMC REMIC, Series 4663 JA | 3.50 | % | 03/15/2043 | 912,355 | ||||||||
2,581,231 | FHLMC REMIC, Series 4747 DA | 3.50 | % | 04/15/2043 | 2,600,862 | ||||||||
196,970 | FHLMC REMIC, Series 4870 LA | 4.00 | % | 04/15/2043 | 197,084 | ||||||||
32,537 | FHLMC REMIC, Series 4848 EA | 4.50 | % | 08/15/2043 | 32,529 | ||||||||
1,458,997 | FHLMC REMIC, Series 4801 LT | 4.00 | % | 12/15/2043 | 1,460,861 | ||||||||
4,901 | FHLMC REMIC, Series 4830 WA | 4.00 | % | 04/15/2044 | 4,897 | ||||||||
32,819 | FHLMC REMIC, Series 4848 WA | 4.00 | % | 07/15/2044 | 32,808 | ||||||||
826,357 | FHLMC REMIC, Series 4840 BH | 5.00 | % | 07/15/2044 | 832,563 | ||||||||
2,116,925 | FHLMC REMIC, Series 4800 CA | 4.50 | % | 09/15/2044 | 2,143,702 | ||||||||
144,818 | FHLMC REMIC, Series 4830 DA | 4.50 | % | 11/15/2044 | 145,959 | ||||||||
105,002 | FHLMC REMIC, Series 4828 NA | 4.50 | % | 12/15/2044 | 105,918 | ||||||||
772,344 | FHLMC REMIC, Series 4829 JA | 4.50 | % | 12/15/2044 | 778,429 | ||||||||
341,756 | FHLMC REMIC, Series 4844 HJ | 4.00 | % | 02/15/2045 | 344,719 | ||||||||
708,568 | FHLMC REMIC, Series 4827 GB | 4.00 | % | 03/15/2045 | 715,474 | ||||||||
206,042 | FHLMC REMIC, Series 4842 EA | 4.50 | % | 03/15/2045 | 207,831 | ||||||||
587,408 | FHLMC REMIC, Series 4818 PA | 4.00 | % | 06/15/2045 | 597,513 | ||||||||
1,178,708 | FHLMC REMIC, Series 4872 AB | 4.00 | % | 08/15/2047 | 1,228,999 | ||||||||
728,188 | FHLMC REMIC, Series 4891 PA | 3.50 | % | 07/15/2048 | 760,144 | ||||||||
1,000,000 | FHLMC REMIC, Series 4888 AC | 3.50 | % | 01/15/2049 | 1,067,832 | ||||||||
1,192,340 | FHLMC SCRTT, Series 2016-1 M1#^ | 3.00 | % | 09/25/2055 | 1,194,394 | ||||||||
1,000,000 | FHLMC SCRTT, Series 2017-1 M1#^ | 4.00 | % | 01/25/2056 | 1,004,796 | ||||||||
4,273 | FHLMC WLST, Series 2017-SC02 2A1 | 3.50 | % | 05/25/2047 | 4,267 | ||||||||
2,894,147 | FHMS, Series K-017 X1#~ | 1.29 | % | 12/25/2021 | 19,845 | ||||||||
12,864,667 | FHMS, Series K-019 X1#~ | 1.59 | % | 03/25/2022 | 162,452 | ||||||||
15,858,275 | FHMS, Series K-021 X1#~ | 1.40 | % | 06/25/2022 | 234,323 | ||||||||
24,081,065 | FHMS, Series K-025 X1#~ | 0.80 | % | 10/25/2022 | 275,155 | ||||||||
12,808,636 | FHMS, Series K-035 X1#~ | 0.35 | % | 08/25/2023 | 105,436 | ||||||||
73,510,771 | FHMS, Series K-C02 X1#~ | 0.37 | % | 03/25/2024 | 797,437 | ||||||||
20,310,920 | FHMS, Series K-038 X1#~ | 1.12 | % | 03/25/2024 | 614,639 | ||||||||
43,082,081 | FHMS, Series K-040 X1#~ | 0.71 | % | 09/25/2024 | 979,979 | ||||||||
17,868,133 | FHMS, Series K-C03 X1#~ | 0.49 | % | 11/25/2024 | 294,435 | ||||||||
133,593,609 | FHMS, Series K-047 X1#~ | 0.13 | % | 05/25/2025 | 798,449 | ||||||||
13,142,264 | FHMS, Series Q-013 XPT1~ | 1.66 | % | 05/25/2025 | 407,281 | ||||||||
272,551 | FHMS, Series K-W01 A1 | 2.59 | % | 05/25/2025 | 287,221 | ||||||||
36,948,000 | FHMS, Series K-C06 X1#~ | 0.90 | % | 06/25/2025 | 1,241,759 | ||||||||
14,594,783 | FHMS, Series K-053 X1#~ | 0.89 | % | 12/25/2025 | 567,578 | ||||||||
41,758,001 | FHMS, Series K-734 X1#~ | 0.65 | % | 02/25/2026 | 1,193,961 | ||||||||
9,361,920 | FHMS, Series K-055 X1#~ | 1.36 | % | 03/25/2026 | 576,449 | ||||||||
33,049,730 | FHMS, Series K-735 X1#~ | 0.96 | % | 05/25/2026 | 1,514,474 | ||||||||
26,039,547 | FHMS, Series K-736 X1#~ | 1.31 | % | 07/25/2026 | 1,572,739 | ||||||||
6,001,993 | FHMS, Series K-058 X1#~ | 0.92 | % | 08/25/2026 | 277,371 | ||||||||
6,442,685 | FHMS, Series K-059 X1#~ | 0.31 | % | 09/25/2026 | 101,583 | ||||||||
26,751,710 | FHMS, Series K-737 X1#~ | 0.64 | % | 10/25/2026 | 864,781 | ||||||||
24,925,748 | FHMS, Series K-C04 X1#~ | 1.25 | % | 12/25/2026 | 1,350,440 | ||||||||
55,007,574 | FHMS, Series K-063 X1#~ | 0.29 | % | 01/25/2027 | 874,708 | ||||||||
6,092,067 | FHMS, Series K-738 X1#~ | 1.52 | % | 01/25/2027 | 484,583 | ||||||||
22,278,466 | FHMS, Series K-064 X1#~ | 0.61 | % | 03/25/2027 | 751,063 |
The accompanying notes are an integral part of these financial statements.
62
Brown Advisory Mortgage Securities Fund
Schedule of Investments
December 31, 2020 (Unaudited)
Par Value | Security Description | Rate | Maturity | Value $ | |||||||||
Mortgage Backed Securities — 94.3% (Continued) | |||||||||||||
6,050,000 | FHMS, Series K-738 XAM#~ | 1.37 | % | 03/25/2027 | 471,117 | ||||||||
8,228,094 | FHMS, Series Q-013 XPT2~ | 1.81 | % | 05/25/2027 | 349,925 | ||||||||
5,685,065 | FHMS, Series K-W03 X1#~ | 0.84 | % | 06/25/2027 | 228,512 | ||||||||
22,988,775 | FHMS, Series K-C05 X1#~ | 1.20 | % | 07/25/2027 | 1,290,231 | ||||||||
12,515,740 | FHMS, Series K-068 X1#~ | 0.43 | % | 08/25/2027 | 332,920 | ||||||||
30,308,591 | FHMS, Series K-069 X1#~ | 0.36 | % | 09/25/2027 | 701,492 | ||||||||
6,021,759 | FHMS, Series K-739 XAM#~ | 1.61 | % | 09/25/2027 | 588,667 | ||||||||
16,500,000 | FHMS, Series K-740 XAM#~ | 1.11 | % | 10/25/2027 | 1,150,543 | ||||||||
52,503,186 | FHMS, Series K-070 X1#~ | 0.33 | % | 11/25/2027 | 1,134,079 | ||||||||
31,618,615 | FHMS, Series K-072 X1#~ | 0.37 | % | 12/25/2027 | 753,029 | ||||||||
5,958,467 | FHMS, Series Q-006 APT1# | 2.67 | % | 04/25/2028 | 6,108,818 | ||||||||
1,652,592 | FHMS, Series Q-006 APT2# | 2.57 | % | 10/25/2028 | 1,682,056 | ||||||||
24,903,624 | FHMS, Series K-087 X1#~ | 0.36 | % | 12/25/2028 | 691,683 | ||||||||
18,175,592 | FHMS, Series K-091 X1#~ | 0.56 | % | 03/25/2029 | 771,710 | ||||||||
12,658,760 | FHMS, Series K-092 X1#~ | 0.71 | % | 04/25/2029 | 677,259 | ||||||||
9,996,651 | FHMS, Series K-G01 X1#~ | 0.97 | % | 04/25/2029 | 597,168 | ||||||||
6,282,969 | FHMS, Series K-093 X1#~ | 0.95 | % | 05/25/2029 | 439,716 | ||||||||
10,985,875 | FHMS, Series K-094 X1#~ | 0.88 | % | 06/25/2029 | 730,250 | ||||||||
6,250,000 | FHMS, Series K-G02 X1#~ | 1.02 | % | 08/25/2029 | 456,624 | ||||||||
14,489,890 | FHMS, Series K-103 X1#~ | 0.64 | % | 11/25/2029 | 740,683 | ||||||||
7,449,843 | FHMS, Series K-108 XAM#~ | 1.66 | % | 03/25/2030 | 1,018,254 | ||||||||
5,030,000 | FHMS, Series K-109 XAM#~ | 1.80 | % | 04/25/2030 | 764,355 | ||||||||
4,800,000 | FHMS, Series K-110 XAM#~ | 1.87 | % | 04/25/2030 | 741,862 | ||||||||
3,410,000 | FHMS, Series K-112 XAM#~ | 1.66 | % | 05/25/2030 | 476,446 | ||||||||
4,803,897 | FHMS, Series K-111 XAM#~ | 1.80 | % | 05/25/2030 | 718,827 | ||||||||
6,238,500 | FHMS, Series K-114 XAM#~ | 1.34 | % | 06/25/2030 | 721,167 | ||||||||
8,345,000 | FHMS, Series K-G03 X1#~ | 1.38 | % | 06/25/2030 | 887,386 | ||||||||
9,000,000 | FHMS, Series K-113 XAM#~ | 1.59 | % | 06/25/2030 | 1,229,839 | ||||||||
9,275,345 | FHMS, Series K-115 XAM#~ | 1.55 | % | 07/25/2030 | 1,224,307 | ||||||||
7,250,000 | FHMS, Series K-116 XAM#~ | 1.60 | % | 08/25/2030 | 1,000,712 | ||||||||
11,298,699 | FHMS, Series K-SG1 X1#~ | 1.16 | % | 09/25/2030 | 1,033,191 | ||||||||
4,850,000 | FHMS, Series K-118 XAM#~ | 1.17 | % | 09/25/2030 | 504,597 | ||||||||
1,138,383 | FHMS, Series Q-004 A2H# | 2.78 | % | 01/25/2046 | 1,138,276 | ||||||||
797,125 | FHMS, Series Q-010 APT1# | 2.78 | % | 04/25/2046 | 800,526 | ||||||||
2,317,079 | FHMS, Series Q-004 A4H# | 2.79 | % | 08/25/2046 | 2,350,685 | ||||||||
3,689,066 | FHMS, Series Q-007 APT1# | 2.98 | % | 10/25/2047 | 3,793,108 | ||||||||
3,070,556 | FHMS, Series Q-007 APT2# | 3.30 | % | 10/25/2047 | 3,299,113 | ||||||||
2,170,000 | FHMS, Series K-112 X3#~ | 3.00 | % | 07/25/2048 | 498,033 | ||||||||
2,400,000 | FHMS, Series K-118 X3#~ | 2.69 | % | 10/25/2048 | 505,989 | ||||||||
955,195 | FHMS, Series Q-013 APT1 | 1.16 | % | 05/25/2050 | 967,668 | ||||||||
1,459,133 | FHS, Series 366 IO~ | 4.00 | % | 08/15/2049 | 280,502 | ||||||||
18,567 | FNMA, Pool# 922791 | 6.50 | % | 12/01/2021 | 18,694 | ||||||||
400,773 | FNMA, Pool# BL0273 | 4.36 | % | 10/01/2023 | 428,966 | ||||||||
1,000,000 | FNMA, Pool# AN9202 | 3.32 | % | 05/01/2025 | 1,068,557 | ||||||||
1,199,113 | FNMA, Pool# 109465 | 3.58 | % | 08/01/2025 | 1,292,545 | ||||||||
35,275 | FNMA, Pool# 336422 (H15T3Y + 2.30%) | 4.65 | % | 10/01/2025 | 35,441 | ||||||||
107,991 | FNMA, Pool# 344903 | 5.50 | % | 10/01/2025 | 120,542 | ||||||||
1,000,000 | FNMA, Pool# AN0287 | 2.95 | % | 11/01/2025 | 1,098,741 | ||||||||
463,828 | FNMA, Pool# BL1166 | 3.62 | % | 01/01/2026 | 513,499 | ||||||||
444,502 | FNMA, Pool# BL1165 | 3.62 | % | 01/01/2026 | 492,103 | ||||||||
72,949 | FNMA, Pool# 356232 | 6.50 | % | 01/01/2026 | 81,800 | ||||||||
34,251 | FNMA, Pool# 406521 (1 Year CMT Rate + 2.52%) | 3.90 | % | 05/01/2026 | 34,163 | ||||||||
1,500,000 | FNMA, Pool# BL0723 | 3.84 | % | 09/01/2026 | 1,718,197 | ||||||||
50,824 | FNMA, Pool# 356329 (1 Year CMT Rate + 2.65%) | 2.78 | % | 01/01/2027 | 50,837 | ||||||||
17,914 | FNMA, Pool# 363850 (1 Year CMT Rate + 2.13%) | 3.63 | % | 04/01/2027 | 18,032 | ||||||||
37,222 | FNMA, Pool# 406380 (1 Year CMT Rate + 2.17%) | 2.89 | % | 11/01/2027 | 37,318 |
The accompanying notes are an integral part of these financial statements.
63
Brown Advisory Mortgage Securities Fund
Schedule of Investments
December 31, 2020 (Unaudited)
Par Value | Security Description | Rate | Maturity | Value $ | |||||||||
Mortgage Backed Securities — 94.3% (Continued) | |||||||||||||
779,150 | FNMA, Pool# 257203 | 5.00 | % | 05/01/2028 | 869,388 | ||||||||
825,529 | FNMA, Pool# 958720 | 5.65 | % | 10/01/2028 | 930,466 | ||||||||
629,153 | FNMA, Pool# 957502 | 3.98 | % | 07/01/2029 | 694,926 | ||||||||
41,885 | FNMA, Pool# 520478 (1 Year CMT Rate + 2.10%) | 2.22 | % | 11/01/2029 | 41,919 | ||||||||
37,794 | FNMA, Pool# 559439 (1 Year CMT Rate + 2.27%) | 3.02 | % | 09/01/2030 | 37,806 | ||||||||
50,048 | FNMA, Pool# 573097 (1 Year CMT Rate + 2.21%) | 2.34 | % | 02/01/2031 | 50,081 | ||||||||
136,221 | FNMA, Pool# AL0898 | 5.00 | % | 02/01/2031 | 154,503 | ||||||||
38,021 | FNMA, Pool# 590852 (1 Year CMT Rate + 2.11%) | 2.49 | % | 07/01/2031 | 38,205 | ||||||||
2,036,073 | FNMA, Pool# AI4717 | 4.50 | % | 07/01/2031 | 2,253,614 | ||||||||
35,815 | FNMA, Pool# 656181 (1 Year CMT Rate + 2.16%) | 3.02 | % | 08/01/2031 | 35,657 | ||||||||
36,718 | FNMA, Pool# 723313 (1 Year CMT Rate + 2.54%) | 2.79 | % | 09/01/2031 | 36,848 | ||||||||
9,983 | FNMA, Pool# 642122 (1 Year CMT Rate + 2.27%) | 3.77 | % | 03/01/2032 | 9,976 | ||||||||
9,382 | FNMA, Pool# 628837 | 6.50 | % | 03/01/2032 | 10,786 | ||||||||
29,242 | FNMA, Pool# 640225 (1 Year CMT Rate + 2.27%) | 3.77 | % | 04/01/2032 | 29,214 | ||||||||
39,847 | FNMA, Pool# 662138 (1 Year CMT Rate + 2.30%) | 2.55 | % | 09/01/2032 | 39,908 | ||||||||
38,636 | FNMA, Pool# 668309 (1 Year CMT Rate + 2.02%) | 2.27 | % | 11/01/2032 | 38,894 | ||||||||
29,406 | FNMA, Pool# 696546 (6 Month LIBOR USD + 2.26%) | 3.01 | % | 03/01/2033 | 29,343 | ||||||||
16,419 | FNMA, Pool# 555819 (6 Month LIBOR USD + 1.03%) | 1.28 | % | 07/01/2033 | 16,549 | ||||||||
38,208 | FNMA, Pool# 744805 (6 Month LIBOR USD + 1.52%) | 1.89 | % | 11/01/2033 | 38,386 | ||||||||
19,532 | FNMA, Pool# 751498 (1 Year CMT Rate + 2.22%) | 2.34 | % | 11/01/2033 | 19,456 | ||||||||
27,462 | FNMA, Pool# 741373 (1 Year CMT Rate + 2.28%) | 2.41 | % | 12/01/2033 | 27,442 | ||||||||
29,834 | FNMA, Pool# 764342 (6 Month LIBOR USD + 1.52%) | 2.40 | % | 02/01/2034 | 30,010 | ||||||||
29,531 | FNMA, Pool# 774969 (1 Year CMT Rate + 2.28%) | 3.78 | % | 04/01/2034 | 29,562 | ||||||||
117,864 | FNMA, Pool# 783554 (1 Year CMT Rate + 2.21%) | 2.59 | % | 07/01/2034 | 117,519 | ||||||||
20,751 | FNMA, Pool# 819649 (12 Month LIBOR USD + 1.52%) | 3.52 | % | 03/01/2035 | 20,959 | ||||||||
63,085 | FNMA, Pool# 889829 | 5.00 | % | 07/01/2035 | 73,015 | ||||||||
39,347 | FNMA, Pool# 830970 (12 Month LIBOR USD + 1.83%) | 2.62 | % | 08/01/2035 | 39,640 | ||||||||
39,984 | FNMA, Pool# 837329 (1 Year CMT Rate + 2.04%) | 2.29 | % | 09/01/2035 | 40,726 | ||||||||
826,170 | FNMA, Pool# AL7654 | 3.00 | % | 09/01/2035 | 870,458 | ||||||||
54,496 | FNMA, Pool# 836715 (12 Month LIBOR USD + 1.77%) | 2.27 | % | 10/01/2035 | 54,505 | ||||||||
130,413 | FNMA, Pool# 842006 | 4.25 | % | 10/01/2035 | 140,506 | ||||||||
30,251 | FNMA, Pool# 922680 (12 Month LIBOR USD + 1.91%) | 2.87 | % | 11/01/2035 | 31,914 | ||||||||
262,708 | FNMA, Pool# 850232 | 4.25 | % | 12/01/2035 | 286,002 | ||||||||
13,320 | FNMA, Pool# 865849 (12 Month LIBOR USD + 1.54%) | 3.54 | % | 03/01/2036 | 13,336 | ||||||||
30,361 | FNMA, Pool# 877009 (12 Month LIBOR USD + 2.38%) | 3.67 | % | 03/01/2036 | 32,337 | ||||||||
313,309 | FNMA, Pool# AB0577 | 4.00 | % | 03/01/2036 | 342,611 | ||||||||
38,745 | FNMA, Pool# 868568 (12 Month LIBOR USD + 1.75%) | 3.63 | % | 04/01/2036 | 40,796 | ||||||||
64,156 | FNMA, Pool# 882017 (6 Month LIBOR USD + 1.56%) | 1.89 | % | 05/01/2036 | 64,658 | ||||||||
20,794 | FNMA, Pool# 745626 (1 Year CMT Rate + 2.14%) | 2.78 | % | 05/01/2036 | 20,911 | ||||||||
11,509 | FNMA, Pool# 872895 (12 Month LIBOR USD + 1.70%) | 2.70 | % | 06/01/2036 | 11,574 | ||||||||
21,861 | FNMA, Pool# 886163 (12 Month LIBOR USD + 1.84%) | 2.59 | % | 07/01/2036 | 22,221 | ||||||||
296,991 | FNMA, Pool# 896838 | 5.45 | % | 07/01/2036 | 317,990 | ||||||||
2,791,625 | FNMA, Pool# AS7789 | 3.00 | % | 08/01/2036 | 2,952,302 | ||||||||
123,346 | FNMA, Pool# 745818 | 6.50 | % | 09/01/2036 | 143,773 | ||||||||
4,551 | FNMA, Pool# 905193 (12 Month LIBOR USD + 1.99%) | 2.36 | % | 11/01/2036 | 4,548 | ||||||||
5,113,687 | FNMA, Pool# MA2804 | 3.00 | % | 11/01/2036 | 5,408,040 | ||||||||
79,470 | FNMA, Pool# 902770 | 5.38 | % | 11/01/2036 | 88,577 | ||||||||
107,022 | FNMA, Pool# 940309 (12 Month LIBOR USD + 1.50%) | 2.00 | % | 01/01/2037 | 107,268 | ||||||||
29,178 | FNMA, Pool# 888445 (12 Month LIBOR USD + 1.60%) | 2.55 | % | 04/01/2037 | 29,478 | ||||||||
2,823,858 | FNMA, Pool# BM1370 | 3.00 | % | 04/01/2037 | 2,969,508 | ||||||||
56,490 | FNMA, Pool# 995521 (12 Month LIBOR USD + 1.84%) | 3.43 | % | 05/01/2037 | 56,874 | ||||||||
74,511 | FNMA, Pool# 950382 (6 Month LIBOR USD + 1.12%) | 1.50 | % | 08/01/2037 | 76,635 | ||||||||
143,959 | FNMA, Pool# 941050 (12 Month LIBOR USD + 1.70%) | 2.45 | % | 08/01/2037 | 143,308 | ||||||||
56,536 | FNMA, Pool# 952835 (1 Year CMT Rate + 2.32%) | 2.86 | % | 09/01/2037 | 60,018 | ||||||||
2,953,227 | FNMA, Pool# MA3208 | 4.50 | % | 10/01/2037 | 3,228,034 | ||||||||
131,424 | FNMA, Pool# 955233 | 6.50 | % | 12/01/2037 | 158,227 |
The accompanying notes are an integral part of these financial statements.
64
Brown Advisory Mortgage Securities Fund
Schedule of Investments
December 31, 2020 (Unaudited)
Par Value | Security Description | Rate | Maturity | Value $ | |||||||||
Mortgage Backed Securities — 94.3% (Continued) | |||||||||||||
16,562 | FNMA, Pool# 962656 (12 Month LIBOR USD + 1.27%) | 3.27 | % | 04/01/2038 | 16,740 | ||||||||
6,418 | FNMA, Pool# 982237 (12 Month LIBOR USD + 1.84%) | 2.72 | % | 05/01/2038 | 6,442 | ||||||||
333,170 | FNMA, Pool# AD0100 | 7.00 | % | 12/01/2038 | 401,482 | ||||||||
95,393 | FNMA, Pool# 930507 | 6.50 | % | 02/01/2039 | 110,520 | ||||||||
2,401,051 | FNMA, Pool# AS2249 | 4.00 | % | 04/01/2039 | 2,633,892 | ||||||||
372,360 | FNMA, Pool# AL0407 | 6.50 | % | 04/01/2039 | 434,793 | ||||||||
289,256 | FNMA, Pool# AD0427 | 5.50 | % | 10/01/2039 | 337,840 | ||||||||
383,239 | FNMA, Pool# AD0941 | 5.50 | % | 04/01/2040 | 451,119 | ||||||||
610,215 | FNMA, Pool# 467095 | 5.90 | % | 01/01/2041 | 701,771 | ||||||||
306,149 | FNMA, Pool# AH8447 | 5.50 | % | 04/01/2041 | 342,766 | ||||||||
950,959 | FNMA, Pool# 469130 | 4.87 | % | 10/01/2041 | 1,130,472 | ||||||||
394,132 | FNMA, Pool# BC1738 | 4.50 | % | 09/01/2043 | 431,745 | ||||||||
505,065 | FNMA, Pool# AS1429 | 4.00 | % | 12/01/2043 | 551,649 | ||||||||
392,050 | FNMA, Pool# AV7739 | 4.00 | % | 01/01/2044 | 423,200 | ||||||||
396,691 | FNMA, Pool# AW6485 | 4.00 | % | 06/01/2044 | 428,817 | ||||||||
581,760 | FNMA, Pool# AY0382 | 4.00 | % | 11/01/2044 | 628,025 | ||||||||
510,818 | FNMA, Pool# AW9534 | 4.00 | % | 03/01/2045 | 565,213 | ||||||||
494,838 | FNMA, Pool# AZ4154 | 4.00 | % | 06/01/2045 | 535,048 | ||||||||
1,531,209 | FNMA, Pool# AZ7828 | 4.00 | % | 08/01/2045 | 1,664,399 | ||||||||
889,352 | FNMA, Pool# BA3674 | 4.50 | % | 10/01/2045 | 986,030 | ||||||||
437,397 | FNMA, Pool# BC6366 | 4.50 | % | 02/01/2046 | 483,690 | ||||||||
202,665 | FNMA, Pool# BD1241 | 4.50 | % | 05/01/2046 | 219,735 | ||||||||
1,163,442 | FNMA, Pool# BD5189 | 4.50 | % | 07/01/2046 | 1,292,871 | ||||||||
513,275 | FNMA, Pool# BD8599 | 4.50 | % | 11/01/2046 | 565,977 | ||||||||
746,596 | FNMA, Pool# BH7686 | 4.50 | % | 12/01/2047 | 818,019 | ||||||||
1,272,000 | FNMA, Pool# BJ8287 | 4.50 | % | 01/01/2048 | 1,393,397 | ||||||||
961,292 | FNMA, Pool# AN8989 | 4.07 | % | 04/01/2048 | 1,173,278 | ||||||||
741,602 | FNMA, Pool# BK5105 | 5.50 | % | 05/01/2048 | 848,315 | ||||||||
482,213 | FNMA, Pool# BK8032 | 5.50 | % | 06/01/2048 | 546,127 | ||||||||
426,095 | FNMA, Pool# BN0202 | 5.50 | % | 09/01/2048 | 487,650 | ||||||||
367,123 | FNMA, Pool# BN4936 | 5.50 | % | 12/01/2048 | 414,474 | ||||||||
217,470 | FNMA, Pool# BN4921 | 5.50 | % | 01/01/2049 | 244,965 | ||||||||
7,500,000 | FNMA, 2.0%, Due TBA January | 2.00 | % | 01/15/2036 | 7,841,602 | ||||||||
3,000,000 | FNMA, 1.5%, Due TBA January | 1.50 | % | 01/15/2051 | 3,031,289 | ||||||||
12,000,000 | FNMA, 2.0%, Due TBA January | 2.00 | % | 01/15/2051 | 12,466,406 | ||||||||
12,090 | FNMA REMIC Trust, Series 1991-136 J | 7.50 | % | 10/25/2021 | 12,232 | ||||||||
487,370 | FNMA REMIC Trust, Series 2017-M5 FA1 (1 Month LIBOR USD + 0.67%) | 0.82 | % | 04/25/2024 | 490,484 | ||||||||
77,229 | FNMA REMIC Trust, Series 1996-23 G | 6.50 | % | 07/25/2026 | 82,988 | ||||||||
2,000,000 | FNMA REMIC Trust, Series 2017-M4 A2# | 2.58 | % | 12/25/2026 | 2,201,463 | ||||||||
2,000,787 | FNMA REMIC Trust, Series 2017-T1 A | 2.90 | % | 06/25/2027 | 2,219,341 | ||||||||
1,443,392 | FNMA REMIC Trust, Series 2012-139 HI~ | 2.50 | % | 12/25/2027 | 78,320 | ||||||||
107,524 | FNMA REMIC Trust, Series 2013-15 QI~ | 3.00 | % | 03/25/2028 | 7,038 | ||||||||
2,265,775 | FNMA REMIC Trust, Series 2018-M8 A1# | 3.33 | % | 06/25/2028 | 2,527,975 | ||||||||
136,034 | FNMA REMIC Trust, Series 2016-M10 A1 | 2.10 | % | 07/25/2028 | 137,529 | ||||||||
1,675,070 | FNMA REMIC Trust, Series 2018-M14 A1# | 3.58 | % | 08/25/2028 | 1,890,862 | ||||||||
2,803,778 | FNMA REMIC Trust, Series 2019-M14 A1 | 2.30 | % | 06/25/2029 | 3,001,711 | ||||||||
710,319 | FNMA REMIC Trust, Series 2018-78 VB | 4.00 | % | 12/25/2029 | 713,318 | ||||||||
500,000 | FNMA REMIC Trust, Series 2018-M13 A2# | 3.70 | % | 09/25/2030 | 605,745 | ||||||||
1,114,703 | FNMA REMIC Trust, Series 2013-115 AI~ | 3.00 | % | 04/25/2031 | 55,120 | ||||||||
2,544,612 | FNMA REMIC Trust, Series 2014-14 LI~ | 3.00 | % | 04/25/2031 | 45,626 | ||||||||
25,991,245 | FNMA REMIC Trust, Series 2019-M23 X3#~ | 0.28 | % | 10/27/2031 | 717,202 | ||||||||
187,363 | FNMA REMIC Trust, Series 2001-80 Z | 6.00 | % | 01/25/2032 | 209,165 | ||||||||
352,336 | FNMA REMIC Trust, Series 2006-M2 A2A# | 5.27 | % | 10/25/2032 | 402,052 | ||||||||
466,883 | FNMA REMIC Trust, Series 2003-71 MB | 5.50 | % | 08/25/2033 | 548,421 | ||||||||
2,545,547 | FNMA REMIC Trust, Series 2014-8 IQ~ | 4.00 | % | 03/25/2034 | 342,790 | ||||||||
2,730,200 | FNMA REMIC Trust, Series 2005-73 EZ | 5.50 | % | 08/25/2035 | 3,181,113 |
The accompanying notes are an integral part of these financial statements.
65
Brown Advisory Mortgage Securities Fund
Schedule of Investments
December 31, 2020 (Unaudited)
Par Value | Security Description | Rate | Maturity | Value $ | |||||||||
Mortgage Backed Securities — 94.3% (Continued) | |||||||||||||
1,004,801 | FNMA REMIC Trust, Series 2005-110 GL | 5.50 | % | 12/25/2035 | 1,145,777 | ||||||||
473,562 | FNMA REMIC Trust, Series 2006-21 Z | 5.50 | % | 04/25/2036 | 546,106 | ||||||||
15,586 | FNMA REMIC Trust, Series 2012-30 DA | 3.00 | % | 08/25/2036 | 15,683 | ||||||||
1,465,064 | FNMA REMIC Trust, Series 2006-112 QC | 5.50 | % | 11/25/2036 | 1,721,277 | ||||||||
611,553 | FNMA REMIC Trust, Series 2007-22 A | 5.50 | % | 03/25/2037 | 726,729 | ||||||||
885,160 | FNMA REMIC Trust, Series 2009-20 DA (1 Month LIBOR USD + 7.40%)~ | 7.25 | % | 04/25/2039 | 227,726 | ||||||||
2,060,247 | FNMA REMIC Trust, Series 2012-65 HJ | 5.00 | % | 07/25/2040 | 2,326,341 | ||||||||
674,101 | FNMA REMIC Trust, Series 2015-15 GA | 3.00 | % | 03/25/2041 | 683,837 | ||||||||
119,007 | FNMA REMIC Trust, Series 2012-10 UF (1 Month LIBOR USD + 0.55%) | 0.70 | % | 02/25/2042 | 120,387 | ||||||||
1,610,361 | FNMA REMIC Trust, Series 2012-27 PI~ | 4.50 | % | 02/25/2042 | 187,576 | ||||||||
894,465 | FNMA REMIC Trust, Series 2013-34 IG~ | 3.00 | % | 05/25/2042 | 78,215 | ||||||||
1,676,033 | FNMA REMIC Trust, Series 2013-M6 1AC# | 3.44 | % | 02/25/2043 | 1,919,262 | ||||||||
324,396 | FNMA REMIC Trust, Series 2018-21 JB | 4.00 | % | 03/25/2043 | 325,662 | ||||||||
9,085 | FNMA REMIC Trust, Series 2003-W10 3A5 | 4.30 | % | 06/25/2043 | 9,966 | ||||||||
2,602 | FNMA REMIC Trust, Series 2003-W12 1A9 | 4.48 | % | 06/25/2043 | 2,921 | ||||||||
15,614 | FNMA REMIC Trust, Series 2003-W12 1A8 | 4.55 | % | 06/25/2043 | 17,435 | ||||||||
8,967 | FNMA REMIC Trust, Series 2003-W12 2A7 | 4.68 | % | 06/25/2043 | 9,907 | ||||||||
10,461 | FNMA REMIC Trust, Series 2003-W12 2A6 | 5.00 | % | 06/25/2043 | 11,738 | ||||||||
1,243,630 | FNMA REMIC Trust, Series 2017-44 BA | 3.50 | % | 01/25/2044 | 1,269,772 | ||||||||
627,739 | FNMA REMIC Trust, Series 2015-40 LI~ | 4.50 | % | 03/25/2045 | 108,638 | ||||||||
948,412 | FNMA REMIC Trust, Series 2018-86 JA | 4.00 | % | 05/25/2047 | 985,081 | ||||||||
2,274,897 | FNMA REMIC Trust, Series 2019-37 IM~ | 5.00 | % | 07/25/2049 | 302,017 | ||||||||
3,729,000 | FNMA REMIC Trust, Series 2019-70 CB | 3.50 | % | 12/25/2049 | 4,037,903 | ||||||||
9,255,202 | FREMF Mortgage Trust, Series 2012-K17 X2A^~ | 0.10 | % | 12/25/2044 | 4,709 | ||||||||
20,758,256 | FREMF Mortgage Trust, Series 2012-K20 X2A^~ | 0.20 | % | 05/25/2045 | 44,246 | ||||||||
700,000 | FREMF Mortgage Trust, Series 2017-K68 B#^ | 3.84 | % | 10/25/2049 | 781,776 | ||||||||
1,300,000 | FREMF Mortgage Trust, Series 2017-K64 B#^ | 3.98 | % | 05/25/2050 | 1,457,572 | ||||||||
750,000 | FREMF Mortgage Trust, Series 2019-K736 B#^ | 3.76 | % | 09/25/2052 | 825,773 | ||||||||
5,720 | GNMA, Pool# 004295M | 6.00 | % | 10/20/2023 | 5,773 | ||||||||
118,088 | GNMA, Pool# 783374X | 5.50 | % | 04/15/2024 | 123,825 | ||||||||
189,832 | GNMA, Pool# 728160X | 5.25 | % | 11/15/2024 | 201,051 | ||||||||
2,572,758 | GNMA, Pool# 752842X | 3.95 | % | 07/15/2025 | 2,612,722 | ||||||||
287,561 | GNMA, Pool# 623145X | 5.50 | % | 10/15/2028 | 322,661 | ||||||||
1,167,196 | GNMA, Pool# 589694X | 4.50 | % | 08/15/2029 | 1,298,523 | ||||||||
38,264 | GNMA, Pool# 728157X | 3.75 | % | 11/15/2029 | 40,994 | ||||||||
347,565 | GNMA, Pool# 770225C | 4.25 | % | 08/20/2031 | 378,277 | ||||||||
418,565 | GNMA, Pool# 003160M | 6.00 | % | 11/20/2031 | 485,053 | ||||||||
597,768 | GNMA, Pool# 003489M | 6.00 | % | 12/20/2033 | 697,816 | ||||||||
318,365 | GNMA, Pool# 782173M | 5.50 | % | 05/20/2035 | 372,741 | ||||||||
132,920 | GNMA, Pool# 784315X | 6.00 | % | 06/15/2036 | 149,092 | ||||||||
327,045 | GNMA, Pool# 770226C | 4.75 | % | 09/20/2036 | 358,935 | ||||||||
194,821 | GNMA, Pool# 004194M | 5.50 | % | 07/20/2038 | 220,560 | ||||||||
93,632 | GNMA, Pool# 706295C | 5.10 | % | 12/20/2038 | 102,611 | ||||||||
1,018,916 | GNMA, Pool# AC0521C | 5.50 | % | 05/20/2042 | 1,173,138 | ||||||||
1,291,577 | GNMA, Pool# BM9287C | 4.00 | % | 08/20/2049 | 1,425,922 | ||||||||
7,500,000 | GNMA, 2.0%, Due TBA January | 2.00 | % | 01/15/2051 | 7,843,652 | ||||||||
482,503 | GNMA REMIC Trust, Series 2013-168 IA~ | 2.50 | % | 11/16/2028 | 26,543 | ||||||||
671,401 | GNMA REMIC Trust, Series 2004-93 PD | 5.00 | % | 11/16/2034 | 738,482 | ||||||||
107,824 | GNMA REMIC Trust, Series 2006-40 B | 6.00 | % | 08/20/2036 | 123,410 | ||||||||
591,511 | GNMA REMIC Trust, Series 2012-52 WA# | 6.19 | % | 04/20/2038 | 697,001 | ||||||||
976,496 | GNMA REMIC Trust, Series 2016-012 KI~ | 5.00 | % | 09/20/2038 | 179,797 | ||||||||
630,274 | GNMA REMIC Trust, Series 2017-083 ID~ | 7.00 | % | 01/20/2039 | 127,099 | ||||||||
822,310 | GNMA REMIC Trust, Series 2011-2 DP# | 5.46 | % | 03/20/2039 | 928,283 | ||||||||
1,185,569 | GNMA REMIC Trust, Series 2010-105 IB~ | 4.50 | % | 01/16/2040 | 124,295 | ||||||||
748,304 | GNMA REMIC Trust, Series 2016-68 IC#~ | 6.00 | % | 01/20/2040 | 140,217 | ||||||||
682,000 | GNMA REMIC Trust, Series 2011-156 PM | 2.00 | % | 04/20/2040 | 678,190 |
The accompanying notes are an integral part of these financial statements.
66
Brown Advisory Mortgage Securities Fund
Schedule of Investments
December 31, 2020 (Unaudited)
Par Value | Security Description | Rate | Maturity | Value $ | ||||||||||
Mortgage Backed Securities — 94.3% (Continued) | ||||||||||||||
1,268,041 | GNMA REMIC Trust, Series 2017-083 IK~ | 6.00 | % | 05/20/2040 | 303,347 | |||||||||
395,916 | GNMA REMIC Trust, Series 2016-112 AW# | 7.10 | % | 12/20/2040 | 474,401 | |||||||||
1,845,659 | GNMA REMIC Trust, Series 2012-143 IC~ | 5.00 | % | 10/16/2041 | 320,469 | |||||||||
831,612 | GNMA REMIC Trust, Series 2012-97 GB | 2.00 | % | 08/16/2042 | 839,729 | |||||||||
1,065,112 | GNMA REMIC Trust, Series 2013-86 IA~ | 5.00 | % | 06/20/2043 | 158,755 | |||||||||
1,301,183 | GNMA REMIC Trust, Series 2017-103 IM~ | 5.00 | % | 06/20/2043 | 224,584 | |||||||||
590,592 | GNMA REMIC Trust, Series 2012-44 B | 2.95 | % | 08/16/2043 | 597,165 | |||||||||
706,745 | GNMA REMIC Trust, Series 2014-06 IG~ | 4.50 | % | 01/16/2044 | 90,539 | |||||||||
2,990,000 | GNMA REMIC Trust, Series 2011-127 C# | 3.50 | % | 03/16/2047 | 3,144,817 | |||||||||
856,999 | GNMA REMIC Trust, Series 2018-127 PB | 3.00 | % | 09/20/2047 | 896,210 | |||||||||
199,547 | GNMA REMIC Trust, Series 2018-166 AB | 4.00 | % | 10/20/2047 | 209,127 | |||||||||
1,454,254 | GNMA REMIC Trust, Series 2018-166 BA | 3.50 | % | 11/20/2047 | 1,510,783 | |||||||||
3,590,643 | GNMA REMIC Trust, Series 2017-167 SE (1 Month LIBOR USD + 6.20%)~ | 6.05 | % | 11/20/2047 | 733,027 | |||||||||
5,294,253 | GNMA REMIC Trust, Series 2018-036 LI~ | 5.00 | % | 03/20/2048 | 643,383 | |||||||||
860,567 | GNMA REMIC Trust, Series 2018-153 QA | 3.50 | % | 11/20/2048 | 936,371 | |||||||||
2,757,595 | GNMA REMIC Trust, Series 2014-135 I0#~ | 0.64 | % | 01/16/2056 | 85,078 | |||||||||
2,667,236 | GNMA REMIC Trust, Series 2015-172 I0#~ | 0.74 | % | 03/16/2057 | 100,742 | |||||||||
4,469,472 | GNMA REMIC Trust, Series 2016-40 I0#~ | 0.67 | % | 07/16/2057 | 173,651 | |||||||||
3,570,584 | GNMA REMIC Trust, Series 2016-56 I0#~ | 0.87 | % | 11/16/2057 | 182,648 | |||||||||
4,417,192 | GNMA REMIC Trust, Series 2016-98 I0#~ | 0.89 | % | 05/16/2058 | 245,893 | |||||||||
745,000 | GS Mortgage Securities Corp. Trust, Series 2017-500K A (1 Month LIBOR USD + 0.70%)^ | 0.86 | % | 07/15/2032 | 745,465 | |||||||||
765,000 | JPMCC, Series 2019-M A (1 Month LIBOR USD + 0.96%)^ | 1.12 | % | 07/15/2036 | 759,988 | |||||||||
800,291 | KKR Industrial Portfolio Trust, Series 2020-AIP D (1 Month LIBOR USD + 2.03%)^ | 2.19 | % | 03/16/2037 | 798,275 | |||||||||
1,300,000 | Morgan Stanley Capital I Trust, Series 2019-NUGS A (1 Month LIBOR USD + 0.95%)^ | 2.45 | % | 12/15/2036 | 1,330,254 | |||||||||
588,958 | SBA, Pool# 522053 (PRIME + 0.58%) | 3.83 | % | 05/25/2026 | 605,655 | |||||||||
1,122,000 | Velocity Commercial Capital Loan Trust, Series 2017-1 M1#^ | 3.55 | % | 05/25/2047 | 1,136,703 | |||||||||
Total Mortgage Backed Securities (Cost $250,503,730) | 261,855,514 | |||||||||||||
Asset Backed Securities — 4.9% | ||||||||||||||
1,971,858 | American Homes 4 Rent Trust, Series 2014-SFR2 A^ | 3.79 | % | 10/17/2036 | 2,130,671 | |||||||||
2,130,000 | American Homes 4 Rent Trust, Series 2014-SFR2 B^ | 4.29 | % | 10/17/2036 | 2,290,330 | |||||||||
2,427,952 | American Homes 4 Rent Trust, Series 2014-SFR3 A^ | 3.68 | % | 12/18/2036 | 2,627,769 | |||||||||
327,241 | American Homes 4 Rent Trust, Series 2015-SFR1 A^ | 3.47 | % | 04/18/2052 | 352,133 | |||||||||
223,947 | American Homes 4 Rent Trust, Series 2015-SFR2 A^ | 3.73 | % | 10/18/2052 | 245,002 | |||||||||
250,000 | American Homes 4 Rent Trust, Series 2015-SFR2 C^ | 4.69 | % | 10/18/2052 | 276,390 | |||||||||
893,602 | FHF Trust, Series 2020-1A A^ | 2.59 | % | 12/15/2023 | 899,877 | |||||||||
600,000 | Invitation Homes Trust, Series 2017-SFR2 C (1 Month LIBOR USD + 1.45%)^ | 1.60 | % | 12/19/2036 | 602,054 | |||||||||
1,500,000 | Oportun Funding IX LLC, Series 2018-B A^ | 3.91 | % | 07/08/2024 | 1,511,651 | |||||||||
1,552,338 | Progress Residential Trust, Series 2018-SFR3 A^ | 3.88 | % | 10/18/2035 | 1,589,911 | |||||||||
630,087 | Theorem Funding Trust, Series 2020-1A A^ | 2.48 | % | 10/15/2026 | 635,186 | |||||||||
469,004 | Westgate Resorts LLC, Series 2018-1A C^ | 4.10 | % | 12/20/2031 | 464,686 | |||||||||
Total Asset Backed Securities (Cost $13,094,214) | 13,625,660 | |||||||||||||
Corporate Bonds & Notes — 1.4% | ||||||||||||||
1,250,000 | Darden Restaurants, Inc. | 3.85 | % | 05/01/2027 | 1,371,613 | |||||||||
800,000 | Enterprise Products Operating LLC | |||||||||||||
(Fixed until 08/16/2022, then 3 Month LIBOR USD + 2.99%) | 4.88 | % | 08/16/2077 | 773,996 | ||||||||||
460,000 | Land O’Lakes, Inc.^ | 7.25 | % | 07/14/2027 | 451,626 | |||||||||
1,000,000 | Marriott International, Inc. | 4.65 | % | 12/01/2028 | 1,161,273 | |||||||||
Total Corporate Bonds & Notes (Cost $3,622,640) | 3,758,508 | |||||||||||||
Municipal Bonds — 0.2% | ||||||||||||||
600,000 | Colorado Health Facilities Authority | 2.80 | % | 12/01/2026 | 613,572 | |||||||||
Total Municipal Bonds (Cost $600,000) | 613,572 | |||||||||||||
U.S. Treasury Notes — 4.7% | ||||||||||||||
13,000,000 | United States Treasury Note | 0.38 | % | 03/31/2022 | 13,043,418 | |||||||||
Total U.S. Treasury Notes (Cost $13,030,829) | 13,043,418 |
The accompanying notes are an integral part of these financial statements.
67
Brown Advisory Mortgage Securities Fund
Schedule of Investments
December 31, 2020 (Unaudited)
Shares | Security Description | Value $ | ||||||
Preferred Stocks — 0.6% | ||||||||
32,768 | AGNC Investment Corp., Series C, 7.00% | |||||||
(Fixed until 10/15/2022, then 3 Month LIBOR USD + 5.11%) | 835,256 | |||||||
35,000 | Annaly Capital Management, Inc., Series G, 6.50% | |||||||
(Fixed until 03/31/2023, then 3 Month LIBOR USD + 4.17%) | 862,050 | |||||||
Total Preferred Stocks (Cost $1,664,865) | 1,697,306 | |||||||
Short-Term Investments — 4.3% | ||||||||
Money Market Funds — 4.3% | ||||||||
11,915,901 | First American Government Obligations Fund — Class Z, 0.03%* | 11,915,901 | ||||||
Total Short-Term Investments (Cost $11,915,901) | 11,915,901 | |||||||
Total Investments — 110.4% (Cost $294,432,179) | 306,509,879 | |||||||
Liabilities in Excess of Other Assets — (10.4)% | (28,820,706 | ) | ||||||
NET ASSETS — 100.0% | $ | 277,689,173 |
# | Variable rate security. Rate disclosed is as of the date of this report. | |
^ | Security exempt from registration under Rule 144A of the Securities Act of 1933. These securities may be resold in transactions exempt from registration, normally to qualified institutional buyers. | |
~ | Interest Only Security | |
* | Annualized seven-day yield as of the date of this report. |
PORTFOLIO HOLDINGS | ||||
% of Net Assets | ||||
Mortgage Backed Securities | 94.3 | % | ||
Asset Backed Securities | 4.9 | % | ||
U.S. Treasury Notes | 4.7 | % | ||
Money Market Funds | 4.3 | % | ||
Corporate Bonds & Notes | 1.4 | % | ||
Preferred Stocks | 0.6 | % | ||
Municipal Bonds | 0.2 | % | ||
Other Assets and Liabilities | (10.4 | )% | ||
100.0 | % |
Futures Contracts — Short (Note 6) | |||||||||||||||||
Notional | Notional | Unrealized Appreciation | |||||||||||||||
Issue | Contracts | Expiration Date | Amount | Value | (Depreciation) | ||||||||||||
U.S. Treasury 5-Year Note Futures | (150 | ) | 03/31/2021 | $ | (18,879,380 | ) | $ | (18,924,609 | ) | $ | (45,229 | ) | |||||
U.S. Treasury 10-Year Ultra Note Futures | (60 | ) | 03/22/2021 | (9,418,310 | ) | (9,381,563 | ) | 36,747 | |||||||||
$ | (28,297,690 | ) | $ | (28,306,172 | ) | $ | (8,482 | ) |
There is no variation margin due to or from the Fund as of the date of this report.
Schedule of Securities Sold Short
December 31, 2020 (Unaudited)
Par Value | Security Description | Rate | Maturity | Value $ | |||||||||
Mortgage Backed Securities — (1.9)% | |||||||||||||
5,000,000 | FNMA, 3.0%, Due TBA January | 3.00 | % | 01/15/2051 | (5,239,062 | ) | |||||||
Total Mortgage Backed Securities (Proceeds $5,229,297) | $ | (5,239,062 | ) |
Percentages are stated as a percent of net assets.
The accompanying notes are an integral part of these financial statements.
68
Brown Advisory – WMC Strategic European Equity Fund
A Message to Our Shareholders
December 31, 2020
Dear Shareholders:
During the six-month period ended December 31, 2020, the Brown Advisory – WMC Strategic European Equity Fund – Institutional Shares (the “Fund”) increased 19.47% in value. During the same period, the MSCI Europe Index (the “Index”), the Fund’s benchmark, increased 20.83%.
For the six-month period ended December 31, 2020, the Fund modestly underperformed the Index. Sector allocation, a result of our bottom-up stock selection process, detracted from relative performance, driven by the Fund’s overweight to health care and underweight to consumer discretionary. This was partially offset by our overweight to industrials and lack of exposure to energy, which positively contributed. Stock selection contributed positively to relative performance within health care, industrials and consumer staples. This was partially offset by weak stock selection in financials and consumer discretionary.
From an individual stock perspective, our top relative detractors were UCB (health care), GlaxoSmithKline (health care) and Fresenius (health care). Our top relative contributors were Trelleborg (industrials), Merck (health care), and Roche Holding (health care). During the period, we initiated new positions in Bureau Veritas, WPP and Fluidra. We eliminated positions in AMSL Holding, Knorr-Bremse and ASM International.
UCB is a Belgian biopharmaceutical company. While there was no big news that moved shares in the fourth quarter, the weaker performance is likely the result of the stock settling after a strong run in the beginning of the year (and in sympathy with pharmaceuticals broadly). The company’s Osteopetrosis drug, Evenity, came to market and did well which was positive; however, we believe it is still not priced into the stock.
Trelleborg is a Swedish engineering group focused on polymer technology. Shares rose during the period after the company launched a new e-commerce site, Seals-Shop, which currently sells valve and component repair kits with the intention to expand into other product lines in the future.
Sincerely,
C. Dirk Enderlein, CFA
Portfolio Manager
Past performance is not a guarantee of future results.
Mutual fund investing involves risk. Principal loss is possible. Investments focused in a single geographic region may be exposed to greater risk than investments diversified among various geographies. Investments in foreign securities entail certain risks not associated with investments in domestic securities, such as volatility of currency exchange rates, and in some cases, political and economic instability and relatively illiquid markets. These risks are greater in emerging markets. Investments in smaller and medium capitalization companies generally carry greater risk than is customarily associated with larger companies for various reasons such as narrower markets, limited financial resources and less liquid stock. The Fund may invest in ETFs, which may trade at a discount to the aggregate value of the underlying securities and although expense ratios for ETFs are generally low, frequent trading of ETFs by the Fund can generate brokerage expenses. The value of investments in REITs may change in response to changes in the real estate market such as declines in the value of real estate, lack of available capital or financing opportunities, and increases in property taxes or operating costs. Derivatives involve risks different from, and in certain cases, greater than the risks presented by more traditional investments. Investors will indirectly bear the principal risks and its share of the fees and expenses of the Fund’s investment in other Investment Companies.
Fund holdings and sector allocations are subject to change and should not be considered a recommendation to buy or sell any security. For a complete list of fund holdings, please refer to the Schedule of Investments provided in this report.
Definitions for terms and indices are provided in the Glossary of Terms.
69
Brown Advisory – WMC Strategic European Equity Fund
Schedule of Investments
December 31, 2020 (Unaudited)
Shares | Security Description | Value $ | ||||||
Common Stocks — 95.4% | ||||||||
Austria — 0.3% | ||||||||
65,488 | Porr AG* | 1,032,654 | ||||||
Belgium — 3.8% | ||||||||
133,425 | UCB S.A. | 13,782,367 | ||||||
Czech Republic — 0.2% | ||||||||
25,079 | Komercni banka, a.s.* | 766,801 | ||||||
Denmark — 0.7% | ||||||||
5,693 | ALK-Abello A/S* | 2,344,980 | ||||||
France — 12.2% | ||||||||
63,667 | Amundi S.A.* | 5,188,947 | ||||||
174,848 | Bureau Veritas S.A.* | 4,667,492 | ||||||
414,857 | Elior Group S.A. | 2,788,488 | ||||||
516,849 | Elis S.A.* | 8,562,090 | ||||||
94,845 | Legrand S.A. | 8,484,462 | ||||||
26,543 | Pernod Ricard S.A. | 5,097,460 | ||||||
67,870 | Safran S.A.* | 9,619,420 | ||||||
44,408,359 | ||||||||
Germany — 15.1% | ||||||||
30,600 | Beiersdorf AG | 3,517,743 | ||||||
106,062 | Brenntag AG | 8,247,494 | ||||||
236,270 | Fresenius SE & Co. KGaA | 10,925,489 | ||||||
22,522 | Hannover Rueck SE | 3,589,000 | ||||||
109,753 | Hensoldt AG* | 1,870,401 | ||||||
70,454 | Jenoptik AG | 2,152,006 | ||||||
28,679 | Merck KGaA | 4,918,833 | ||||||
162,131 | Siemens Healthineers AG | 8,343,419 | ||||||
231,180 | United Internet AG | 9,731,486 | ||||||
28,406 | Washtec AG* | 1,529,671 | ||||||
54,825,542 | ||||||||
Italy — 0.0% | ||||||||
4,669 | MARR SpA* | 96,189 | ||||||
Netherlands — 7.0% | ||||||||
111,254 | Heineken NV | 12,383,565 | ||||||
170,414 | QIAGEN NV* | 8,837,454 | ||||||
51,674 | Wolters Kluwer NV | 4,354,825 | ||||||
25,575,844 | ||||||||
Portugal — 1.9% | ||||||||
416,425 | Jeronimo Martins SGPS S.A. | 6,999,946 | ||||||
Spain — 3.7% | ||||||||
292,442 | Almirall S.A. | 3,892,718 | ||||||
144,626 | Fluidra S.A. | 3,712,749 | ||||||
57,483 | Laboratorios Farmaceuticos Rovi S.A.* | 2,661,478 | ||||||
43,772 | Viscofan S.A. | 3,098,638 | ||||||
13,365,583 | ||||||||
Sweden — 13.0% | ||||||||
456,909 | Alfa Laval AB* | 12,618,220 | ||||||
360,387 | Assa Abloy AB | 8,905,889 | ||||||
200,318 | Cloetta AB | 595,143 | ||||||
211,890 | Epiroc AB | 3,851,044 | ||||||
314,611 | Hexpol AB* | 3,368,436 | ||||||
108,928 | Swedish Match AB | 8,476,863 | ||||||
418,353 | Trelleborg AB* | 9,292,461 | ||||||
47,108,056 | ||||||||
Switzerland — 12.2% | ||||||||
184,742 | Julius Baer Group, Ltd. | 10,643,269 | ||||||
198,953 | Novartis AG | 18,733,007 | ||||||
1,053,797 | UBS Group AG | 14,837,292 | ||||||
44,213,568 | ||||||||
United Kingdom — 25.3% | ||||||||
1,380,013 | Beazley PLC | 6,880,729 | ||||||
190,855 | Bunzl PLC | 6,372,261 | ||||||
295,006 | Compass Group PLC | 5,502,273 | ||||||
1,427,041 | ConvaTec Group PLC | 3,874,114 | ||||||
59,654 | Diageo PLC | 2,360,440 | ||||||
719,296 | Electrocomponents PLC | 8,552,714 | ||||||
805,084 | GlaxoSmithKline PLC | 14,731,427 | ||||||
29,230 | Hikma Pharmaceuticals PLC | 1,004,655 | ||||||
20,258 | IMI PLC | 322,820 | ||||||
339,506 | Lancashire Holdings Ltd. | 3,367,540 | ||||||
573,316 | Prudential PLC | 10,542,138 | ||||||
790,449 | Rotork PLC | 3,438,335 | ||||||
432,271 | Smith & Nephew PLC | 8,979,354 | ||||||
318,073 | Smiths Group PLC | 6,542,456 | ||||||
91,231 | Softcat PLC | 1,716,053 | ||||||
118,744 | Spectris PLC | 4,573,596 | ||||||
286,138 | WPP PLC | 3,100,595 | ||||||
91,861,500 | ||||||||
Total Common Stocks (Cost $272,258,876) | 346,381,389 | |||||||
Preferred Stocks — 0.8% | ||||||||
Germany — 0.8% | ||||||||
51,394 | Fuchs Petrolub SE | 2,899,761 | ||||||
Total Preferred Stocks (Cost $2,037,544) | 2,899,761 | |||||||
Short-Term Investments — 3.6% | ||||||||
Money Market Funds — 3.6% | ||||||||
13,243,028 | First American Government | |||||||
Obligations Fund — Class Z, 0.03%# | 13,243,028 | |||||||
Total Short-Term Investments (Cost $13,243,028) | 13,243,028 | |||||||
Total Investments — 99.8% (Cost $287,539,448) | 362,524,178 | |||||||
Other Assets in Excess of Liabilities — 0.2% | 724,036 | |||||||
NET ASSETS — 100.0% | $ | 363,248,214 |
* | Non-Income Producing | |
# | Annualized seven-day yield as of the date of this report. |
The accompanying notes are an integral part of these financial statements.
70
Brown Advisory – WMC Strategic European Equity Fund
Schedule of Investments
December 31, 2020 (Unaudited)
PORTFOLIO HOLDINGS | ||||
% of Net Assets | ||||
United Kingdom | 25.3 | % | ||
Germany | 15.9 | % | ||
Sweden | 13.0 | % | ||
France | 12.2 | % | ||
Switzerland | 12.2 | % | ||
Netherlands | 7.0 | % | ||
Belgium | 3.8 | % | ||
Spain | 3.7 | % | ||
Money Market Funds | 3.6 | % | ||
Portugal | 1.9 | % | ||
Denmark | 0.7 | % | ||
Austria | 0.3 | % | ||
Czech Republic | 0.2 | % | ||
Italy | 0.0 | % | ||
Other Assets and Liabilities | 0.2 | % | ||
100.0 | % |
The accompanying notes are an integral part of these financial statements.
71
Brown Advisory Emerging Markets Select Fund
A Message to Our Shareholders
December 31, 2020
Dear Shareholders:
During the six-month period ended December 31, 2020, the Brown Advisory Emerging Markets Select Fund – Institutional Shares (the “Fund”) increased 33.06% in value. During the same period, the FTSE Emerging Index (the “Index”), the Fund’s benchmark, increased 28.37%.
During the period, the Fund performed well in Asia, the largest regional exposure in the Index. The Fund’s relative performance in China was strong even as Chinese equity markets rallied on positive COVID-19 news. The Fund’s overweight to South Korea, a country with no exposure in the Index, was also beneficial to performance as South Korea outperformed the broader region fueled by a COVID-19-based recovery, low interest rates and retail investor excitement. The Fund’s overweight exposure to Hong Kong marginally detracted from relative returns over the six-month period as political pressures continue to weigh on returns within the country.
From a sector perspective, stock selection in financials and consumer staples were both strong during the period. An overweight to information technology was also a positive contributor to returns during the six-month period as investors flocked to internet and software companies in response to the perceived tailwinds from the pandemic’s work-from-home environment. An overweight to utilities detracted from returns during the period.
From an individual stock perspective, Taiwan Semiconductor and Samsung Electronics, the largest two positions in the portfolio, were the Fund’s top contributors as semiconductor companies rallied during the period. Shimao Group, a Chinese real estate developer, detracted from performance along with broader real estate market stress and China Mobile, a Chinese telecom company, that fell on news that it would be delisted from U.S. exchanges as a result of American sanctions.
During the six-month period, portfolio turnover was focused on opportunities to reallocate capital from top performers to laggards. Technology and consumer companies were trimmed on strong performance and high valuation in favor of more cyclical companies, like financials, that underperformed due to economic weakness.
Overall, we continue to believe the Fund is positioned to benefit from the current economic recovery occurring across Asia as we feel there is meaningful upside in mispriced value opportunities across emerging markets.
Sincerely,
Chris H. Bartlett
Portfolio Manager
Past performance is not a guarantee of future results.
Mutual fund investing involves risk. Principal loss is possible. The Fund may invest in ETFs, which may trade at a discount to the aggregate value of the underlying securities and although expense ratios for ETFs are generally low, frequent trading of ETFs by the Fund can generate brokerage expenses. The Fund may invest in foreign securities which involve greater volatility and political, economic and currency risks and differences in accounting methods. These risks are greater in emerging markets. Derivatives may involve certain costs and risks such as liquidity, interest rate, market, credit, management, and the risk that a position could not be closed when most advantageous. Investing in derivatives could lose more than the amount invested. The Fund invests in smaller and medium-sized companies which carry greater risk than is associated with larger companies for various reasons, such as narrower markets, limited financial resources and less liquid stock.
Fund holdings and sector allocations are subject to change and should not be considered a recommendation to buy or sell any security. For a complete list of fund holdings, please refer to the Schedule of Investments provided in this report.
Definitions for terms and indices are provided in the Glossary of Terms.
72
Brown Advisory Emerging Markets Select Fund
Schedule of Investments
December 31, 2020 (Unaudited)
Shares | Security Description | Value $ | ||||||
Common Stocks — 94.4% | ||||||||
Brazil — 1.1% | ||||||||
1,443,300 | Ambev S.A. | 4,363,292 | ||||||
China — 36.2% | ||||||||
663,902 | AIA Group, Ltd. | 8,090,391 | ||||||
32,800 | Alibaba Group Holding, Ltd.* | 953,973 | ||||||
59,260 | Alibaba Group Holding, Ltd. ADR* | 13,791,580 | ||||||
20,123 | Baidu, Inc. ADR* | 4,351,397 | ||||||
387,400 | Beijing Oriental Yuhong | |||||||
Waterproof Technology Co., Ltd. | 2,299,963 | |||||||
3,187,000 | China Construction Bank Corp. | 2,403,887 | ||||||
577,891 | China Mengniu Dairy Co., Ltd.* | 3,484,190 | ||||||
455,954 | China Merchants Bank Co., Ltd. | 2,884,385 | ||||||
199,500 | China Mobile, Ltd. | 1,137,240 | ||||||
393,368 | China Resources Beer Holdings Co., Ltd. | 3,617,339 | ||||||
3,254,000 | China Resources Power Holdings Co., Ltd. | 3,502,808 | ||||||
103,081 | China Tourism Group Duty Free Corp., Ltd. | 4,461,615 | ||||||
1,445,811 | Dongfeng Motor Group Co., Ltd. | 1,689,475 | ||||||
452,000 | Galaxy Entertainment Group Ltd. | 3,518,613 | ||||||
99,016 | Hong Kong Exchanges & Clearing Ltd. | 5,431,199 | ||||||
7,500 | Huazhu Group Ltd.* | 337,096 | ||||||
68,599 | Huazhu Group Ltd. ADR | 3,089,013 | ||||||
1,164,000 | Industrial & Commercial Bank of China, Ltd. | 747,858 | ||||||
10,603 | Kweichow Moutai Co., Ltd. | 3,240,263 | ||||||
3,774,000 | Lenovo Group, Ltd. | 3,567,905 | ||||||
397,384 | Longfor Group Holdings, Ltd. | 2,324,488 | ||||||
199,300 | Midea Group Co., Ltd. | 3,001,539 | ||||||
24,349 | New Oriental Education & | |||||||
Technology Group, Inc. ADR* | 4,524,288 | |||||||
685,500 | Ping An Bank Co., Ltd. | 2,028,481 | ||||||
447,498 | Ping An Insurance Group Co. of China, Ltd. | 5,445,879 | ||||||
456,100 | Sany Heavy Industry Co., Ltd. | 2,444,706 | ||||||
985,946 | Shimao Group Holdings Ltd. | 3,140,543 | ||||||
55,745 | TAL Education Group ADR* | 3,986,325 | ||||||
212,558 | Tencent Holdings, Ltd. | 15,294,355 | ||||||
197,590 | Tencent Music Entertainment Group ADR* | 3,801,632 | ||||||
256,236 | Trip.com Group, Ltd. ADR* | 8,642,840 | ||||||
112,244 | WuXi AppTec Co., Ltd. | 2,201,916 | ||||||
1,147,000 | Yue Yuen Industrial Holdings Ltd. | 2,389,080 | ||||||
59,326 | Yum China Holdings, Inc. | 3,386,921 | ||||||
14,026 | Zai Lab Ltd. ADR* | 1,898,279 | ||||||
137,111,462 | ||||||||
Czech Republic — 0.8% | ||||||||
128,318 | CEZ AS | 3,077,592 | ||||||
Hungary — 0.7% | ||||||||
55,507 | OTP Bank PLC* | 2,501,399 | ||||||
India — 11.7% | ||||||||
784,165 | Ambuja Cements, Ltd. | 2,674,259 | ||||||
101,395 | Apollo Hospitals Enterprise, Ltd. | 3,345,713 | ||||||
173,847 | Aurobindo Pharma, Ltd. | 2,189,199 | ||||||
54,153 | Bajaj Finance Ltd. | 3,931,796 | ||||||
138,784 | Escorts, Ltd. | 2,398,908 | ||||||
148,896 | Housing Development Finance Corp., Ltd. | 5,216,713 | ||||||
350,131 | ICICI Bank, Ltd.* | 2,574,649 | ||||||
173,360 | Larsen & Toubro, Ltd. | 3,062,156 | ||||||
366,963 | Mahindra & Mahindra Ltd. | 3,628,973 | ||||||
2,567,802 | NTPC, Ltd. | 3,496,348 | ||||||
203,333 | Reliance Industries Ltd. | 5,532,474 | ||||||
789,930 | State Bank of India* | 2,978,617 | ||||||
594,424 | Wipro, Ltd. | 3,148,625 | ||||||
44,178,430 | ||||||||
Indonesia — 2.1% | ||||||||
1,152,178 | Bank Central Asia Tbk PT | 2,777,360 | ||||||
4,680,400 | Bank Mandiri Persero Tbk PT | 2,112,027 | ||||||
10,056,200 | Bank Rakyat Indonesia Persero Tbk PT | 2,989,743 | ||||||
7,879,130 | ||||||||
Philippines — 0.7% | ||||||||
829,132 | Universal Robina Corp. | 2,631,526 | ||||||
Russia — 2.6% | ||||||||
81,762 | LUKOIL PJSC ADR | 5,560,881 | ||||||
744,250 | Rosneft Oil Co. PJSC GDR | 4,196,564 | ||||||
9,757,445 | ||||||||
Singapore — 1.7% | ||||||||
189,922 | DBS Group Holdings, Ltd. | 3,599,161 | ||||||
772,308 | Wilmar International, Ltd. | 2,719,163 | ||||||
6,318,324 | ||||||||
South Africa — 0.5% | ||||||||
203,017 | Sasol, Ltd.* | 1,846,469 | ||||||
South Korea — 14.2% | ||||||||
106,320 | DB Insurance Co., Ltd. | 4,284,771 | ||||||
23,720 | Hana Financial Group, Inc. | 755,514 | ||||||
82,797 | Hankook Tire & Technology Co., Ltd. | 3,008,037 | ||||||
11,222 | Hugel, Inc.* | 1,941,469 | ||||||
32,800 | KB Financial Group, Inc.* | 1,302,719 | ||||||
37,575 | Korea Shipbuilding & | |||||||
Offshore Engineering Co., Ltd.* | 3,763,212 | |||||||
1,735 | LG Household & Health Care, Ltd. | 2,589,531 | ||||||
29,020 | POSCO | 7,251,503 | ||||||
286,714 | Samsung Electronics Co., Ltd. | 21,410,517 | ||||||
88,440 | Shinhan Financial Group Co., Ltd.* | 2,624,287 | ||||||
46,030 | SK Hynix, Inc.* | 5,027,788 | ||||||
53,959,348 | ||||||||
Taiwan — 14.1% | ||||||||
208,471 | Advantech Co., Ltd. | 2,602,419 | ||||||
445,000 | Catcher Technology Co., Ltd. | 3,272,090 | ||||||
299,220 | Chroma ATE, Inc. | 1,793,688 | ||||||
1,969,000 | Compal Electronics, Inc. | 1,453,057 | ||||||
411,335 | Delta Electronics, Inc. | 3,857,477 | ||||||
156,740 | Globalwafers Co., Ltd. | 3,959,538 | ||||||
1,699,000 | Hon Hai Precision Industry Co., Ltd. | 5,570,928 | ||||||
851,000 | Lite-On Technology Corp. | 1,509,870 | ||||||
177,288 | MediaTek, Inc. | 4,727,789 | ||||||
1,314,457 | Taiwan Semiconductor | |||||||
Manufacturing Co., Ltd. | 24,866,204 | |||||||
53,613,060 |
The accompanying notes are an integral part of these financial statements.
73
Brown Advisory Emerging Markets Select Fund
Schedule of Investments
December 31, 2020 (Unaudited)
Shares | Security Description | Value $ | ||||||
Common Stocks — (Continued) | ||||||||
Thailand — 1.5% | ||||||||
629,600 | Bangkok Bank PCL NVDR | 2,494,191 | ||||||
1,062,300 | Siam Commercial Bank PCL NVDR | 3,100,077 | ||||||
5,594,268 | ||||||||
Turkey — 1.5% | ||||||||
2,279,143 | Akbank T.A.S.* | 2,113,910 | ||||||
203,715 | Ford Otomotiv Sanayi A.S. | 3,456,579 | ||||||
5,570,489 | ||||||||
United Arab Emirates — 0.7% | ||||||||
1,682,376 | Abu Dhabi Commercial Bank PJSC | 2,847,361 | ||||||
United Kingdom — 1.9% | ||||||||
149,373 | Antofagasta PLC | 2,930,579 | ||||||
655,159 | Standard Chartered PLC* | 4,160,230 | ||||||
7,090,809 | ||||||||
United States — 2.4% | ||||||||
73,098 | Cognizant Technology Solutions Corp. | 5,990,381 | ||||||
181,284 | Flex, Ltd.* | 3,259,486 | ||||||
9,249,867 | ||||||||
Total Common Stocks (Cost $267,208,691) | 357,590,271 | |||||||
Preferred Stocks — 1.8% | ||||||||
Brazil — 1.4% | ||||||||
1,484,649 | Cia Energetica de Minas Gerais | 4,186,105 | ||||||
178,500 | Itau Unibanco Holding S.A. | 1,092,438 | ||||||
5,278,543 | ||||||||
South Korea — 0.4% | ||||||||
16,831 | Hyundai Motor Co. | 1,374,892 | ||||||
Total Preferred Stocks (Cost $6,918,389) | 6,653,435 | |||||||
Short-Term Investments — 3.4% | ||||||||
Money Market Funds — 3.4% | ||||||||
12,970,913 | First American Government | |||||||
Obligations Fund — Class Z, 0.03%# | 12,970,913 | |||||||
Total Short-Term Investments (Cost $12,970,913) | 12,970,913 | |||||||
Total Investments — 99.6% (Cost $287,097,993) | 377,214,619 | |||||||
Other Assets in Excess of Liabilities — 0.4% | 1,478,018 | |||||||
NET ASSETS — 100.0% | $ | 378,692,637 |
* | Non-Income Producing | |
ADR — American Depositary Receipt | ||
GDR — Global Depositary Receipt | ||
NVDR — Non-Voting Depositary Receipt | ||
# | Annualized seven-day yield as of the date of this report. |
PORTFOLIO HOLDINGS | ||||
% of Net Assets | ||||
China | 36.2 | % | ||
South Korea | 14.6 | % | ||
Taiwan | 14.1 | % | ||
India | 11.7 | % | ||
Money Market Funds | 3.4 | % | ||
Russia | 2.6 | % | ||
Brazil | 2.5 | % | ||
United States | 2.4 | % | ||
Indonesia | 2.1 | % | ||
United Kingdom | 1.9 | % | ||
Singapore | 1.7 | % | ||
Thailand | 1.5 | % | ||
Turkey | 1.5 | % | ||
Czech Republic | 0.8 | % | ||
United Arab Emirates | 0.7 | % | ||
Philippines | 0.7 | % | ||
Hungary | 0.7 | % | ||
South Africa | 0.5 | % | ||
Other Assets and Liabilities | 0.4 | % | ||
100.0 | % |
The accompanying notes are an integral part of these financial statements.
74
Brown Advisory – Beutel Goodman Large-Cap Value Fund
A Message to Our Shareholders
December 31, 2020
Dear Shareholders:
During the six-month period ended December 31, 2020, the Brown Advisory – Beutel Goodman Large-Cap Value Fund – Institutional Shares (the “Fund”) increased 20.97% in value. During the same period, the Russell 1000® Value Index (the “Index”), the Fund’s benchmark, increased 22.75%.
The year 2020 will certainly be remembered for being one of the most eventful years in recent memory, with volatility abounding amid trade uncertainties, rising political and social tensions, a (hopefully short-lived) recession, and the COVID-19 pandemic that began to escalate in the fall after a brief summer hiatus. The U.S. equity market rally that restarted in late March continued in July and August, but subsequently lost some steam in early September. After an alarming resurgence of the pandemic and a nail-biter of a U.S. presidential election in the fourth quarter, the world seemingly drew a collective sigh of relief as we shut the door for good on 2020. The devastating toll of the global pandemic on both human life and the economy cannot be overstated. However, going into 2021, we believe there is also significant reason for optimism in the months ahead. This surge was driven primarily by good news on the vaccine front, the continued commitment of central banks to hold interest rates at the lower zero bound range until inflation is at or through the target levels, and, after months of political wrangling, the passing of an additional $900 billion stimulus bill.
Stock selection and allocation effects were the key drivers of performance over the period, with the most meaningful contributions coming from the Fund’s industrials, energy, utilities and real estate sector names and sector weights. The Fund’s sector weights are purely a function of our bottom-up fundamental view of stocks; accordingly, this discussion will focus on absolute contributions to performance.
At the individual security level, Ingersoll-Rand was the most notable contributor on an absolute-return basis, following results that demonstrated higher margins year over year, which offset lower revenues across their various business lines, and specifically in their core industrials segment. We believe the company continues to be well-positioned to navigate through a challenging environment.
Kellogg was the most meaningful detractor on an absolute basis, as the company’s share price lagged the market despite management raising its full-year earnings guidance again as the company continued to benefit from the COVID-19-related sales boost. Kellogg is reinvesting these proceeds back into the business in brand building, ongoing e-commerce capabilities, emerging markets, and increased capacity. That said, we take a long-term view with all of our holdings, and with continuing good execution, we believe our target should be achieved.
During the period, we initiated one-third process-driven sales on Kimberly Clark, BlackRock, Amgen, Cummins, Parker-Hannifin, PPG Industries, KLA Corp., Trane Technologies after they reached our target prices. After completing our post-one-third sale reviews, we subsequently fully exited our positions in BlackRock, KLA Corp and Trane Technologies. We redeployed the proceeds of the sales into both new and existing holdings.
We initiated new positions in TE Connectivity and eBay Inc. TE Connectivity is the world leader in connectivity and sensor solutions, commanding almost 15% of the $67 billion global connector market. The company manufactures harsh environment connectors (50% of sales), sensors (7% of sales), and related components such as antennas, relays, heat shrink tubing, wire, and cable. In many cases, multiple products are sold as one integrated system or “solution”. eBay was founded in 1995 as a consumer-to-consumer auction platform that gained tremendous popularity in the late 1990s. The company generates attractive returns and operates in an industry growing by double digits, but we believe that it has been woefully mismanaged throughout much of its history. Dramatic changes have occurred at eBay over the last year that have left the company poised to stabilize growth rates in its core marketplace. Highlights include: (1) a sale of the StubHub and Classifieds businesses for a combined $13.6 billion, (2) a severing of the exclusive relationship with PayPal, (3) the hiring of a new and credible CEO, and (4) positive changes to the board of directors. Under new leadership with a newfound focus, combined with the divestment of non-core businesses, eBay has emerged a focused marketplace company for the first time in twenty years. For a “relic”, a refocused eBay finds itself in the enviable position of having carved out a lucrative niche, that of the internet’s most beloved flea market, with a loyal and growing consumer-seller base, in a growing market.
We also added to our holdings in American Express, Campbell Soup, Flowserve, Merck, Omnicom, Verizon Communications, Amgen, Kellogg, NortonLifeLock, Wabtec Corp. and SEI Investments.
75
Brown Advisory – Beutel Goodman Large-Cap Value Fund
A Message to Our Shareholders
December 31, 2020
The third and fourth quarters of 2020 saw a welcome narrowing in the return gap between value and growth stocks. Even with the narrowing effect, captured almost exclusively by the one-day dramatic rotation to value on the day Pfizer announced its vaccine efficacy results, the gap between growth and value remains wide. We define value on our own terms, and we do not fit into traditional molds of what value investing is thought to be. Despite the momentum market we have found ourselves in (whereby valuation has been for the most part ignored), we have been able to take advantage of some of the volatility earlier in the year and add new quality companies to our portfolios. We have also taken advantage of the upside volatility, executing many one-third sales as markets rebounded strongly and stocks hit our target prices, and exiting holdings when valuations became stretched beyond our intrinsic value target prices.
In terms of our forward outlook, we refrain from making predictions about the future when it comes to anything other than the fundamentals of the businesses we own. While value could remain in favor and continue to close the gap with growth stocks that has built over the past decade, the opposite could also be true. We do not know, and in the end, we are not concerned with things outside of our control as they do not affect our approach. We continue to focus on monitoring our holdings and scouring the market for quality companies trading at discounts to our estimate of their intrinsic value. We do not believe the grass is greener on the other side, as our portfolios reflect higher quality fundamentals and lower valuations – in our view a winning long-term combination. We do not know when the quality of our holdings will be recognized by the market, but if we follow our disciplined process, we expect to be rewarded with strong long-term performance.
Moving in to 2021, the portfolio is still trading at a discount to intrinsic value and to the market overall. As a result, while the market appears expensive and expectations are high, we do not believe our outlook for the growth and profitability of the businesses we own is stretched, and we remain positive that more of our holdings should begin to outperform in the years ahead.
Sincerely,
Rui Cardoso, CFA
Portfolio Manager
Glenn Fortin, CFA
Portfolio Manager
Past performance is not a guarantee of future results.
Mutual fund investing involves risk. Principal loss is possible. The Fund may invest in ETFs, which may trade at a discount to the aggregate value of the underlying securities and although expense ratios for ETFs are generally low, frequent trading of ETFs by the Fund can generate brokerage expenses. In addition, the Fund is susceptible to risks from investments in derivatives, private placements, REITs, and its investments in other investment companies. The Fund is non-diversified, which means that it may invest a significant portion of its assets in the securities of a single issuer or small number of issuers. Investment by the Fund in securities of a limited number of issuers exposes it to greater risk and potential monetary losses than if its assets were diversified among the securities of a greater number of issuers. If a Fund is non-diversified, then its investments are not required to meet certain requirements under Federal law. A non-diversified fund is permitted to invest a greater percentage of its assets in the securities of a single issuer than a diversified fund. Thus, the Fund may have fewer holdings than other funds. As a result, a decline in the value of those investments would cause the Fund’s overall value to decline to a greater degree than if the Fund held a more diversified portfolio. The risks of derivatives include imperfect correlation between the value of the instruments and the underlying assets; risks of default by the other party to the derivative transactions; risks that the transactions may result in losses that partially or completely offset gains in portfolio positions ad risks that the derivative transactions may not be liquid.
Fund holdings and sector allocations are subject to change and should not be considered a recommendation to buy or sell any security. For a complete list of fund holdings, please refer to the Schedule of Investments provided in this report.
Definitions for terms and indices are provided in the Glossary of Terms.
76
Brown Advisory – Beutel Goodman Large-Cap Value Fund
Schedule of Investments
December 31, 2020 (Unaudited)
Shares | Security Description | Value $ | ||||||
Common Stocks — 95.4% | ||||||||
Communication Services — 14.3% | ||||||||
650,660 | Comcast Corp. | 34,094,584 | ||||||
586,072 | Omnicom Group, Inc. | 36,553,310 | ||||||
555,850 | Verizon Communications, Inc. | 32,656,188 | ||||||
103,304,082 | ||||||||
Consumer Discretionary — 9.6% | ||||||||
12,415 | AutoZone, Inc.* | 14,717,238 | ||||||
491,830 | eBay, Inc. | 24,714,458 | ||||||
824,759 | Harley-Davidson, Inc. | 30,268,654 | ||||||
69,700,350 | ||||||||
Consumer Staples — 9.9% | ||||||||
491,220 | Campbell Soup Co. | 23,750,487 | ||||||
512,971 | Kellogg Co. | 31,922,185 | ||||||
116,800 | Kimberly-Clark Corp. | 15,748,144 | ||||||
71,420,816 | ||||||||
Financials — 13.8% | ||||||||
320,750 | American Express Co. | 38,781,883 | ||||||
177,440 | Ameriprise Financial, Inc. | 34,481,914 | ||||||
98,280 | JPMorgan Chase & Co. | 12,488,440 | ||||||
251,930 | SEI Investments Co. | 14,478,417 | ||||||
100,230,654 | ||||||||
Health Care — 12.4% | ||||||||
329,051 | AmerisourceBergen Corp. | 32,168,026 | ||||||
141,855 | Amgen, Inc. | 32,615,301 | ||||||
307,885 | Merck & Co., Inc. | 25,184,993 | ||||||
89,968,320 | ||||||||
Industrials — 16.6% | ||||||||
81,955 | Cummins, Inc. | 18,611,981 | ||||||
781,854 | Flowserve Corp. | 28,811,320 | ||||||
788,874 | Ingersoll Rand, Inc.* | 35,941,098 | ||||||
29,250 | Parker-Hannifin Corp. | 7,967,993 | ||||||
398,815 | Westinghouse Air Brake Technologies Corp. | 29,193,258 | ||||||
120,525,650 | ||||||||
Information Technology — 16.8% | ||||||||
463,877 | Amdocs, Ltd. | 32,902,796 | ||||||
1,361,350 | NortonLifeLock, Inc. | 28,288,853 | ||||||
596,370 | Oracle Corp. | 38,579,176 | ||||||
180,510 | TE Connectivity, Ltd. | 21,854,346 | ||||||
121,625,171 | ||||||||
Materials — 2.0% | ||||||||
99,485 | PPG Industries, Inc. | 14,347,727 | ||||||
Total Common Stocks (Cost $593,291,107) | 691,122,770 | |||||||
Short-Term Investments — 4.3% | ||||||||
Money Market Funds — 4.3% | ||||||||
31,079,412 | First American Government | |||||||
Obligations Fund — Class Z, 0.03%# | 31,079,412 | |||||||
Total Short-Term Investments (Cost $31,079,412) | 31,079,412 | |||||||
Total Investments — 99.7% (Cost $624,370,519) | 722,202,182 | |||||||
Other Assets in Excess of Liabilities — 0.3% | 2,469,403 | |||||||
NET ASSETS — 100.0% | $ | 724,671,585 |
* | Non-Income Producing | |
# | Annualized seven-day yield as of the date of this report. |
PORTFOLIO HOLDINGS | ||||
% of Net Assets | ||||
Information Technology | 16.8 | % | ||
Industrials | 16.6 | % | ||
Communication Services | 14.3 | % | ||
Financials | 13.8 | % | ||
Health Care | 12.4 | % | ||
Consumer Staples | 9.9 | % | ||
Consumer Discretionary | 9.6 | % | ||
Money Market Funds | 4.3 | % | ||
Materials | 2.0 | % | ||
Other Assets and Liabilities | 0.3 | % | ||
100.0 | % |
The accompanying notes are an integral part of these financial statements.
77
Statements of Assets and Liabilities
December 31, 2020 (Unaudited)
BROWN | BROWN | BROWN | BROWN | |||||||||||||
ADVISORY | ADVISORY | ADVISORY | ADVISORY | |||||||||||||
GROWTH | FLEXIBLE | EQUITY | SUSTAINABLE | |||||||||||||
EQUITY | EQUITY | INCOME | GROWTH | |||||||||||||
FUND | FUND | FUND | FUND | |||||||||||||
ASSETS | ||||||||||||||||
Investments: | ||||||||||||||||
Total investments, at cost | $ | 1,530,757,046 | $ | 252,598,743 | $ | 42,629,839 | $ | 3,082,242,898 | ||||||||
Net unrealized appreciation (depreciation) | 1,712,776,313 | 336,820,281 | 40,534,036 | 1,624,347,930 | ||||||||||||
Total investments, at market value | 3,243,533,359 | 589,419,024 | 83,163,875 | 4,706,590,828 | ||||||||||||
Receivables: | ||||||||||||||||
Investments sold | 487,481 | — | — | — | ||||||||||||
Fund shares sold | 3,397,801 | 444,543 | 33,900 | 20,909,646 | ||||||||||||
Interest and dividends | 504,875 | 105,346 | 145,758 | 1,835,624 | ||||||||||||
Prepaid expenses and other assets | 92,958 | 39,958 | 49,768 | 182,381 | ||||||||||||
Total Assets | 3,248,016,474 | 590,008,871 | 83,393,301 | 4,729,518,479 | ||||||||||||
LIABILITIES | ||||||||||||||||
Payables: | ||||||||||||||||
Investments purchased | 14,603,420 | — | — | 18,790,070 | ||||||||||||
Fund shares redeemed | 1,673,469 | 219,359 | 71,425 | 3,624,420 | ||||||||||||
Accrued Liabilities: | ||||||||||||||||
Investment advisory fees | 1,537,201 | 214,439 | 39,620 | 2,107,009 | ||||||||||||
Service fees | 144,933 | 53,408 | 7,665 | 251,954 | ||||||||||||
Administration, accounting and transfer agent fees | 237,236 | 44,586 | 6,313 | 311,747 | ||||||||||||
Business management fees | 134,611 | 24,682 | 3,510 | 191,591 | ||||||||||||
Trustee fees | 29,054 | 5,536 | 893 | 20,033 | ||||||||||||
Distribution fees | 5,650 | 1,022 | 209 | 82,307 | ||||||||||||
Professional fees | 61,905 | 21,778 | 12,453 | 74,940 | ||||||||||||
Custody fees | 18,038 | 3,758 | 684 | 22,063 | ||||||||||||
Other liabilities | 12,671 | 5,189 | 4,387 | 87,657 | ||||||||||||
Total Liabilities | 18,458,188 | 593,757 | 147,159 | 25,563,791 | ||||||||||||
NET ASSETS | $ | 3,229,558,286 | $ | 589,415,114 | $ | 83,246,142 | $ | 4,703,954,688 | ||||||||
COMPONENTS OF NET ASSETS | ||||||||||||||||
Paid-in capital | $ | 1,412,353,422 | $ | 248,492,406 | $ | 42,380,599 | $ | 3,092,228,434 | ||||||||
Total distributable earnings (loss) | 1,817,204,864 | 340,922,708 | 40,865,543 | 1,611,726,254 | ||||||||||||
NET ASSETS | $ | 3,229,558,286 | $ | 589,415,114 | $ | 83,246,142 | $ | 4,703,954,688 | ||||||||
COMPUTATION OF NET ASSET VALUE | ||||||||||||||||
Institutional Shares: | ||||||||||||||||
Net assets | $ | 2,077,397,815 | $ | 164,594,224 | $ | 22,841,101 | $ | 2,637,692,917 | ||||||||
Shares outstanding (unlimited shares authorized) | 62,548,321 | 5,677,755 | 1,607,972 | 67,272,093 | ||||||||||||
Net asset value per share | $ | 33.21 | $ | 28.99 | $ | 14.20 | $ | 39.21 | ||||||||
Investor Shares: | ||||||||||||||||
Net assets | $ | 1,123,401,788 | $ | 419,918,699 | $ | 59,396,982 | $ | 1,664,200,654 | ||||||||
Shares outstanding (unlimited shares authorized) | 34,359,081 | 14,518,199 | 4,182,551 | 43,056,296 | ||||||||||||
Net asset value per share | $ | 32.70 | $ | 28.92 | $ | 14.20 | $ | 38.65 | ||||||||
Advisor Shares: | ||||||||||||||||
Net assets | $ | 28,758,683 | $ | 4,902,191 | $ | 1,008,059 | $ | 402,061,117 | ||||||||
Shares outstanding (unlimited shares authorized) | 942,859 | 169,578 | 71,026 | 10,638,520 | ||||||||||||
Net asset value per share | $ | 30.50 | $ | 28.91 | $ | 14.19 | $ | 37.79 |
The accompanying notes are an integral part of these financial statements.
78
Statements of Assets and Liabilities
December 31, 2020 (Unaudited)
BROWN | BROWN | BROWN | BROWN | |||||||||||||
ADVISORY | ADVISORY | ADVISORY | ADVISORY | |||||||||||||
MID-CAP | SMALL-CAP | SMALL-CAP | GLOBAL | |||||||||||||
GROWTH | GROWTH | FUNDAMENTAL | LEADERS | |||||||||||||
FUND | FUND | VALUE FUND | FUND | |||||||||||||
ASSETS | ||||||||||||||||
Investments: | ||||||||||||||||
Total investments, at cost | $ | 118,434,876 | $ | 1,485,059,607 | $ | 697,127,881 | $ | 680,350,778 | ||||||||
Net unrealized appreciation (depreciation) | 55,185,300 | 849,645,567 | 262,763,073 | 290,455,150 | ||||||||||||
Total investments, at market value | 173,620,176 | 2,334,705,174 | 959,890,954 | 970,805,928 | ||||||||||||
Foreign currency (Cost of $—, $—, $— and $35,501, respectively.) | — | — | — | 35,501 | ||||||||||||
Receivables: | ||||||||||||||||
Investments sold | — | 18,104,760 | — | — | ||||||||||||
Fund shares sold | 541,439 | 4,484,844 | 3,205,119 | 8,690,639 | ||||||||||||
Interest and dividends | 27,841 | 691,514 | 1,049,727 | 547,831 | ||||||||||||
Prepaid expenses and other assets | 31,768 | 103,251 | 56,262 | 45,622 | ||||||||||||
Total Assets | 174,221,224 | 2,358,089,543 | 964,202,062 | 980,125,521 | ||||||||||||
LIABILITIES | ||||||||||||||||
Payables: | ||||||||||||||||
Investments purchased | — | 27,005,235 | 2,059,163 | 2,424,172 | ||||||||||||
Fund shares redeemed | 59,551 | 3,603,025 | 367,134 | 23,976 | ||||||||||||
Accrued Liabilities: | ||||||||||||||||
Investment advisory fees, net | 93,595 | 1,610,117 | 683,216 | 511,730 | ||||||||||||
Service fees | 4,021 | 93,155 | 66,313 | 10,285 | ||||||||||||
Administration, accounting and transfer agent fees | 12,590 | 160,900 | 69,074 | 69,249 | ||||||||||||
Business management fees | 7,200 | 94,713 | 40,189 | 39,364 | ||||||||||||
Trustee fees | 1,020 | 19,016 | 11,374 | 5,091 | ||||||||||||
Distribution fees | — | 3,106 | 1,013 | — | ||||||||||||
Professional fees | 12,796 | 40,046 | 28,299 | 27,268 | ||||||||||||
Custody fees | 1,946 | 11,557 | 8,385 | 21,318 | ||||||||||||
Other liabilities | 5,611 | 62,168 | 14,902 | 10,538 | ||||||||||||
Total Liabilities | 198,330 | 32,703,038 | 3,349,062 | 3,142,991 | ||||||||||||
NET ASSETS | $ | 174,022,894 | $ | 2,325,386,505 | $ | 960,853,000 | $ | 976,982,530 | ||||||||
COMPONENTS OF NET ASSETS | ||||||||||||||||
Paid-in capital | $ | 117,751,747 | $ | 1,442,850,031 | $ | 803,231,099 | $ | 709,402,043 | ||||||||
Total distributable earnings (loss) | 56,271,147 | 882,536,474 | 157,621,901 | 267,580,487 | ||||||||||||
NET ASSETS | $ | 174,022,894 | $ | 2,325,386,505 | $ | 960,853,000 | $ | 976,982,530 | ||||||||
COMPUTATION OF NET ASSET VALUE | ||||||||||||||||
Institutional Shares: | ||||||||||||||||
Net assets | $ | 143,901,598 | $ | 1,549,095,905 | $ | 434,397,886 | $ | 893,852,510 | ||||||||
Shares outstanding (unlimited shares authorized) | 7,873,476 | 26,767,437 | 18,108,186 | 43,859,079 | ||||||||||||
Net asset value per share | $ | 18.28 | $ | 57.87 | $ | 23.99 | $ | 20.38 | ||||||||
Investor Shares: | ||||||||||||||||
Net assets | $ | 30,121,296 | $ | 761,516,281 | $ | 521,751,378 | $ | 83,130,020 | ||||||||
Shares outstanding (unlimited shares authorized) | 1,654,953 | 26,362,787 | 21,771,395 | 4,086,351 | ||||||||||||
Net asset value per share | $ | 18.20 | $ | 28.89 | $ | 23.96 | $ | 20.34 | ||||||||
Advisor Shares: | ||||||||||||||||
Net assets | $ | — | $ | 14,774,319 | $ | 4,703,736 | $ | — | ||||||||
Shares outstanding (unlimited shares authorized) | — | 537,223 | 197,136 | — | ||||||||||||
Net asset value per share | $ | — | $ | 27.50 | $ | 23.86 | $ | — |
The accompanying notes are an integral part of these financial statements.
79
Statements of Assets and Liabilities
December 31, 2020 (Unaudited)
BROWN | BROWN | BROWN | BROWN | |||||||||||||
ADVISORY | ADVISORY | ADVISORY | ADVISORY | |||||||||||||
INTERMEDIATE | TOTAL | SUSTAINABLE | MARYLAND | |||||||||||||
INCOME | RETURN | BOND | BOND | |||||||||||||
FUND | FUND | FUND | FUND | |||||||||||||
ASSETS | ||||||||||||||||
Investments: | ||||||||||||||||
Investments — unaffiliated, at cost | $ | 157,523,910 | $ | 463,476,838 | $ | 195,378,790 | $ | 166,895,676 | ||||||||
Investments — affiliated, at cost (Note 3) | 21,527,744 | — | — | — | ||||||||||||
Total investments, at cost | 179,051,654 | 463,476,838 | 195,378,790 | 166,895,676 | ||||||||||||
Net unrealized appreciation (depreciation) — unaffiliated | 5,122,751 | 21,949,384 | 8,365,548 | 7,917,454 | ||||||||||||
Net unrealized appreciation (depreciation) — affiliated (Note 3) | 526,652 | — | — | — | ||||||||||||
Total net unrealized appreciation (depreciation) | 5,649,403 | 21,949,384 | 8,365,548 | 7,917,454 | ||||||||||||
Investments – unaffiliated, at market value | 162,646,661 | 485,426,222 | 203,744,338 | 174,813,130 | ||||||||||||
Investments – affiliated, at market value (Note 3) | 22,054,396 | — | — | — | ||||||||||||
Total investments, at market value | 184,701,057 | 485,426,222 | 203,744,338 | 174,813,130 | ||||||||||||
Cash deposit at broker — futures contracts (Note 6) | 125,370 | 697,698 | 447,495 | — | ||||||||||||
Gross unrealized appreciation — futures contracts (Note 6) | — | 165,401 | 100,528 | — | ||||||||||||
Receivables: | ||||||||||||||||
Investments sold | 431 | 5,234,714 | — | — | ||||||||||||
Fund shares sold | 2,215,000 | 2,180,736 | 663,720 | 275,613 | ||||||||||||
Interest and dividends | 739,400 | 2,658,701 | 960,586 | 2,444,517 | ||||||||||||
Prepaid expenses and other assets | 26,119 | 50,131 | 53,080 | 7,784 | ||||||||||||
Total Assets | 187,807,377 | 496,413,603 | 205,969,747 | 177,541,044 | ||||||||||||
LIABILITIES | ||||||||||||||||
Securities sold short (Proceeds of $—, $5,229,297, $—, and $—) | — | 5,239,062 | — | — | ||||||||||||
Gross unrealized depreciation — futures contracts (Note 6) | — | 542,962 | 193,746 | — | ||||||||||||
Payables: | ||||||||||||||||
Investments purchased | — | 30,913,469 | 6,213,295 | — | ||||||||||||
Fund shares redeemed | 1,500 | 261,929 | 8,287 | 32,627 | ||||||||||||
Distribution to shareholders | — | — | — | 260,868 | ||||||||||||
Accrued Liabilities: | ||||||||||||||||
Investment advisory fees, net | 41,503 | 116,869 | 49,310 | 45,164 | ||||||||||||
Service fees | 7,864 | 268 | 141 | 7,527 | ||||||||||||
Administration, accounting and transfer agent fees | 19,829 | 48,321 | 22,925 | 19,459 | ||||||||||||
Business management fees | 7,864 | 19,478 | 8,218 | 7,527 | ||||||||||||
Trustee fees | 1,237 | 3,477 | 973 | 1,372 | ||||||||||||
Distribution fees | 786 | — | — | — | ||||||||||||
Professional fees | 14,124 | 22,541 | 13,612 | 14,507 | ||||||||||||
Custodian fees | 3,281 | 4,233 | 1,918 | 790 | ||||||||||||
Other liabilities | 5,638 | 5,973 | 3,818 | 3,941 | ||||||||||||
Total Liabilities | 103,626 | 37,178,582 | 6,516,243 | 393,782 | ||||||||||||
NET ASSETS | $ | 187,703,751 | $ | 459,235,021 | $ | 199,453,504 | $ | 177,147,262 | ||||||||
COMPONENTS OF NET ASSETS | ||||||||||||||||
Paid-in capital | $ | 181,073,925 | $ | 437,077,174 | $ | 190,278,692 | $ | 172,288,445 | ||||||||
Total distributable earnings (loss) | 6,629,826 | 22,157,847 | 9,174,812 | 4,858,817 | ||||||||||||
NET ASSETS | $ | 187,703,751 | $ | 459,235,021 | $ | 199,453,504 | $ | 177,147,262 | ||||||||
COMPUTATION OF NET ASSET VALUE | ||||||||||||||||
Institutional Shares: | ||||||||||||||||
Net assets | $ | — | $ | 453,651,771 | $ | 196,040,615 | $ | — | ||||||||
Shares outstanding (unlimited shares authorized) | — | 42,622,142 | 18,578,790 | — | ||||||||||||
Net asset value per share | $ | — | $ | 10.64 | $ | 10.55 | $ | — | ||||||||
Investor Shares: | ||||||||||||||||
Net assets | $ | 183,998,979 | $ | 5,583,250 | $ | 3,412,889 | $ | 177,147,262 | ||||||||
Shares outstanding (unlimited shares authorized) | 16,465,660 | 524,653 | 323,402 | 16,315,032 | ||||||||||||
Net asset value per share | $ | 11.17 | $ | 10.64 | $ | 10.55 | $ | 10.86 | ||||||||
Advisor Shares: | ||||||||||||||||
Net assets | $ | 3,704,772 | $ | — | $ | — | $ | — | ||||||||
Shares outstanding (unlimited shares authorized) | 339,078 | — | — | — | ||||||||||||
Net asset value per share | $ | 10.93 | $ | — | $ | — | $ | — |
The accompanying notes are an integral part of these financial statements.
80
Statements of Assets and Liabilities
December 31, 2020 (Unaudited)
BROWN | ||||||||||||||||
BROWN | ADVISORY – | |||||||||||||||
BROWN | ADVISORY | BROWN | WMC | |||||||||||||
ADVISORY | TAX-EXEMPT | ADVISORY | STRATEGIC | |||||||||||||
TAX-EXEMPT | SUSTAINABLE | MORTGAGE | EUROPEAN | |||||||||||||
BOND | BOND | SECURITIES | EQUITY | |||||||||||||
FUND | FUND | FUND | FUND | |||||||||||||
ASSETS | ||||||||||||||||
Investments: | ||||||||||||||||
Total investments, at cost | $ | 1,102,772,640 | $ | 192,308,851 | $ | 294,432,179 | $ | 287,539,448 | ||||||||
Net unrealized appreciation (depreciation) | 53,540,750 | 3,330,181 | 12,077,700 | 74,984,730 | ||||||||||||
Total investments, at market value | 1,156,313,390 | 195,639,032 | 306,509,879 | 362,524,178 | ||||||||||||
Cash | — | 1,553,037 | — | — | ||||||||||||
Foreign currency (Cost of $—, $—, $— and $, respectively.) | — | — | — | 473 | ||||||||||||
Cash deposit at broker — futures contracts (Note 6) | — | — | 282,674 | — | ||||||||||||
Gross unrealized appreciation — futures contracts (Note 6) | — | — | 36,747 | — | ||||||||||||
Receivables: | ||||||||||||||||
Investments sold | — | — | 5,264,529 | 83,274 | ||||||||||||
Fund shares sold | 8,826,130 | 367,375 | 462,118 | 498,603 | ||||||||||||
Interest and dividends | 7,909,980 | 1,870,795 | 1,455,669 | 3,475,567 | ||||||||||||
Prepaid expenses and other assets | 59,959 | 40,457 | 39,436 | 43,927 | ||||||||||||
Total Assets | 1,173,109,459 | 199,470,696 | 314,051,052 | 366,626,022 | ||||||||||||
LIABILITIES | ||||||||||||||||
Securities sold short (Proceeds of $—, $—, $5,229,297, and $—) | — | — | 5,239,062 | — | ||||||||||||
Gross unrealized depreciation — futures contracts (Note 6) | — | — | 45,229 | — | ||||||||||||
Payables: | ||||||||||||||||
Investments purchased | — | — | 30,918,885 | 2,844,452 | ||||||||||||
Fund shares redeemed | 390,512 | 3,149 | 7,833 | 160,659 | ||||||||||||
Distribution to shareholders | 1,825,553 | 181,910 | — | — | ||||||||||||
Accrued Liabilities: | ||||||||||||||||
Investment advisory fees | 296,552 | 52,208 | 71,306 | 274,265 | ||||||||||||
Service fees | 410 | 8,701 | 953 | 4,525 | ||||||||||||
Administration, accounting and transfer agent fees | 95,004 | 21,712 | 40,311 | 26,763 | ||||||||||||
Business management fees | 49,426 | 8,701 | 11,884 | 15,237 | ||||||||||||
Trustee fees | 7,780 | 966 | 1,960 | 3,982 | ||||||||||||
Distribution fees | — | — | — | 773 | ||||||||||||
Professional fees | 34,248 | 13,444 | 17,488 | 18,141 | ||||||||||||
Custodian fees | 6,618 | 1,135 | 2,484 | 21,774 | ||||||||||||
Other liabilities | 18,915 | 5,354 | 4,484 | 7,237 | ||||||||||||
Total Liabilities | 2,725,018 | 297,280 | 36,361,879 | 3,377,808 | ||||||||||||
NET ASSETS | $ | 1,170,384,441 | $ | 199,173,416 | $ | 277,689,173 | $ | 363,248,214 | ||||||||
COMPONENTS OF NET ASSETS | ||||||||||||||||
Paid-in capital | $ | 1,137,736,415 | $ | 195,850,414 | $ | 270,006,896 | $ | 304,166,653 | ||||||||
Total distributable earnings (loss) | 32,648,026 | 3,323,002 | 7,682,277 | 59,081,561 | ||||||||||||
NET ASSETS | $ | 1,170,384,441 | $ | 199,173,416 | $ | 277,689,173 | $ | 363,248,214 | ||||||||
COMPUTATION OF NET ASSET VALUE | ||||||||||||||||
Institutional Shares: | ||||||||||||||||
Net assets | $ | 1,160,773,514 | $ | — | $ | 254,874,292 | $ | 326,057,340 | ||||||||
Shares outstanding (unlimited shares authorized) | 111,915,952 | — | 24,167,242 | 27,644,701 | ||||||||||||
Net asset value per share | $ | 10.37 | $ | — | $ | 10.55 | $ | 11.79 | ||||||||
Investor Shares: | ||||||||||||||||
Net assets | $ | 9,610,927 | $ | 199,173,416 | $ | 22,814,881 | $ | 33,604,043 | ||||||||
Shares outstanding (unlimited shares authorized) | 926,319 | 19,780,924 | 2,160,464 | 2,857,781 | ||||||||||||
Net asset value per share | $ | 10.38 | $ | 10.07 | $ | 10.56 | $ | 11.76 | ||||||||
Advisor Shares: | ||||||||||||||||
Net assets | $ | — | $ | — | $ | — | $ | 3,586,831 | ||||||||
Shares outstanding (unlimited shares authorized) | — | — | — | 308,140 | ||||||||||||
Net asset value per share | $ | — | $ | — | $ | — | $ | 11.64 |
The accompanying notes are an integral part of these financial statements.
81
Statements of Assets and Liabilities
December 31, 2020 (Unaudited)
BROWN | BROWN | |||||||
ADVISORY | ADVISORY – | |||||||
EMERGING | BEUTEL | |||||||
MARKETS | GOODMAN | |||||||
SELECT | LARGE-CAP | |||||||
FUND | VALUE FUND | |||||||
ASSETS | ||||||||
Investments: | ||||||||
Total investments, at cost | $ | 287,097,993 | $ | 624,370,519 | ||||
Net unrealized appreciation (depreciation) | 90,116,626 | 97,831,663 | ||||||
Total investments, at market value | 377,214,619 | 722,202,182 | ||||||
Receivables: | ||||||||
Investments sold | 763,230 | — | ||||||
Fund shares sold | 1,398,964 | 6,356,274 | ||||||
Interest and dividends | 1,100,094 | 1,112,630 | ||||||
Prepaid expenses and other assets | 67,694 | 51,972 | ||||||
Total Assets | 380,544,601 | 729,723,058 | ||||||
LIABILITIES | ||||||||
Payables: | ||||||||
Investments purchased | 1,387,081 | 4,558,564 | ||||||
Fund shares redeemed | 64,797 | 101,230 | ||||||
Accrued Liabilities: | ||||||||
Investment advisory fees | 280,943 | 272,224 | ||||||
Service fees | 607 | — | ||||||
Administration, accounting and transfer agent fees | 26,714 | 51,752 | ||||||
Business management fees | 15,608 | 30,247 | ||||||
Trustee fees | 2,773 | 4,706 | ||||||
Distribution fees | 5 | — | ||||||
Professional fees | 17,973 | 21,718 | ||||||
Custodian fees | 48,734 | 4,243 | ||||||
Other liabilities | 6,729 | 6,789 | ||||||
Total Liabilities | 1,851,964 | 5,051,473 | ||||||
NET ASSETS | $ | 378,692,637 | $ | 724,671,585 | ||||
COMPONENTS OF NET ASSETS | ||||||||
Paid-in capital | $ | 322,161,995 | $ | 623,318,047 | ||||
Total distributable earnings (loss) | 56,530,642 | 101,353,538 | ||||||
NET ASSETS | $ | 378,692,637 | $ | 724,671,585 | ||||
COMPUTATION OF NET ASSET VALUE | ||||||||
Institutional Shares: | ||||||||
Net assets | $ | 373,731,061 | $ | 724,671,585 | ||||
Shares outstanding (unlimited shares authorized) | 31,902,993 | 58,230,664 | ||||||
Net asset value per share | $ | 11.71 | $ | 12.44 | ||||
Investor Shares: | ||||||||
Net assets | $ | 4,942,811 | $ | — | ||||
Shares outstanding (unlimited shares authorized) | 421,964 | — | ||||||
Net asset value per share | $ | 11.71 | $ | — | ||||
Advisor Shares: | ||||||||
Net assets | $ | 18,765 | $ | — | ||||
Shares outstanding (unlimited shares authorized) | 1,594 | — | ||||||
Net asset value per share | $ | 11.77 | $ | — |
The accompanying notes are an integral part of these financial statements.
82
Statements of Operations
For the Six Months Ended December 31, 2020 (Unaudited)
BROWN | BROWN | BROWN | BROWN | |||||||||||||
ADVISORY | ADVISORY | ADVISORY | ADVISORY | |||||||||||||
GROWTH | FLEXIBLE | EQUITY | SUSTAINABLE | |||||||||||||
EQUITY | EQUITY | INCOME | GROWTH | |||||||||||||
FUND | FUND | FUND | FUND | |||||||||||||
INVESTMENT INCOME | ||||||||||||||||
Dividend income | $ | 8,651,918 | $ | 2,278,164 | $ | 960,919 | $ | 11,429,158 | ||||||||
Less: foreign taxes withheld | (60,285 | ) | (40,806 | ) | (6,218 | ) | — | |||||||||
Interest Income | 15,526 | 2,726 | 698 | 14,457 | ||||||||||||
Total investment income | 8,607,159 | 2,240,084 | 955,399 | 11,443,615 | ||||||||||||
EXPENSES | ||||||||||||||||
Investment advisory fees | 8,817,278 | 1,208,789 | 243,491 | 10,674,703 | ||||||||||||
Service fees – Investor Shares (Note 3) | 813,395 | 297,782 | 43,497 | 1,040,812 | ||||||||||||
Service fees – Advisor Shares (Note 3) | 13,636 | 3,558 | 716 | 251,836 | ||||||||||||
Business management fees | 768,800 | 138,496 | 20,291 | 954,047 | ||||||||||||
Administration, accounting and transfer agent fees | 435,229 | 76,351 | 11,514 | 516,134 | ||||||||||||
Miscellaneous expenses | 40,863 | 11,813 | 10,343 | 146,962 | ||||||||||||
Professional fees | 63,523 | 22,091 | 12,507 | 76,631 | ||||||||||||
Trustee fees | 65,111 | 12,034 | 1,893 | 58,903 | ||||||||||||
Distribution fees – Advisor Shares (Note 3) | 22,727 | 5,930 | 1,194 | 419,726 | ||||||||||||
Custody fees | 48,908 | 9,700 | 1,758 | 62,243 | ||||||||||||
Registration fees | 81,458 | 33,456 | 19,868 | 85,296 | ||||||||||||
Insurance fees | 17,016 | 3,167 | 528 | 14,784 | ||||||||||||
Total Expenses | 11,187,944 | 1,823,167 | 367,600 | 14,302,077 | ||||||||||||
Expenses waived by adviser – expense cap (Note 3) | — | — | (5,052 | ) | — | |||||||||||
Net Expenses | 11,187,944 | 1,823,167 | 362,548 | 14,302,077 | ||||||||||||
NET INVESTMENT INCOME (LOSS) | (2,580,785 | ) | 416,917 | 592,851 | (2,858,462 | ) | ||||||||||
NET REALIZED AND UNREALIZED GAIN (LOSS) | ||||||||||||||||
Net realized gain (loss) on investments | 249,971,467 | 18,874,326 | 2,020,305 | 26,271,529 | ||||||||||||
Net change in unrealized appreciation (depreciation) on investments | 306,850,173 | 92,969,042 | 9,542,307 | 743,861,599 | ||||||||||||
NET REALIZED AND UNREALIZED GAIN (LOSS) | 556,821,640 | 111,843,368 | 11,562,612 | 770,133,128 | ||||||||||||
INCREASE (DECREASE) IN NET ASSETS FROM OPERATIONS | $ | 554,240,855 | $ | 112,260,285 | $ | 12,155,463 | $ | 767,274,666 |
The accompanying notes are an integral part of these financial statements.
83
Statements of Operations
For the Six Months Ended December 31, 2020 (Unaudited)
BROWN | BROWN | BROWN | BROWN | |||||||||||||
ADVISORY | ADVISORY | ADVISORY | ADVISORY | |||||||||||||
MID-CAP | SMALL-CAP | SMALL-CAP | GLOBAL | |||||||||||||
GROWTH | GROWTH | FUNDAMENTAL | LEADERS | |||||||||||||
FUND | FUND | VALUE FUND | FUND | |||||||||||||
INVESTMENT INCOME | ||||||||||||||||
Dividend income | $ | 263,320 | $ | 3,497,393 | $ | 6,438,790 | $ | 2,570,067 | ||||||||
Less: foreign taxes withheld | (4,573 | ) | (28,621 | ) | — | (140,134 | ) | |||||||||
Interest Income | 924 | 26,292 | 6,785 | 2,629 | ||||||||||||
Total investment income | 259,671 | 3,495,064 | 6,445,575 | 2,432,562 | ||||||||||||
EXPENSES | ||||||||||||||||
Investment advisory fees | 483,806 | 8,044,849 | 3,605,489 | 2,624,492 | ||||||||||||
Service fees – Investor Shares (Note 3) | 23,065 | 442,418 | 352,583 | 55,929 | ||||||||||||
Service fees – Advisor Shares (Note 3) | — | 10,102 | 3,433 | — | ||||||||||||
Business management fees | 37,216 | 473,226 | 212,088 | 201,884 | ||||||||||||
Administration, accounting and transfer agent fees | 22,382 | 268,455 | 105,578 | 116,607 | ||||||||||||
Miscellaneous expenses | 11,688 | 100,816 | 20,894 | 22,830 | ||||||||||||
Professional fees | 12,892 | 41,021 | 28,967 | 27,833 | ||||||||||||
Trustee fees | 2,587 | 39,631 | 21,208 | 13,794 | ||||||||||||
Distribution fees – Advisor Shares (Note 3) | — | 16,837 | 5,722 | — | ||||||||||||
Custody fees | 3,833 | 31,101 | 20,065 | 77,379 | ||||||||||||
Registration fees | 20,789 | 44,442 | 24,336 | 24,634 | ||||||||||||
Insurance fees | 588 | 9,396 | 5,465 | 3,170 | ||||||||||||
Total Expenses | 618,846 | 9,522,294 | 4,405,828 | 3,168,552 | ||||||||||||
Expenses waived by adviser – expense cap (Note 3) | (53,751 | ) | — | — | (84,839 | ) | ||||||||||
Net Expenses | 565,095 | 9,522,294 | 4,405,828 | 3,083,713 | ||||||||||||
NET INVESTMENT INCOME (LOSS) | (305,424 | ) | (6,027,230 | ) | 2,039,747 | (651,151 | ) | |||||||||
NET REALIZED AND UNREALIZED GAIN (LOSS) | ||||||||||||||||
Net realized gain (loss) on: | ||||||||||||||||
Investments | 6,637,518 | 83,889,587 | 49,011,685 | 2,145,677 | ||||||||||||
Less: foreign capital gains taxes paid | — | — | — | (93,426 | ) | |||||||||||
Net realized gain (loss) | 6,637,518 | 83,889,587 | 49,011,685 | 2,052,251 | ||||||||||||
Net change in unrealized appreciation (depreciation) on investments | 35,087,467 | 451,328,893 | 142,865,867 | 176,165,977 | ||||||||||||
NET REALIZED AND UNREALIZED GAIN (LOSS) | 41,724,985 | 535,218,480 | 191,877,552 | 178,218,228 | ||||||||||||
INCREASE (DECREASE) IN NET ASSETS FROM OPERATIONS | $ | 41,419,561 | $ | 529,191,250 | $ | 193,917,299 | $ | 177,567,077 |
The accompanying notes are an integral part of these financial statements.
84
For the Six Months Ended December 31, 2020 (Unaudited)
BROWN | BROWN | BROWN | BROWN | |||||||||||||
ADVISORY | ADVISORY | ADVISORY | ADVISORY | |||||||||||||
INTERMEDIATE | TOTAL | SUSTAINABLE | MARYLAND | |||||||||||||
INCOME | RETURN | BOND | BOND | |||||||||||||
FUND | FUND | FUND | FUND | |||||||||||||
INVESTMENT INCOME | ||||||||||||||||
Dividend income – unaffiliated | $ | — | $ | 51,133 | $ | — | $ | — | ||||||||
Dividend income – affiliated (Note 3) | 79,069 | — | — | — | ||||||||||||
Interest Income | 1,288,890 | 3,927,674 | 1,971,493 | 2,192,687 | ||||||||||||
Total investment income | 1,367,959 | 3,978,807 | 1,971,493 | 2,192,687 | ||||||||||||
EXPENSES | ||||||||||||||||
Investment advisory fees | 253,847 | 649,086 | 264,129 | 266,127 | ||||||||||||
Service fees – Investor Shares (Note 3) | 41,379 | 1,446 | 731 | 44,354 | ||||||||||||
Service fees – Advisor Shares (Note 3) | 929 | — | — | — | ||||||||||||
Business management fees | 42,308 | 108,181 | 44,022 | 44,354 | ||||||||||||
Administration, accounting and transfer agent fees | 37,044 | 86,481 | 39,716 | 35,390 | ||||||||||||
Miscellaneous expenses | 11,685 | 12,752 | 9,880 | 9,427 | ||||||||||||
Professional fees | 14,200 | 22,859 | 13,695 | 14,547 | ||||||||||||
Trustee fees | 3,141 | 8,502 | 2,971 | 3,544 | ||||||||||||
Distribution fees – Advisor Shares (Note 3) | 4,647 | — | — | — | ||||||||||||
Custodian fees | 6,258 | 11,111 | 4,991 | 2,661 | ||||||||||||
Registration fees | 23,250 | 23,491 | 19,740 | 3,523 | ||||||||||||
Insurance fees | 923 | 2,124 | 926 | 1,127 | ||||||||||||
Total Expenses | 439,611 | 926,033 | 400,801 | 425,054 | ||||||||||||
Expenses waived by adviser – investments in affiliates (Note 3) | (29,992 | ) | — | — | — | |||||||||||
Net Expenses | 409,619 | 926,033 | 400,801 | 425,054 | ||||||||||||
NET INVESTMENT INCOME (LOSS) | 958,340 | 3,052,774 | 1,570,692 | 1,767,633 | ||||||||||||
NET REALIZED AND UNREALIZED GAIN (LOSS) | ||||||||||||||||
Net realized gain (loss) on: | ||||||||||||||||
Investments – unaffiliated | 1,161,958 | 1,644,293 | 2,262,483 | 173,669 | ||||||||||||
Investments – affiliated (Note 3) | 285 | — | — | — | ||||||||||||
Futures contracts (Note 6) | — | (344,368 | ) | (23,402 | ) | — | ||||||||||
Net realized gain (loss) | 1,162,243 | 1,299,925 | 2,239,081 | 173,669 | ||||||||||||
Net change in unrealized appreciation (depreciation) on: | ||||||||||||||||
Investments – unaffiliated | 498,609 | 12,314,488 | 1,226,896 | 3,299,151 | ||||||||||||
Investments – affiliated (Note 3) | 171,246 | — | — | — | ||||||||||||
Futures contracts (Note 6) | — | (380,746 | ) | 12,118 | — | |||||||||||
Securities sold short | — | (9,765 | ) | — | — | |||||||||||
Net change in unrealized appreciation (depreciation) | 669,855 | 11,923,977 | 1,239,014 | 3,299,151 | ||||||||||||
NET REALIZED AND UNREALIZED GAIN (LOSS) | 1,832,098 | 13,223,902 | 3,478,095 | 3,472,820 | ||||||||||||
INCREASE (DECREASE) IN NET ASSETS FROM OPERATIONS | $ | 2,790,438 | $ | 16,276,676 | $ | 5,048,787 | $ | 5,240,453 |
The accompanying notes are an integral part of these financial statements.
85
For the Six Months Ended December 31, 2020 (Unaudited)
BROWN | ||||||||||||||||
BROWN | ADVISORY – | |||||||||||||||
BROWN | ADVISORY | BROWN | WMC | |||||||||||||
ADVISORY | TAX-EXEMPT | ADVISORY | STRATEGIC | |||||||||||||
TAX-EXEMPT | SUSTAINABLE | MORTGAGEEUROPEAN | ||||||||||||||
BOND | BOND | SECURITIES | EQUITY | |||||||||||||
FUND | FUND | FUND | FUND | |||||||||||||
INVESTMENT INCOME | ||||||||||||||||
Dividend income | $ | — | $ | — | $ | 53,047 | $ | 2,712,331 | ||||||||
Less: foreign taxes withheld | — | — | — | (195,490 | ) | |||||||||||
Interest Income | 14,025,328 | 1,631,844 | 211,476 | 8,578 | ||||||||||||
Total investment income | 14,025,328 | 1,631,844 | 264,523 | 2,525,419 | ||||||||||||
EXPENSES | ||||||||||||||||
Investment advisory fees | 1,722,508 | 275,585 | 412,298 | 1,499,969 | ||||||||||||
Service fees – Investor Shares (Note 3) | 2,414 | 45,931 | 4,475 | 20,390 | ||||||||||||
Service fees – Advisor Shares (Note 3) | — | — | — | 2,808 | ||||||||||||
Business management fees | 287,085 | 45,931 | 68,716 | 83,332 | ||||||||||||
Administration, accounting and transfer agent fees | 184,430 | 37,940 | 75,592 | 50,122 | ||||||||||||
Miscellaneous expenses | 27,370 | 9,764 | 11,379 | 13,194 | ||||||||||||
Professional fees | 34,798 | 13,572 | 17,602 | 18,325 | ||||||||||||
Trustee fees | 21,962 | 2,852 | 5,185 | 8,094 | ||||||||||||
Distribution fees – Advisor Shares (Note 3) | — | — | — | 4,681 | ||||||||||||
Custodian fees | 17,225 | 3,196 | 9,643 | 86,366 | ||||||||||||
Registration fees | 40,207 | 14,894 | 17,085 | 18,917 | ||||||||||||
Insurance fees | 6,638 | 530 | 1,667 | 2,361 | ||||||||||||
Total expenses | 2,344,637 | 450,195 | 623,642 | 1,808,559 | ||||||||||||
NET INVESTMENT INCOME (LOSS) | 11,680,691 | 1,181,649 | (359,119 | ) | 716,860 | |||||||||||
NET REALIZED AND UNREALIZED GAIN (LOSS) | ||||||||||||||||
Net realized gain (loss) on: | ||||||||||||||||
Investments | 4,881,950 | (7,161 | ) | 1,097,805 | 22,136,074 | |||||||||||
Futures contracts (Note 6) | — | — | 116,920 | — | ||||||||||||
Net realized gain (loss) | 4,881,950 | (7,161 | ) | 1,214,725 | 22,136,074 | |||||||||||
Net change in unrealized appreciation (depreciation) on: | ||||||||||||||||
Investments | 30,235,245 | 3,673,244 | 2,464,149 | 36,732,203 | ||||||||||||
Securities sold short | — | — | (9,765 | ) | — | |||||||||||
Futures contracts (Note 6) | — | — | 12,141 | — | ||||||||||||
Net change in unrealized appreciation (depreciation) | 30,235,245 | 3,673,244 | 2,466,525 | 36,732,203 | ||||||||||||
NET REALIZED AND UNREALIZED GAIN (LOSS) | 35,117,195 | 3,666,083 | 3,681,250 | 58,868,277 | ||||||||||||
INCREASE (DECREASE) IN NET ASSETS FROM OPERATIONS | $ | 46,797,886 | $ | 4,847,732 | $ | 3,322,131 | $ | 59,585,137 |
The accompanying notes are an integral part of these financial statements.
86
For the Six Months Ended December 31, 2020 (Unaudited)
BROWN | BROWN | |||||||
ADVISORY | ADVISORY – | |||||||
EMERGING | BEUTEL | |||||||
MARKETS | GOODMAN | |||||||
SELECT | LARGE-CAP | |||||||
FUND | VALUE FUND | |||||||
INVESTMENT INCOME | ||||||||
Dividend income | $ | 3,902,006 | $ | 6,001,167 | ||||
Less: foreign taxes withheld | (578,730 | ) | — | |||||
Interest Income | 2,004 | 4,708 | ||||||
Total investment income | 3,325,280 | 6,005,875 | ||||||
EXPENSES | ||||||||
Investment advisory fees | 1,437,900 | 1,307,337 | ||||||
Service fees – Investor Shares (Note 3) | 3,217 | — | ||||||
Service fees – Advisor Shares (Note 3) | 30 | — | ||||||
Business management fees | 79,883 | 145,260 | ||||||
Administration, accounting and transfer agent fees | 47,676 | 84,305 | ||||||
Miscellaneous expenses | 30,605 | 14,534 | ||||||
Professional fees | 18,118 | 22,038 | ||||||
Trustee fees | 6,406 | 11,017 | ||||||
Distribution fees – Advisor Shares (Note 3) | 49 | — | ||||||
Custodian fees | 159,654 | 12,456 | ||||||
Registration fees | 24,871 | 14,462 | ||||||
Insurance fees | 1,826 | 2,519 | ||||||
Total Expenses | 1,810,235 | 1,613,928 | ||||||
NET INVESTMENT INCOME (LOSS) | 1,515,045 | 4,391,947 | ||||||
NET REALIZED AND UNREALIZED GAIN (LOSS) | ||||||||
Net realized gain (loss) on investments | 3,999,812 | 27,998,034 | ||||||
Net change in unrealized appreciation (depreciation) on investments | 86,670,771 | 77,117,907 | ||||||
NET REALIZED AND UNREALIZED GAIN (LOSS) | 90,670,583 | 105,115,941 | ||||||
INCREASE (DECREASE) IN NET ASSETS FROM OPERATIONS | $ | 92,185,628 | $ | 109,507,888 |
The accompanying notes are an integral part of these financial statements.
87
BROWN ADVISORY | BROWN ADVISORY | |||||||||||||||
GROWTH EQUITY FUND | FLEXIBLE EQUITY FUND | |||||||||||||||
For the Six | For the Six | |||||||||||||||
Months Ended | Fiscal | Months Ended | Fiscal | |||||||||||||
December 31, | Year Ended | December 31, | Year Ended | |||||||||||||
2020 | June 30, | 2020 | June 30, | |||||||||||||
(Unaudited) | 2020 | (Unaudited) | 2020 | |||||||||||||
OPERATIONS | ||||||||||||||||
Net investment income (loss) | $ | (2,580,785 | ) | $ | (5,376,873 | ) | $ | 416,917 | $ | 1,763,590 | ||||||
Net realized gain (loss) | 249,971,467 | 209,265,648 | 18,874,326 | 11,364,792 | ||||||||||||
Net change in unrealized appreciation (depreciation) | 306,850,173 | 336,064,454 | 92,969,042 | 38,237,879 | ||||||||||||
Increase (Decrease) in Net Assets from Operations | 554,240,855 | 539,953,229 | 112,260,285 | 51,366,261 | ||||||||||||
DISTRIBUTIONS FROM EARNINGS | ||||||||||||||||
Institutional Shares | (96,152,506 | ) | (78,470,295 | ) | (5,183,375 | ) | (6,703,163 | ) | ||||||||
Investor Shares | (53,804,293 | ) | (41,945,136 | ) | (13,042,479 | ) | (16,756,039 | ) | ||||||||
Advisor Shares | (1,430,507 | ) | (435,105 | ) | (144,982 | ) | (222,591 | ) | ||||||||
Total Distributions from earnings | (151,387,306 | ) | (120,850,536 | ) | (18,370,836 | ) | (23,681,793 | ) | ||||||||
CAPITAL SHARE TRANSACTIONS | ||||||||||||||||
Sale of shares: | ||||||||||||||||
Institutional Shares | 209,600,567 | 400,871,155 | 13,125,125 | 15,519,730 | ||||||||||||
Investor Shares | 53,328,445 | 203,436,442 | 8,624,582 | 36,125,316 | ||||||||||||
Advisor Shares | 16,639,784 | 8,657,340 | 208,700 | 529,537 | ||||||||||||
Reinvestment of distributions: | ||||||||||||||||
Institutional Shares | 86,814,285 | 71,765,266 | 3,670,013 | 4,713,060 | ||||||||||||
Investor Shares | 46,667,508 | 38,531,279 | 8,053,785 | 8,421,752 | ||||||||||||
Advisor Shares | 1,176,723 | 384,904 | 129,212 | 194,869 | ||||||||||||
Redemption of shares: | ||||||||||||||||
Institutional Shares | (330,494,407 | ) | (419,582,417 | ) | (12,504,023 | ) | (28,046,512 | ) | ||||||||
Investor Shares | (99,284,520 | ) | (231,327,940 | ) | (26,807,383 | ) | (46,101,607 | ) | ||||||||
Advisor Shares | (4,648,878 | ) | (3,671,135 | ) | (646,280 | ) | (1,127,841 | ) | ||||||||
Redemption fees: | ||||||||||||||||
Institutional Shares | 5,519 | 16,456 | 25 | 119 | ||||||||||||
Investor Shares | 3,012 | 8,733 | 64 | 312 | ||||||||||||
Advisor Shares | 51 | 107 | 1 | 4 | ||||||||||||
Increase (Decrease) from Capital Share Transactions | (20,191,911 | ) | 69,090,190 | (6,146,179 | ) | (9,771,261 | ) | |||||||||
Increase (Decrease) in Net Assets | 382,661,638 | 488,192,883 | 87,743,270 | 17,913,207 | ||||||||||||
NET ASSETS | ||||||||||||||||
Beginning of period | 2,846,896,648 | 2,358,703,765 | 501,671,844 | 483,758,637 | ||||||||||||
End of period | $ | 3,229,558,286 | $ | 2,846,896,648 | $ | 589,415,114 | $ | 501,671,844 | ||||||||
SHARE TRANSACTIONS | ||||||||||||||||
Sale of shares: | ||||||||||||||||
Institutional Shares | 6,442,459 | 15,650,481 | 481,104 | 685,993 | ||||||||||||
Investor Shares | 1,692,299 | 8,240,080 | 314,979 | 1,589,985 | ||||||||||||
Advisor Shares | 550,756 | 360,197 | 7,936 | 22,425 | ||||||||||||
Reinvestment of distributions: | ||||||||||||||||
Institutional Shares | 2,679,453 | 2,761,264 | 128,920 | 189,312 | ||||||||||||
Investor Shares | 1,462,931 | 1,502,780 | 283,689 | 339,273 | ||||||||||||
Advisor Shares | 39,540 | 15,991 | 4,558 | 7,852 | ||||||||||||
Redemption of shares: | ||||||||||||||||
Institutional Shares | (10,243,049 | ) | (16,182,952 | ) | (457,431 | ) | (1,248,345 | ) | ||||||||
Investor Shares | (3,140,436 | ) | (9,207,220 | ) | (1,002,162 | ) | (2,039,015 | ) | ||||||||
Advisor Shares | (157,493 | ) | (155,510 | ) | (24,143 | ) | (52,209 | ) | ||||||||
Increase (Decrease) in shares outstanding | (673,540 | ) | 2,985,111 | (262,550 | ) | (504,729 | ) |
The accompanying notes are an integral part of these financial statements.
88
Statements of Changes in Net Assets
BROWN ADVISORY | BROWN ADVISORY | |||||||||||||||
EQUITY INCOME FUND | SUSTAINABLE GROWTH FUND | |||||||||||||||
For the Six | For the Six | |||||||||||||||
Months Ended | Fiscal | Months Ended | Fiscal | |||||||||||||
December 31, | Year Ended | December 31, | Year Ended | |||||||||||||
2020 | June 30, | 2020 | June 30, | |||||||||||||
(Unaudited) | 2020 | (Unaudited) | 2020 | |||||||||||||
OPERATIONS | ||||||||||||||||
Net investment income (loss) | $ | 592,851 | $ | 1,344,548 | $ | (2,858,462 | ) | $ | (1,052,977 | ) | ||||||
Net realized gain (loss) | 2,020,305 | 4,124,769 | 26,271,529 | (33,269,143 | ) | |||||||||||
Net change in unrealized appreciation (depreciation) | 9,542,307 | (6,022,094 | ) | 743,861,599 | 505,822,522 | |||||||||||
Increase (Decrease) in Net Assets from Operations | 12,155,463 | (552,777 | ) | 767,274,666 | 471,500,402 | |||||||||||
DISTRIBUTIONS FROM EARNINGS | ||||||||||||||||
Institutional Shares | (1,318,208 | ) | (2,414,169 | ) | — | (7,161,993 | ) | |||||||||
Investor Shares | (3,437,907 | ) | (5,617,757 | ) | — | (4,864,731 | ) | |||||||||
Advisor Shares | (55,536 | ) | (86,596 | ) | — | (2,000,138 | ) | |||||||||
Total Distributions from earnings | (4,811,651 | ) | (8,118,522 | ) | — | (14,026,862 | ) | |||||||||
CAPITAL SHARE TRANSACTIONS | ||||||||||||||||
Sale of shares: | ||||||||||||||||
Institutional Shares | 280,600 | 1,634,954 | 861,690,838 | 793,321,819 | ||||||||||||
Investor Shares | 360,313 | 4,418,792 | 472,433,473 | 815,575,575 | ||||||||||||
Advisor Shares | 52,709 | 117,418 | 73,380,756 | 51,251,840 | ||||||||||||
Reinvestment of distributions: | ||||||||||||||||
Institutional Shares | 1,103,493 | 1,966,393 | — | 4,922,448 | ||||||||||||
Investor Shares | 2,062,404 | 2,374,278 | — | 4,633,379 | ||||||||||||
Advisor Shares | 51,637 | 77,983 | — | 1,807,570 | ||||||||||||
Redemption of shares: | ||||||||||||||||
Institutional Shares | (2,631,128 | ) | (5,336,182 | ) | (246,151,878 | ) | (195,572,031 | ) | ||||||||
Investor Shares | (3,450,447 | ) | (7,985,179 | ) | (195,574,881 | ) | (244,928,528 | ) | ||||||||
Advisor Shares | (67,261 | ) | (232,876 | ) | (24,687,532 | ) | (68,597,926 | ) | ||||||||
Redemption fees: | ||||||||||||||||
Institutional Shares | 1 | — | 19,111 | 41,514 | ||||||||||||
Investor Shares | 3 | — | 12,840 | 27,442 | ||||||||||||
Advisor Shares | — | — | 3,109 | 9,470 | ||||||||||||
Increase (Decrease) from Capital Share Transactions | (2,237,676 | ) | (2,964,419 | ) | 941,125,836 | 1,162,492,572 | ||||||||||
Increase (Decrease) in Net Assets | 5,106,136 | (11,635,718 | ) | 1,708,400,502 | 1,619,966,112 | |||||||||||
NET ASSETS | ||||||||||||||||
Beginning of period | 78,140,006 | 89,775,724 | 2,995,554,186 | 1,375,588,074 | ||||||||||||
End of period | $ | 83,246,142 | $ | 78,140,006 | $ | 4,703,954,688 | $ | 2,995,554,186 | ||||||||
SHARE TRANSACTIONS | ||||||||||||||||
Sale of shares: | ||||||||||||||||
Institutional Shares | 19,433 | 118,475 | 24,048,795 | 28,646,694 | ||||||||||||
Investor Shares | 25,993 | 319,670 | 13,528,003 | 29,732,433 | ||||||||||||
Advisor Shares | 3,792 | 8,186 | 2,104,604 | 1,911,307 | ||||||||||||
Reinvestment of distributions: | ||||||||||||||||
Institutional Shares | 79,083 | 141,578 | — | 176,558 | ||||||||||||
Investor Shares | 147,769 | 169,098 | — | 168,303 | ||||||||||||
Advisor Shares | 3,705 | 5,612 | — | 66,972 | ||||||||||||
Redemption of shares: | ||||||||||||||||
Institutional Shares | (189,138 | ) | (430,780 | ) | (6,909,048 | ) | (7,111,324 | ) | ||||||||
Investor Shares | (251,425 | ) | (633,456 | ) | (5,619,810 | ) | (9,126,936 | ) | ||||||||
Advisor Shares | (4,837 | ) | (17,381 | ) | (718,004 | ) | (2,528,241 | ) | ||||||||
Increase (Decrease) in shares outstanding | (165,625 | ) | (318,998 | ) | 26,434,540 | 41,935,766 |
The accompanying notes are an integral part of these financial statements.
89
BROWN ADVISORY | BROWN ADVISORY | |||||||||||||||
MID-CAP GROWTH FUND | SMALL-CAP GROWTH FUND | |||||||||||||||
For the Six | For the Six | |||||||||||||||
Months Ended | Fiscal | Months Ended | Fiscal | |||||||||||||
December 31, | Year Ended | December 31, | Year Ended | |||||||||||||
2020 | June 30, | 2020 | June 30, | |||||||||||||
(Unaudited) | 2020 | (Unaudited) | 2020 | |||||||||||||
OPERATIONS | ||||||||||||||||
Net investment income (loss) | $ | (305,424 | ) | $ | (91,538 | ) | $ | (6,027,230 | ) | $ | (7,492,479 | ) | ||||
Net realized gain (loss) | 6,637,518 | (4,741,929 | ) | 83,889,587 | (20,160,153 | ) | ||||||||||
Net change in unrealized appreciation (depreciation) | 35,087,467 | 12,639,597 | 451,328,893 | 72,885,748 | ||||||||||||
Increase (Decrease) in Net Assets from Operations | 41,419,561 | 7,806,130 | 529,191,250 | 45,233,116 | ||||||||||||
DISTRIBUTIONS FROM EARNINGS | ||||||||||||||||
Institutional Shares | — | (147,231 | ) | (11,896,785 | ) | (18,379,205 | ) | |||||||||
Investor Shares | — | (3,180 | ) | (5,863,246 | ) | (9,927,383 | ) | |||||||||
Advisor Shares | — | — | (116,750 | ) | (295,436 | ) | ||||||||||
Total Distributions from earnings | — | (150,411 | ) | (17,876,781 | ) | (28,602,024 | ) | |||||||||
CAPITAL SHARE TRANSACTIONS | ||||||||||||||||
Sale of shares: | ||||||||||||||||
Institutional Shares | 20,748,730 | 59,227,073 | 285,470,630 | 374,470,987 | ||||||||||||
Investor Shares | 914,503 | 31,906,535 | 125,135,891 | 112,714,527 | ||||||||||||
Advisor Shares | — | — | 1,115,668 | 3,190,952 | ||||||||||||
Reinvestment of distributions: | ||||||||||||||||
Institutional Shares | — | 105,612 | 10,885,112 | 17,184,357 | ||||||||||||
Investor Shares | — | 3,180 | 4,488,157 | 6,524,308 | ||||||||||||
Advisor Shares | — | — | 94,232 | 235,996 | ||||||||||||
Redemption of shares: | ||||||||||||||||
Institutional Shares | (10,213,496 | ) | (10,777,556 | ) | (134,369,634 | ) | (202,151,171 | ) | ||||||||
Investor Shares | (7,689,914 | ) | (4,613,788 | ) | (38,887,889 | ) | (107,708,327 | ) | ||||||||
Advisor Shares | — | — | (2,174,018 | ) | (5,389,945 | ) | ||||||||||
Redemption fees: | ||||||||||||||||
Institutional Shares | — | — | 247 | 1,729 | ||||||||||||
Investor Shares | — | — | 110 | 869 | ||||||||||||
Advisor Shares | — | — | 2 | 23 | ||||||||||||
Increase (Decrease) from Capital Share Transactions | 3,759,823 | 75,851,056 | 251,758,508 | 199,074,305 | ||||||||||||
Increase (Decrease) in Net Assets | 45,179,384 | 83,506,775 | 763,072,977 | 215,705,397 | ||||||||||||
NET ASSETS | ||||||||||||||||
Beginning of period | 128,843,510 | 45,336,735 | 1,562,313,528 | 1,346,608,131 | ||||||||||||
End of period | $ | 174,022,894 | $ | 128,843,510 | $ | 2,325,386,505 | $ | 1,562,313,528 | ||||||||
SHARE TRANSACTIONS | ||||||||||||||||
Sale of shares: | ||||||||||||||||
Institutional Shares | 1,278,490 | 4,918,916 | 5,800,620 | 9,043,798 | ||||||||||||
Investor Shares | 56,697 | 2,204,386 | 4,676,462 | 5,730,004 | ||||||||||||
Advisor Shares | — | — | 47,807 | 156,259 | ||||||||||||
Reinvestment of distributions: | ||||||||||||||||
Institutional Shares | — | 7,754 | 192,793 | 392,516 | ||||||||||||
Investor Shares | — | 234 | 159,267 | 298,050 | ||||||||||||
Advisor Shares | — | — | 3,511 | 11,297 | ||||||||||||
Redemption of shares: | ||||||||||||||||
Institutional Shares | (646,773 | ) | (910,792 | ) | (2,677,151 | ) | (4,943,275 | ) | ||||||||
Investor Shares | (463,374 | ) | (366,462 | ) | (1,561,813 | ) | (5,234,383 | ) | ||||||||
Advisor Shares | — | — | (90,390 | ) | (276,297 | ) | ||||||||||
Increase (Decrease) in shares outstanding | 225,040 | 5,854,036 | 6,551,106 | 5,177,969 |
The accompanying notes are an integral part of these financial statements.
90
BROWN ADVISORY SMALL-CAP | BROWN ADVISORY | |||||||||||||||
FUNDAMENTAL VALUE FUND | GLOBAL LEADERS FUND | |||||||||||||||
For the Six | For the Six | |||||||||||||||
Months Ended | Fiscal | Months Ended | Fiscal | |||||||||||||
December 31, | Year Ended | December 31, | Year Ended | |||||||||||||
2020 | June 30, | 2020 | June 30, | |||||||||||||
(Unaudited) | 2020 | (Unaudited) | 2020 | |||||||||||||
OPERATIONS | ||||||||||||||||
Net investment income (loss) | $ | 2,039,747 | $ | 7,579,285 | $ | (651,151 | ) | $ | 1,697,619 | |||||||
Net realized gain (loss) | 49,011,685 | (130,124,556 | ) | 2,052,251 | (20,527,544 | ) | ||||||||||
Net change in unrealized appreciation (depreciation) | 142,865,867 | (56,534,126 | ) | 176,165,977 | 78,134,617 | |||||||||||
Increase (Decrease) in Net Assets from Operations | 193,917,299 | (179,079,397 | ) | 177,567,077 | 59,304,692 | |||||||||||
DISTRIBUTIONS FROM EARNINGS | ||||||||||||||||
Institutional Shares | (2,636,683 | ) | (17,665,988 | ) | (1,219,498 | ) | (1,110,880 | ) | ||||||||
Investor Shares | (2,476,129 | ) | (29,652,680 | ) | (81,118 | ) | (61,528 | ) | ||||||||
Advisor Shares | (8,816 | ) | (388,948 | ) | — | — | ||||||||||
Total Distributions from earnings | (5,121,628 | ) | (47,707,616 | ) | (1,300,616 | ) | (1,172,408 | ) | ||||||||
CAPITAL SHARE TRANSACTIONS | ||||||||||||||||
Sale of shares: | ||||||||||||||||
Institutional Shares | 64,753,550 | 175,871,287 | 149,866,926 | 385,866,483 | ||||||||||||
Investor Shares | 46,769,303 | 208,267,812 | 2,885,333 | 50,300,050 | ||||||||||||
Advisor Shares | 126,401 | 378,763 | — | — | ||||||||||||
Reinvestment of distributions: | ||||||||||||||||
Institutional Shares | 1,304,113 | 12,695,459 | 303,143 | 257,184 | ||||||||||||
Investor Shares | 641,899 | 18,062,610 | 70,480 | 46,787 | ||||||||||||
Advisor Shares | 7,960 | 368,764 | — | — | ||||||||||||
Redemption of shares: | ||||||||||||||||
Institutional Shares | (52,069,807 | ) | (223,014,986 | ) | (22,410,381 | ) | (43,163,681 | ) | ||||||||
Investor Shares | (62,343,443 | ) | (222,672,600 | ) | (2,797,369 | ) | (11,848,832 | ) | ||||||||
Advisor Shares | (938,353 | ) | (2,823,549 | ) | — | — | ||||||||||
Redemption fees: | ||||||||||||||||
Institutional Shares | 3,816 | 236 | 1,443 | 112 | ||||||||||||
Investor Shares | 4,714 | 365 | 141 | 12 | ||||||||||||
Advisor Shares | 45 | 5 | — | — | ||||||||||||
Increase (Decrease) from Capital Share Transactions | (1,739,802 | ) | (32,865,834 | ) | 127,919,716 | 381,458,115 | ||||||||||
Increase (Decrease) in Net Assets | 187,055,869 | (259,652,847 | ) | 304,186,177 | 439,590,399 | |||||||||||
NET ASSETS | ||||||||||||||||
Beginning of period | 773,797,131 | 1,033,449,978 | 672,796,353 | 233,205,954 | ||||||||||||
End of period | $ | 960,853,000 | $ | 773,797,131 | $ | 976,982,530 | $ | 672,796,353 | ||||||||
SHARE TRANSACTIONS | ||||||||||||||||
Sale of shares: | ||||||||||||||||
Institutional Shares | 3,044,230 | 9,485,098 | 8,079,919 | 25,846,034 | ||||||||||||
Investor Shares | 2,225,679 | 10,851,428 | 154,864 | 3,607,720 | ||||||||||||
Advisor Shares | 6,027 | 16,534 | — | — | ||||||||||||
Reinvestment of distributions: | ||||||||||||||||
Institutional Shares | 54,887 | 499,923 | 15,226 | 15,218 | ||||||||||||
Investor Shares | 27,039 | 712,736 | 3,545 | 2,770 | ||||||||||||
Advisor Shares | 337 | 14,634 | — | — | ||||||||||||
Redemption of shares: | ||||||||||||||||
Institutional Shares | (2,491,127 | ) | (10,565,739 | ) | (1,223,523 | ) | (2,933,381 | ) | ||||||||
Investor Shares | (2,988,772 | ) | (12,378,205 | ) | (156,160 | ) | (770,558 | ) | ||||||||
Advisor Shares | (43,790 | ) | (137,221 | ) | — | — | ||||||||||
Increase (Decrease) in shares outstanding | (165,490 | ) | (1,500,812 | ) | 6,873,871 | 25,767,803 |
The accompanying notes are an integral part of these financial statements.
91
BROWN ADVISORY | BROWN ADVISORY | |||||||||||||||
INTERMEDIATE INCOME FUND | TOTAL RETURN FUND | |||||||||||||||
For the Six | For the Six | |||||||||||||||
Months Ended | Fiscal | Months Ended | Fiscal | |||||||||||||
December 31, | Year Ended | December 31, | Year Ended | |||||||||||||
2020 | June 30, | 2020 | June 30, | |||||||||||||
(Unaudited) | 2020 | (Unaudited) | 2020 | |||||||||||||
OPERATIONS | ||||||||||||||||
Net investment income (loss) | $ | 958,340 | $ | 3,185,538 | $ | 3,052,774 | $ | 8,593,332 | ||||||||
Net realized gain (loss) | 1,162,243 | 1,740,365 | 1,299,925 | 15,660,030 | ||||||||||||
Net change in unrealized appreciation (depreciation) | 669,855 | 2,603,423 | 11,923,977 | 2,256,513 | ||||||||||||
Increase (Decrease) in Net Assets from Operations | 2,790,438 | 7,529,326 | 16,276,676 | 26,509,875 | ||||||||||||
DISTRIBUTIONS FROM EARNINGS | ||||||||||||||||
Institutional Shares | — | — | (11,324,798 | ) | (15,553,156 | ) | ||||||||||
Investor Shares | (1,122,269 | ) | (3,179,760 | ) | (156,763 | ) | (182,090 | ) | ||||||||
Advisor Shares | (20,630 | ) | (74,932 | ) | — | — | ||||||||||
Total Distributions from earnings | (1,142,899 | ) | (3,254,692 | ) | (11,481,561 | ) | (15,735,246 | ) | ||||||||
CAPITAL SHARE TRANSACTIONS | ||||||||||||||||
Sale of shares: | ||||||||||||||||
Institutional Shares | — | — | 102,224,849 | 222,481,486 | ||||||||||||
Investor Shares | 51,693,530 | 47,528,552 | 2,121,894 | 1,981,023 | ||||||||||||
Advisor Shares | 43,862 | 79,040 | — | — | ||||||||||||
Reinvestment of distributions: | ||||||||||||||||
Institutional Shares | — | — | 7,035,794 | 8,508,031 | ||||||||||||
Investor Shares | 448,417 | 1,015,867 | 142,149 | 140,974 | ||||||||||||
Advisor Shares | 18,917 | 68,639 | — | — | ||||||||||||
Redemption of shares: | ||||||||||||||||
Institutional Shares | — | — | (48,453,911 | ) | (99,570,279 | ) | ||||||||||
Investor Shares | (18,053,380 | ) | (39,581,033 | ) | (1,254,389 | ) | (2,682,606 | ) | ||||||||
Advisor Shares | (19,256 | ) | (251,405 | ) | — | — | ||||||||||
Redemption fees: | ||||||||||||||||
Institutional Shares | — | — | 740 | 128 | ||||||||||||
Investor Shares | — | — | 9 | 3 | ||||||||||||
Advisor Shares | — | — | — | — | ||||||||||||
Increase (Decrease) from Capital Share Transactions | 34,132,090 | 8,859,660 | 61,817,135 | 130,858,760 | ||||||||||||
Increase (Decrease) in Net Assets | 35,779,629 | 13,134,294 | 66,612,250 | 141,633,389 | ||||||||||||
NET ASSETS | ||||||||||||||||
Beginning of period | 151,924,122 | 138,789,828 | 392,622,771 | 250,989,382 | ||||||||||||
End of period | $ | 187,703,751 | $ | 151,924,122 | $ | 459,235,021 | $ | 392,622,771 | ||||||||
SHARE TRANSACTIONS | ||||||||||||||||
Sale of shares: | ||||||||||||||||
Institutional Shares | — | — | 9,555,048 | 21,740,019 | ||||||||||||
Investor Shares | 4,634,690 | 4,387,167 | 198,576 | 193,932 | ||||||||||||
Advisor Shares | 4,025 | 7,481 | — | — | ||||||||||||
Reinvestment of distributions: | ||||||||||||||||
Institutional Shares | — | — | 662,270 | 835,677 | ||||||||||||
Investor Shares | 40,219 | 93,839 | 13,372 | 13,795 | ||||||||||||
Advisor Shares | 1,735 | 6,485 | — | — | ||||||||||||
Redemption of shares: | ||||||||||||||||
Institutional Shares | — | — | (4,528,254 | ) | (9,712,425 | ) | ||||||||||
Investor Shares | (1,618,227 | ) | (3,683,244 | ) | (117,736 | ) | (258,127 | ) | ||||||||
Advisor Shares | (1,766 | ) | (23,583 | ) | — | — | ||||||||||
Increase (Decrease) in shares outstanding | 3,060,676 | 788,145 | 5,783,276 | 12,812,871 |
The accompanying notes are an integral part of these financial statements.
92
BROWN ADVISORY | BROWN ADVISORY | |||||||||||||||
SUSTAINABLE BOND FUND | MARYLAND BOND FUND | |||||||||||||||
For the Six | For the Six | |||||||||||||||
Months Ended | Fiscal | Months Ended | Fiscal | |||||||||||||
December 31, | Year Ended | December 31, | Year Ended | |||||||||||||
2020 | June 30, | 2020 | June 30, | |||||||||||||
(Unaudited) | 2020 | (Unaudited) | 2020 | |||||||||||||
OPERATIONS | ||||||||||||||||
Net investment income (loss) | $ | 1,570,692 | $ | 3,671,135 | $ | 1,767,633 | $ | 4,213,987 | ||||||||
Net realized gain (loss) | 2,239,081 | 4,532,009 | 173,669 | 40,685 | ||||||||||||
Net change in unrealized appreciation (depreciation) | 1,239,014 | 2,575,255 | 3,299,151 | (1,469,500 | ) | |||||||||||
Increase (Decrease) in Net Assets from Operations | 5,048,787 | 10,778,399 | 5,240,453 | 2,785,172 | ||||||||||||
DISTRIBUTIONS FROM EARNINGS | ||||||||||||||||
Institutional Shares | (5,204,072 | ) | (5,317,862 | ) | — | — | ||||||||||
Investor Shares | (90,765 | ) | (40,327 | ) | (2,147,737 | ) | (4,826,066 | ) | ||||||||
Total Distributions from earnings | (5,294,837 | ) | (5,358,189 | ) | (2,147,737 | ) | (4,826,066 | ) | ||||||||
CAPITAL SHARE TRANSACTIONS | ||||||||||||||||
Sale of shares: | ||||||||||||||||
Institutional Shares | 54,546,357 | 79,922,729 | — | — | ||||||||||||
Investor Shares | 1,427,958 | 2,242,093 | 9,241,693 | 32,579,695 | ||||||||||||
Reinvestment of distributions: | ||||||||||||||||
Institutional Shares | 2,874,857 | 2,196,982 | — | — | ||||||||||||
Investor Shares | 70,034 | 36,876 | 511,074 | 1,125,659 | ||||||||||||
Redemption of shares: | ||||||||||||||||
Institutional Shares | (14,619,403 | ) | (60,501,878 | ) | — | — | ||||||||||
Investor Shares | (198,841 | ) | (1,071,319 | ) | (11,896,512 | ) | (37,539,392 | ) | ||||||||
Redemption fees: | ||||||||||||||||
Institutional Shares | 1,536 | 1,401 | — | — | ||||||||||||
Investor Shares | 28 | 19 | — | 1,579 | ||||||||||||
Increase (Decrease) from Capital Share Transactions | 44,102,526 | 22,826,903 | (2,143,745 | ) | (3,832,459 | ) | ||||||||||
Increase (Decrease) in Net Assets | 43,856,476 | 28,247,113 | 948,971 | (5,873,353 | ) | |||||||||||
NET ASSETS | ||||||||||||||||
Beginning of period | 155,597,028 | 127,349,915 | 176,198,291 | 182,071,644 | ||||||||||||
End of period | $ | 199,453,504 | $ | 155,597,028 | $ | 177,147,262 | $ | 176,198,291 | ||||||||
SHARE TRANSACTIONS | ||||||||||||||||
Sale of shares: | ||||||||||||||||
Institutional Shares | 5,121,820 | 7,806,001 | — | — | ||||||||||||
Investor Shares | 133,790 | 217,078 | 859,348 | 3,032,321 | ||||||||||||
Reinvestment of distributions: | ||||||||||||||||
Institutional Shares | 272,488 | 216,092 | — | — | ||||||||||||
Investor Shares | 6,627 | 3,605 | 47,446 | 104,031 | ||||||||||||
Redemption of shares: | ||||||||||||||||
Institutional Shares | (1,372,626 | ) | (5,944,196 | ) | — | — | ||||||||||
Investor Shares | (18,593 | ) | (106,285 | ) | (1,105,068 | ) | (3,483,049 | ) | ||||||||
Increase (Decrease) in shares outstanding | 4,143,506 | 2,192,295 | (198,274 | ) | (346,697 | ) |
The accompanying notes are an integral part of these financial statements.
93
BROWN ADVISORY | ||||||||||||||||
BROWN ADVISORY | TAX-EXEMPT SUSTAINABLE | |||||||||||||||
TAX-EXEMPT BOND FUND | BOND FUND | |||||||||||||||
For the Six | For the Six | |||||||||||||||
Months Ended | Fiscal | Months Ended | Fiscal | |||||||||||||
December 31, | Year Ended | December 31, | Year Ended | |||||||||||||
2020 | June 30, | 2020 | June 30, | |||||||||||||
(Unaudited) | 2020 | (Unaudited) | 2020 | * | ||||||||||||
OPERATIONS | ||||||||||||||||
Net investment income (loss) | $ | 11,680,691 | $ | 26,817,863 | $ | 1,181,649 | $ | 737,502 | ||||||||
Net realized gain (loss) | 4,881,950 | (10,370,011 | ) | (7,161 | ) | 117,164 | ||||||||||
Net change in unrealized appreciation (depreciation) | 30,235,245 | (5,369,003 | ) | 3,673,244 | (343,063 | ) | ||||||||||
Increase (Decrease) in Net Assets from Operations | 46,797,886 | 11,078,849 | 4,847,732 | 511,603 | ||||||||||||
DISTRIBUTIONS FROM EARNINGS | ||||||||||||||||
Institutional Shares | (14,779,626 | ) | (30,647,912 | ) | — | — | ||||||||||
Investor Shares | (122,846 | ) | (399,133 | ) | (1,298,831 | ) | (737,502 | ) | ||||||||
Total Distributions from earnings | (14,902,472 | ) | (31,047,045 | ) | (1,298,831 | ) | (737,502 | ) | ||||||||
CAPITAL SHARE TRANSACTIONS | ||||||||||||||||
Sale of shares: | ||||||||||||||||
Institutional Shares | 184,616,871 | 615,524,124 | — | — | ||||||||||||
Investor Shares | 1,313,611 | 11,031,021 | 79,561,740 | 167,248,379 | ||||||||||||
Reinvestment of distributions: | ||||||||||||||||
Institutional Shares | 3,739,960 | 7,064,583 | — | — | ||||||||||||
Investor Shares | 80,282 | 259,177 | 241,862 | 115,022 | ||||||||||||
Redemption of shares: | ||||||||||||||||
Institutional Shares | (131,645,688 | ) | (481,534,100 | ) | — | — | ||||||||||
Investor Shares | (2,042,169 | ) | (20,193,394 | ) | (41,210,901 | ) | (10,105,718 | ) | ||||||||
Redemption fees: | ||||||||||||||||
Institutional Shares | 6 | 15,020 | — | — | ||||||||||||
Investor Shares | — | 173 | 30 | — | ||||||||||||
Increase (Decrease) from Capital Share Transactions | 56,062,873 | 132,166,604 | 38,592,731 | 157,257,683 | ||||||||||||
Increase (Decrease) in Net Assets | 87,958,287 | 112,198,408 | 42,141,632 | 157,031,784 | ||||||||||||
NET ASSETS | ||||||||||||||||
Beginning of period | 1,082,426,154 | 970,227,746 | 157,031,784 | — | ||||||||||||
End of period | $ | 1,170,384,441 | $ | 1,082,426,154 | $ | 199,173,416 | $ | 157,031,784 | ||||||||
SHARE TRANSACTIONS | ||||||||||||||||
Sale of shares: | ||||||||||||||||
Institutional Shares | 18,059,326 | 60,408,578 | — | — | ||||||||||||
Investor Shares | 129,076 | 1,072,669 | 7,975,389 | 16,911,731 | ||||||||||||
Reinvestment of distributions: | ||||||||||||||||
Institutional Shares | 365,624 | 693,059 | — | — | ||||||||||||
Investor Shares | 7,847 | 25,314 | 24,184 | 11,664 | ||||||||||||
Redemption of shares: | ||||||||||||||||
Institutional Shares | (12,860,267 | ) | (47,976,531 | ) | — | — | ||||||||||
Investor Shares | (200,356 | ) | (2,009,926 | ) | (4,119,250 | ) | (1,022,794 | ) | ||||||||
Increase (Decrease) in shares outstanding | 5,501,250 | 12,213,163 | 3,880,323 | 15,900,601 |
* | Fund commenced operations on December 2, 2019. Information is for the period from December 2, 2019 to June 30, 2020. |
The accompanying notes are an integral part of these financial statements.
94
Statements of Changes in Net Assets
BROWN ADVISORY – | ||||||||||||||||
BROWN ADVISORY | WMC STRATEGIC | |||||||||||||||
MORTGAGE SECURITIES FUND | EUROPEAN EQUITY FUND | |||||||||||||||
For the Six | For the Six | |||||||||||||||
Months Ended | Fiscal | Months Ended | Fiscal | |||||||||||||
December 31, | Year Ended | December 31, | Year Ended | |||||||||||||
2020 | June 30, | 2020 | June 30, | |||||||||||||
(Unaudited) | 2020 | (Unaudited) | 2020 | |||||||||||||
OPERATIONS | ||||||||||||||||
Net investment income (loss) | $ | (359,119 | ) | $ | 2,756,155 | $ | 716,860 | $ | 1,196,646 | |||||||
Net realized gain (loss) | 1,214,725 | 10,399,819 | 22,136,074 | 17,572,658 | ||||||||||||
Net change in unrealized appreciation (depreciation) | 2,466,525 | 2,065,623 | 36,732,203 | (41,969,646 | ) | |||||||||||
Increase (Decrease) in Net Assets from Operations | 3,322,131 | 15,221,597 | 59,585,137 | (23,200,342 | ) | |||||||||||
DISTRIBUTIONS FROM EARNINGS | ||||||||||||||||
Institutional Shares | (995,915 | ) | (4,158,492 | ) | (20,009,676 | ) | (24,582,304 | ) | ||||||||
Investor Shares | (68,622 | ) | (32,311 | ) | (1,879,956 | ) | (865,242 | ) | ||||||||
Advisor Shares | — | — | (220,819 | ) | (308,735 | ) | ||||||||||
Total Distributions from earnings | (1,064,537 | ) | (4,190,803 | ) | (22,110,451 | ) | (25,756,281 | ) | ||||||||
CAPITAL SHARE TRANSACTIONS | ||||||||||||||||
Sale of shares: | ||||||||||||||||
Institutional Shares | 54,391,344 | 49,987,536 | 37,817,724 | 93,369,220 | ||||||||||||
Investor Shares | 14,038,864 | 11,565,585 | 8,063,721 | 10,769,625 | ||||||||||||
Advisor Shares | — | — | 219,462 | 358,021 | ||||||||||||
Reinvestment of distributions: | ||||||||||||||||
Institutional Shares | 187,095 | 667,996 | 12,839,068 | 13,910,236 | ||||||||||||
Investor Shares | 68,590 | 32,110 | 1,770,675 | 806,296 | ||||||||||||
Advisor Shares | — | — | 209,582 | 302,297 | ||||||||||||
Redemption of shares: | ||||||||||||||||
Institutional Shares | (40,025,547 | ) | (105,124,840 | ) | (45,831,754 | ) | (243,637,655 | ) | ||||||||
Investor Shares | (1,185,176 | ) | (2,198,388 | ) | (1,346,651 | ) | (6,471,686 | ) | ||||||||
Advisor Shares | — | — | (1,089,358 | ) | (3,895,250 | ) | ||||||||||
Redemption fees: | ||||||||||||||||
Institutional Shares | — | 1,179 | 7 | 211 | ||||||||||||
Investor Shares | — | 13 | 1 | 11 | ||||||||||||
Advisor Shares | — | — | — | 3 | ||||||||||||
Increase (Decrease) from Capital Share Transactions | 27,475,170 | (45,068,809 | ) | 12,652,477 | (134,488,671 | ) | ||||||||||
Increase (Decrease) in Net Assets | 29,732,764 | (34,038,015 | ) | 50,127,163 | (183,445,294 | ) | ||||||||||
NET ASSETS | ||||||||||||||||
Beginning of period | 247,956,409 | 281,994,424 | 313,121,051 | 496,566,345 | ||||||||||||
End of period | $ | 277,689,173 | $ | 247,956,409 | $ | 363,248,214 | $ | 313,121,051 | ||||||||
SHARE TRANSACTIONS | ||||||||||||||||
Sale of shares: | ||||||||||||||||
Institutional Shares | 5,175,227 | 4,865,234 | 3,305,775 | 8,968,861 | ||||||||||||
Investor Shares | 1,334,913 | 1,116,122 | 705,330 | 1,053,546 | ||||||||||||
Advisor Shares | — | — | 19,658 | 33,648 | ||||||||||||
Reinvestment of distributions: | ||||||||||||||||
Institutional Shares | 17,791 | 65,368 | 1,097,369 | 1,221,044 | ||||||||||||
Investor Shares | 6,512 | 3,096 | 151,859 | 71,108 | ||||||||||||
Advisor Shares | — | — | 18,193 | 26,901 | ||||||||||||
Redemption of shares: | ||||||||||||||||
Institutional Shares | (3,804,804 | ) | (10,277,006 | ) | (4,080,816 | ) | (25,118,358 | ) | ||||||||
Investor Shares | (112,552 | ) | (214,179 | ) | (120,212 | ) | (631,412 | ) | ||||||||
Advisor Shares | — | — | (97,425 | ) | (378,649 | ) | ||||||||||
Increase (Decrease) in shares outstanding | 2,617,087 | (4,441,365 | ) | 999,731 | (14,753,311 | ) |
The accompanying notes are an integral part of these financial statements.
95
BROWN ADVISORY | BROWN ADVISORY – | |||||||||||||||
EMERGING MARKETS | BEUTEL GOODMAN | |||||||||||||||
SELECT FUND | LARGE-CAP VALUE FUND | |||||||||||||||
For the Six | For the Six | |||||||||||||||
Months Ended | Fiscal | Months Ended | Fiscal | |||||||||||||
December 31, | Year Ended | December 31, | Year Ended | |||||||||||||
2020 | June 30, | 2020 | June 30, | |||||||||||||
(Unaudited) | 2020 | (Unaudited) | 2020 | |||||||||||||
OPERATIONS | ||||||||||||||||
Net investment income (loss) | $ | 1,515,045 | $ | 4,043,341 | $ | 4,391,947 | $ | 20,271,705 | ||||||||
Net realized gain (loss) | 3,999,812 | (23,123,861 | ) | 27,998,034 | (16,714,433 | ) | ||||||||||
Net change in unrealized appreciation (depreciation) | 86,670,771 | (3,503,124 | ) | 77,117,907 | 3,067,903 | |||||||||||
Increase (Decrease) in Net Assets from Operations | 92,185,628 | (22,583,644 | ) | 109,507,888 | 6,625,175 | |||||||||||
DISTRIBUTIONS FROM EARNINGS | ||||||||||||||||
Institutional Shares | (2,138,889 | ) | (4,125,513 | ) | (22,311,317 | ) | (7,657,728 | ) | ||||||||
Investor Shares | (21,367 | ) | (46,220 | ) | — | — | ||||||||||
Advisor Shares | (21 | ) | (1,296 | ) | — | — | ||||||||||
Total Distributions from earnings | (2,160,277 | ) | (4,173,029 | ) | (22,311,317 | ) | (7,657,728 | ) | ||||||||
CAPITAL SHARE TRANSACTIONS | ||||||||||||||||
Sale of shares: | ||||||||||||||||
Institutional Shares | 41,930,823 | 113,704,766 | 210,316,155 | 257,251,330 | ||||||||||||
Investor Shares | 371,647 | 1,096,194 | — | — | ||||||||||||
Advisor Shares | 3,499 | 6,426 | — | — | ||||||||||||
Reinvestment of distributions: | ||||||||||||||||
Institutional Shares | 412,838 | 705,403 | 5,500,846 | 3,633,330 | ||||||||||||
Investor Shares | 20,969 | 43,772 | — | — | ||||||||||||
Advisor Shares | 21 | 1,296 | — | — | ||||||||||||
Redemption of shares: | ||||||||||||||||
Institutional Shares | (24,673,277 | ) | (147,468,241 | ) | (30,353,772 | ) | (104,804,022 | ) | ||||||||
Investor Shares | (888,811 | ) | (1,623,716 | ) | — | — | ||||||||||
Advisor Shares | (47,134 | ) | (95,199 | ) | — | — | ||||||||||
Redemption fees: | ||||||||||||||||
Institutional Shares | 123 | 272 | 150 | 955 | ||||||||||||
Investor Shares | 2 | 4 | — | — | ||||||||||||
Advisor Shares | — | — | — | — | ||||||||||||
Increase (Decrease) from Capital Share Transactions | 17,130,700 | (33,629,023 | ) | 185,463,379 | 156,081,593 | |||||||||||
Increase (Decrease) in Net Assets | 107,156,051 | (60,385,696 | ) | 272,659,950 | 155,049,040 | |||||||||||
NET ASSETS | ||||||||||||||||
Beginning of period | 271,536,586 | 331,922,282 | 452,011,635 | 296,962,595 | ||||||||||||
End of period | $ | 378,692,637 | $ | 271,536,586 | $ | 724,671,585 | $ | 452,011,635 | ||||||||
SHARE TRANSACTIONS | ||||||||||||||||
Sale of shares: | ||||||||||||||||
Institutional Shares | 4,052,033 | 13,203,555 | 17,696,500 | 24,554,210 | ||||||||||||
Investor Shares | 36,424 | 125,988 | — | — | ||||||||||||
Advisor Shares | 343 | 725 | — | — | ||||||||||||
Reinvestment of distributions: | ||||||||||||||||
Institutional Shares | 36,341 | 71,325 | 446,135 | 314,395 | ||||||||||||
Investor Shares | 1,846 | 4,426 | — | — | ||||||||||||
Advisor Shares | 2 | 130 | — | — | ||||||||||||
Redemption of shares: | ||||||||||||||||
Institutional Shares | (2,367,883 | ) | (18,060,646 | ) | (2,528,538 | ) | (10,606,917 | ) | ||||||||
Investor Shares | (91,207 | ) | (198,402 | ) | — | — | ||||||||||
Advisor Shares | (4,651 | ) | (12,782 | ) | — | — | ||||||||||
Increase (Decrease) in shares outstanding | 1,663,248 | (4,865,681 | ) | 15,614,097 | 14,261,688 |
The accompanying notes are an integral part of these financial statements.
96
From Investment | Distributions to | Ratios to Average | ||||||||||||||||||||||||||||||||||||||||||||||||||
Operations(a) | Shareholders From | Net Assets(b) | ||||||||||||||||||||||||||||||||||||||||||||||||||
Net | ||||||||||||||||||||||||||||||||||||||||||||||||||||
For a Share | Realized | Net | Net | |||||||||||||||||||||||||||||||||||||||||||||||||
Outstanding | Net Asset | Net | & | Asset | Assets at | Net | ||||||||||||||||||||||||||||||||||||||||||||||
Throughout | Value, | Investment | Unrealized | Net | Net | Value, | End of | Investment | Gross | Portfolio | ||||||||||||||||||||||||||||||||||||||||||
Each Fiscal Period: | Beginning | Income | Gains | Investment | Realized | End of | Total | Period | Income | Net | Expenses | Turnover | ||||||||||||||||||||||||||||||||||||||||
Beginning | Ending | of Period | (Loss) | (Losses) | Total | Income | Gains | Total | Period | Return | (c) | (000’s | ) | (Loss) | Expenses | (d) | Rate(c) | |||||||||||||||||||||||||||||||||||
BROWN ADVISORY GROWTH EQUITY FUND: | ||||||||||||||||||||||||||||||||||||||||||||||||||||
Institutional Shares* | ||||||||||||||||||||||||||||||||||||||||||||||||||||
07/01/20 | 12/31/20 | $29.05 | (0.02 | ) | 5.80 | 5.78 | — | (1.62 | ) | (1.62 | ) | $ | 33.21 | 20.03 | % | $ | 2,077,398 | (0.11 | )% | 0.67 | % | 0.67 | % | 12 | % | |||||||||||||||||||||||||||
07/01/19 | 06/30/20 | 24.80 | (0.04 | ) | 5.56 | 5.52 | — | (1.27 | ) | (1.27 | ) | 29.05 | 22.88 | 1,849,565 | (0.16 | ) | 0.69 | 0.69 | 22 | |||||||||||||||||||||||||||||||||
07/01/18 | 06/30/19 | 23.91 | (0.04 | ) | 3.38 | 3.34 | — | (2.45 | ) | (2.45 | ) | 24.80 | 16.69 | 1,523,633 | (0.19 | ) | 0.70 | 0.70 | 22 | |||||||||||||||||||||||||||||||||
07/01/17 | 06/30/18 | 20.03 | (0.06 | ) | 5.62 | 5.56 | — | (1.68 | ) | (1.68 | ) | 23.91 | 28.89 | 289,434 | (0.29 | ) | 0.71 | 0.71 | 25 | |||||||||||||||||||||||||||||||||
07/01/16 | 06/30/17 | 19.16 | (0.03 | ) | 2.47 | 2.44 | — | (1.57 | ) | (1.57 | ) | 20.03 | 13.91 | 276,592 | (0.16 | ) | 0.72 | 0.72 | 40 | |||||||||||||||||||||||||||||||||
07/01/15 | 06/30/16 | 20.33 | (0.02 | ) | 0.13 | 0.11 | — | (1.28 | ) | (1.28 | ) | 19.16 | 0.49 | 253,640 | (0.12 | ) | 0.72 | 0.72 | 24 | |||||||||||||||||||||||||||||||||
Investor Shares* | ||||||||||||||||||||||||||||||||||||||||||||||||||||
07/01/20 | 12/31/20 | 28.64 | (0.04 | ) | 5.72 | 5.68 | — | (1.62 | ) | (1.62 | ) | 32.70 | 19.94 | 1,123,402 | (0.26 | ) | 0.82 | 0.82 | 12 | |||||||||||||||||||||||||||||||||
07/01/19 | 06/30/20 | 24.50 | (0.08 | ) | 5.49 | 5.41 | — | (1.27 | ) | (1.27 | ) | 28.64 | 22.70 | 983,640 | (0.31 | ) | 0.84 | 0.84 | 22 | |||||||||||||||||||||||||||||||||
07/01/18 | 06/30/19 | 23.69 | (0.08 | ) | 3.34 | 3.26 | — | (2.45 | ) | (2.45 | ) | 24.50 | 16.50 | 828,388 | (0.34 | ) | 0.85 | 0.85 | 22 | |||||||||||||||||||||||||||||||||
07/01/17 | 06/30/18 | 19.89 | (0.10 | ) | 5.58 | 5.48 | — | (1.68 | ) | (1.68 | ) | 23.69 | 28.69 | 1,775,180 | (0.44 | ) | 0.86 | 0.86 | 25 | |||||||||||||||||||||||||||||||||
07/01/16 | 06/30/17 | 19.06 | (0.06 | ) | 2.46 | 2.40 | — | (1.57 | ) | (1.57 | ) | 19.89 | 13.77 | 1,484,383 | (0.31 | ) | 0.87 | 0.87 | 40 | |||||||||||||||||||||||||||||||||
07/01/15 | 06/30/16 | 20.26 | (0.05 | ) | 0.13 | 0.08 | — | (1.28 | ) | (1.28 | ) | 19.06 | 0.34 | 1,916,472 | (0.27 | ) | 0.87 | 0.87 | 24 | |||||||||||||||||||||||||||||||||
Advisor Shares* | ||||||||||||||||||||||||||||||||||||||||||||||||||||
07/01/20 | 12/31/20 | 26.84 | (0.08 | ) | 5.36 | 5.28 | — | (1.62 | ) | (1.62 | ) | 30.50 | 19.82 | 28,759 | (0.51 | ) | 1.07 | 1.07 | 12 | |||||||||||||||||||||||||||||||||
07/01/19 | 06/30/20 | 23.09 | (0.14 | ) | 5.16 | 5.02 | — | (1.27 | ) | (1.27 | ) | 26.84 | 22.39 | 13,692 | (0.56 | ) | 1.09 | 1.09 | 22 | |||||||||||||||||||||||||||||||||
07/01/18 | 06/30/19 | 22.53 | (0.13 | ) | 3.14 | 3.01 | — | (2.45 | ) | (2.45 | ) | 23.09 | 16.22 | 6,683 | (0.59 | ) | 1.10 | 1.10 | 22 | |||||||||||||||||||||||||||||||||
07/01/17 | 06/30/18 | 19.04 | (0.14 | ) | 5.31 | 5.17 | — | (1.68 | ) | (1.68 | ) | 22.53 | 28.32 | 6,215 | (0.69 | ) | 1.11 | 1.11 | 25 | |||||||||||||||||||||||||||||||||
07/01/16 | 06/30/17 | 18.35 | (0.10 | ) | 2.36 | 2.26 | — | (1.57 | ) | (1.57 | ) | 19.04 | 13.53 | 5,479 | (0.56 | ) | 1.12 | 1.12 | 40 | |||||||||||||||||||||||||||||||||
07/01/15 | 06/30/16 | 19.60 | (0.10 | ) | 0.13 | 0.03 | — | (1.28 | ) | (1.28 | ) | 18.35 | 0.09 | 33,304 | (0.52 | ) | 1.12 | 1.12 | 24 | |||||||||||||||||||||||||||||||||
BROWN ADVISORY FLEXIBLE EQUITY FUND: | ||||||||||||||||||||||||||||||||||||||||||||||||||||
Institutional Shares* | ||||||||||||||||||||||||||||||||||||||||||||||||||||
07/01/20 | 12/31/20 | 24.36 | 0.04 | 5.52 | 5.56 | (0.09 | ) | (0.84 | ) | (0.93 | ) | 28.99 | 22.91 | 164,594 | 0.26 | 0.55 | 0.55 | 4 | ||||||||||||||||||||||||||||||||||
07/01/19 | 06/30/20 | 22.92 | 0.11 | 2.50 | 2.61 | (0.15 | ) | (1.02 | ) | (1.17 | ) | 24.36 | 11.29 | 134,574 | 0.47 | 0.56 | 0.56 | 12 | ||||||||||||||||||||||||||||||||||
07/01/18 | 06/30/19 | 21.94 | 0.17 | 1.63 | 1.80 | (0.08 | ) | (0.74 | ) | (0.82 | ) | 22.92 | 8.94 | 135,190 | 0.78 | 0.57 | 0.57 | 14 | ||||||||||||||||||||||||||||||||||
07/01/17 | 06/30/18 | 18.53 | 0.10 | 3.43 | 3.53 | (0.12 | ) | — | (0.12 | ) | 21.94 | 19.07 | 131,218 | 0.48 | 0.72 | 0.72 | 15 | |||||||||||||||||||||||||||||||||||
07/01/16 | 06/30/17 | 15.15 | 0.11 | 3.37 | 3.48 | (0.10 | ) | — | (0.10 | ) | 18.53 | 23.05 | 101,431 | 0.61 | 0.73 | 0.73 | 15 | |||||||||||||||||||||||||||||||||||
07/01/15 | 06/30/16 | 15.92 | 0.11 | (0.77 | ) | (0.66 | ) | (0.11 | ) | — | (0.11 | ) | 15.15 | (4.16 | ) | 24,012 | 0.71 | 0.73 | 0.73 | 15 | ||||||||||||||||||||||||||||||||
Investor Shares* | ||||||||||||||||||||||||||||||||||||||||||||||||||||
07/01/20 | 12/31/20 | 24.31 | 0.02 | 5.50 | 5.52 | (0.07 | ) | (0.84 | ) | (0.91 | ) | 28.92 | 22.80 | 419,919 | 0.11 | 0.70 | 0.70 | 4 | ||||||||||||||||||||||||||||||||||
07/01/19 | 06/30/20 | 22.88 | 0.07 | 2.49 | 2.56 | (0.11 | ) | (1.02 | ) | (1.13 | ) | 24.31 | 11.12 | 362,695 | 0.32 | 0.71 | 0.71 | 12 | ||||||||||||||||||||||||||||||||||
07/01/18 | 06/30/19 | 21.90 | 0.14 | 1.63 | 1.77 | (0.05 | ) | (0.74 | ) | (0.79 | ) | 22.88 | 8.77 | 343,917 | 0.63 | 0.72 | 0.72 | 14 | ||||||||||||||||||||||||||||||||||
07/01/17 | 06/30/18 | 18.50 | 0.07 | 3.42 | 3.49 | (0.09 | ) | — | (0.09 | ) | 21.90 | 18.88 | 316,109 | 0.33 | 0.87 | 0.87 | 15 | |||||||||||||||||||||||||||||||||||
07/01/16 | 06/30/17 | 15.12 | 0.08 | 3.37 | 3.45 | (0.07 | ) | — | (0.07 | ) | 18.50 | 22.90 | 310,360 | 0.46 | 0.88 | 0.88 | 15 | |||||||||||||||||||||||||||||||||||
07/01/15 | 06/30/16 | 15.89 | 0.08 | (0.76 | ) | (0.68 | ) | (0.09 | ) | — | (0.09 | ) | 15.12 | (4.30 | ) | 306,456 | 0.56 | 0.88 | 0.88 | 15 | ||||||||||||||||||||||||||||||||
Advisor Shares* | ||||||||||||||||||||||||||||||||||||||||||||||||||||
07/01/20 | 12/31/20 | 24.30 | (0.02 | ) | 5.51 | 5.49 | (0.04 | ) | (0.84 | ) | (0.88 | ) | 28.91 | 22.66 | 4,902 | (0.14 | ) | 0.95 | 0.95 | 4 | ||||||||||||||||||||||||||||||||
07/01/19 | 06/30/20 | 22.90 | 0.02 | 2.48 | 2.50 | (0.08 | ) | (1.02 | ) | (1.10 | ) | 24.30 | 10.84 | 4,403 | 0.07 | 0.96 | 0.96 | 12 | ||||||||||||||||||||||||||||||||||
07/01/18 | 06/30/19 | 21.91 | 0.08 | 1.65 | 1.73 | — | (0.74 | ) | (0.74 | ) | 22.90 | 8.52 | 4,652 | 0.38 | 0.97 | 0.97 | 14 | |||||||||||||||||||||||||||||||||||
07/01/17 | 06/30/18 | 18.50 | 0.02 | 3.42 | 3.44 | (0.03 | ) | — | (0.03 | ) | 21.91 | 18.61 | 6,445 | 0.08 | 1.12 | 1.12 | 15 | |||||||||||||||||||||||||||||||||||
07/01/16 | 06/30/17 | 15.12 | 0.04 | 3.37 | 3.41 | (0.03 | ) | — | (0.03 | ) | 18.50 | 22.56 | 5,842 | 0.21 | 1.13 | 1.13 | 15 | |||||||||||||||||||||||||||||||||||
07/01/15 | 06/30/16 | 15.88 | 0.05 | (0.77 | ) | (0.72 | ) | (0.04 | ) | — | (0.04 | ) | 15.12 | (4.56 | ) | 7,168 | 0.31 | 1.13 | 1.13 | 15 |
The accompanying notes are an integral part of these financial statements.
97
Financial Highlights
From Investment | Distributions to | Ratios to Average | |||||||||||||||||||||||||||||||||||||||||||||||||||||
Operations(a) | Shareholders From | Net Assets(b) | |||||||||||||||||||||||||||||||||||||||||||||||||||||
Net | |||||||||||||||||||||||||||||||||||||||||||||||||||||||
For a Share | Realized | Net | Net | ||||||||||||||||||||||||||||||||||||||||||||||||||||
Outstanding | Net Asset | Net | & | Asset | Assets at | Net | |||||||||||||||||||||||||||||||||||||||||||||||||
Throughout | Value, | Investment | Unrealized | Net | Net | Value, | End of | Investment | Gross | Portfolio | |||||||||||||||||||||||||||||||||||||||||||||
Each Fiscal Period: | Beginning | Income | Gains | Investment | Realized | End of | Total | Period | Income | Net | Expenses | Turnover | |||||||||||||||||||||||||||||||||||||||||||
Beginning | Ending | of Period | (Loss) | (Losses) | Total | Income | Gains | Total | Period | Return(c) | (000’s | ) | (Loss) | Expenses | (d) | Rate(c) | |||||||||||||||||||||||||||||||||||||||
BROWN ADVISORY EQUITY INCOME FUND: | |||||||||||||||||||||||||||||||||||||||||||||||||||||||
Institutional Shares* | |||||||||||||||||||||||||||||||||||||||||||||||||||||||
07/01/20 | 12/31/20 | $12.97 | 0.11 | 1.97 | 2.08 | (0.11 | ) | (0.74 | ) | (0.85 | ) | $ | 14.20 | 16.23 | % | $ | 22,841 | 1.57 | % | 0.78 | % | 0.79 | % | 7 | % | ||||||||||||||||||||||||||||||
07/01/19 | 06/30/20 | 14.15 | 0.23 | (0.10 | ) | 0.13 | (0.23 | ) | (1.08 | ) | (1.31 | ) | 12.97 | 0.46 | 22,026 | 1.66 | 0.80 | 0.80 | 16 | ||||||||||||||||||||||||||||||||||||
07/01/18 | 06/30/19 | 14.41 | 0.26 | 1.33 | 1.59 | (0.27 | ) | (1.58 | ) | (1.85 | ) | 14.15 | 13.12 | 26,449 | 1.87 | 0.80 | 0.80 | 11 | |||||||||||||||||||||||||||||||||||||
07/01/17 | 06/30/18 | 13.80 | 0.24 | 1.07 | 1.31 | (0.25 | ) | (0.45 | ) | (0.70 | ) | 14.41 | 9.51 | 27,975 | 1.70 | 0.77 | 0.77 | 14 | |||||||||||||||||||||||||||||||||||||
07/01/16 | 06/30/17 | 12.87 | 0.26 | 1.41 | 1.67 | (0.26 | ) | (0.48 | ) | (0.74 | ) | 13.80 | 13.36 | 29,587 | 1.94 | 0.77 | 0.77 | 7 | |||||||||||||||||||||||||||||||||||||
07/01/15 | 06/30/16 | 13.14 | 0.28 | (0.13 | ) | 0.15 | (0.29 | ) | (0.13 | ) | (0.42 | ) | 12.87 | 1.31 | 13,840 | 2.24 | 0.75 | 0.75 | 17 | ||||||||||||||||||||||||||||||||||||
Investor Shares* | |||||||||||||||||||||||||||||||||||||||||||||||||||||||
07/01/20 | 12/31/20 | 12.96 | 0.10 | 1.98 | 2.08 | (0.10 | ) | (0.74 | ) | (0.84 | ) | 14.20 | 16.24 | 59,397 | 1.42 | 0.93 | 0.94 | 7 | |||||||||||||||||||||||||||||||||||||
07/01/19 | 06/30/20 | 14.15 | 0.21 | (0.11 | ) | 0.10 | (0.21 | ) | (1.08 | ) | (1.29 | ) | 12.96 | 0.24 | 55,228 | 1.51 | 0.95 | 0.95 | 16 | ||||||||||||||||||||||||||||||||||||
07/01/18 | 06/30/19 | 14.40 | 0.24 | 1.34 | 1.58 | (0.25 | ) | (1.58 | ) | (1.83 | ) | 14.15 | 13.03 | 62,309 | 1.72 | 0.95 | 0.95 | 11 | |||||||||||||||||||||||||||||||||||||
07/01/17 | 06/30/18 | 13.80 | 0.22 | 1.06 | 1.28 | (0.23 | ) | (0.45 | ) | (0.68 | ) | 14.40 | 9.27 | 66,512 | 1.55 | 0.92 | 0.92 | 14 | |||||||||||||||||||||||||||||||||||||
07/01/16 | 06/30/17 | 12.86 | 0.24 | 1.42 | 1.66 | (0.24 | ) | (0.48 | ) | (0.72 | ) | 13.80 | 13.28 | 81,890 | 1.79 | 0.92 | 0.92 | 7 | |||||||||||||||||||||||||||||||||||||
07/01/15 | 06/30/16 | 13.13 | 0.26 | (0.13 | ) | 0.13 | (0.27 | ) | (0.13 | ) | (0.40 | ) | 12.86 | 1.15 | 112,116 | 2.09 | 0.90 | 0.90 | 17 | ||||||||||||||||||||||||||||||||||||
Advisor Shares* | |||||||||||||||||||||||||||||||||||||||||||||||||||||||
07/01/20 | 12/31/20 | 12.96 | 0.08 | 1.97 | 2.05 | (0.08 | ) | (0.74 | ) | (0.82 | ) | 14.19 | 16.01 | 1,008 | 1.17 | 1.18 | 1.19 | 7 | |||||||||||||||||||||||||||||||||||||
07/01/19 | 06/30/20 | 14.14 | 0.17 | (0.10 | ) | 0.07 | (0.17 | ) | (1.08 | ) | (1.25 | ) | 12.96 | 0.05 | 886 | 1.26 | 1.20 | 1.20 | 16 | ||||||||||||||||||||||||||||||||||||
07/01/18 | 06/30/19 | 14.40 | 0.21 | 1.33 | 1.54 | (0.22 | ) | (1.58 | ) | (1.80 | ) | 14.14 | 12.67 | 1,017 | 1.47 | 1.20 | 1.20 | 11 | |||||||||||||||||||||||||||||||||||||
07/01/17 | 06/30/18 | 13.78 | 0.19 | 1.06 | 1.25 | (0.18 | ) | (0.45 | ) | (0.63 | ) | 14.40 | 9.04 | 1,077 | 1.30 | 1.17 | 1.17 | 14 | |||||||||||||||||||||||||||||||||||||
07/01/16 | 06/30/17 | 12.84 | 0.20 | 1.43 | 1.63 | (0.21 | ) | (0.48 | ) | (0.69 | ) | 13.78 | 13.02 | 2,422 | 1.54 | 1.17 | 1.17 | 7 | |||||||||||||||||||||||||||||||||||||
07/01/15 | 06/30/16 | 13.11 | 0.23 | (0.13 | ) | 0.10 | (0.24 | ) | (0.13 | ) | (0.37 | ) | 12.84 | 0.90 | 2,980 | 1.84 | 1.15 | 1.15 | 17 | ||||||||||||||||||||||||||||||||||||
BROWN ADVISORY SUSTAINABLE GROWTH FUND: | |||||||||||||||||||||||||||||||||||||||||||||||||||||||
Institutional Shares* | |||||||||||||||||||||||||||||||||||||||||||||||||||||||
07/01/20 | 12/31/20 | 31.96 | (0.01 | ) | 7.26 | 7.25 | — | — | — | 39.21 | 22.68 | 2,637,693 | (0.06 | ) | 0.66 | 0.66 | 12 | ||||||||||||||||||||||||||||||||||||||
07/01/19 | 06/30/20 | 26.39 | 0.01 | 5.77 | 5.78 | — | (0.21 | ) | (0.21 | ) | 31.96 | 22.01 | 1,601,989 | 0.05 | 0.70 | 0.70 | 20 | ||||||||||||||||||||||||||||||||||||||
07/01/18 | 06/30/19 | 23.02 | 0.03 | 4.12 | 4.15 | — | (0.78 | ) | (0.78 | ) | 26.39 | 18.89 | 749,949 | 0.10 | 0.73 | 0.73 | 21 | ||||||||||||||||||||||||||||||||||||||
07/01/17 | 06/30/18 | 18.94 | 0.01 | 4.42 | 4.43 | — | (0.35 | ) | (0.35 | ) | 23.02 | 23.59 | 369,642 | 0.05 | 0.73 | 0.73 | 29 | ||||||||||||||||||||||||||||||||||||||
07/01/16 | 06/30/17 | 16.05 | (0.02 | ) | 3.03 | 3.01 | — | (0.12 | ) | (0.12 | ) | 18.94 | 18.83 | 221,177 | (0.10 | ) | 0.73 | 0.73 | 41 | ||||||||||||||||||||||||||||||||||||
07/01/15 | 06/30/16 | 15.69 | (0.02 | ) | 1.13 | 1.11 | — | (0.75 | ) | (0.75 | ) | 16.05 | 7.17 | 122,008 | (0.11 | ) | 0.74 | 0.74 | 30 | ||||||||||||||||||||||||||||||||||||
Investor Shares* | |||||||||||||||||||||||||||||||||||||||||||||||||||||||
07/01/20 | 12/31/20 | 31.52 | (0.04 | ) | 7.17 | 7.13 | — | — | — | 38.65 | 22.62 | 1,664,201 | (0.21 | ) | 0.81 | 0.81 | 12 | ||||||||||||||||||||||||||||||||||||||
07/01/19 | 06/30/20 | 26.07 | (0.03 | ) | 5.69 | 5.66 | — | (0.21 | ) | (0.21 | ) | 31.52 | 21.82 | 1,108,023 | (0.10 | ) | 0.85 | 0.85 | 20 | ||||||||||||||||||||||||||||||||||||
07/01/18 | 06/30/19 | 22.79 | (0.01 | ) | 4.07 | 4.06 | — | (0.78 | ) | (0.78 | ) | 26.07 | 18.68 | 374,769 | (0.05 | ) | 0.88 | 0.88 | 21 | ||||||||||||||||||||||||||||||||||||
07/01/17 | 06/30/18 | 18.78 | (0.02 | ) | 4.38 | 4.36 | — | (0.35 | ) | (0.35 | ) | 22.79 | 23.41 | 102,201 | (0.10 | ) | 0.88 | 0.88 | 29 | ||||||||||||||||||||||||||||||||||||
07/01/16 | 06/30/17 | 15.94 | (0.04 | ) | 3.00 | 2.96 | — | (0.12 | ) | (0.12 | ) | 18.78 | 18.65 | 36,954 | (0.25 | ) | 0.88 | 0.88 | 41 | ||||||||||||||||||||||||||||||||||||
07/01/15 | 06/30/16 | 15.61 | (0.04 | ) | 1.12 | 1.08 | — | (0.75 | ) | (0.75 | ) | 15.94 | 7.01 | 25,676 | (0.26 | ) | 0.89 | 0.89 | 30 | ||||||||||||||||||||||||||||||||||||
Advisor Shares* | |||||||||||||||||||||||||||||||||||||||||||||||||||||||
07/01/20 | 12/31/20 | 30.86 | (0.08 | ) | 7.01 | 6.93 | — | — | — | 37.79 | 22.46 | 402,061 | (0.46 | ) | 1.06 | 1.06 | 12 | ||||||||||||||||||||||||||||||||||||||
07/01/19 | 06/30/20 | 25.59 | (0.09 | ) | 5.57 | 5.48 | — | (0.21 | ) | (0.21 | ) | 30.86 | 21.53 | 285,542 | (0.35 | ) | 1.10 | 1.10 | 20 | ||||||||||||||||||||||||||||||||||||
07/01/18 | 06/30/19 | 22.44 | (0.07 | ) | 4.00 | 3.93 | — | (0.78 | ) | (0.78 | ) | 25.59 | 18.39 | 250,871 | (0.30 | ) | 1.13 | 1.13 | 21 | ||||||||||||||||||||||||||||||||||||
07/01/17 | 06/30/18 | 18.54 | (0.07 | ) | 4.32 | 4.25 | — | (0.35 | ) | (0.35 | ) | 22.44 | 23.12 | 213,262 | (0.35 | ) | 1.13 | 1.13 | 29 | ||||||||||||||||||||||||||||||||||||
07/01/16 | 06/30/17 | 15.78 | (0.08 | ) | 2.96 | 2.88 | — | (0.12 | ) | (0.12 | ) | 18.54 | 18.33 | 172,012 | (0.50 | ) | 1.13 | 1.13 | 41 | ||||||||||||||||||||||||||||||||||||
07/01/15 | 06/30/16 | 15.50 | (0.08 | ) | 1.11 | 1.03 | — | (0.75 | ) | (0.75 | ) | 15.78 | 6.73 | 201,727 | (0.51 | ) | 1.14 | 1.14 | 30 |
The accompanying notes are an integral part of these financial statements.
98
From Investment | Distributions to | Ratios to Average | |||||||||||||||||||||||||||||||||||||||||||||||||
Operations(a) | Shareholders From | Net Assets(b) | |||||||||||||||||||||||||||||||||||||||||||||||||
Net | |||||||||||||||||||||||||||||||||||||||||||||||||||
For a Share | Realized | Net | Net | ||||||||||||||||||||||||||||||||||||||||||||||||
Outstanding | Net Asset | Net | & | Asset | Assets at | Net | |||||||||||||||||||||||||||||||||||||||||||||
Throughout | Value, | Investment | Unrealized | Net | Net | Value, | End of | Investment | Gross | Portfolio | |||||||||||||||||||||||||||||||||||||||||
Each Fiscal Period: | Beginning | Income | Gains | Investment | Realized | End of | Total | Period | Income | Net | Expenses | Turnover | |||||||||||||||||||||||||||||||||||||||
Beginning | Ending | of Period | (Loss) | (Losses) | Total | Income | Gains | Total | Period | Return(c) | (000’s | ) | (Loss) | Expenses | (d) | Rate(c) | |||||||||||||||||||||||||||||||||||
BROWN ADVISORY MID-CAP GROWTH FUND: | |||||||||||||||||||||||||||||||||||||||||||||||||||
Institutional Shares* | |||||||||||||||||||||||||||||||||||||||||||||||||||
07/01/20 | 12/31/20 | $13.86 | (0.03 | ) | 4.45 | 4.42 | — | — | — | $ | 18.28 | 31.99 | % | $ | 143,902 | (0.38 | )% | 0.73 | % | 0.80 | % | 23 | % | ||||||||||||||||||||||||||||
07/01/19 | 06/30/20 | 13.14 | (0.01 | ) | 0.77 | 0.76 | — | (0.04 | ) | (0.04 | ) | 13.86 | 5.68 | 100,367 | (0.11 | ) | 0.70 | 0.88 | 35 | ||||||||||||||||||||||||||||||||
07/02/18^ | 06/30/19 | 11.42 | (0.00 | ) | 1.83 | 1.83 | — | (0.11 | ) | (0.11 | ) | 13.14 | 16.36 | 42,404 | (0.00 | ) | 0.70 | 1.04 | 46 | ||||||||||||||||||||||||||||||||
Investor Shares* | |||||||||||||||||||||||||||||||||||||||||||||||||||
07/01/20 | 12/31/20 | 13.81 | (0.04 | ) | 4.43 | 4.39 | — | — | — | 18.20 | 31.88 | 30,121 | (0.53 | ) | 0.88 | 0.95 | 23 | ||||||||||||||||||||||||||||||||||
07/01/19 | 06/30/20 | 13.12 | (0.03 | ) | 0.76 | 0.73 | — | (0.04 | ) | (0.04 | ) | 13.81 | 5.46 | 28,477 | (0.26 | ) | 0.85 | 1.03 | 35 | ||||||||||||||||||||||||||||||||
07/01/18 | 06/30/19 | 11.36 | �� | (0.02 | ) | 1.89 | 1.87 | — | (0.11 | ) | (0.11 | ) | 13.12 | 16.80 | 2,933 | (0.15 | ) | 0.85 | 1.19 | 46 | |||||||||||||||||||||||||||||||
10/02/17^ | 06/30/18 | 10.00 | (0.01 | ) | 1.37 | 1.36 | — | — | — | 11.36 | 13.60 | 21,377 | (0.16 | ) | 0.85 | 1.58 | 29 | ||||||||||||||||||||||||||||||||||
BROWN ADVISORY SMALL-CAP GROWTH FUND: | |||||||||||||||||||||||||||||||||||||||||||||||||||
Institutional Shares* | |||||||||||||||||||||||||||||||||||||||||||||||||||
07/01/20 | 12/31/20 | 44.31 | (0.15 | ) | 14.16 | 14.01 | — | (0.45 | ) | (0.45 | ) | 57.87 | 31.64 | 1,549,096 | (0.59 | ) | 0.96 | 0.96 | 16 | ||||||||||||||||||||||||||||||||
07/01/19 | 06/30/20 | 44.24 | (0.20 | ) | 1.15 | 0.95 | — | (0.88 | ) | (0.88 | ) | 44.31 | 2.18 | 1,039,126 | (0.48 | ) | 0.97 | 0.97 | 29 | ||||||||||||||||||||||||||||||||
07/01/18 | 06/30/19 | 40.64 | (0.15 | ) | 5.52 | 5.37 | (0.18 | ) | (1.59 | ) | (1.77 | ) | 44.24 | 14.56 | 838,698 | (0.36 | ) | 0.98 | 0.98 | 44 | |||||||||||||||||||||||||||||||
07/01/17 | 06/30/18 | 35.15 | (0.16 | ) | 6.31 | 6.15 | (0.15 | ) | (0.51 | ) | (0.66 | ) | 40.64 | 17.64 | 424,449 | (0.42 | ) | 0.98 | 0.98 | 30 | |||||||||||||||||||||||||||||||
07/01/16 | 06/30/17 | 31.19 | (0.16 | ) | 5.25 | 5.09 | — | (1.13 | ) | (1.13 | ) | 35.15 | 16.57 | 165,615 | (0.49 | ) | 0.98 | 0.98 | 22 | ||||||||||||||||||||||||||||||||
07/01/15 | 06/30/16 | 35.91 | (0.14 | ) | 0.51 | 0.37 | — | (5.09 | ) | (5.09 | ) | 31.19 | 1.61 | 17,037 | (0.45 | ) | 0.98 | 0.98 | 32 | ||||||||||||||||||||||||||||||||
Investor Shares* | |||||||||||||||||||||||||||||||||||||||||||||||||||
07/01/20 | 12/31/20 | 22.13 | (0.09 | ) | 7.07 | 6.98 | — | (0.22 | ) | (0.22 | ) | 28.89 | 31.59 | 761,516 | (0.74 | ) | 1.11 | 1.11 | 16 | ||||||||||||||||||||||||||||||||
07/01/19 | 06/30/20 | 22.13 | (0.13 | ) | 0.57 | 0.44 | — | (0.44 | ) | (0.44 | ) | 22.13 | 2.02 | 511,028 | (0.63 | ) | 1.12 | 1.12 | 29 | ||||||||||||||||||||||||||||||||
07/01/18 | 06/30/19 | 20.34 | (0.10 | ) | 2.77 | 2.67 | (0.08 | ) | (0.80 | ) | (0.88 | ) | 22.13 | 14.40 | 493,421 | (0.51 | ) | 1.13 | 1.13 | 44 | |||||||||||||||||||||||||||||||
07/01/17 | 06/30/18 | 17.61 | (0.11 | ) | 3.15 | 3.04 | (0.06 | ) | (0.25 | ) | (0.31 | ) | 20.34 | 17.44 | 476,786 | (0.57 | ) | 1.13 | 1.13 | 30 | |||||||||||||||||||||||||||||||
07/01/16 | 06/30/17 | 15.65 | (0.11 | ) | 2.63 | 2.52 | — | (0.56 | ) | (0.56 | ) | 17.61 | 16.40 | 335,185 | (0.64 | ) | 1.13 | 1.13 | 22 | ||||||||||||||||||||||||||||||||
07/01/15 | 06/30/16 | 18.05 | (0.10 | ) | 0.26 | 0.16 | — | (2.56 | ) | (2.56 | ) | 15.65 | 1.43 | 268,390 | (0.60 | ) | 1.13 | 1.13 | 32 | ||||||||||||||||||||||||||||||||
Advisor Shares* | |||||||||||||||||||||||||||||||||||||||||||||||||||
07/01/20 | 12/31/20 | 21.10 | (0.12 | ) | 6.73 | 6.61 | — | (0.21 | ) | (0.21 | ) | 27.50 | 31.37 | 14,774 | (0.99 | ) | 1.36 | 1.36 | 16 | ||||||||||||||||||||||||||||||||
07/01/19 | 06/30/20 | 21.15 | (0.18 | ) | 0.55 | 0.37 | — | (0.42 | ) | (0.42 | ) | 21.10 | 1.78 | 12,159 | (0.88 | ) | 1.37 | 1.37 | 29 | ||||||||||||||||||||||||||||||||
07/01/18 | 06/30/19 | 19.46 | (0.15 | ) | 2.64 | 2.49 | (0.04 | ) | (0.76 | ) | (0.80 | ) | 21.15 | 14.08 | 14,489 | (0.76 | ) | 1.38 | 1.38 | 44 | |||||||||||||||||||||||||||||||
07/01/17 | 06/30/18 | 16.85 | (0.15 | ) | 3.02 | 2.87 | (0.02 | ) | (0.24 | ) | (0.26 | ) | 19.46 | 17.21 | 18,449 | (0.82 | ) | 1.38 | 1.38 | 30 | |||||||||||||||||||||||||||||||
07/01/16 | 06/30/17 | 15.02 | (0.14 | ) | 2.51 | 2.37 | — | (0.54 | ) | (0.54 | ) | 16.85 | 16.04 | 32,852 | (0.89 | ) | 1.38 | 1.38 | 22 | ||||||||||||||||||||||||||||||||
07/01/15 | 06/30/16 | 17.35 | (0.13 | ) | 0.26 | 0.13 | — | (2.46 | ) | (2.46 | ) | 15.02 | 1.27 | 9,704 | (0.85 | ) | 1.38 | 1.38 | 32 |
The accompanying notes are an integral part of these financial statements.
99
From Investment | Distributions to | Ratios to Average | ||||||||||||||||||||||||||||||||||||||||||||||||||||
Operations(a) | Shareholders From | Net Assets(b) | ||||||||||||||||||||||||||||||||||||||||||||||||||||
Net | ||||||||||||||||||||||||||||||||||||||||||||||||||||||
For a Share | Realized | Net | Net | |||||||||||||||||||||||||||||||||||||||||||||||||||
Outstanding | Net Asset | Net | & | Asset | Assets at | Net | ||||||||||||||||||||||||||||||||||||||||||||||||
Throughout | Value, | Investment | Unrealized | Net | Net | Value, | End of | Investment | Gross | Portfolio | ||||||||||||||||||||||||||||||||||||||||||||
Each Fiscal Period: | Beginning | Income | Gains | Investment | Realized | End of | Total | Period | Income | Net | Expenses | Turnover | ||||||||||||||||||||||||||||||||||||||||||
Beginning | Ending | of Period | (Loss) | (Losses) | Total | Income | Gains | Total | Period | Return(c) | (000’s | ) | (Loss) | Expenses | (d) | Rate(c) | ||||||||||||||||||||||||||||||||||||||
BROWN ADVISORY SMALL-CAP FUNDAMENTAL VALUE FUND: | ||||||||||||||||||||||||||||||||||||||||||||||||||||||
Institutional Shares* | ||||||||||||||||||||||||||||||||||||||||||||||||||||||
07/01/20 | 12/31/20 | $19.25 | 0.06 | 4.83 | 4.89 | (0.15 | ) | — | (0.15 | ) | $ | 23.99 | 25.39 | % | $ | 434,398 | 0.57 | % | 0.95 | % | 0.95 | % | 26 | % | ||||||||||||||||||||||||||||||
07/01/19 | 06/30/20 | 24.77 | 0.21 | (4.46 | ) | (4.25 | ) | (0.13 | ) | (1.14 | ) | (1.27 | ) | 19.25 | (18.38 | ) | 336,819 | 0.94 | 0.97 | 0.97 | 56 | |||||||||||||||||||||||||||||||||
07/01/18 | 06/30/19 | 29.16 | 0.29 | (1.54 | ) | (1.25 | ) | (0.21 | ) | (2.93 | ) | (3.14 | ) | 24.77 | (2.91 | ) | 447,846 | 1.10 | 0.97 | 0.97 | 36 | |||||||||||||||||||||||||||||||||
07/01/17 | 06/30/18 | 27.11 | 0.15 | 3.11 | 3.26 | (0.20 | ) | (1.01 | ) | (1.21 | ) | 29.16 | 12.13 | 410,785 | 0.52 | 0.97 | 0.97 | 32 | ||||||||||||||||||||||||||||||||||||
07/01/16 | 06/30/17 | 22.75 | 0.17 | 4.31 | 4.48 | (0.09 | ) | (0.03 | ) | (0.12 | ) | 27.11 | 19.73 | 341,038 | 0.68 | 0.97 | 0.97 | 30 | ||||||||||||||||||||||||||||||||||||
07/01/15 | 06/30/16 | 23.61 | 0.13 | (0.44 | ) | (0.31 | ) | (0.10 | ) | (0.45 | ) | (0.55 | ) | 22.75 | (1.17 | ) | 156,205 | 0.59 | 0.98 | 0.98 | 30 | |||||||||||||||||||||||||||||||||
Investor Shares* | ||||||||||||||||||||||||||||||||||||||||||||||||||||||
07/01/20 | 12/31/20 | 19.22 | 0.04 | 4.81 | 4.85 | (0.11 | ) | — | (0.11 | ) | 23.96 | 25.31 | 521,751 | 0.42 | 1.10 | 1.10 | 26 | |||||||||||||||||||||||||||||||||||||
07/01/19 | 06/30/20 | 24.75 | 0.18 | (4.46 | ) | (4.28 | ) | (0.11 | ) | (1.14 | ) | (1.25 | ) | 19.22 | (18.49 | ) | 432,498 | 0.79 | 1.12 | 1.12 | 56 | |||||||||||||||||||||||||||||||||
07/01/18 | 06/30/19 | 29.12 | 0.25 | (1.53 | ) | (1.28 | ) | (0.16 | ) | (2.93 | ) | (3.09 | ) | 24.75 | (3.05 | ) | 577,212 | 0.95 | 1.12 | 1.12 | 36 | |||||||||||||||||||||||||||||||||
07/01/17 | 06/30/18 | 27.08 | 0.10 | 3.10 | 3.20 | (0.15 | ) | (1.01 | ) | (1.16 | ) | 29.12 | 11.95 | 874,269 | 0.37 | 1.12 | 1.12 | 32 | ||||||||||||||||||||||||||||||||||||
07/01/16 | 06/30/17 | 22.73 | 0.13 | 4.31 | 4.44 | (0.06 | ) | (0.03 | ) | (0.09 | ) | 27.08 | 19.54 | 834,317 | 0.53 | 1.12 | 1.12 | 30 | ||||||||||||||||||||||||||||||||||||
07/01/15 | 06/30/16 | 23.59 | 0.10 | (0.44 | ) | (0.34 | ) | (0.07 | ) | (0.45 | ) | (0.52 | ) | 22.73 | (1.32 | ) | 774,547 | 0.44 | 1.13 | 1.13 | 30 | |||||||||||||||||||||||||||||||||
Advisor Shares* | ||||||||||||||||||||||||||||||||||||||||||||||||||||||
07/01/20 | 12/31/20 | 19.10 | 0.02 | 4.78 | 4.80 | (0.04 | ) | — | (0.04 | ) | 23.86 | 25.15 | 4,704 | 0.17 | 1.35 | 1.35 | 26 | |||||||||||||||||||||||||||||||||||||
07/01/19 | 06/30/20 | 24.64 | 0.12 | (4.44 | ) | (4.32 | ) | (0.08 | ) | (1.14 | ) | (1.22 | ) | 19.10 | (18.71 | ) | 4,480 | 0.54 | 1.37 | 1.37 | 56 | |||||||||||||||||||||||||||||||||
07/01/18 | 06/30/19 | 28.98 | 0.19 | (1.51 | ) | (1.32 | ) | (0.09 | ) | (2.93 | ) | (3.02 | ) | 24.64 | (3.27 | ) | 8,393 | 0.70 | 1.37 | 1.37 | 36 | |||||||||||||||||||||||||||||||||
07/01/17 | 06/30/18 | 26.95 | 0.03 | 3.08 | 3.11 | (0.07 | ) | (1.01 | ) | (1.08 | ) | 28.98 | 11.65 | 25,032 | 0.12 | 1.37 | 1.37 | 32 | ||||||||||||||||||||||||||||||||||||
07/01/16 | 06/30/17 | 22.62 | 0.07 | 4.29 | 4.36 | — | (0.03 | ) | (0.03 | ) | 26.95 | 19.29 | 24,974 | 0.28 | 1.37 | 1.37 | 30 | |||||||||||||||||||||||||||||||||||||
07/01/15 | 06/30/16 | 23.48 | 0.04 | (0.44 | ) | (0.40 | ) | (0.01 | ) | (0.45 | ) | (0.46 | ) | 22.62 | (1.58 | ) | 52,883 | 0.19 | 1.38 | 1.38 | 30 | |||||||||||||||||||||||||||||||||
BROWN ADVISORY GLOBAL LEADERS FUND: | ||||||||||||||||||||||||||||||||||||||||||||||||||||||
Institutional Shares* | ||||||||||||||||||||||||||||||||||||||||||||||||||||||
07/01/20 | 12/31/20 | 16.38 | (0.01 | ) | 4.04 | 4.03 | (0.03 | ) | — | (0.03 | ) | 20.38 | 24.60 | 893,853 | (0.15 | ) | 0.75 | 0.77 | 3 | |||||||||||||||||||||||||||||||||||
07/01/19 | 06/30/20 | 15.24 | 0.07 | 1.13 | 1.20 | (0.06 | ) | — | (0.06 | ) | 16.38 | 7.85 | 605,983 | 0.45 | 0.75 | 0.82 | 27 | |||||||||||||||||||||||||||||||||||||
10/31/18^ | 06/30/19 | 13.13 | 0.07 | 2.07 | 2.14 | (0.03 | ) | — | (0.03 | ) | 15.24 | 16.38 | 214,263 | 0.71 | 0.75 | 0.88 | 23 | |||||||||||||||||||||||||||||||||||||
Investor Shares* | ||||||||||||||||||||||||||||||||||||||||||||||||||||||
07/01/20 | 12/31/20 | 16.36 | (0.03 | ) | 4.03 | 4.00 | (0.02 | ) | — | (0.02 | ) | 20.34 | 24.45 | 83,130 | (0.30 | ) | 0.90 | 0.92 | 3 | |||||||||||||||||||||||||||||||||||
07/01/19 | 06/30/20 | 15.23 | 0.05 | 1.12 | 1.17 | (0.04 | ) | — | (0.04 | ) | 16.36 | 7.68 | 66,813 | 0.30 | 0.90 | 0.97 | 27 | |||||||||||||||||||||||||||||||||||||
07/01/18 | 06/30/19 | 13.82 | 0.08 | 1.36 | 1.44 | (0.03 | ) | — | (0.03 | ) | 15.23 | 10.49 | 18,943 | 0.60 | 0.86 | 1.07 | 23 | |||||||||||||||||||||||||||||||||||||
07/01/17 | 06/30/18 | 11.50 | 0.08 | 2.25 | 2.33 | (0.01 | ) | — | (0.01 | ) | 13.82 | 20.28 | 86,112 | 0.60 | 0.85 | 1.10 | 26 | |||||||||||||||||||||||||||||||||||||
07/01/16 | 06/30/17 | 9.65 | 0.04 | 1.83 | 1.87 | (0.02 | ) | — | (0.02 | ) | 11.50 | 19.39 | 39,354 | 0.39 | 0.85 | 1.16 | 35 | |||||||||||||||||||||||||||||||||||||
07/01/15^ | 06/30/16 | 10.00 | 0.05 | (0.40 | ) | (0.35 | ) | — | — | — | 9.65 | (3.50 | ) | 26,367 | 0.55 | 0.85 | 1.41 | 53 |
The accompanying notes are an integral part of these financial statements.
100
From Investment | Distributions to | Ratios to Average | ||||||||||||||||||||||||||||||||||||||||||||||||||||
Operations(a) | Shareholders From | Net Assets(b) | ||||||||||||||||||||||||||||||||||||||||||||||||||||
Net | ||||||||||||||||||||||||||||||||||||||||||||||||||||||
For a Share | Realized | Net | Net | |||||||||||||||||||||||||||||||||||||||||||||||||||
Outstanding | Net Asset | Net | & | Asset | Assets at | Net | ||||||||||||||||||||||||||||||||||||||||||||||||
Throughout | Value, | Investment | Unrealized | Net | Net | Value, | End of | Investment | Gross | Portfolio | ||||||||||||||||||||||||||||||||||||||||||||
Each Fiscal Period: | Beginning | Income | Gains | Investment | Realized | End of | Total | Period | Income | Net | Expenses | Turnover | ||||||||||||||||||||||||||||||||||||||||||
Beginning | Ending | of Period | (Loss) | (Losses) | Total | Income | Gains | Total | Period | Return(c) | (000’s | ) | (Loss) | Expenses | (d) | Rate(c) | ||||||||||||||||||||||||||||||||||||||
BROWN ADVISORY INTERMEDIATE INCOME FUND: | ||||||||||||||||||||||||||||||||||||||||||||||||||||||
Investor Shares* | ||||||||||||||||||||||||||||||||||||||||||||||||||||||
07/01/20 | 12/31/20 | $11.06 | 0.06 | 0.13 | 0.19 | (0.07 | ) | (0.01 | ) | (0.08 | ) | $ | 11.17 | 1.67 | % | $ | 183,999 | 1.14 | % | 0.48 | % | 0.51 | % | 21 | % | |||||||||||||||||||||||||||||
07/01/19 | 06/30/20 | 10.72 | 0.24 | 0.35 | 0.59 | (0.25 | ) | — | (0.25 | ) | 11.06 | 5.55 | 148,300 | 2.24 | 0.49 | 0.53 | 105 | |||||||||||||||||||||||||||||||||||||
07/01/18 | 06/30/19 | 10.35 | 0.27 | 0.36 | 0.63 | (0.26 | ) | — | (0.26 | ) | 10.72 | 6.24 | 135,175 | 2.63 | 0.47 | 0.53 | 82 | |||||||||||||||||||||||||||||||||||||
07/01/17 | 06/30/18 | 10.60 | 0.23 | (0.24 | ) | (0.01 | ) | (0.24 | ) | — | (0.24 | ) | 10.35 | (0.12 | ) | 125,060 | 2.20 | 0.45 | 0.51 | 35 | ||||||||||||||||||||||||||||||||||
07/01/16 | 06/30/17 | 10.78 | 0.20 | (0.16 | ) | 0.04 | (0.22 | ) | — | (0.22 | ) | 10.60 | 0.40 | 131,941 | 1.88 | 0.45 | 0.51 | 62 | ||||||||||||||||||||||||||||||||||||
07/01/15 | 06/30/16 | 10.63 | 0.20 | 0.22 | 0.42 | (0.21 | ) | (0.06 | ) | (0.27 | ) | 10.78 | 3.99 | 137,900 | 1.92 | 0.43 | 0.50 | 68 | ||||||||||||||||||||||||||||||||||||
Advisor Shares* | ||||||||||||||||||||||||||||||||||||||||||||||||||||||
07/01/20 | 12/31/20 | 10.82 | 0.05 | 0.13 | 0.18 | (0.06 | ) | (0.01 | ) | (0.07 | ) | 10.93 | 1.58 | 3,705 | 0.89 | 0.73 | 0.76 | 21 | ||||||||||||||||||||||||||||||||||||
07/01/19 | 06/30/20 | 10.49 | 0.21 | 0.34 | 0.55 | (0.22 | ) | — | (0.22 | ) | 10.82 | 5.32 | 3,624 | 1.99 | 0.74 | 0.78 | 105 | |||||||||||||||||||||||||||||||||||||
07/01/18 | 06/30/19 | 10.13 | 0.24 | 0.36 | 0.60 | (0.24 | ) | — | (0.24 | ) | 10.49 | 6.01 | 3,615 | 2.38 | 0.72 | 0.78 | 82 | |||||||||||||||||||||||||||||||||||||
07/01/17 | 06/30/18 | 10.38 | 0.20 | (0.24 | ) | (0.04 | ) | (0.21 | ) | — | (0.21 | ) | 10.13 | (0.38 | ) | 3,782 | 1.95 | 0.70 | 0.76 | 35 | ||||||||||||||||||||||||||||||||||
07/01/16 | 06/30/17 | 10.56 | 0.17 | (0.15 | ) | 0.02 | (0.20 | ) | — | (0.20 | ) | 10.38 | 0.16 | 4,098 | 1.63 | 0.70 | 0.76 | 62 | ||||||||||||||||||||||||||||||||||||
07/01/15 | 06/30/16 | 10.42 | 0.17 | 0.21 | 0.38 | (0.18 | ) | (0.06 | ) | (0.24 | ) | 10.56 | 3.71 | 8,972 | 1.67 | 0.68 | 0.75 | 68 | ||||||||||||||||||||||||||||||||||||
BROWN ADVISORY TOTAL RETURN FUND: | ||||||||||||||||||||||||||||||||||||||||||||||||||||||
Institutional Shares* | ||||||||||||||||||||||||||||||||||||||||||||||||||||||
07/01/20 | 12/31/20 | 10.51 | 0.08 | 0.32 | 0.40 | (0.08 | ) | (0.19 | ) | (0.27 | ) | 10.64 | 3.87 | 453,652 | 1.41 | 0.43 | 0.43 | 44 | ||||||||||||||||||||||||||||||||||||
07/01/19 | 06/30/20 | 10.22 | 0.27 | 0.52 | 0.79 | (0.28 | ) | (0.22 | ) | (0.50 | ) | 10.51 | 7.90 | 388,100 | 2.62 | 0.45 | 0.45 | 143 | ||||||||||||||||||||||||||||||||||||
07/01/18 | 06/30/19 | 9.78 | 0.32 | 0.44 | 0.76 | (0.32 | ) | — | (0.32 | ) | 10.22 | 7.90 | 246,074 | 3.26 | 0.49 | 0.49 | 106 | |||||||||||||||||||||||||||||||||||||
07/01/17 | 06/30/18 | 10.00 | 0.28 | (0.22 | ) | 0.06 | (0.28 | ) | — | (0.28 | ) | 9.78 | 0.61 | 121,381 | 2.79 | 0.50 | 0.50 | 209 | ||||||||||||||||||||||||||||||||||||
07/01/16 | 06/30/17 | 10.18 | 0.24 | (0.16 | ) | 0.08 | (0.25 | ) | (0.01 | ) | (0.26 | ) | 10.00 | 0.80 | 107,686 | 2.36 | 0.51 | 0.51 | 216 | |||||||||||||||||||||||||||||||||||
07/01/15 | 06/30/16 | 9.83 | 0.25 | 0.37 | 0.62 | (0.27 | ) | — | (0.27 | ) | 10.18 | 6.46 | 83,854 | 2.55 | 0.51 | 0.51 | 218 | |||||||||||||||||||||||||||||||||||||
Investor Shares* | ||||||||||||||||||||||||||||||||||||||||||||||||||||||
07/01/20 | 12/31/20 | 10.51 | 0.07 | 0.33 | 0.40 | (0.08 | ) | (0.19 | ) | (0.27 | ) | 10.64 | 3.84 | 5,583 | 1.36 | 0.48 | 0.48 | 44 | ||||||||||||||||||||||||||||||||||||
07/01/19 | 06/30/20 | 10.22 | 0.26 | 0.52 | 0.78 | (0.27 | ) | (0.22 | ) | (0.49 | ) | 10.51 | 7.85 | 4,523 | 2.57 | 0.50 | 0.50 | 143 | ||||||||||||||||||||||||||||||||||||
07/01/18 | 06/30/19 | 9.78 | 0.32 | 0.43 | 0.75 | (0.31 | ) | — | (0.31 | ) | 10.22 | 7.85 | 4,916 | 3.21 | 0.54 | 0.54 | 106 | |||||||||||||||||||||||||||||||||||||
07/01/17 | 06/30/18 | 10.00 | 0.27 | (0.21 | ) | 0.06 | (0.28 | ) | — | (0.28 | ) | 9.78 | 0.56 | 2,619 | 2.74 | 0.55 | 0.55 | 209 | ||||||||||||||||||||||||||||||||||||
07/01/16 | 06/30/17 | 10.18 | 0.23 | (0.16 | ) | 0.07 | (0.24 | ) | (0.01 | ) | (0.25 | ) | 10.00 | 0.75 | 2,668 | 2.31 | 0.56 | 0.56 | 216 | |||||||||||||||||||||||||||||||||||
07/01/15 | 06/30/16 | 9.83 | 0.25 | 0.37 | 0.62 | (0.27 | ) | — | (0.27 | ) | 10.18 | 6.40 | 1,957 | 2.50 | 0.56 | 0.56 | 218 | |||||||||||||||||||||||||||||||||||||
BROWN ADVISORY SUSTAINABLE BOND FUND: | ||||||||||||||||||||||||||||||||||||||||||||||||||||||
Institutional Shares* | ||||||||||||||||||||||||||||||||||||||||||||||||||||||
07/01/20 | 12/31/20 | 10.54 | 0.10 | 0.22 | 0.32 | (0.10 | ) | (0.21 | ) | (0.31 | ) | 10.55 | 2.99 | 196,041 | 1.78 | 0.45 | 0.45 | 40 | ||||||||||||||||||||||||||||||||||||
07/01/19 | 06/30/20 | 10.13 | 0.27 | 0.54 | 0.81 | (0.28 | ) | (0.12 | ) | (0.40 | ) | 10.54 | 8.14 | 153,472 | 2.63 | 0.48 | 0.48 | 97 | ||||||||||||||||||||||||||||||||||||
07/02/18^ | 06/30/19 | 9.70 | 0.30 | 0.42 | 0.72 | (0.29 | ) | — | (0.29 | ) | 10.13 | 7.60 | 126,466 | 3.08 | 0.55 | 0.52 | 66 | |||||||||||||||||||||||||||||||||||||
Investor Shares* | ||||||||||||||||||||||||||||||||||||||||||||||||||||||
07/01/20 | 12/31/20 | 10.54 | 0.09 | 0.23 | 0.32 | (0.10 | ) | (0.21 | ) | (0.31 | ) | 10.55 | 2.97 | 3,413 | 1.73 | 0.50 | 0.50 | 40 | ||||||||||||||||||||||||||||||||||||
07/01/19 | 06/30/20 | 10.13 | 0.26 | 0.54 | 0.80 | (0.27 | ) | (0.12 | ) | (0.39 | ) | 10.54 | 8.09 | 2,125 | 2.58 | 0.53 | 0.53 | 97 | ||||||||||||||||||||||||||||||||||||
07/01/18 | 06/30/19 | 9.70 | 0.29 | 0.43 | 0.72 | (0.29 | ) | — | (0.29 | ) | 10.13 | 7.54 | 884 | 3.03 | 0.60 | 0.57 | 66 | |||||||||||||||||||||||||||||||||||||
08/07/17^ | 06/30/18 | 10.00 | 0.21 | (0.34 | ) | (0.13 | ) | (0.17 | ) | — | (0.17 | ) | 9.70 | (1.27 | ) | 54,291 | 2.41 | 0.60 | 0.71 | 64 |
The accompanying notes are an integral part of these financial statements.
101
From Investment | Distributions to | Ratios to Average | ||||||||||||||||||||||||||||||||||||||||||||||||||||
Operations(a) | Shareholders From | Net Assets(b) | ||||||||||||||||||||||||||||||||||||||||||||||||||||
Net | ||||||||||||||||||||||||||||||||||||||||||||||||||||||
For a Share | Realized | Net | Net | |||||||||||||||||||||||||||||||||||||||||||||||||||
Outstanding | Net Asset | Net | & | Asset | Assets at | Net | ||||||||||||||||||||||||||||||||||||||||||||||||
Throughout | Value, | Investment | Unrealized | Net | Net | Value, | End of | Investment | Gross | Portfolio | ||||||||||||||||||||||||||||||||||||||||||||
Each Fiscal Period: | Beginning | Income | Gains | Investment | Realized | End of | Total | Period | Income | Net | Expenses | Turnover | ||||||||||||||||||||||||||||||||||||||||||
Beginning | Ending | of Period | (Loss) | (Losses) | Total | Income | Gains | Total | Period | Return(c) | (000’s | ) | (Loss) | Expenses | (d) | Rate(c) | ||||||||||||||||||||||||||||||||||||||
BROWN ADVISORY MARYLAND BOND FUND: | ||||||||||||||||||||||||||||||||||||||||||||||||||||||
Investor Shares* | ||||||||||||||||||||||||||||||||||||||||||||||||||||||
07/01/20 | 12/31/20 | $10.67 | 0.11 | 0.21 | 0.32 | (0.13 | ) | — | (0.13 | ) | $ | 10.86 | 3.03 | % | $ | 177,147 | 1.99 | % | 0.48 | % | 0.48 | % | 9 | % | ||||||||||||||||||||||||||||||
07/01/19 | 06/30/20 | 10.80 | 0.25 | (0.09 | ) | 0.16 | (0.29 | ) | — | (0.29 | ) | 10.67 | 1.44 | 176,198 | 2.31 | 0.49 | 0.49 | 37 | ||||||||||||||||||||||||||||||||||||
07/01/18 | 06/30/19 | 10.50 | 0.28 | 0.30 | 0.58 | (0.28 | ) | — | (0.28 | ) | 10.80 | 5.65 | 182,072 | 2.69 | 0.49 | 0.49 | 33 | |||||||||||||||||||||||||||||||||||||
07/01/17 | 06/30/18 | 10.62 | 0.26 | (0.12 | ) | 0.14 | (0.26 | ) | — | (0.26 | ) | 10.50 | 1.29 | 181,230 | 2.42 | 0.48 | 0.48 | 25 | ||||||||||||||||||||||||||||||||||||
07/01/16 | 06/30/17 | 10.92 | 0.23 | (0.26 | ) | (0.03 | ) | (0.23 | ) | (0.04 | ) | (0.27 | ) | 10.62 | (0.27 | ) | 181,518 | 2.14 | 0.49 | 0.49 | 53 | |||||||||||||||||||||||||||||||||
07/01/15 | 06/30/16 | 10.65 | 0.23 | 0.32 | 0.55 | (0.23 | ) | (0.05 | ) | (0.28 | ) | 10.92 | 5.24 | 183,705 | 2.12 | 0.48 | 0.48 | 80 | ||||||||||||||||||||||||||||||||||||
BROWN ADVISORY TAX-EXEMPT BOND FUND: | ||||||||||||||||||||||||||||||||||||||||||||||||||||||
Institutional Shares* | ||||||||||||||||||||||||||||||||||||||||||||||||||||||
07/01/20 | 12/31/20 | 10.08 | 0.10 | 0.32 | 0.42 | (0.13 | ) | — | (0.13 | ) | 10.37 | 4.23 | 1,160,774 | 2.03 | 0.41 | 0.41 | 20 | |||||||||||||||||||||||||||||||||||||
07/01/19 | 06/30/20 | 10.20 | 0.24 | (0.08 | ) | 0.16 | (0.28 | ) | — | (0.28 | ) | 10.08 | 1.59 | 1,072,444 | 2.38 | 0.42 | 0.42 | 80 | ||||||||||||||||||||||||||||||||||||
07/02/18^ | 06/30/19 | 9.90 | 0.33 | 0.30 | 0.63 | (0.33 | ) | — | (0.33 | ) | 10.20 | 6.51 | 950,832 | 3.36 | 0.43 | 0.43 | 53 | |||||||||||||||||||||||||||||||||||||
Investor Shares* | ||||||||||||||||||||||||||||||||||||||||||||||||||||||
07/01/20 | 12/31/20 | 10.09 | 0.10 | 0.32 | 0.42 | (0.13 | ) | — | (0.13 | ) | 10.38 | 4.20 | 9,611 | 1.98 | 0.46 | 0.46 | 20 | |||||||||||||||||||||||||||||||||||||
07/01/19 | 06/30/20 | 10.20 | 0.24 | (0.07 | ) | 0.17 | (0.28 | ) | — | (0.28 | ) | 10.09 | 1.64 | 9,982 | 2.33 | 0.47 | 0.47 | 80 | ||||||||||||||||||||||||||||||||||||
07/01/18 | 06/30/19 | 9.90 | 0.33 | 0.30 | 0.63 | (0.33 | ) | — | (0.33 | ) | 10.20 | 6.49 | 19,395 | 3.31 | 0.48 | 0.48 | 53 | |||||||||||||||||||||||||||||||||||||
07/01/17 | 06/30/18 | 9.94 | 0.31 | (0.04 | ) | 0.27 | (0.31 | ) | — | (0.31 | ) | 9.90 | 2.78 | 439,906 | 3.16 | 0.48 | 0.48 | 55 | ||||||||||||||||||||||||||||||||||||
07/01/16 | 06/30/17 | 10.26 | 0.29 | (0.32 | ) | (0.03 | ) | (0.29 | ) | — | (0.29 | ) | 9.94 | (0.29 | ) | 257,602 | 2.88 | 0.49 | 0.49 | 55 | ||||||||||||||||||||||||||||||||||
07/01/15 | 06/30/16 | 9.93 | 0.25 | 0.33 | 0.58 | (0.25 | ) | — | (0.25 | ) | 10.26 | 5.94 | 233,675 | 2.51 | 0.49 | 0.49 | 119 | |||||||||||||||||||||||||||||||||||||
BROWN ADVISORY TAX-EXEMPT SUSTAINABLE BOND FUND: | ||||||||||||||||||||||||||||||||||||||||||||||||||||||
Investor Shares* | ||||||||||||||||||||||||||||||||||||||||||||||||||||||
07/01/20 | 12/31/20 | 9.88 | 0.06 | 0.20 | 0.26 | (0.06 | ) | (0.01 | ) | (0.07 | ) | 10.07 | 2.65 | 199,173 | 1.29 | 0.49 | 0.49 | 13 | ||||||||||||||||||||||||||||||||||||
12/02/19^ | 06/30/20 | 10.00 | 0.08 | (0.12 | ) | (0.04 | ) | (0.08 | ) | — | (0.08 | ) | 9.88 | (0.37 | ) | 157,032 | 1.45 | 0.55 | 0.55 | 39 | ||||||||||||||||||||||||||||||||||
BROWN ADVISORY MORTGAGE SECURITIES FUND: | ||||||||||||||||||||||||||||||||||||||||||||||||||||||
Institutional Shares* | ||||||||||||||||||||||||||||||||||||||||||||||||||||||
07/01/20 | 12/31/20 | 10.46 | (0.01 | ) | 0.14 | 0.13 | (0.04 | ) | — | (0.04 | ) | 10.55 | 1.25 | 254,874 | (0.26 | ) | 0.45 | 0.45 | 52 | |||||||||||||||||||||||||||||||||||
07/01/19 | 06/30/20 | 10.02 | 0.11 | 0.50 | 0.61 | (0.17 | ) | — | (0.17 | ) | 10.46 | 6.09 | 238,202 | 1.07 | 0.47 | 0.47 | 139 | |||||||||||||||||||||||||||||||||||||
07/01/18 | 06/30/19 | 9.65 | 0.22 | 0.42 | 0.64 | (0.27 | ) | — | (0.27 | ) | 10.02 | 6.72 | 281,728 | 2.29 | 0.47 | 0.47 | 200 | |||||||||||||||||||||||||||||||||||||
07/01/17 | 06/30/18 | 9.87 | 0.18 | (0.16 | ) | 0.02 | (0.24 | ) | — | (0.24 | ) | 9.65 | 0.16 | 300,643 | 1.86 | 0.47 | 0.47 | 336 | ||||||||||||||||||||||||||||||||||||
07/01/16 | 06/30/17 | 10.20 | 0.15 | (0.21 | ) | (0.06 | ) | (0.20 | ) | (0.07 | ) | (0.27 | ) | 9.87 | (0.52 | ) | 342,705 | 1.53 | 0.46 | 0.46 | 414 | |||||||||||||||||||||||||||||||||
07/01/15 | 06/30/16 | 10.06 | 0.22 | 0.21 | 0.43 | (0.25 | ) | (0.04 | ) | (0.29 | ) | 10.20 | 4.32 | 377,908 | 2.12 | 0.45 | 0.45 | 244 | ||||||||||||||||||||||||||||||||||||
Investor Shares* | ||||||||||||||||||||||||||||||||||||||||||||||||||||||
07/01/20 | 12/31/20 | 10.47 | (0.02 | ) | 0.15 | 0.13 | (0.04 | ) | — | (0.04 | ) | 10.56 | 1.23 | 22,815 | (0.31 | ) | 0.50 | 0.50 | 52 | |||||||||||||||||||||||||||||||||||
07/01/19 | 06/30/20 | 10.02 | 0.11 | 0.50 | 0.61 | (0.16 | ) | — | (0.16 | ) | 10.47 | 6.15 | 9,755 | 1.02 | 0.52 | 0.52 | 139 | |||||||||||||||||||||||||||||||||||||
07/01/18 | 06/30/19 | 9.66 | 0.22 | 0.40 | 0.62 | (0.26 | ) | — | (0.26 | ) | 10.02 | 6.55 | 266 | 2.24 | 0.52 | 0.52 | 200 | |||||||||||||||||||||||||||||||||||||
07/01/17 | 06/30/18 | 9.87 | 0.18 | (0.16 | ) | 0.02 | (0.23 | ) | — | (0.23 | ) | 9.66 | 0.21 | 321 | 1.81 | 0.52 | 0.52 | 336 | ||||||||||||||||||||||||||||||||||||
07/01/16 | 06/30/17 | 10.21 | 0.15 | (0.22 | ) | (0.07 | ) | (0.20 | ) | (0.07 | ) | (0.27 | ) | 9.87 | (0.68 | ) | 738 | 1.48 | 0.51 | 0.51 | 414 | |||||||||||||||||||||||||||||||||
07/01/15 | 06/30/16 | 10.06 | 0.21 | 0.22 | 0.43 | (0.24 | ) | (0.04 | ) | (0.28 | ) | 10.21 | 4.33 | 1,793 | 2.07 | 0.50 | 0.50 | 244 |
The accompanying notes are an integral part of these financial statements.
102
Financial Highlights
From Investment | Distributions to | Ratios to Average | |||||||||||||||||||||||||||||||||||||||||||||||||||||
Operations(a) | Shareholders From | Net Assets(b) | |||||||||||||||||||||||||||||||||||||||||||||||||||||
Net | |||||||||||||||||||||||||||||||||||||||||||||||||||||||
For a Share | Realized | Net | Net | ||||||||||||||||||||||||||||||||||||||||||||||||||||
Outstanding | Net Asset | Net | & | Asset | Assets at | Net | |||||||||||||||||||||||||||||||||||||||||||||||||
Throughout | Value, | Investment | Unrealized | Net | Net | Value, | End of | Investment | Gross | Portfolio | |||||||||||||||||||||||||||||||||||||||||||||
Each Fiscal Period: | Beginning | Income | Gains | Investment | Realized | End of | Total | Period | Income | Net | Expenses | Turnover | |||||||||||||||||||||||||||||||||||||||||||
Beginning | Ending | of Period | (Loss) | (Losses) | Total | Income | Gains | Total | Period | Return(c) | (000’s | ) | (Loss) | Expenses | (d) | Rate(c) | |||||||||||||||||||||||||||||||||||||||
BROWN ADVISORY - WMC STRATEGIC EUROPEAN EQUITY FUND: | |||||||||||||||||||||||||||||||||||||||||||||||||||||||
Institutional Shares* | |||||||||||||||||||||||||||||||||||||||||||||||||||||||
07/01/20 | 12/31/20 | $10.51 | 0.03 | 2.01 | 2.04 | (0.03 | ) | (0.73 | ) | (0.76 | ) | $ | 11.79 | 19.47 | % | $ | 326,057 | 0.45 | % | 1.07 | % | 1.07 | % | 28 | % | ||||||||||||||||||||||||||||||
07/01/19 | 06/30/20 | 11.15 | 0.03 | (0.07 | ) | (0.04 | ) | (0.10 | ) | (0.50 | ) | (0.60 | ) | 10.51 | (0.66 | ) | 287,081 | 0.29 | 1.09 | 1.09 | 53 | ||||||||||||||||||||||||||||||||||
07/01/18 | 06/30/19 | 12.42 | 0.07 | (0.16 | ) | (0.09 | ) | (0.20 | ) | (0.98 | ) | (1.18 | ) | 11.15 | 0.84 | 470,903 | 0.62 | 1.07 | 1.07 | 34 | |||||||||||||||||||||||||||||||||||
07/01/17 | 06/30/18 | 12.05 | 0.13 | 0.35 | 0.48 | (0.11 | ) | — | (0.11 | ) | 12.42 | 3.97 | 927,916 | 1.03 | 1.07 | 1.07 | 33 | ||||||||||||||||||||||||||||||||||||||
07/01/16 | 06/30/17 | 9.90 | 0.12 | 2.16 | 2.28 | (0.13 | ) | — | (0.13 | ) | 12.05 | 23.32 | 1,176,492 | 1.10 | 1.09 | 1.09 | 27 | ||||||||||||||||||||||||||||||||||||||
07/01/15 | 06/30/16 | 10.20 | 0.13 | (0.40 | ) | (0.27 | ) | (0.03 | ) | — | (0.03 | ) | 9.90 | (2.68 | ) | 1,059,870 | 1.30 | 1.11 | 1.11 | 31 | |||||||||||||||||||||||||||||||||||
Investor Shares* | |||||||||||||||||||||||||||||||||||||||||||||||||||||||
07/01/20 | 12/31/20 | 10.48 | 0.02 | 2.01 | 2.03 | (0.02 | ) | (0.73 | ) | (0.75 | ) | 11.76 | 19.46 | 33,604 | 0.30 | 1.22 | 1.22 | 28 | |||||||||||||||||||||||||||||||||||||
07/01/19 | 06/30/20 | 11.12 | 0.01 | (0.06 | ) | (0.05 | ) | (0.09 | ) | (0.50 | ) | (0.59 | ) | 10.48 | (0.77 | ) | 22,224 | 0.14 | 1.24 | 1.24 | 53 | ||||||||||||||||||||||||||||||||||
07/01/18 | 06/30/19 | 12.41 | 0.05 | (0.17 | ) | (0.12 | ) | (0.19 | ) | (0.98 | ) | (1.17 | ) | 11.12 | 0.58 | 18,100 | 0.47 | 1.22 | 1.22 | 34 | |||||||||||||||||||||||||||||||||||
07/01/17 | 06/30/18 | 12.05 | 0.11 | 0.36 | 0.47 | (0.11 | ) | — | (0.11 | ) | 12.41 | 3.85 | 14,669 | 0.88 | 1.22 | 1.22 | 33 | ||||||||||||||||||||||||||||||||||||||
07/01/16 | 06/30/17 | 9.90 | 0.10 | 2.17 | 2.27 | (0.12 | ) | — | (0.12 | ) | 12.05 | 23.18 | 7,367 | 0.95 | 1.24 | 1.24 | 27 | ||||||||||||||||||||||||||||||||||||||
07/01/15 | 06/30/16 | 10.19 | 0.12 | (0.41 | ) | (0.29 | ) | — | — | — | 9.90 | (2.85 | ) | 13,031 | 1.15 | 1.26 | 1.26 | 31 | |||||||||||||||||||||||||||||||||||||
Advisor Shares* | |||||||||||||||||||||||||||||||||||||||||||||||||||||||
07/01/20 | 12/31/20 | 10.38 | — | 2.00 | 2.00 | (0.01 | ) | (0.73 | ) | (0.74 | ) | 11.64 | 19.30 | 3,587 | 0.05 | 1.47 | 1.47 | 28 | |||||||||||||||||||||||||||||||||||||
07/01/19 | 06/30/20 | 11.03 | (0.01 | ) | (0.07 | ) | (0.08 | ) | (0.07 | ) | (0.50 | ) | (0.57 | ) | 10.38 | (1.04 | ) | 3,816 | (0.11 | ) | 1.49 | 1.49 | 53 | ||||||||||||||||||||||||||||||||
07/01/18 | 06/30/19 | 12.30 | 0.02 | (0.16 | ) | (0.14 | ) | (0.15 | ) | (0.98 | ) | (1.13 | ) | 11.03 | 0.42 | 7,563 | 0.22 | 1.47 | 1.47 | 34 | |||||||||||||||||||||||||||||||||||
07/01/17 | 06/30/18 | 11.98 | 0.08 | 0.35 | 0.43 | (0.11 | ) | — | (0.11 | ) | 12.30 | 3.54 | 13,313 | 0.63 | 1.47 | 1.47 | 33 | ||||||||||||||||||||||||||||||||||||||
07/01/16 | 06/30/17 | 9.85 | 0.08 | 2.15 | 2.23 | (0.10 | ) | — | (0.10 | ) | 11.98 | 22.91 | 10,740 | 0.70 | 1.49 | 1.49 | 27 | ||||||||||||||||||||||||||||||||||||||
07/01/15 | 06/30/16 | 10.17 | 0.09 | (0.41 | ) | (0.32 | ) | — | — | — | 9.85 | (3.15 | ) | 745 | 0.90 | 1.51 | 1.51 | 31 | |||||||||||||||||||||||||||||||||||||
BROWN ADVISORY EMERGING MARKETS SELECT FUND: | |||||||||||||||||||||||||||||||||||||||||||||||||||||||
Institutional Shares* | |||||||||||||||||||||||||||||||||||||||||||||||||||||||
07/01/20 | 12/31/20 | 8.86 | 0.05 | 2.87 | 2.92 | (0.07 | ) | — | (0.07 | ) | 11.71 | 33.06 | 373,731 | 0.95 | 1.13 | 1.13 | 36 | ||||||||||||||||||||||||||||||||||||||
07/01/19 | 06/30/20 | 9.34 | 0.11 | (0.48 | ) | (0.37 | ) | (0.11 | ) | — | (0.11 | ) | 8.86 | (4.04 | ) | 267,282 | 1.27 | 1.16 | 1.16 | 62 | |||||||||||||||||||||||||||||||||||
07/01/18 | 06/30/19 | 10.06 | 0.11 | (0.48 | ) | (0.37 | ) | (0.35 | ) | — | (0.35 | ) | 9.34 | (3.35 | ) | 326,693 | 1.20 | 1.26 | 1.26 | 131 | |||||||||||||||||||||||||||||||||||
07/01/17 | 06/30/18 | 10.17 | 0.17 | (0.17 | ) | — | (0.11 | ) | — | (0.11 | ) | 10.06 | (0.12 | ) | 513,535 | 1.57 | 1.15 | 1.15 | 13 | ||||||||||||||||||||||||||||||||||||
07/01/16 | 06/30/17 | 8.73 | 0.12 | 1.43 | 1.55 | (0.11 | ) | — | (0.11 | ) | 10.17 | 18.04 | 407,616 | 1.31 | 1.17 | 1.17 | 23 | ||||||||||||||||||||||||||||||||||||||
07/01/15 | 06/30/16 | 9.74 | 0.13 | (1.05 | ) | (0.92 | ) | (0.09 | ) | — | (0.09 | ) | 8.73 | (9.40 | ) | 319,993 | 1.56 | 1.17 | 1.17 | 19 | |||||||||||||||||||||||||||||||||||
Investor Shares* | |||||||||||||||||||||||||||||||||||||||||||||||||||||||
07/01/20 | 12/31/20 | 8.85 | 0.04 | 2.87 | 2.91 | (0.05 | ) | — | (0.05 | ) | 11.71 | 32.91 | 4,943 | 0.80 | 1.28 | 1.28 | 36 | ||||||||||||||||||||||||||||||||||||||
07/01/19 | 06/30/20 | 9.33 | 0.10 | (0.49 | ) | (0.39 | ) | (0.09 | ) | — | (0.09 | ) | 8.85 | (4.29 | ) | 4,202 | 1.12 | 1.31 | 1.31 | 62 | |||||||||||||||||||||||||||||||||||
07/01/18 | 06/30/19 | 10.03 | 0.10 | (0.48 | ) | (0.38 | ) | (0.32 | ) | — | (0.32 | ) | 9.33 | (3.42 | ) | 5,063 | 1.05 | 1.41 | 1.41 | 131 | |||||||||||||||||||||||||||||||||||
07/01/17 | 06/30/18 | 10.15 | 0.16 | (0.19 | ) | (0.03 | ) | (0.09 | ) | — | (0.09 | ) | 10.03 | (0.37 | ) | 38,106 | 1.42 | 1.30 | 1.30 | 13 | |||||||||||||||||||||||||||||||||||
07/01/16 | 06/30/17 | 8.71 | 0.11 | 1.43 | 1.54 | (0.10 | ) | — | (0.10 | ) | 10.15 | 17.90 | 183,378 | 1.16 | 1.32 | 1.32 | 23 | ||||||||||||||||||||||||||||||||||||||
07/01/15 | 06/30/16 | 9.73 | 0.12 | (1.06 | ) | (0.94 | ) | (0.08 | ) | — | (0.08 | ) | 8.71 | (9.60 | ) | 196,841 | 1.41 | 1.32 | 1.32 | 19 | |||||||||||||||||||||||||||||||||||
Advisor Shares* | |||||||||||||||||||||||||||||||||||||||||||||||||||||||
07/01/20 | 12/31/20 | 8.87 | 0.03 | 2.88 | 2.91 | (0.01 | ) | — | (0.01 | ) | 11.77 | 32.80 | 19 | 0.55 | 1.53 | 1.53 | 36 | ||||||||||||||||||||||||||||||||||||||
07/01/19 | 06/30/20 | 9.37 | 0.08 | (0.50 | ) | (0.42 | ) | (0.08 | ) | — | (0.08 | ) | 8.87 | (4.61 | ) | 52 | 0.87 | 1.56 | 1.56 | 62 | |||||||||||||||||||||||||||||||||||
07/01/18 | 06/30/19 | 10.07 | 0.07 | (0.47 | ) | (0.40 | ) | (0.30 | ) | — | (0.30 | ) | 9.37 | (3.66 | ) | 167 | 0.80 | 1.66 | 1.66 | 131 | |||||||||||||||||||||||||||||||||||
07/01/17 | 06/30/18 | 10.19 | 0.13 | (0.18 | ) | (0.05 | ) | (0.07 | ) | — | (0.07 | ) | 10.07 | (0.60 | ) | 172 | 1.17 | 1.55 | 1.55 | 13 | |||||||||||||||||||||||||||||||||||
07/01/16 | 06/30/17 | 8.73 | 0.08 | 1.45 | 1.53 | (0.07 | ) | — | (0.07 | ) | 10.19 | 17.65 | 253 | 0.91 | 1.57 | 1.57 | 23 | ||||||||||||||||||||||||||||||||||||||
07/01/15 | 06/30/16 | 9.70 | 0.10 | (1.05 | ) | (0.95 | ) | (0.02 | ) | — | (0.02 | ) | 8.73 | (9.82 | ) | 281 | 1.16 | 1.57 | 1.57 | 19 |
The accompanying notes are an integral part of these financial statements.
103
From Investment | Distributions to | Ratios to Average | ||||||||||||||||||||||||||||||||||||||||||||||||||||
Operations(a) | Shareholders From | Net Assets(b) | ||||||||||||||||||||||||||||||||||||||||||||||||||||
Net | ||||||||||||||||||||||||||||||||||||||||||||||||||||||
For a Share | Realized | Net | Net | |||||||||||||||||||||||||||||||||||||||||||||||||||
Outstanding | Net Asset | Net | & | Asset | Assets at | Net | ||||||||||||||||||||||||||||||||||||||||||||||||
Throughout | Value, | Investment | Unrealized | Net | Net | Value, | End of | Investment | Gross | Portfolio | ||||||||||||||||||||||||||||||||||||||||||||
Each Fiscal Period: | Beginning | Income | Gains | Investment | Realized | End of | Total | Period | Income | Net | Expenses | Turnover | ||||||||||||||||||||||||||||||||||||||||||
Beginning | Ending | of Period | (Loss) | (Losses) | Total | Income | Gains | Total | Period | Return(c) | (000’s | ) | (Loss) | Expenses | (d) | Rate(c) | ||||||||||||||||||||||||||||||||||||||
BROWN ADVISORY - BEUTEL GOODMAN LARGE-CAP VALUE FUND: | ||||||||||||||||||||||||||||||||||||||||||||||||||||||
Institutional Shares* | ||||||||||||||||||||||||||||||||||||||||||||||||||||||
07/01/20 | 12/31/20 | $10.61 | 0.09 | 2.13 | 2.22 | (0.39 | ) | — | (0.39 | ) | $ | 12.44 | 20.97 | % | $ | 724,672 | 1.51 | % | 0.56 | % | 0.56 | % | 22 | % | ||||||||||||||||||||||||||||||
07/01/19 | 06/30/20 | 10.47 | 0.56 | (0.20 | ) | 0.36 | (0.10 | ) | (0.12 | ) | (0.22 | ) | 10.61 | 3.27 | 452,012 | 5.26 | 0.57 | 0.57 | 32 | |||||||||||||||||||||||||||||||||||
07/01/18 | 06/30/19 | 9.58 | 0.20 | 0.89 | 1.09 | (0.11 | ) | (0.09 | ) | (0.20 | ) | 10.47 | 11.62 | 296,963 | 1.97 | 0.60 | 0.60 | 45 | ||||||||||||||||||||||||||||||||||||
02/13/18^ | 06/30/18 | 10.00 | 0.06 | (0.48 | ) | (0.42 | ) | — | — | — | 9.58 | (4.20 | ) | 151,004 | 1.61 | 0.67 | 0.67 | 11 |
* | Unaudited for periods beginning after June 30, 2020. Redemption fees of less than $0.005/share are not presented and are included in net realized & unrealized gains (losses) from investment operations. The increase in the portfolio turnover rate for Brown Advisory Emerging Markets Select Fund for the year ended June 30, 2019 was primarily the result of a change in sub-advisers during the year. |
^ | Commencement of operations. |
(a) | Calculated based on average shares outstanding during the fiscal period. |
(b) | Annualized for periods less than one year. Ratios include only income and expenses of the funds themselves, as presented in the Statements of Operations, and do not include any additional or pro rata amounts of income or expenses from the ownership of any other investment companies (as applicable). |
(c) | Not annualized for periods less than one year. Portfolio turnover rates are calculated at the fund level (not by individual share class). |
(d) | Reflects the expense ratio excluding any expense waivers or expense recoupments |
The accompanying notes are an integral part of these financial statements.
104
December 31, 2020 (Unaudited)
Note 1. Organization
Brown Advisory Funds (the “Trust”) is registered under the Investment Company Act of 1940 as an open-ended management investment company. The Trust offers the following series of shares (each a “Fund,” and collectively, the “Funds”):
• | Brown Advisory Growth Equity Fund (“Growth Equity Fund”) seeks to achieve capital appreciation by primarily investing in equity securities, |
• | Brown Advisory Flexible Equity Fund (“Flexible Equity Fund”) seeks to achieve long-term growth of capital, |
• | Brown Advisory Equity Income Fund (“Equity Income Fund”) seeks to provide current dividend yield and dividend growth, |
• | Brown Advisory Sustainable Growth Fund (“Sustainable Growth Fund”) seeks to achieve capital appreciation, |
• | Brown Advisory Mid-Cap Growth Fund (“Mid-Cap Growth Fund”) seeks to achieve long-term capital appreciation, |
• | Brown Advisory Small-Cap Growth Fund (“Small-Cap Growth Fund”) seeks to achieve long-term capital appreciation by primarily investing in equity securities, |
• | Brown Advisory Small-Cap Fundamental Value Fund (“Small-Cap Fundamental Value Fund”) seeks to achieve long-term capital appreciation, |
• | Brown Advisory Global Leaders Fund (“Global Leaders Fund”) seeks to achieve long-term capital appreciation by investing primarily in global equities, |
• | Brown Advisory Intermediate Income Fund (“Intermediate Income Fund”) seeks to provide a high level of current income consistent with the preservation of principal within an intermediate-term maturity structure, |
• | Brown Advisory Total Return Fund (“Total Return Fund”) seeks to provide a competitive total return consistent with the preservation of principal, |
• | Brown Advisory Sustainable Bond Fund (“Sustainable Bond Fund”) seeks to provide a competitive total return consistent with the preservation of principal while giving special consideration to certain environmental, social and governance criteria, |
• | Brown Advisory Maryland Bond Fund (“Maryland Bond Fund”) seeks to provide a high level of current income exempt from both Federal and Maryland State income taxes without undue risk, |
• | Brown Advisory Tax-Exempt Bond Fund (“Tax-Exempt Bond Fund”) seeks to provide a high level of current income exempt from Federal income tax by investing primarily in intermediate-term investment grade municipal bonds, |
• | Brown Advisory Tax-Exempt Sustainable Bond Fund (“Tax-Exempt Sustainable Bond Fund”) seeks to provide a high level of current income exempt from Federal income tax by investing primarily in intermediate-term investment grade municipal bonds while giving special consideration to certain environmental, social, and governance criteria, |
• | Brown Advisory Mortgage Securities Fund (“Mortgage Securities Fund”) seeks to maximize total return consistent with preservation of capital, |
• | Brown Advisory – WMC Strategic European Equity Fund (“WMC Strategic European Equity Fund”) seeks to achieve total return by investing principally in equity securities issued by companies established or operating in Europe, |
• | Brown Advisory Emerging Markets Select Fund (“Emerging Markets Select Fund”) seeks to achieve total return by investing principally in equity securities issued by companies established or operating in emerging markets, and |
• | Brown Advisory – Beutel Goodman Large-Cap Value Fund (“Beutel Goodman Large-Cap Value Fund”) seeks to achieve capital appreciation. |
105
December 31, 2020 (Unaudited)
The Funds commenced operations as follows:
Institutional | Investor | Advisor | Institutional | Investor | Advisor | |||
Fund | Shares | Shares | Shares | Fund | Shares | Shares | Shares | |
Growth Equity | 10/19/2012 | 6/28/1999 | 5/18/2006 | Sustainable Bond | 7/2/2018 | 8/7/2017 | — | |
Flexible Equity | 10/19/2012 | 11/30/2006 | 1/24/2007 | Maryland Bond | — | 12/21/2000 | — | |
Equity Income | 10/19/2012 | 12/29/2011 | 12/29/2011 | Tax-Exempt Bond | 7/2/2018 | 6/29/2012 | — | |
Sustainable Growth | 6/29/2012 | 6/29/2012 | 6/29/2012 | Tax-Exempt | ||||
Mid-Cap Growth | 7/2/2018 | 10/2/2017 | — | Sustainable Bond | — | 12/2/2019 | — | |
Small-Cap Growth | 9/20/2002 | 6/28/1999 | 4/25/2006 | Mortgage Securities | 5/13/2014 | 12/26/2013 | — | |
Small-Cap | WMC Strategic | |||||||
Fundamental Value | 10/19/2012 | 12/31/2008 | 7/28/2011 | European Equity | 10/21/2013 | 10/21/2013 | 10/21/2013 | |
Global Leaders | 10/31/2018 | 7/1/2015 | — | Emerging Markets Select | 12/12/2012 | 12/12/2012 | 12/12/2012 | |
Intermediate Income | — | 11/2/1995 | 5/13/1991 | Beutel Goodman | ||||
Total Return | 10/30/2014 | 10/30/2014 | — | Large-Cap Value | 2/13/2018 | — | — |
Note 2. Significant Accounting Policies
The following is a summary of significant accounting policies consistently followed by the Funds. These policies are in conformity with accounting principles generally accepted in the United States of America (“U.S. GAAP”). The Funds are investment companies and follow the investment company accounting and reporting guidance of the Financial Accounting Standards Board Accounting Standards Codification Topic 946 Financial Services – Investment Companies, which is part of U.S. GAAP.
A. Security Valuation – The Funds have adopted fair valuation accounting standards which establish an authoritative definition of fair value and set out a hierarchy for measuring fair value. These standards require additional disclosures about the various inputs and valuation techniques used to develop the measurements of fair value and a discussion of changes in valuation techniques and related inputs, if any, during the period. These inputs are summarized in the three broad levels listed below:
Level 1 – | Quoted prices in active markets for identical securities. |
Level 2 – | Evaluated price based on other significant observable inputs (including quoted prices for similar securities, interest rates, prepayment spreads, credit risk, etc). |
Level 3 – | Significant unobservable inputs (including the Fund’s own assumptions in determining the fair value of investments). |
The inputs or methodology used for valuing securities are not necessarily an indication of the risk associated with investing in those securities.
Domestic Equity Securities – Domestic equity securities that are traded on a national securities exchange, except those listed on the NASDAQ Global Market® (“NASDAQ”), are valued at the last reported sale price on the exchange on which the security is principally traded. Securities traded on NASDAQ will be valued at the NASDAQ Official Closing Price (“NOCP”). If, on a particular day, an exchange-traded or NASDAQ security does not trade, then the mean between the most recent quoted bid and asked prices will be used. All equity securities that are not traded on a listed exchange are valued at the last sale price in the over-the counter market. If a non-exchange traded security does not trade on a particular day, then the mean between the last quoted closing bid and asked price will be used. Such domestic equity securities are typically categorized as Level 1 securities. Investments in other domestic open-ended mutual funds are valued at their reported Net Asset Value (“NAV”) and are typically categorized as Level 1 securities. Investments in Exchange Traded Funds (“ETFs”) and Closed-End Funds are valued at their last reported sale price and are typically categorized as Level 1 securities.
Foreign Equity Securities – For foreign equity securities that are traded on foreign exchanges, the Funds have selected ICE Data Services (“ICE”) to provide pricing data. The use of ICE’s pricing services with respect to these foreign exchange traded securities is designed to capture events occurring after a foreign exchange closes that may affect the value of certain holdings of the Funds that are traded on those foreign exchanges. The Funds utilize a confidence interval when determining whether or not to utilize these prices provided by ICE. The confidence interval is a measure of the relationship that each foreign exchange traded security has to movements in various indices and the price of the foreign exchange traded security’s corresponding American Depositary Receipt, if one exists. ICE provides a confidence interval for each foreign exchange traded security for which it provides a price. If the confidence interval provided by ICE is equal to or greater than a predefined level
106
December 31, 2020 (Unaudited)
utilized by the Funds, the Funds will value that foreign exchange traded security at that price. If the confidence interval provided by ICE is less than the predefined level utilized by the Funds, the Funds will value that foreign exchange traded security at the preceding closing price on its respective foreign exchange, or, if there were no transactions on the preceding day, at the mean between the bid and the asked prices. Such foreign securities are typically categorized as Level 2 securities. Foreign securities for which the local market closing prices are utilized are typically categorized as Level 1 securities.
Debt Securities – Debt securities are valued by using the mean between the closing bid and asked prices provided by an independent pricing service. If the closing bid and asked prices are not readily available, the independent pricing service may provide a price determined by a matrix pricing method. These techniques generally consider such factors as yields or prices of bonds of comparable quality, type of issue, coupon, maturity, ratings and general market conditions. Fixed income debt instruments, such as commercial paper, banker’s acceptances and U.S. Treasury Bills, having a maturity of less than 60 days are valued at amortized cost when the amortized cost value is determined to approximate fair value established using market-based and issuer-specific factors. Such debt securities are typically categorized as Level 2.
Exchange Traded Options – Exchange traded options are valued at the composite price, using the National Best Bid and Offer quotes (NBBO). NBBO consists of the highest bid price and lowest ask price across any of the exchanges on which an option is quoted, thus providing a view across the entire U.S. options marketplace. Specifically, composite pricing calculates the mean of the highest bid price and lowest ask price across the exchanges where the option is traded. Such options are typically categorized as Level 2.
Futures Contracts – Futures contracts are generally valued at the settlement prices established each day on the exchange on which they are traded and are categorized as Level 1 securities.
Forward Foreign Currency Contracts – Forward foreign currency contracts are valued at the prevailing forward exchange rates of the underlying currencies and are categorized as Level 2 securities.
Securities for which quotations are not readily available, or for which quotations are deemed to be inaccurate or unreliable, are valued at their respective fair values as determined in good faith under guidelines and procedures adopted by the Board of Trustees. These are generally considered Level 3 securities when significant unobservable inputs are utilized in the determination of the fair value. When a security is “fair valued,” consideration is given to the facts and circumstances relevant to the particular situation, including a review of various factors set forth in the guidelines and procedures adopted by the Board of Trustees. Fair value pricing is an inherently subjective process, and no single standard exists for determining fair value. Different funds could reasonably arrive at different values for the same security. The use of fair value pricing by a fund may cause the net asset value of its shares to differ significantly from the net asset value that would be calculated without regard to such considerations. As of December 31, 2020, the Small-Cap Growth Fund held Level 3 securities for which significant and unobservable inputs or assumptions were used in the determination of fair value. The total market value of such securities held as of December 31, 2020 was $1,686,025 or 0.1% of Small-Cap Growth Fund’s net assets.
The following is a summary of inputs used to value the Funds’ investments as of December 31, 2020:
Level 1 | Level 2 | Level 3 | ||||||||||
Growth Equity Fund | ||||||||||||
Common Stocks | $ | 3,032,041,220 | $ | — | $ | — | ||||||
REIT^ | 97,338,236 | — | — | |||||||||
Short-Term Investments | 114,153,903 | — | — | |||||||||
Total Investments | $ | 3,243,533,359 | $ | — | $ | — | ||||||
Flexible Equity Fund | ||||||||||||
Common Stocks | $ | 564,840,603 | $ | — | $ | — | ||||||
REIT^ | 14,174,977 | — | — | |||||||||
Short-Term Investments | 10,403,444 | — | — | |||||||||
Total Investments | $ | 589,419,024 | $ | — | $ | — | ||||||
Equity Income Fund | ||||||||||||
Common Stocks | $ | 77,502,027 | $ | — | $ | — | ||||||
Preferred Stocks | 1,375,968 | — | — | |||||||||
REIT^ | 3,551,174 | — | — | |||||||||
Short-Term Investments | 734,706 | — | — | |||||||||
Total Investments | $ | 83,163,875 | $ | — | $ | — | ||||||
Sustainable Growth Fund | ||||||||||||
Common Stocks | $ | 4,438,680,075 | $ | — | $ | — | ||||||
REIT^ | 163,124,509 | — | — | |||||||||
Short-Term Investments | 104,786,244 | — | — | |||||||||
Total Investments | $ | 4,706,590,828 | $ | — | $ | — | ||||||
Mid-Cap Growth Fund | ||||||||||||
Common Stocks | $ | 166,351,777 | $ | — | $ | — | ||||||
REIT^ | 3,490,794 | — | — | |||||||||
Short-Term Investments | 3,777,605 | — | — | |||||||||
Total Investments | $ | 173,620,176 | $ | — | $ | — | ||||||
Small-Cap Growth Fund | ||||||||||||
Common Stocks | $ | 2,149,582,365 | $ | — | $ | — | ||||||
Private Placements | — | — | 1,686,025 | |||||||||
REIT^ | 36,186,354 | — | — | |||||||||
Short-Term Investments | 147,250,430 | — | — | |||||||||
Total Investments | $ | 2,333,019,149 | $ | — | $ | 1,686,025 |
107
December 31, 2020 (Unaudited)
Level 1 | Level 2 | Level 3 | ||||||||||
Small-Cap Fundamental Value Fund | ||||||||||||
Common Stocks | $ | 863,588,264 | $ | — | $ | — | ||||||
REIT^ | 49,318,048 | — | — | |||||||||
Short-Term Investments | 46,984,642 | — | — | |||||||||
Total Investments | $ | 959,890,954 | $ | — | $ | — | ||||||
Global Leaders Fund | ||||||||||||
Common Stocks: | ||||||||||||
China | $ | — | $ | 61,489,356 | $ | — | ||||||
France | — | 33,133,212 | — | |||||||||
Germany | — | 62,240,051 | — | |||||||||
India | — | 28,367,609 | — | |||||||||
Indonesia | — | 30,471,956 | — | |||||||||
Netherlands | — | 26,827,340 | — | |||||||||
Sweden | — | 22,511,298 | — | |||||||||
Switzerland | — | 51,441,949 | — | |||||||||
Taiwan | 49,138,876 | — | — | |||||||||
United Kingdom | — | 25,707,406 | — | |||||||||
United States | 566,637,487 | — | — | |||||||||
Short-Term Investments | 12,839,388 | — | — | |||||||||
Total Investments | $ | 628,615,751 | $ | 342,190,177 | $ | — | ||||||
Intermediate Income Fund | ||||||||||||
Corporate Bonds & Notes | $ | — | $ | 59,601,949 | $ | — | ||||||
Mortgage Backed Securities | — | 28,966,310 | — | |||||||||
Asset Backed Securities | — | 21,596,714 | — | |||||||||
U.S. Treasury Notes | — | 47,858,998 | — | |||||||||
Affiliated Mutual Funds | 22,054,396 | — | — | |||||||||
Short-Term Investments | 4,622,690 | — | — | |||||||||
Total Investments | $ | 26,677,086 | $ | 158,023,971 | $ | — | ||||||
Total Return Fund | ||||||||||||
Corporate Bonds & Notes | $ | — | $ | 221,606,647 | $ | — | ||||||
Mortgage Backed Securities | — | 108,863,779 | — | |||||||||
Asset Backed Securities | — | 72,300,064 | — | |||||||||
U.S. Treasury Notes | — | 68,521,026 | — | |||||||||
Municipal Bonds | — | 4,124,611 | — | |||||||||
Preferred Stocks | 1,499,184 | — | — | |||||||||
Short-Term Investments | 6,710,928 | 1,799,983 | — | |||||||||
Total Investments | $ | 8,210,112 | $ | 477,216,110 | $ | — | ||||||
Futures Contracts – Long* | $ | (466,337 | ) | $ | — | $ | — | |||||
Futures Contracts – Short* | $ | 88,776 | $ | — | $ | — | ||||||
Mortgage Backed | ||||||||||||
Securities – Short | $ | — | $ | (5,239,062 | ) | $ | — | |||||
Sustainable Bond Fund | ||||||||||||
Corporate Bonds & Notes | $ | — | $ | 86,333,732 | $ | — | ||||||
Mortgage Backed Securities | — | 37,480,827 | — | |||||||||
Asset Backed Securities | — | 17,922,496 | — | |||||||||
Municipal Bonds | — | 14,227,959 | — | |||||||||
Foreign Government Bonds | — | 17,276,249 | — | |||||||||
U.S. Treasury Notes | — | 21,263,523 | — | |||||||||
Short-Term Investments | 8,989,554 | 249,998 | — | |||||||||
Total Investments | $ | 8,989,554 | $ | 194,754,784 | $ | — | ||||||
Futures Contracts – Long* | $ | (138,524 | ) | $ | — | $ | — | |||||
Futures Contracts – Short* | $ | 45,306 | $ | — | $ | — | ||||||
Maryland Bond Fund | ||||||||||||
Municipal Bonds | $ | — | $ | 171,849,203 | $ | — | ||||||
Short-Term Investments | 2,963,927 | — | — | |||||||||
Total Investments | $ | 2,963,927 | $ | 171,849,203 | $ | — | ||||||
Tax-Exempt Bond Fund | ||||||||||||
Municipal Bonds | $ | — | $ | 1,143,055,368 | $ | — | ||||||
Short-Term Investments | 13,258,022 | — | — | |||||||||
Total Investments | $ | 13,258,022 | $ | 1,143,055,368 | $ | — | ||||||
Tax-Exempt Sustainable Bond Fund | ||||||||||||
Municipal Bonds | $ | — | $ | 195,639,032 | $ | — | ||||||
Total Investments | $ | — | $ | 195,639,032 | $ | — | ||||||
Mortgage Securities Fund | ||||||||||||
Mortgage Backed Securities | $ | — | $ | 261,855,514 | $ | — | ||||||
Asset Backed Securities | — | 13,625,660 | — | |||||||||
Corporate Bonds & Notes | — | 3,758,508 | — | |||||||||
Municipal Bonds | — | 613,572 | — | |||||||||
U.S. Treasury Notes | — | 13,043,418 | — | |||||||||
Preferred Stocks | 1,697,306 | — | — | |||||||||
Short-Term Investments | 11,915,901 | — | — | |||||||||
Total Investments | $ | 13,613,207 | $ | 292,896,672 | $ | — | ||||||
Futures Contracts – Short* | $ | (8,482 | ) | $ | — | $ | — | |||||
Mortgage Backed | ||||||||||||
Securities – Short | $ | — | $ | (5,239,062 | ) | $ | — | |||||
WMC Strategic European Equity Fund | ||||||||||||
Common Stocks: | ||||||||||||
Austria | $ | — | $ | 1,032,654 | $ | — | ||||||
Belgium | — | 13,782,367 | — | |||||||||
Czech Republic | — | 766,801 | ||||||||||
Denmark | — | 2,344,980 | — | |||||||||
France | — | 44,408,359 | — | |||||||||
Germany | 1,870,401 | 52,955,141 | — | |||||||||
Italy | — | 96,189 | ||||||||||
Netherlands | 8,837,454 | 16,738,390 | — | |||||||||
Portugal | — | 6,999,946 | — | |||||||||
Spain | 2,661,478 | 10,704,105 | — | |||||||||
Sweden | — | 47,108,056 | — | |||||||||
Switzerland | — | 44,213,568 | — | |||||||||
United Kingdom | — | 91,861,500 | — | |||||||||
Preferred Stocks | — | 2,899,761 | — | |||||||||
Short-Term Investments | 13,243,028 | — | — | |||||||||
Total Investments | $ | 26,612,361 | $ | 335,911,817 | $ | — |
108
December 31, 2020 (Unaudited)
Level 1 | Level 2 | Level 3 | ||||||||||
Emerging Markets Select Fund | ||||||||||||
Common Stocks: | ||||||||||||
Brazil | $ | — | $ | 4,363,292 | $ | — | ||||||
China | 47,472,275 | 89,639,187 | — | |||||||||
Czech Republic | — | 3,077,592 | — | |||||||||
Hungary | — | 2,501,399 | — | |||||||||
India | — | 44,178,430 | — | |||||||||
Indonesia | — | 7,879,130 | — | |||||||||
Philippines | — | 2,631,526 | — | |||||||||
Russia | — | 9,757,445 | — | |||||||||
Singapore | — | 6,318,324 | — | |||||||||
South Africa | — | 1,846,469 | — | |||||||||
South Korea | — | 53,959,348 | — | |||||||||
Taiwan | — | 53,613,060 | — | |||||||||
Thailand | — | 5,594,268 | — | |||||||||
Turkey | — | 5,570,489 | — | |||||||||
United Arab Emirates | — | 2,847,361 | — | |||||||||
United Kingdom | — | 7,090,809 | — | |||||||||
United States | 9,249,867 | — | — | |||||||||
Preferred Stocks | — | 6,653,435 | — | |||||||||
Short-Term Investments | 12,970,913 | — | — | |||||||||
Total Investments | $ | 69,693,055 | $ | 307,521,564 | $ | — | ||||||
Beutel Goodman Large-Cap Value Fund | ||||||||||||
Common Stocks | $ | 691,122,770 | $ | — | $ | — | ||||||
Short-Term Investments | 31,079,412 | — | — | |||||||||
Total Investments | $ | 722,202,182 | $ | — | $ | — |
^ | Real Estate Investment Trusts |
* | Amounts presented for Futures Contracts represent total unrealized appreciation (depreciation) as of the date of this report. |
The following is a reconciliation of Level 3 securities for which significant unobservable inputs were used to determine fair value.
Small-Cap Growth Fund | Private Placements | |||
Balance as of June 30, 2020 | $ | 1,814,370 | ||
Purchases | — | |||
Distributions / Returns of Capital | (651,250 | ) | ||
Realized Gains | 651,250 | |||
Change in Unrealized Appreciation (Depreciation) | (128,345 | ) | ||
Balance as December 31, 2020 | $ | 1,686,025 | ||
Change in Unrealized Appreciation (Depreciation) for Level 3 investments held at December 31, 2020 | $ | (128,345 | ) |
Private Placements – The inputs utilized in valuing the Private Placements consist of annual audited financial statements and quarterly capital statements which are provided by the issuer. These valuations are adjusted periodically for certain events (additional contributions of capital or purchases made by the Fund, distributions to the Fund made by the issuer, etc) that may occur prior to receipt of the next quarterly capital statement or Annual Report.
B. Securities Transactions and Investment Income – Investment securities transactions are accounted for on trade date. Discounts/premiums on debt securities purchased are accreted/amortized to contractual maturity, estimated maturity, or next call date, as applicable. Dividend income is recorded on the ex-dividend date. Interest income is recorded on an accrual basis. Income and capital gains on some foreign securities may be subject to foreign withholding or capital gains taxes. Identified cost of investments sold is used to determine the gain and loss for both financial statement and Federal income tax purposes. Distributions deemed to be a return of capital are recorded as a reduction of the cost of the related investments or as realized capital gains when there is no remaining cost basis on the investments.
C. Expenses and Share Class Allocations – Expenses directly attributable to a Fund are charged to that Fund. Expenses attributable to more than one Fund are allocated to the respective Funds on the basis of relative net assets or other appropriate methods. In Funds with multiple share classes, each share class has equal rights to earnings and assets except that each share class bears different shareholder servicing and/or Rule 12b-1 distribution expenses. Each share class has exclusive voting rights with respect to matters that affect just that share class. Income, expenses (other than expenses attributable to a specific share class), and realized and unrealized capital gains or losses on investments are allocated to each share class on the basis of relative net assets.
109
December 31, 2020 (Unaudited)
D. Foreign Currency – Investment securities and other assets and liabilities denominated in foreign currencies are translated into U.S. Dollar amounts at the date of valuation. Purchases and sales of investment securities and income and expense items denominated in foreign currencies are translated into U.S. Dollar amounts on the respective dates of such transactions..
The Funds do not isolate the portion of the results of operations resulting from changes in foreign exchange rates on investments from the fluctuations arising from changes in market prices of securities held. Such fluctuations are included with the net realized and unrealized gain or loss from investments. Some of the Funds may invest in forward foreign currency contracts. These amounts are presented separately from realized and unrealized gains and losses from investments in the financial statements.
E. Options – The Funds may invest in options. When a Fund writes an option, an amount equal to the premium received by a Fund is recorded as a liability and is subsequently adjusted to the current value of the option written. Premiums received from writing options that expire unexercised are treated by a Fund on the expiration date as realized gain from investments. The difference between the premium and the amount paid on effecting a closing purchase transaction, including brokerage commissions, is also treated as a realized gain, or if the premium is less than the amount paid for closing purchase transaction, as a realized loss. If a call option is exercised, the premium is added to the proceeds from the sale of the underlying security or currency determining whether a Fund has a realized gain or loss. If a put option is exercised, the premium reduces the cost basis of the securities purchase by a Fund. A Fund, as a writer of an option, bears the market risk of an unfavorable change in the price of the security underlying the written option.
When a Fund purchases an option, an amount equal to the premium paid by a Fund is recorded as an investment and is subsequently adjusted to the current value of the option purchased. If an option expires on the stipulated expiration date or if a Fund enters into a closing sale transaction, a gain or loss is realized. If a call option is exercised, the cost of the security acquired is increased by the premium paid for the call. If a put option is exercised, a gain or loss is realized from the sale of the underlying security, and the proceeds from such sale are decreased by the premium originally paid. Written and purchased options are non-income producing securities. None of the Funds purchased, sold or wrote any options during the six months ended December 31, 2020.
F. To-Be-Announced Securities – Some of the Funds may invest in to-be-announced securities (“TBAs”). TBAs is a term that is generally used to describe forward-settling mortgage-backed securities. These TBAs are generally issued by U.S. Government Agencies or U.S. Government Sponsored Entities such as Freddie Mac, Fannie Mae and Ginnie Mae. The actual mortgage-backed security that will be delivered to the buyer at the time TBAs trades are entered into is not known, however, the terms of the acceptable pools of loans that will comprise the mortgage-backed security are determined at the time the trade is entered into (coupon rate, maturity, credit quality, etc.). Investment in TBAs will generally increase a Fund’s exposure to interest rate risk and could also expose a Fund to counterparty default risk. In order to mitigate counterparty default risk, the Funds only enter into TBAs with counterparties for which the risk of default is determined to be remote. As a purchaser or seller of TBAs, the Funds segregate cash or cash equivalents as collateral as required in accordance with applicable industry regulations.
G. Tender Option Bonds – Maryland Bond Fund, Tax-Exempt Bond Fund and Tax-Exempt Sustainable Bond Fund may engage in tender option bond (“TOB”) transactions up to 5% of its net assets which are accounted for by the funds as a secured borrowing. In a typical TOB transaction, a Fund or another party deposits fixed-rate municipal bonds or other securities into a special purposes entity, referred to as a tender option bond trust (a “TOB Trust”). The TOB Trust generally issues short-term floating rate interests (“Floaters”), which are generally sold to third party investors (often money market funds) and residual interests (“Residual Interests”), which are generally held by the Fund or party that contributed the securities to the TOB Trust. The interest rates payable on the Residual Interests bear an inverse relationship to the interest rate on the Floaters. The interest rate on the Floaters is reset by a remarketing process typically every 7 to 35 days. After income is paid on the Floaters at current, short-term rates, the residual income from the underlying bond held by the TOB Trust goes to the Residual Interests. If a Fund is the depositor of the municipal bonds or other securities to the TOB Trust, the Fund will receive the proceeds from the TOB Trust’s sale of the Floaters, less certain transaction costs. These proceeds may be used by the Fund to invest in other securities, which would have a leveraging effect on the Fund.
Residual Interests may be more volatile and less liquid than other municipal bonds of comparable maturity. In most circumstances, the holder of the Residual Interests bears substantially all of the underlying bond’s downside investment risk and also benefits from any appreciation in the value of the underlying bond. Investments in Residual Interests typically will involve greater risk than investments in the underlying municipal bond, including the risk of loss of principal. Because changes in the interest rate on the Floaters inversely affect the residual interest paid on the Residual Interests, the value of the Residual Interests is
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generally more volatile than that of a fixed-rate municipal bond. Floaters and Residual Interests are subject to interest rate adjustment formulas which generally reduce or, in the extreme, eliminate the interest received by the Residual Interests when short-term interest rates rise, and increase the interest received when short-term interest rates fall.
The Residual Interests held by a Fund provide the Fund with the right to: (1) cause the holders of the Floaters to tender their notes at par, and (2) cause the sale of the underlying bond held by the TOB Trust, thereby collapsing the TOB Trust. A Fund may invest in a TOB Trust on either a non-recourse and recourse basis. Each Fund does not currently intend to invest in a TOB Trust on a recourse basis, although each Fund reserves the right to do so in the future. TOB Trusts are typically supported by a liquidity facility provided by a third-party bank or other financial institution (the “Liquidity Provider”) that allows the holders of the Floaters to tender their Floaters in exchange for payment of par plus accrued interest on any business day (subject to the non-occurrence of a TOTE, as such term is defined below). Depending on the structure of the TOB Trust, the Liquidity Provider may purchase the tendered Floaters, or the TOB Trust may draw upon a loan from the Liquidity Provider to purchase the tendered Floaters.
The TOB Trust may also be collapsed without the consent of a Fund, as the holder of the Residual Interest, upon the occurrence of certain “tender option termination events” (or “TOTEs”) as defined in the TOB Trust agreements. Such termination events typically include the bankruptcy or default of the municipal bond, a substantial downgrade in credit quality of the municipal bond, or a judgment or ruling that interest on the underlying municipal bond is subject to federal income taxation. Upon the occurrence of a TOTE, the TOB Trust would generally be liquidated in full with the proceeds typically applied first to any accrued fees owed to the trustee, remarketing agent and liquidity provider, and then to the holders of the Floaters up to par plus accrued interest owed on the Floaters and a portion of gain share, if any, with the balance paid out to the holder of the Residual Interests. In the case of a mandatory termination event, as defined in the TOB Trust agreements, after the payment of fees, the holders of the Floaters would be paid before the holders of the Residual Interests (i.e., the Fund). In contrast, in the case of a TOTE, after payment of fees, the holders of the Floaters and the holders of the Residual Interests would be paid pro rata in proportion to the respective face values of their certificates.
The use of Residual Interests will require the Fund to earmark or segregate liquid assets in an amount equal to any Floaters, plus any accrued but unpaid interest due on the Floaters, issued by a TOB Trust sponsored by, or on behalf of, the Fund that are not owned by the Fund. The use of Residual Interests may also require the Fund to earmark or segregate liquid assets in an amount equal to loans provided by the Liquidity Provider to the TOB Trust to purchase tendered Floaters. The Fund reserves the right to modify its asset segregation policies in the future to the extent that such changes are in accordance with applicable regulations or interpretations.
Under GAAP, securities of a Fund that are deposited into a TOB Trust continue to be treated as investments of the Fund and are presented on the Fund’s Schedule of Investments and outstanding Floaters issued by a TOB Trust are presented as liabilities in the Fund’s Statement of Assets and Liabilities. Interest income from the underlying security is recorded by the Fund on an accrual basis and included as part of “Interest Income” on the Statements of Operations. Interest expense incurred on the Floaters is included on the Statement of Operations as “Interest expense – secured borrowing from tender option bonds” and other expenses related to remarketing, administration and trustee services to a TOB Trust are included as part of the “Miscellaneous expenses” of the Fund. During the six months ended as of the date of this report, none of the Funds engaged in TOB transactions.
H. Distributions to Shareholders – For Maryland Bond Fund, Tax-Exempt Bond Fund and Tax-Exempt Sustainable Bond Fund, distributions of net investment income, if any, are declared daily and paid monthly. Distributions to shareholders of net investment income, if any, are declared and paid monthly for the Intermediate Income Fund, Total Return Fund, Sustainable Bond Fund and Mortgage Securities Fund and quarterly for the Equity Income Fund. The remaining Funds declare and pay net investment income, if any, at least annually. Distributions to shareholders of net capital gains, if any, are declared and paid at least annually. Distributions are recorded on the ex-dividend date. If a Fund is involved in a reorganization in which it acquires, or is being acquired by another fund, an additional distribution of net investment income and/or capital gains may be made prior to such reorganization.
I. Use of Estimates – The preparation of financial statements in conformity with accounting principles generally accepted in the United States of America requires management to make estimates and assumptions that affect the reported amounts of assets and liabilities at the date of the financial statements and the reported amount of revenue and expenses during the reporting period. Actual results could differ from those estimates.
J. Federal Taxes – Each Fund has elected to be taxed as a “regulated investment company” and intends to distribute substantially all taxable income to its shareholders and otherwise comply with the provisions of the Internal Revenue Code applicable to regulated investment companies. Therefore, no provision for federal income taxes or excise taxes has been made.
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The Funds recognize tax benefits of uncertain tax positions only where the position is “more likely than not” to be sustained assuming examination by tax authorities.
The Funds have analyzed their tax positions and have concluded that no liability for unrecognized tax benefits should be recorded related to uncertain income tax positions taken on returns filed for open tax years (2017-2019) as of June 30, 2020 or are expected to be taken in the Funds’ 2020 tax returns. The Funds identify their major tax jurisdictions as U.S. Federal and Delaware State; however, the Funds are not aware of any tax position for which it is reasonably possible that the total amounts of unrecognized tax benefits will change materially in the next year.
K. Redemption Fees – A shareholder who redeems or exchanges shares of the Funds within fourteen days of purchase will incur a redemption fee of 1.00% of the current net asset value of shares redeemed or exchanged, subject to certain exceptions. The fee is charged for the benefit of the remaining shareholders and will be paid to the Fund to help offset transaction costs. The fee is accounted for as an addition to paid-in capital. Each Fund reserves the right to modify the terms of or terminate the fee at any time.
L. Guarantees and Indemnifications – In the normal course of business, the Funds enter into contracts with service providers that contain general indemnification clauses. The Funds’ maximum exposure under these arrangements is unknown as this would involve future claims that may be made against the Funds that have not yet occurred. However, based on experience, the Funds expect the risk of loss to be remote.
M. New Accounting Pronouncements – In March 2020 the FASB issued ASU 2020-04 Reference Rate Reform (Topic 848) Facilitation of the Effects of Reference Rate Reform on Financial Reporting. The main objective of this ASU is to provide relief to companies that will be impacted by the expected change in benchmark interest rates at the end of 2021. At the end of 2021, participating banks will no longer be required to submit London Interbank Offered Rate (“LIBOR”) quotes to the UK Financial Conduct Authority. This ASU allows companies to account for modifications as a continuance of the existing contract without additional analysis when certain conditions are met. Management is currently assessing the impact of this ASU on the Funds.
Note 3. Commitments and Other Affiliated Party Transactions
Investment Adviser – Brown Advisory LLC serves as Investment Adviser (the “Adviser”) to the Funds. Pursuant to investment advisory agreements, the Adviser receives a management fee, accrued daily and payable monthly, from each Fund at an annual rate of the Fund’s average daily net assets as follows:
Fund | Breakpoint | Annual Fee | Fund | Breakpoint | Annual Fee |
Growth Equity and | First $1.5 billion | 0.60% | Flexible Equity | First $150 million | 0.50% |
Sustainable Growth | $1.5 billion to $3 billion | 0.55% | $150 million to $250 million | 0.45% | |
$3 billion to $6 billion | 0.50% | $250 million to $1 billion | 0.40% | ||
Over $6 billion | 0.45% | Over $1 billion | 0.38% |
Fund | Annual Fee | Fund | Annual Fee | |
Equity Income | 0.60% | Maryland Bond | 0.30% | |
Mid-Cap Growth | 0.65% | Tax-Exempt Bond | 0.30% | |
Small-Cap Growth | 0.85% | Tax-Exempt Sustainable Bond | 0.30% | |
Small-Cap Fundamental Value | 0.85% | Mortgage Securities Fund | 0.30% | |
Global Leaders1 | 0.65% | WMC Strategic European Equity2 | 0.90% | |
Intermediate Income | 0.30% | Emerging Markets Select2,3 | 0.90% | |
Total Return | 0.30% | Beutel Goodman Large-Cap Value4 | 0.45% | |
Sustainable Bond | 0.30% |
1 | Brown Advisory Limited (“BAL”) serves as sub-adviser to the Global Leaders Fund and makes investment decisions on its behalf. BAL is compensated for its services by the Adviser. |
2 | Wellington Management Company LLP (“Wellington”) serves as sub-adviser to the WMC Strategic European Equity Fund and the Emerging Markets Select Fund and makes investment decisions on their behalf. Wellington is compensated for its services by the Adviser. |
3 | Pzena Investment Management, LLC (“Pzena”) serves as sub-adviser to the Emerging Markets Select Fund and makes investment decisions on its behalf. Pzena is compensated for its services by the Adviser. |
4 | Beutel, Goodman & Company Ltd. (“Beutel Goodman”) serves as sub-adviser to the Beutel Goodman Large-Cap Value Fund and makes investment decisions on its behalf. Beutel Goodman is compensated for its services by the Adviser. |
These fees are reported on the Funds’ Statements of Operations as “Investment advisory fees”.
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December 31, 2020 (Unaudited)
Business Management Fees – The Adviser is also entitled to receive an annual business management fee of 0.05%, accrued daily and payable monthly, of the Funds’ average daily net assets in exchange for its management and oversight of the non-investment advisory services provided to the Funds and the Trust. These fees are reported on the Funds’ Statements of Operations as “Business management fees”.
Fee Waivers and Expense Reimbursements (Operating Expense Caps) – The Adviser has contractually agreed to waive a portion of its fees and reimburse certain expenses to limit total annual operating expenses as follows*:
Fund(s): | Institutional Shares | Investor Shares | Advisor Shares |
Growth Equity, Flexible Equity, Sustainable Growth and Mid-Cap Growth | 0.82% | 0.97% | 1.22% |
Equity Income | 0.76% | 0.91% | 1.16% |
Small-Cap Growth | 1.04% | 1.19% | 1.44% |
Small-Cap Fundamental Value | 1.03% | 1.18% | 1.43% |
Global Leaders | 0.87% | 1.02% | 1.27% |
Intermediate Income | 0.48% | 0.53% | 0.78% |
Total Return and Sustainable Bond | 0.53% | 0.58% | 0.83% |
Maryland Bond and Mortgage Securities | 0.55% | 0.60% | 0.85% |
Tax-Exempt Bond and Tax-Exempt Sustainable Bond | 0.62% | 0.67% | 0.92% |
WMC Strategic European Equity | 1.11% | 1.26% | 1.51% |
Emerging Markets Select | 1.17% | 1.32% | 1.57% |
Beutel Goodman Large-Cap Value | 0.70% | 0.85% | 1.10% |
* Prior to the Board approved changes effective November 1, 2020, the expense limitation rate schedule for the Funds were as follows:
Fund(s): | Institutional Shares | Investor Shares | Advisor Shares |
Growth Equity, Flexible Equity, Equity Income and Sustainable Growth | 1.00% | 1.15% | 1.35% |
Mid-Cap Growth and Beutel Goodman Large-Cap Value | 0.70% | 0.85% | 1.10% |
Small-Cap Growth and Small-Cap Fundamental Value | 1.25% | 1.40% | 1.60% |
Global Leaders | 0.75% | 0.90% | 1.15% |
Intermediate Income, Total Return, | |||
Sustainable Bond, Maryland Bond, Tax-Exempt Bond and Mortgage Securities | 0.55% | 0.60% | 0.80% |
Tax-Exempt Sustainable Bond | 0.52% | 0.57% | 0.82% |
WMC Strategic European Equity and Emerging Markets Select | 1.60% | 1.75% | 2.00% |
During the six months ended December 31, 2020, the Adviser waived $5,052 in expenses for Equity Income Fund, $53,751 in expenses for Mid-Cap Growth Fund and $84,839 in expenses for Global Leaders Fund. The Adviser may recoup any waived amounts from the Funds if such reimbursement does not cause the Funds to exceed its existing expense limitations or the limitation in place at the time the reduction was originally made and the amount recouped is made within three years after the date on which the Adviser waived the expense. The Funds must pay their current ordinary operating expenses before the Adviser is entitled to any recoupment of previously waived fees and/or expenses. The cumulative amounts of previously waived fees that the Adviser may recoup from the Funds are shown below:
June 30, | ||||||||||||||||
2021 | 2022 | 2023 | Total | |||||||||||||
Mid-Cap Growth Fund | $ | 59,874 | $ | 103,738 | $ | 125,645 | $ | 289,257 | ||||||||
Global Leaders Fund | 138,801 | 231,484 | 260,299 | 630,584 |
Distribution – ALPS Distributors, Inc. (the “Distributor”) serves as principal underwriter for shares of the Funds and acts as each Fund’s Distributor in a continuous public offering of each Fund’s shares.
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December 31, 2020 (Unaudited)
Rule 12b-1 Distribution Fees – Under a Distribution Plan adopted pursuant to Rule 12b-1 under the Act (“Distribution Plan”), each Fund pays ALPS Distributors, Inc. (the “Distributor”), or any other entity as authorized by the Board, as compensation for the distribution-related and/or shareholder services provided by such entities an aggregate fee equal to 0.25% of the average daily net assets of Advisor Shares for each Fund. The Distributor may pay any or all amounts received under the Rule 12b-1 Plan to financial intermediaries or other persons, including the Adviser, for any distribution or service activity. These fees are reported in the Funds’ Statements of Operations as “Distribution fees – Advisor Shares”.
Shareholder Servicing Fees – The Trust has also adopted a Shareholder Service Plan under which each Fund may pay a fee of up to 0.15% of the average daily net assets of each Fund’s Investor and Advisor Shares (except for the Intermediate Income Fund, Total Return Fund, Sustainable Bond Fund, Maryland Bond Fund, Tax-Exempt Bond Fund, Tax-Exempt Sustainable Bond Fund and Mortgage Securities Fund, which may pay a fee of up to 0.05%) for shareholder services provided to the Funds by financial institutions, including the Adviser. The Adviser serves as the shareholder servicing agent of the Funds. These fees are reported in the Funds’ Statements of Operations as “Service fees – Investor Shares” and “Service fees – Advisor Shares”.
Investments in Affiliates – Intermediate Income Fund
The Intermediate Income Fund and Mortgage Securities Fund are considered affiliates since Brown Advisory LLC is the Adviser to both of the Funds. In seeking to achieve its investment objective, the Intermediate Income Fund invests a portion of its assets into the Mortgage Securities Fund. As of December 31, 2020, the Intermediate Income Fund owned shares of the Mortgage Securities Fund with a total market value of $22,054,396, or 11.7% of the Intermediate Income Fund’s net assets.
The Intermediate Income Fund has entered into a Fee Waiver Agreement (the “Agreement”) with the Adviser. Per the Agreement, the Intermediate Income Fund will waive Advisory Fees in an amount equal to the Advisory Fees earned by the Mortgage Securities Fund on the assets invested into it by the Intermediate Income Fund. For example, if the Intermediate Income Fund owned $10,000,000 worth of the Mortgage Securities Fund for an entire year, it would waive, on an annual basis, $30,000 in Advisory Fees ($10,000,000 multiplied by 0.30%, the annual Advisory Fee ratio for the Mortgage Securities Fund). For the six months ended December 31, 2020, the Intermediate Income Fund waived $29,992 in Advisory Fees per the terms of the Agreement. This is a permanent waiver of fees and these waived fees may not be recouped by the Adviser at any time in the future.
See the table below for details of the Intermediate Income Fund’s investment in the Mortgage Securities Fund Institutional Shares for the six months ended December 31, 2020:
Net | Change In | |||||||
Beginning | Realized | Unrealized | Ending | Shares | ||||
Market Value | Gains | Appreciation | Market Value | Dividend | Capital Gain | Owned at | ||
6/30/2020 | Purchases | Sales | (Losses) | (Depreciation) | 12/31/2020 | Income | Distributions | 12/31/2020 |
$17,632,866 | $4,549,999 | $(300,000) | $285 | $171,246 | $22,054,396 | $79,069 | $— | 2,090,464 |
Other Service Providers – U.S. Bancorp Fund Services, LLC (“Fund Services”), doing business as U.S. Bank Global Fund Services, an indirect wholly-owned subsidiary of U.S. Bancorp, serves as the Funds’ Administrator (“Administrator”), and in that capacity, performs various administrative services for the Funds. Fund Services also serves as the Funds’ fund accountant and transfer agent. Certain officers of the Trust are employees of Fund Services and the Funds’ custodian, U.S. Bank, N.A., is an affiliate of the Administrator. Fees paid to Fund Services and U.S. Bank, N.A. for its service can be found in the Statements of Operations as “Administration, accounting and transfer agent fees” and “Custodian fees”, respectively. Additional amounts for miscellaneous expenses may be paid by the Funds to Fund Services and included in “Miscellaneous expenses” in the Statements of Operations.
Rule 17a-7 Transactions – Each Fund is permitted to purchase and sell securities to certain affiliated parties under specified conditions outlined in procedures adopted by the Board of Trustees pursuant to Rule 17a-7 under the 1940 Act. Pursuant to these procedures, during the six months ended December 31, 2020, Intermediate Income Fund engaged in securities purchases of $1,338,977; Total Return Fund engaged in securities purchases of $9,086,920; Sustainable Bond Fund engaged in securities purchases of $1,973,794; Mortgage Securities Fund engaged in securities purchases of $4,537,060; WMC Strategic European Equity Fund engaged in securities purchases of $205,901 and sales of $172,058 with a realized gain of $47,987; and Emerging Markets Select Fund engaged in securities sales of $681,630 with a net realized gain of $79,524. These transactions are included in the purchases and sales table in Note 4.
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December 31, 2020 (Unaudited)
Note 4. Purchases and Sales of Securities
The cost of purchases and the proceeds from sales of investments (including maturities), other than short-term investments, during the six months ended December 31, 2020 were as follows:
Fund | Purchases | Sales | Fund | Purchases | Sales | |
Growth Equity | $ 366,758,620 | $581,465,274 | Total Return | $257,622,343 | $196,096,265 | |
Flexible Equity | 19,883,528 | 41,156,325 | Sustainable Bond | 106,464,141 | 68,146,939 | |
Equity Income | 5,196,207 | 10,036,375 | Maryland Bond | 16,052,620 | 18,026,610 | |
Sustainable Growth | 1,337,548,027 | 437,052,179 | Tax-Exempt Bond | 264,828,534 | 225,390,432 | |
Mid-Cap Growth | 37,195,434 | 33,024,518 | Tax-Exempt Sustainable Bond | 74,980,258 | 23,284,544 | |
Small-Cap Growth | 468,771,843 | 270,510,775 | Mortgage Securities | 185,162,164 | 152,043,732 | |
Small-Cap Fundamental Value | 207,796,959 | 226,607,872 | WMC Strategic European Equity | 88,777,365 | 103,124,626 | |
Global Leaders | 151,583,642 | 24,774,826 | Emerging Markets Select | 123,407,995 | 110,499,096 | |
Intermediate Income | 60,631,727 | 33,313,398 | Beutel Goodman Large-Cap Value | 270,007,685 | 121,293,179 |
Purchases and sales of U.S. Government securities are included in the totals above and include U.S. Treasury Bonds and Notes. The Funds listed below purchased and sold U.S. Government securities during the six months ended December 31, 2020 as follows:
Fund | Purchases | Sales | Fund | Purchases | Sales | |
Intermediate Income | $15,653,874 | $ 1,824,922 | Sustainable Bond | $38,217,770 | $22,950,319 | |
Total Return | 37,739,407 | 13,547,656 | Mortgage Securities | 16,055,079 | 14,047,461 |
Note 5. Federal Income Tax and Distribution Information
Distributions during the fiscal periods ended as noted were characterized for tax purposes as follows (tax character during the six months ended December 31, 2020 is estimated):
Tax Exempt Income | Ordinary Income | Long-Term Capital Gain^ | ||||||||||||||||||||||
December 31, | June 30, | December 31, | June 30, | December 31, | June 30, | |||||||||||||||||||
Fund | 2020 | 2020 | 2020 | 2020 | 2020 | 2020 | ||||||||||||||||||
Growth Equity | $ | — | $ | — | $ | 19,356,054 | $ | 4,888,278 | $ | 132,031,252 | $ | 115,962,258 | ||||||||||||
Flexible Equity | — | — | 3,717,208 | 2,585,878 | 14,653,628 | 21,095,915 | ||||||||||||||||||
Equity Income | — | — | 692,650 | 1,352,123 | 4,119,001 | 6,766,399 | ||||||||||||||||||
Sustainable Growth | — | — | — | — | — | 14,026,862 | ||||||||||||||||||
Mid-Cap Growth | — | — | — | 105,406 | — | 45,005 | ||||||||||||||||||
Small-Cap Growth | — | — | — | 3,942,913 | 17,876,781 | 24,659,111 | ||||||||||||||||||
Small-Cap Fundamental Value | — | — | 5,121,628 | 4,501,408 | — | 43,206,208 | ||||||||||||||||||
Global Leaders | — | — | 1,300,616 | 1,172,408 | — | — | ||||||||||||||||||
Intermediate Income | — | — | 1,142,899 | 3,254,692 | — | — | ||||||||||||||||||
Total Return | — | — | 5,703,369 | 12,593,609 | 5,778,192 | 3,141,637 | ||||||||||||||||||
Sustainable Bond | — | — | 2,760,559 | 4,662,725 | 2,534,278 | 695,464 | ||||||||||||||||||
Maryland Bond | 2,123,473 | 4,788,290 | 24,264 | 37,776 | — | — | ||||||||||||||||||
Tax-Exempt Bond | 14,895,953 | 30,262,146 | 6,519 | 784,899 | — | — | ||||||||||||||||||
Tax-Exempt Sustainable Bond | 1,180,595 | 702,671 | 118,236 | 34,831 | — | — | ||||||||||||||||||
Mortgage Securities | — | — | 1,064,537 | 4,190,803 | — | — | ||||||||||||||||||
WMC Strategic European Equity | — | — | 2,149,303 | 5,422,293 | 19,961,148 | 20,333,988 | ||||||||||||||||||
Emerging Markets Select | — | — | 2,160,277 | 4,173,029 | — | — | ||||||||||||||||||
Beutel Goodman Large-Cap Value | — | — | 22,311,317 | 6,225,197 | — | 1,432,531 |
^ | Designated as a long-term capital gain dividend, pursuant to Internal Revenue Code Section 852(b)(3). The Funds, as applicable, have also designated earnings and profits distributed to shareholders on the redemption of shares as capital gains in order to reduce earnings and profits of the Fund related to net capital gains to zero as of the date of this report. |
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December 31, 2020 (Unaudited)
At June 30, 2020, the components of distributable earnings (accumulated losses) on a tax basis were as follows:
Growth | Flexible | Equity | Sustainable | Mid-Cap | Small-Cap | |||||||||||||||||||
Equity | Equity | Income | Growth | Growth | Growth | |||||||||||||||||||
Fund | Fund | Fund | Fund | Fund | Fund | |||||||||||||||||||
Cost of investments | $ | 1,449,475,734 | $ | 258,943,098 | $ | 47,287,118 | $ | 2,102,820,375 | $ | 115,581,659 | $ | 1,164,650,905 | ||||||||||||
Unrealized appreciation | 1,428,124,548 | 250,320,970 | 32,602,715 | 891,122,716 | 23,989,026 | 454,656,354 | ||||||||||||||||||
Unrealized depreciation | (26,661,399 | ) | (7,354,269 | ) | (1,562,326 | ) | (23,105,062 | ) | (5,236,999 | ) | (58,131,910 | ) | ||||||||||||
Net unrealized app (dep) | 1,401,463,149 | 242,966,701 | 31,040,389 | 868,017,654 | 18,752,027 | 396,524,444 | ||||||||||||||||||
Undistributed income | — | 1,541,061 | 837 | — | — | — | ||||||||||||||||||
Undistributed capital gains | 16,120,213 | 2,525,497 | 2,480,505 | — | — | — | ||||||||||||||||||
Total undistributed earnings | 16,120,213 | 4,066,558 | 2,481,342 | — | — | — | ||||||||||||||||||
Other accumulated gains (losses) | (3,232,047 | ) | — | — | (23,566,066 | ) | (3,900,441 | ) | (25,302,439 | ) | ||||||||||||||
Total distributable earnings (losses) | $ | 1,414,351,315 | $ | 247,033,259 | $ | 33,521,731 | $ | 844,451,588 | $ | 14,851,586 | $ | 371,222,005 | ||||||||||||
Small-Cap | Global | Intermediate | Total | Sustainable | Maryland | |||||||||||||||||||
Fundamental | Leaders | Income | Return | Bond | Bond | |||||||||||||||||||
Value Fund | Fund | Fund | Fund | Fund | Fund | |||||||||||||||||||
Cost of investments | $ | 705,256,690 | $ | 567,461,790 | $ | 147,816,872 | $ | 409,037,576 | $ | 148,892,561 | $ | 170,664,556 | ||||||||||||
Unrealized appreciation | 175,046,127 | 124,840,098 | 5,941,844 | 15,271,619 | 8,021,635 | 6,657,878 | ||||||||||||||||||
Unrealized depreciation | (101,062,358 | ) | (19,526,847 | ) | (965,597 | ) | (5,680,137 | ) | (882,983 | ) | (3,325,444 | ) | ||||||||||||
Net unrealized app (dep) | 73,983,769 | 105,313,251 | 4,976,247 | 9,591,482 | 7,138,652 | 3,332,434 | ||||||||||||||||||
Undistributed income | 3,530,855 | 1,300,516 | 142,529 | 2,450,268 | 780,190 | 261,177^ | ||||||||||||||||||
Undistributed capital gains | — | — | — | 5,777,813 | 1,716,053 | — | ||||||||||||||||||
Total undistributed earnings | 3,530,855 | 1,300,516 | 142,529 | 8,228,081 | 2,496,243 | 261,177^ | ||||||||||||||||||
Other accumulated gains (losses) | (108,688,394 | ) | (15,299,741 | ) | (136,489 | ) | (456,831 | ) | (214,033 | ) | (1,827,510 | ) | ||||||||||||
Total distributable earnings (losses) | $ | (31,173,770 | ) | $ | 91,314,026 | $ | 4,982,287 | $ | 17,362,732 | $ | 9,420,862 | $ | 1,766,101 | |||||||||||
Tax-Exempt | Tax-Exempt | Mortgage | WMC Strategic | Emerging | Beutel Goodman | |||||||||||||||||||
Bond | Sustainable | Securities | European | Markets | �� | Large-Cap | ||||||||||||||||||
Fund | Bond | Fund | Equity Fund | Select Fund | Value Fund | |||||||||||||||||||
Cost of investments | $ | 1,059,910,869 | $ | 154,987,311 | $ | 260,026,469 | $ | 299,130,062 | $ | 272,217,003 | $ | 445,894,958 | ||||||||||||
Unrealized appreciation | 38,060,774 | 1,425,828 | 12,440,802 | 51,749,697 | 37,405,059 | 46,191,705 | ||||||||||||||||||
Unrealized depreciation | (20,624,947 | ) | (1,768,891 | ) | (2,827,251 | ) | (39,766,379 | ) | (38,953,833 | ) | (40,972,105 | ) | ||||||||||||
Net unrealized app (dep) | 17,435,827 | (343,063 | ) | 9,613,551 | 11,983,318 | (1,548,774 | ) | 5,219,600 | ||||||||||||||||
Undistributed income | 1,744,275 | ^ | 237,845 | ^ | 275,697 | — | 741,953 | 19,313,517 | ||||||||||||||||
Undistributed capital gains | — | — | — | 9,571,328 | — | — | ||||||||||||||||||
Total undistributed earnings | 1,744,275 | ^ | 237,845 | ^ | 275,697 | 9,571,328 | 741,953 | 19,313,517 | ||||||||||||||||
Other accumulated gains (losses) | (18,427,490 | ) | (120,681 | ) | (4,464,565 | ) | 52,229 | (32,687,888 | ) | (10,376,150 | ) | |||||||||||||
Total distributable earnings (losses) | $ | 752,612 | $ | (225,899 | ) | $ | 5,424,683 | $ | 21,606,875 | $ | (33,494,709 | ) | $ | 14,156,967 |
^ Represents income that is exempt from federal income taxes.
At June 30, 2020 the differences between tax basis and book basis amounts are primarily due to wash sales, post-October losses, post-December ordinary losses, timing differences related to the amortization of premium on certain fixed income securities, and distributions payable.
Note 6. Futures Contracts
The Total Return Fund, Sustainable Bond Fund, and Mortgage Securities Fund invested in futures contracts during the six months ended December 31, 2020. At the time a Fund purchases or enters into a futures contract, the Fund deposits and maintains as collateral an initial margin with the broker, as required by the terms of the contract. This collateral may consist of cash and / or securities (generally U.S. Treasury Bills). Thereafter, in connection with changes in the market value of the futures contracts, the Funds may send or receive collateral to or from the broker. Such amounts are included on the Statements of Assets and Liabilities as “Cash deposit at broker – futures contracts” or “Cash collateral from broker – futures contracts”. Securities pledged as collateral, if there are any, are included on the Statements of Assets and Liabilities as part of “Total investments, at market value”. These securities are also tickmarked on the Schedules of Investments as being pledged in connection with open futures contracts.
116
December 31, 2020 (Unaudited)
Pursuant to the contract, the Fund agrees to receive from or pay to the broker an amount of cash equal to the fluctuation in the value of the contract. These daily fluctuations are known as variation margin and are recorded by the Fund as unrealized gains or losses on futures contracts. When these futures contracts are closed, realized gains or losses on futures contracts are recorded by the Fund. The realized gains or losses are reported in the Statement of Operations as net realized gains or losses from futures contracts. Depending upon the agreement with the broker, the Funds may or may not settle variation margin daily. The Funds attempt to mitigate counterparty credit risk by only entering into futures contracts with brokers that the Funds believe have the financial resources to honor their obligations and by monitoring the financial stability of these brokers. The “Notional Amount” of futures contracts shown on the Schedule of Investments represents the notional market value of the futures contracts on the day they were opened. The “Notional Value” of futures contracts shown on the Schedule of Investments represents the notional market value of the futures contracts as of the date of this report. For long futures contracts, an excess of Notional Value over Notional Amount results in unrealized appreciation on the futures contract (and an excess of Notional Amount over Notional Value results in unrealized depreciation on the futures contract). The opposite is true for short futures contracts. These unrealized appreciation (depreciation) amounts represent the net impact on a Fund’s net assets as a result of open futures contracts as of the date of this report. The use of long futures contracts by the Funds subjects them to a risk of loss in excess of the gross unrealized appreciation and/or gross unrealized depreciation amounts shown on the Statements of Assets and Liabilities and up to the total Notional Amount of the futures contract as shown on the Schedule of Investments. The use of short futures contracts by the Funds subjects them to a risk of loss in excess of the gross unrealized appreciation and/or gross unrealized depreciation amounts shown on the Statements of Assets and Liabilities and, hypothetically, up to an unlimited amount of loss that could exceed the Notional Amount of the futures contracts as shown on the Schedules of Investments.
During the six months ended December 31, 2020, investments in futures contracts were as follows:
Average Notional Value Outstanding | |||||||||
Fund | Risk Type | Long Futures Contracts | Short Futures Contracts | ||||||
Total Return | Interest Rate | $ | 92,843,823 | $ | (48,161,279 | ) | |||
Sustainable Bond | Interest Rate | 49,157,193 | (33,784,739 | ) | |||||
Mortgage Securities | Interest Rate | — | (25,654,503 | ) |
Investment in long futures contracts increases a Fund’s exposure to interest rate risk, while investment in short futures contracts serves to reduce a Fund’s exposure to interest rate risk. Assets and/or liabilities related to futures contracts were not subject to an arrangement wherein those assets and/or liabilities were, or could have been, settled on a net basis with any other derivative related obligations.
Note 7. Line of Credit
As of December 31, 2020, Brown Advisory Funds has an unsecured line of credit of up to $100,000,000 with U.S. Bank, N.A. The interest rate on the line of credit as of December 31, 2020 was 3.25% (prime rate). None of the Funds utilized the line of credit during the six months ended December 31, 2020.
Note 8. COVID-19
The global outbreak of COVID-19 (commonly referred to as “coronavirus”) has significantly disrupted economic markets. The ultimate short-term and long-term impact on economies, markets, industries, and individual issuers in which the Funds invest is unknown. The financial performance of the issuers of securities in which the Funds invest depends on future developments including the duration and spread of the outbreak. This uncertainty may adversely affect the value and liquidity of the Funds’ investments.
Note 9. Subsequent Events
In preparing these financial statements, the Funds have evaluated events and transactions for potential recognition through the date the financial statements were issued. No material events or transactions occurred subsequent to December 31, 2020 that would require recognition or disclosure in these financial statements.
117
As a shareholder of a Fund you incur two types of costs: (1) transaction costs, including redemption fees and exchange fees; and (2) ongoing costs, including investment advisory fees; distribution and/or service fees; and other Fund expenses. This example is intended to help you understand your ongoing costs (in dollars) of investing in a Fund and to compare these costs with the ongoing costs of investing in other mutual funds. The example is based on an investment of $1,000 invested at the beginning of the six month period and held for the entire period (July 1, 2020 – December 31, 2020).
Actual Expenses
The Actual Expenses columns in the following table provides information about actual account values based on actual returns and actual expenses. As a shareholder you will be assessed fees for outgoing wire transfers, returned checks and stop payment orders at prevailing rates charged by U.S. Bancorp Fund Services, LLC, the Funds’ transfer agent. If you request that a redemption be made by wire transfer, currently, the Funds’ transfer agent charges a $15.00 fee. You will be charged a redemption fee equal to 1.00% of the net amount of the redemption if you redeem your shares less than 14 days after you purchase, with certain limited exceptions. Individual Retirement Accounts (“IRA”) that are held directly at the Funds will be charged a $15.00 annual maintenance fee. IRAs held by broker-dealers or through other means, may or may not incur an annual maintenance fee. Yet, if IRAs maintenance fees are charged to accounts held elsewhere, the fees charged may be more or may be less than $15.00. To the extent the Funds invest in shares of other investment companies as part of their investment strategy, you will indirectly bear your proportionate share of any fees and expenses charged by the underlying funds in which the Funds invest in addition to the expenses of the Funds. Actual expenses of the underlying funds may vary. These expenses are not included in the example below. The example below includes, but is not limited to, investment advisory, shareholder servicing, fund accounting, custody and transfer agent fees. However, the example below does not include portfolio trading commissions and related expenses. You may use the information in this line, together with the amount you invested, to estimate the expenses that you paid over the period. Simply divide your account value by $1,000 (for example, an $8,600 account value divided by $1,000 = 8.6). Then, multiply the result by the number in the first line under the heading entitled “Expenses Paid During the Period” to estimate the expenses you paid on your account during this period.
Hypothetical Example for Comparison Purposes
The Hypothetical Expenses columns in the following table provides information about hypothetical account values based on a hypothetical return and hypothetical expenses based on the Funds’ actual expense ratio and an assumed rate of return of 5% per year before expenses, which is not the Funds’ actual return. The hypothetical account values and expenses may not be used to estimate the actual ending account balance or expenses you paid for the period. You may use this information to compare the ongoing costs of investing in the Funds and other funds. To do so, compare this 5% hypothetical example with the 5% hypothetical examples that appear in the shareholder reports of the other funds. Please note that the expenses shown in the table are meant to highlight your ongoing costs only and do not reflect any transactional costs, such as sales charges (loads), redemption fees or exchange fees. Therefore, the hypothetical information in the table is useful in comparing ongoing costs only and will not help you determine the relative total costs of owning different funds. In addition, if these transactional costs were included, your costs would have been higher.
Actual Expenses | Hypothetical Expenses | ||||||
Beginning | Ending | Expenses | Ending | Expenses | Annualized | ||
Account Value | Account Value | Paid During | Account Value | Paid During | Net Expense | ||
July 1, 2020 | December 31, 2020 | the Period* | December 31, 2020 | the Period* | Ratio* | ||
Growth Equity Fund | |||||||
Institutional Shares | $1,000.00 | $1,200.30 | $3.72 | $1,021.83 | $3.41 | 0.67% | |
Investor Shares | $1,000.00 | $1,199.40 | $4.55 | $1,021.07 | $4.18 | 0.82% | |
Advisor Shares | $1,000.00 | $1,198.20 | $5.93 | $1,019.81 | $5.45 | 1.07% | |
Flexible Equity Fund | |||||||
Institutional Shares | $1,000.00 | $1,229.10 | $3.09 | $1,022.43 | $2.80 | 0.55% | |
Investor Shares | $1,000.00 | $1,228.00 | $3.93 | $1,021.68 | $3.57 | 0.70% | |
Advisor Shares | $1,000.00 | $1,226.60 | $5.33 | $1,020.42 | $4.84 | 0.95% |
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Actual Expenses | Hypothetical Expenses | ||||||
Beginning | Ending | Expenses | Ending | Expenses | Annualized | ||
Account Value | Account Value | Paid During | Account Value | Paid During | Net Expense | ||
July 1, 2020 | December 31, 2020 | the Period* | December 31, 2020 | the Period* | Ratio* | ||
Equity Income Fund | |||||||
Institutional Shares | $1,000.00 | $1,162.30 | $4.25 | $1,021.27 | $3.97 | 0.78% | |
Investor Shares | $1,000.00 | $1,162.40 | $5.07 | $1,020.52 | $4.74 | 0.93% | |
Advisor Shares | $1,000.00 | $1,160.10 | $6.42 | $1,019.26 | $6.01 | 1.18% | |
Sustainable Growth Fund | |||||||
Institutional Shares | $1,000.00 | $1,226.80 | $3.70 | $1,021.88 | $3.36 | 0.66% | |
Investor Shares | $1,000.00 | $1,226.20 | $4.55 | $1,021.12 | $4.13 | 0.81% | |
Advisor Shares | $1,000.00 | $1,224.60 | $5.94 | $1,019.86 | $5.40 | 1.06% | |
Mid-Cap Growth Fund | |||||||
Institutional Shares | $1,000.00 | $1,319.90 | $4.27 | $1,021.53 | $3.72 | 0.73% | |
Investor Shares | $1,000.00 | $1,318.80 | $5.14 | $1,020.77 | $4.48 | 0.88% | |
Small-Cap Growth Fund | |||||||
Institutional Shares | $1,000.00 | $1,316.40 | $5.61 | $1,020.37 | $4.89 | 0.96% | |
Investor Shares | $1,000.00 | $1,315.90 | $6.48 | $1,019.61 | $5.65 | 1.11% | |
Advisor Shares | $1,000.00 | $1,313.70 | $7.93 | $1,018.35 | $6.92 | 1.36% | |
Small-Cap Fundamental Value Fund | |||||||
Institutional Shares | $1,000.00 | $1,253.90 | $5.40 | $1,020.42 | $4.84 | 0.95% | |
Investor Shares | $1,000.00 | $1,253.10 | $6.25 | $1,019.66 | $5.60 | 1.10% | |
Advisor Shares | $1,000.00 | $1,251.50 | $7.66 | $1,018.40 | $6.87 | 1.35% | |
Global Leaders Fund | |||||||
Institutional Shares | $1,000.00 | $1,246.00 | $4.25 | $1,021.42 | $3.82 | 0.75% | |
Investor Shares | $1,000.00 | $1,244.50 | $5.09 | $1,020.67 | $4.58 | 0.90% | |
Intermediate Income Fund | |||||||
Investor Shares | $1,000.00 | $1,016.70 | $2.44 | $1,022.79 | $2.45 | 0.48% | |
Advisor Shares | $1,000.00 | $1,015.80 | $3.71 | $1,021.53 | $3.72 | 0.73% | |
Total Return Fund | |||||||
Institutional Shares | $1,000.00 | $1,038.70 | $2.21 | $1,023.04 | $2.19 | 0.43% | |
Investor Shares | $1,000.00 | $1,038.40 | $2.47 | $1,022.79 | $2.45 | 0.48% | |
Sustainable Bond Fund | |||||||
Institutional Shares | $1,000.00 | $1,029.90 | $2.30 | $1,022.94 | $2.29 | 0.45% | |
Investor Shares | $1,000.00 | $1,029.70 | $2.56 | $1,022.68 | $2.55 | 0.50% | |
Maryland Bond Fund | |||||||
Investor Shares | $1,000.00 | $1,030.30 | $2.46 | $1,022.79 | $2.45 | 0.48% | |
Tax-Exempt Bond Fund | |||||||
Institutional Shares | $1,000.00 | $1,042.30 | $2.11 | $1,023.14 | $2.09 | 0.41% | |
Investor Shares | $1,000.00 | $1,042.00 | $2.37 | $1,022.89 | $2.35 | 0.46% | |
Tax-Exempt Sustainable Bond Fund | |||||||
Investor Shares | $1,000.00 | $1,026.50 | $2.50 | $1,022.74 | $2.50 | 0.49% | |
Mortgage Securities Fund | |||||||
Institutional Shares | $1,000.00 | $1,012.50 | $2.28 | $1,022.94 | $2.29 | 0.45% | |
Investor Shares | $1,000.00 | $1,012.30 | $2.54 | $1,022.68 | $2.55 | 0.50% | |
WMC Strategic European Equity Fund | |||||||
Institutional Shares | $1,000.00 | $1,194.70 | $5.92 | $1,019.81 | $5.45 | 1.07% | |
Investor Shares | $1,000.00 | $1,194.60 | $6.75 | $1,019.06 | $6.21 | 1.22% | |
Advisor Shares | $1,000.00 | $1,193.00 | $8.13 | $1,017.80 | $7.48 | 1.47% |
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Actual Expenses | Hypothetical Expenses | ||||||
Beginning | Ending | Expenses | Ending | Expenses | Annualized | ||
Account Value | Account Value | Paid During | Account Value | Paid During | Net Expense | ||
July 1, 2020 | December 31, 2020 | the Period* | December 31, 2020 | the Period* | Ratio* | ||
Emerging Markets Select Fund | |||||||
Institutional Shares | $1,000.00 | $1,330.60 | $6.64 | $1,019.51 | $5.75 | 1.13% | |
Investor Shares | $1,000.00 | $1,329.10 | $7.51 | $1,018.75 | $6.51 | 1.28% | |
Advisor Shares | $1,000.00 | $1,328.00 | $8.98 | $1,017.49 | $7.78 | 1.53% | |
Beutel Goodman Large-Cap Value Fund | |||||||
Institutional Shares | $1,000.00 | $1,209.70 | $3.12 | $1,022.38 | $2.85 | 0.56% |
* | The calculations are based on expenses incurred during the most recent six-month period ended as of the date of this report. The dollar amounts shown as expenses paid during the period are equal to the annualized six-month net expense ratio multiplied by the average account value during the period, multiplied by the number of days (184) in the most recent six-month period divided by the number of days in the Funds’ fiscal year (365). |
120
Board of Trustees Approval of: (i) the Continuation of the Investment Advisory Agreement for Each of the Funds; and (ii) the Continuation of the Sub-Investment Advisory Agreements for Each of the Sub-Advised Funds (Unaudited)
In accordance with the Investment Company Act of 1940 Act, the Board of Trustees of the Trust is required, on an annual basis, to consider: (i) the continuation of the Investment Advisory Agreement between the Trust, on behalf of each of the Funds, and Brown Advisory LLC (“Brown Advisory” or the “Adviser”), as well as (ii) the continuation of each of the applicable Sub-Advisory Agreements that are being considered for continuation. The relevant provisions of the Investment Company Act of 1940 specifically provide that it is the duty of the Board to request and evaluate such information as the Board determines is necessary to allow them to properly consider the continuation of the Investment Advisory Agreement and each of the subject Sub-Advisory Agreements, and it is the duty of the Adviser, and each of the Sub-Advisers, as applicable, to furnish the Trustees with such information that is responsive to their request.
Set forth below is information regarding the Board’s most recent consideration of the approval of the continuation of the Investment Advisory Agreement and each of the Sub-Advisory Agreements. The first section provides information regarding the Board’s review of matters with respect to the continuation of the Investment Advisory Agreement with Brown Advisory. In addition, set forth immediately following that section are separate discussions of the Board’s consideration of matters with respect to: (1) the approval of the continuation of the Sub-Investment Advisory Agreement with respect to the Brown Advisory – WMC Strategic European Equity Fund; (2) the approval of the continuation of the Sub-Investment Advisory Agreement with respect to the Brown Advisory Global Leaders Fund; (3) the approval of the continuation of the Sub-Investment Advisory Agreement with respect to the Brown Advisory – Beutel Goodman Large-Cap Value Fund; and (4) the approval of the continuation of each of the Sub-Investment Advisory Agreements for the Brown Advisory Emerging Markets Select Fund.
1. Board of Trustees Approval of the Continuation of the Investment Advisory Agreement for the Funds
In determining whether to approve the continuation of the Investment Advisory Agreement with respect to each of the Funds, the Trustees requested, and Brown Advisory provided, information and data relevant to the Board’s consideration. This included materials prepared by Brown Advisory and by the Funds’ administrator that provided the Board with information regarding the investment performance of the Funds, and information regarding the fees and expenses of the Funds, as compared to other similar mutual funds. As part of its deliberations, the Board also considered and relied upon information about the Funds and Brown Advisory that they had received during the past year in connection with their regular Board meetings at which they engage in the ongoing oversight of the Funds and their operations.
The Board most recently considered the continuation of the Investment Advisory Agreement during a video conference meeting held on September 10, 2020. At this meeting, the Board engaged in a thorough review process in connection with determining whether to continue the Investment Advisory Agreement. In addition, the Board also considered the continuation of the currently effective Expense Limitation Agreement with respect to each Fund which would limit the total operating expenses for each class of shares of each of the Funds through October 31, 2021, as well as certain proposed modifications to the terms of the Expense Limitation Agreement with respect to the Funds.
Following their review and consideration, the Trustees determined that the continuation of the Investment Advisory Agreement with respect to each of the Funds was advisable and would enable shareholders of the Funds to continue to obtain high quality services at a cost that is appropriate, reasonable, and in the best interests of the Funds and their shareholders. Accordingly, the Board, including those Trustees who are not considered to be “interested persons” of the Trust, as that term is defined in the 1940 Act (the “Independent Trustees”), unanimously approved the continuation of the Investment Advisory Agreement. In reaching their decision, the Trustees requested and obtained from the Adviser such information as they deemed reasonably necessary to evaluate the Investment Advisory Agreement. The Trustees also carefully considered the profitability data and comparative fee, expense and performance information prepared for their use. In considering the continuation of the Investment Advisory Agreement with respect to each applicable Fund, the Trustees evaluated a number of factors that they believed, in light of their reasonable business judgment, to be relevant. They based their decision on the following considerations, among others, although they did not identify any one specific consideration or any particular information that was controlling of their decision:
The nature, extent and quality of the advisory services provided. The Trustees concluded that Brown Advisory is capable of providing high quality services to the Funds, as indicated by the nature, extent and quality of the services provided in the past by Brown Advisory to each of the Funds, Brown Advisory’s management capabilities as demonstrated with respect to the Funds, the professional qualifications and experience of each of the portfolio managers of the Funds, Brown Advisory’s investment management and compliance oversight processes, and the competitive investment performance of the Funds. On the basis of the Trustees’ assessment of the nature, extent and quality of the advisory services provided by Brown Advisory, the Trustees concluded
121
Board of Trustees Approval of: (i) the Continuation of the Investment Advisory Agreement for Each of the Funds; and (ii) the Continuation of the Sub-Investment Advisory Agreements for Each of the Sub-Advised Funds (Unaudited)
that Brown Advisory is capable of generating a level of long-term investment performance that is appropriate in light of the Funds’ investment objectives, policies and strategies and is competitive with many other comparable investment companies.
In connection with their consideration of these matters, the members of the Board took into consideration their discussions with the representatives of Brown Advisory regarding various matters with respect to the firm’s ongoing business operations, including with respect to the impact of the COVID-19 pandemic on the continuity of their business operations and on their personnel as well as with respect to each of the Sub-Advisers.
The Board received and reviewed performance information for each of the Funds separately, including performance information for applicable one-, three-, five- and ten-year periods ended June 30, 2020, and for shorter periods as applicable with respect to those Funds with shorter operating histories. The Board also reviewed with the representatives of Brown Advisory other information and data, including each Fund’s performance against its benchmark and its peers, as follows:
1. Equity Income Fund
The Board first reviewed information and materials regarding the performance results for the Equity Income Fund, noting that the Institutional Shares of the Fund had underperformed its primary benchmark index, the S&P 500 Index, for the one-, three- and five-year periods ended June 30, 2020. The Board noted that the Institutional Shares of the Fund had underperformed its peer group median for the one- and five-year periods ended June 30, 2020, but had outperformed its peer group median for the three-year period ended June 30, 2020. The members of the Board also considered and discussed the factors contributing to the Fund’s underperformance relative to its peer group and they reviewed them with the Adviser.
2. Flexible Equity Fund
The Board next reviewed information and materials regarding the performance results for the Flexible Equity Fund, noting that the Institutional Shares of the Fund had outperformed its primary benchmark index, the S&P 500 Index, for the one-, three-, five- and ten-year periods ended June 30, 2020. The Board noted that the Institutional Shares of the Fund had underperformed its peer group median for the one-, three-, five- and ten-year periods ended June 30, 2020. The members of the Board also considered and discussed the factors contributing to the Fund’s underperformance relative to its peer group and they reviewed them with the Adviser.
3. Growth Equity Fund
The Board then reviewed information and materials regarding the performance results for the Growth Equity Fund, noting that the Institutional Shares of the Fund had outperformed its primary benchmark index, the Russell 1000 Growth Index, for the three- and five-year periods ended June 30, 2020, but had underperformed its benchmark index for the one- and ten-year periods ended June 30, 2020. The Board noted that the Institutional Shares of the Fund had outperformed its peer group median for the one-, three-, five- and ten-year periods ended June 30, 2020.
4. Small-Cap Fundamental Value Fund
The Board next reviewed information and materials regarding the performance results for the Small-Cap Fundamental Value Fund, noting that the Institutional Shares of the Fund had outperformed its primary benchmark index, the Russell 2000 Value Index, for the three- and ten-year periods ended June 30, 2020, but had underperformed its primary benchmark index for the one- and five-year periods ended June 30, 2020. The Board noted that the Institutional Shares of the Fund had underperformed its peer group median for the one-, three- and five-year periods ended June 30, 2020, but had outperformed its peer group median for the ten-year period ended June 30, 2020.
5. Small-Cap Growth Fund
The Board then reviewed information and materials regarding the performance results for the Small-Cap Growth Fund, noting that the Institutional Shares of the Fund had outperformed its primary benchmark index, the Russell 2000 Growth Index, for the three-, five- and ten-year periods ended June 30, 2020, but had underperformed its benchmark index for the one-year period ended June 30, 2020. The Board noted that the Institutional Shares of the Fund had outperformed its peer group median for the five-year period ended June 30, 2020, and had performed in line with the peer group median for the three-year period ended June 30, 2020. The Board further noted that the Institutional Shares of the Fund had underperformed its peer group median for the one-year and ten-year periods ended June 30, 2020.
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Board of Trustees Approval of: (i) the Continuation of the Investment Advisory Agreement for Each of the Funds; and (ii) the Continuation of the Sub-Investment Advisory Agreements for Each of the Sub-Advised Funds (Unaudited)
6. Sustainable Growth Fund
The Board next reviewed information and materials regarding the performance results for the Sustainable Growth Fund, noting that the Institutional Shares of the Fund had underperformed its primary benchmark index, the Russell 1000 Growth Index, for the one-year period ended June 30, 2020, but had outperformed its benchmark index for the three- and five-year periods ended June 30, 2020. The Board noted that the Institutional Shares of the Fund had outperformed its peer group median for the one-, three- and five-year periods ended June 30, 2020.
7. Intermediate Income Fund
The Board then reviewed information and materials regarding the performance results for the Intermediate Income Fund, noting that the Investor Shares of the Fund had underperformed its primary benchmark index, the Bloomberg Barclays Intermediate US Aggregate Bond Index, for the one-, three-, five- and ten-year periods ended June 30, 2020. The Board noted that the Investor Shares of the Fund had underperformed its peer group median for the one-, three-, five- and ten-year periods ended June 30, 2020. The members of the Board considered and discussed the factors contributing to the Fund’s underperformance and they reviewed them with the Adviser.
8. Maryland Bond Fund
The Board next reviewed information and materials regarding the performance results for the Maryland Bond Fund, noting that the Investor Shares of the Fund had underperformed its primary benchmark index, the Bloomberg Barclays 1-10 Year Blended Municipal Bond Index, for the one-, three-, five- and ten-year periods ended June 30, 2020. The Board noted that the Investor Shares of the Fund had underperformed its peer group median for the one-, three-, five- and ten-year periods ended June 30, 2020. The members of the Board considered and discussed the factors contributing to the Fund’s longer term underperformance and they reviewed them with the Adviser.
9. Tax-Exempt Bond Fund
The Board next reviewed information and materials regarding the performance results for the Tax-Exempt Bond Fund, noting that the Institutional Shares of the Fund had outperformed its primary benchmark index, the Bloomberg Barclays 1-10 Year Blended Municipal Bond Index, for the three- and five-year periods ended June 30, 2020, but had underperformed its benchmark index for the one-year period ended June 30, 2020. The Board noted that the Institutional Shares of the Fund had outperformed its peer group median for the three-year period ended June 30, 2020, but had underperformed its peer group median for the one- and five-year periods ended June 30, 2020.
10. Emerging Markets Select Fund
The Board then reviewed information and materials regarding the performance results for the Emerging Markets Select Fund, noting that the Institutional Shares of the Fund had underperformed its primary benchmark index, the FTSE Emerging Index, for the one-, three- and five-year periods ended June 30, 2020. The Board noted that the Institutional Shares of the Fund had underperformed its peer group median for the one-, three- and five-year periods ended June 30, 2020. The members of the Board considered and discussed the factors contributing to the Fund’s underperformance and they reviewed them with the Adviser. The members of the Board took into consideration that in February 2019 the Fund’s previous Sub-Adviser that had been sub-advising the Fund since its inception in December 2012 was replaced by two new Sub-Advisers and the Fund became subject to new principal investment strategies at that time.
11. WMC Strategic European Equity Fund
The Board next reviewed information and materials regarding the performance results for the WMC Strategic European Equity Fund, noting that the Institutional Shares of the Fund had outperformed its primary benchmark index, the MSCI Europe Index, for the one-, three- and five-year periods ended June 30, 2020. The Board noted that the Institutional Shares of the Fund had outperformed its peer group median for the three- and five-year periods ended June 30, 2020, and had performed in line with its peer group median for the one-year period ended June 30, 2020.
12. Mortgage Securities Fund
The Board then reviewed information and materials regarding the performance results for the Mortgage Securities Fund, noting that the Institutional Shares of the Fund had outperformed its primary benchmark index, the Bloomberg Barclays Mortgage
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Backed Securities Index, for the one-, three- and five-year periods ended June 30, 2020. The Board noted that the Institutional Shares of the Fund had outperformed its peer group median for the three- and five-year periods ended June 30, 2020, but had underperformed its peer group median for the one-year period ended June 30, 2020.
13. Total Return Fund
The Board next reviewed information and materials regarding the performance results for the Total Return Fund, noting that the Institutional Shares of the Fund had outperformed its primary benchmark index, the Bloomberg Barclays US Aggregate Bond Index, for the three- and five-year periods ended June 30, 2020, but had underperformed its benchmark index for the one-year period ended June 30, 2020. The Board noted that the Institutional Shares of the Fund had outperformed its peer group median for the one-, three- and five-year periods ended June 30, 2020.
14. Global Leaders Fund
The Board then reviewed information and materials regarding the performance results for the Global Leaders Fund, noting that the Institutional Shares of the Fund had outperformed its primary benchmark index, the FTSE All-World Index, for the one- and three-year periods ended June 30, 2020. The Board noted that the Institutional Shares of the Fund had outperformed its peer group median for the one- and three-year periods ended June 30, 2020.
15. Mid-Cap Growth Fund
The Board next reviewed information and materials regarding the performance results for the Mid-Cap Growth Fund, noting that the Institutional Shares of the Fund had underperformed its primary benchmark index, the Russell Midcap Growth Index, for the one-year period ended June 30, 2020. The Board noted that the Institutional Shares of the Fund had underperformed its peer group median for the one-year period ended June 30, 2020. The Board also noted that, because the Fund commenced operations in October 2017, the Fund has a relatively short performance history.
16. Sustainable Bond Fund
The Board then reviewed information and materials regarding the performance results for the Sustainable Bond Fund, noting that the Institutional Shares of the Fund had underperformed its primary benchmark index, the Bloomberg Barclays US Aggregate Bond Index, for the one-year period ended June 30, 2020. The Board noted that the Institutional Shares of the Fund had outperformed its peer group median for the one-year period ended June 30, 2020. The Board also noted that, because the Fund commenced operations in August 2017, the Fund has a relatively short performance history.
17. Beutel Goodman Large-Cap Value Fund
The Board next reviewed information and materials regarding the performance results for the Beutel Goodman Large-Cap Value Fund, noting that the Institutional Shares of the Fund had outperformed its primary benchmark index, the Russell 1000 Value Index, for the one-year period ended June 30, 2020. The Board noted that the Institutional Shares of the Fund had outperformed its peer group median for the one-year period ended June 30, 2020. The Board also noted that, because the Fund commenced operations in February 2018, the Fund has a relatively short performance history.
18. Tax-Exempt Sustainable Bond Fund
The Board then reviewed information and materials regarding the performance results for the Tax-Exempt Sustainable Bond Fund, noting that the Investor Shares of the Fund had underperformed its primary benchmark index, the Bloomberg Barclays 1-10 Year Blended Municipal Bond Index, for the year-to-date period ended June 30, 2020. The Board noted that the Investor Shares of the Fund had underperformed its peer group median for the year-to-date period ended June 30, 2020. The Board also noted that, because the Fund commenced operations in December 2019, the Fund has a relatively short performance history.
The cost of advisory services provided and the level of profitability. The Board also considered the advisory fees and overall expenses of the Funds as compared to the advisory fees and overall expenses of other mutual funds in each Fund’s peer group, as well as profitability information with respect to Brown Advisory’s management and operation of the Funds. On the basis of this comparative information, the Trustees determined that the overall advisory fees and expense ratios of the Funds are competitive with industry averages. The Trustees noted that Brown Advisory had proposed the continuation of their contractual commitment for the benefit of shareholders of the Funds to limit the Funds’ operating expenses through October 31, 2021, subject to recoupment by the Adviser of certain amounts under specified circumstances, and subject to certain proposed modifications to the
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terms of the expense limitation arrangements that were intended to make the expense limitation amounts more generally in line with the median net expense ratios of each Fund’s applicable peer group.
The Board also considered Brown Advisory’s level of profitability with respect to each of the Funds, and noted that Brown Advisory’s level of profitability was acceptable and not unreasonable. The Board reviewed the extent to which Brown Advisory uses its own financial resources to help promote and market the Funds in order to support various components of the distribution efforts of the Funds. In considering the profitability of Brown Advisory from their operation of the Funds, the Trustees considered the level of profitability realized by Brown Advisory before the imposition of any distribution and marketing expenses incurred by the firm from its own resources. The Board also considered information regarding the fees that Brown Advisory charges to its other clients for investment advisory services that are similar to the advisory services provided to the Funds and the Board noted that the fees charged to the Funds by the Adviser were reasonable in light of the nature of the services provided by the Adviser to the other accounts, the types of accounts involved, and the applicable services provided in each case. Accordingly, on the basis of the Board’s review of the fees charged by Brown Advisory for investment advisory services, the investment advisory and other services provided to the Funds by Brown Advisory, and the level of profitability from Brown Advisory’s relationship with the Funds, the Board concluded that the level of investment advisory fees and Brown Advisory’s profitability were appropriate in light of the management fees, overall expense ratios and investment performance of comparable investment companies.
The Board reviewed with the representatives of Brown Advisory certain fee and expense information for the relevant share classes of the Funds as compared to the advisory fees and overall expenses (excluding Rule 12b-1 fees) of other mutual funds in each Fund’s peer group, as follows:
1. Equity Income Fund
The Board first reviewed expense information and materials for the Equity Income Fund, noting that the Investment Advisory Agreement provided for a 0.60% investment advisory fee for the Fund, which was below the median compared to its peer funds. The Board also noted that the net expense ratio of the Fund’s Institutional Shares was 0.80%, which was lower than the median net expense ratio of its peer funds.
2. Flexible Equity Fund
The Board next reviewed expense information and materials for the Flexible Equity Fund, noting that due to the breakpoints provided for in the Investment Advisory Agreement, the investment advisory fee for the period was 0.44% for the Fund, which was below the median compared to its peer funds. The Board also noted that the net expense ratio of the Fund’s Institutional Shares was 0.56%, which was below the median net expense ratio of its peer funds. The Board took into account that the Investment Advisory Agreement included breakpoints to the Fund’s investment advisory fee such that the advisory fee charged with respect to the Fund would be 0.50% on all assets less than $150 million; 0.45% on all assets greater than or equal to $150 million but less than $250 million; 0.40% on all assets greater than or equal to $250 million but less than $1 billion; and 0.38% on all assets greater than or equal to $1 billion.
3. Growth Equity Fund
The Board then reviewed expense information and materials for the Growth Equity Fund, noting that due to the breakpoints provided for in the Investment Advisory Agreement, the investment advisory fee for the period was 0.58% for the Fund, which was below the median compared to its peer funds. The Board also noted that the net expense ratio of the Fund’s Institutional Shares was 0.69%, which was below the median net expense ratio of its peer funds. The Board took into account that the Investment Advisory Agreement included breakpoints to the Fund’s investment advisory fee such that the advisory fee charged with respect to the Fund would be 0.60% on all assets less than $1.5 billion; 0.55% on all assets greater than or equal to $1.5 billion but less than $3 billion; 0.50% on all assets greater than or equal to $3 billion but less than $6 billion; and 0.45% on all assets greater than or equal to $6 billion.
4. Small-Cap Fundamental Value Fund
The Board then reviewed expense information and materials for the Small-Cap Fundamental Value Fund, noting that the Investment Advisory Agreement provided for a 0.85% investment advisory fee for the Fund, which was above the median compared to its peer funds. The Board also noted that the net expense ratio of the Fund’s Institutional Shares was 0.97%, which was above the median net expense ratio of its peer funds.
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Board of Trustees Approval of: (i) the Continuation of the Investment Advisory Agreement for Each of the Funds; and (ii) the Continuation of the Sub-Investment Advisory Agreements for Each of the Sub-Advised Funds (Unaudited)
5. Small-Cap Growth Fund
The Board next reviewed expense information and materials for the Small-Cap Growth Fund, noting that the Investment Advisory Agreement provided for a 0.85% investment advisory fee for the Fund, which was above the median compared to its peer funds. The Board also noted that the net expense ratio of the Fund’s Institutional Shares was 0.97%, which was lower than the median net expense ratio of its peer funds.
6. Sustainable Growth Fund
The Board next reviewed expense information and materials for the Sustainable Growth Fund, noting that due to the breakpoints provided for in the Investment Advisory Agreement, the investment advisory fee for the period was 0.59% for the Fund, which was below the median compared to its peer funds. The Board also noted that the net expense ratio of the Fund’s Institutional Shares was 0.70%, which was lower than the median net expense ratio of its peer funds. The Board took into account that the Investment Advisory Agreement included breakpoints to the Fund’s investment advisory fee such that the advisory fee charged with respect to the Fund would be 0.60% on all assets less than $1.5 billion; 0.55% on all assets greater than or equal to $1.5 billion but less than $3 billion; 0.50% on all assets greater than or equal to $3 billion but less than $6 billion; and 0.45% on all assets greater than or equal to $6 billion.
7. Intermediate Income Fund
The Board then reviewed expense information and materials for the Intermediate Income Fund, noting that the Investment Advisory Agreement provided for a 0.30% investment advisory fee for the Fund, which was below the median compared to its peer funds. The Board also noted that the net expense ratio of the Fund’s Investor Shares was 0.49%, which was lower than the median net expense ratio of its peer funds.
8. Maryland Bond Fund
The Board next reviewed expense information and materials for the Maryland Bond Fund, noting that the Investment Advisory Agreement provided for a 0.30% investment advisory fee for the Fund, which was below the median compared to its peer funds. The Board also noted that the net expense ratio of the Fund’s Investor Shares was 0.49%, which was lower than the median net expense ratio of its peer funds.
9. Tax-Exempt Bond Fund
The Board next reviewed expense information and materials for the Tax-Exempt Bond Fund, noting that the Investment Advisory Agreement provided for a 0.30% investment advisory fee for the Fund, which was below the median compared to its peer funds. The Board also noted that the net expense ratio of the Fund’s Institutional Shares was 0.42%, which was lower than the median net expense ratio of its peer funds.
10. Emerging Markets Select Fund
The Board next reviewed expense information and materials for the Emerging Markets Select Fund, noting that the Investment Advisory Agreement provided for a 0.90% investment advisory fee for the Fund, which was below the median compared to its peer funds. The Board also noted that the net expense ratio of the Fund’s Institutional Shares was 1.16%, which was above the median net expense ratio of its peer funds.
11. WMC Strategic European Equity Fund
The Board next reviewed expense information and materials for the WMC Strategic European Equity Fund, noting that the Investment Advisory Agreement provided for a 0.90% investment advisory fee for the Fund, which was above the median of its peer funds. The Board also noted that the net expense ratio of the Fund’s Institutional Shares was 1.09%, which was the same as the median net expense ratio of its peer funds.
12. Mortgage Securities Fund
The Board then reviewed expense information and materials for the Mortgage Securities Fund, noting that the Investment Advisory Agreement provided for a 0.30% investment advisory fee for the Fund, which was below the median compared to its peer funds. The Board also noted that the net expense ratio of the Fund’s Institutional Shares was 0.47%, which was lower than the median net expense ratio of its peer funds.
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Board of Trustees Approval of: (i) the Continuation of the Investment Advisory Agreement for Each of the Funds; and (ii) the Continuation of the Sub-Investment Advisory Agreements for Each of the Sub-Advised Funds (Unaudited)
13. Total Return Fund
The Board next reviewed expense information and materials for the Total Return Fund, noting that the Investment Advisory Agreement provided for a 0.30% investment advisory fee for the Fund, which was below the median compared to its peer funds. The Board also noted that the net expense ratio of the Fund’s Institutional Shares was 0.45%, which was lower than the median net expense ratio of its peer funds.
14. Global Leaders Fund
The Board then reviewed expense information and materials for the Global Leaders Fund, noting that the Investment Advisory Agreement provided for a 0.65% investment advisory fee for the Fund, which was below the median compared to its peer funds. The Board also noted that the net expense ratio of the Fund’s Institutional Shares was 0.75%, which was lower than the median net expense ratio of its peer funds.
15. Mid-Cap Growth Fund
The Board then reviewed expense information and materials for the Mid-Cap Growth Fund, noting that the Investment Advisory Agreement provided for a 0.65% investment advisory fee for the Fund, which was below the median compared to its peer funds. The Board also noted that the net expense ratio of the Fund’s Institutional Shares was 0.70%, which was lower than the median net expense ratio of its peer funds.
16. Sustainable Bond Fund
The Board next reviewed expense information and materials for the Sustainable Bond Fund, noting that the Investment Advisory Agreement provided for a 0.30% investment advisory fee for the Fund, which was below the median compared to its peer funds. The Board also noted that the net expense ratio of the Fund’s Institutional Shares was 0.48%, which was lower than the median net expense ratio of its peer funds.
17. Beutel Goodman Large-Cap Value Fund
The Board then reviewed expense information and materials for the Beutel Goodman Large-Cap Value Fund, noting that the Investment Advisory Agreement provided for a 0.45% investment advisory fee for the Fund, which was below the median compared to its peer funds. The Board also noted that the net expense ratio of the Fund’s Institutional Shares was 0.57%, which was lower than the median net expense ratio of its peer funds.
18. Tax-Exempt Sustainable Bond Fund
The Board then reviewed expense information and materials for the Tax-Exempt Sustainable Bond Fund, noting that the Investment Advisory Agreement provided for a 0.30% investment advisory fee for the Fund, which was below the median compared to its peer funds. The Board also noted that the net expense ratio of the Fund’s Investor Shares was 0.55%, which was above the median net expense ratio of its peer funds.
The extent to which economies of scale may be realized as the Funds grow and whether the advisory fees reflect possible economies of scale. While it was noted that, for most of the Funds, the Funds’ investment advisory fees will not decrease as those Funds’ assets grow because they are not subject to investment advisory fee breakpoints, the Trustees concluded that the Funds’ investment advisory fees are appropriate in light of the size of the Funds, and appropriately reflect the current economic environment for Brown Advisory and the competitive nature of the mutual fund market. The Trustees took into consideration that the Adviser has previously informed the Board that the Adviser has consistently attempted to set the investment advisory fees at a level that provides for economies of scale by being set at a starting point that is at a reasonable rate without necessarily requiring the imposition of breakpoints, which approach has been favorably recognized by relevant court decisions as one of the acceptable means of achieving economies of scale. The Trustees also noted that the Funds’ advisory fees are competitive against their peers. The Trustees further noted that they will have the opportunity to periodically re-examine whether any of the Funds not currently subject to breakpoints have achieved economies of scale, and the appropriateness of investment advisory fees payable to Brown Advisory with respect to the Funds, in the future at which time the implementation of fee breakpoints on other Funds could be considered further.
Benefits to Brown Advisory from its relationship with the Funds (and any corresponding benefits to the Funds). The Trustees concluded that certain benefits that may be derived by Brown Advisory from its relationship with the Funds, including “soft dollar” benefits in connection with Fund brokerage transactions and use of the Funds’ performance track record in
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Board of Trustees Approval of: (i) the Continuation of the Investment Advisory Agreement for Each of the Funds; and (ii) the Continuation of the Sub-Investment Advisory Agreements for Each of the Sub-Advised Funds (Unaudited)
advertising materials, are reasonable and fair, and consistent with industry practice and the best interests of the Funds and their shareholders. In addition, the Trustees determined that the Funds benefit from their relationship with Brown Advisory by virtue of Brown Advisory’s provision of business management and shareholder services, in addition to investment advisory services, at a cost to the Funds that is generally comparable to the costs of an outside service provider, which the Trustees have previously determined to be reasonable, fair and in the best interests of the shareholders of the Funds in light of the nature and quality of the services provided and the necessity of the services for the Funds’ operations.
Other Considerations. In approving the continuation of the Investment Advisory Agreement, the Trustees determined that Brown Advisory has made a substantial commitment to the recruitment and retention of high quality personnel, and maintains the financial, compliance and operational resources reasonably necessary to manage the Funds in a professional manner that is consistent with the best interests of the Funds and their shareholders. The Board also acknowledged the experience and expertise of members of the Brown Advisory senior management team and the focus these individuals have on ensuring the Funds operate successfully. The Trustees also concluded that Brown Advisory has made a significant entrepreneurial commitment to the management and success of the Funds, which entails a substantial financial and professional commitment, including the Expense Limitation Agreement under which Brown Advisory has undertaken to waive a portion of its fees and to reimburse expenses of the Funds to the benefit of Fund shareholders to the extent necessary in accordance with the terms of the Expense Limitation Agreement. The Board also considered matters with respect to the brokerage practices of Brown Advisory, including its soft dollar arrangements and its best-execution procedures, and noted that these were reasonable and consistent with standard industry practice.
The Board also considered various matters with respect to the distribution and shareholder servicing arrangements applicable to the Funds and they considered the distribution fees and the non-distribution shareholder servicing fees payable with respect to certain of the share classes of the Funds, including certain of such fees which are payable to the Adviser for the shareholder administrative services that it provides to shareholders of the Funds. The Board took note of the fact that the non-distribution related shareholder administrative fees payable to the Adviser are intended to compensate the Adviser for providing certain administrative services to those Fund shareholders covered by the applicable servicing arrangements in the relevant share classes.
The Board also took into consideration the nature and extent of the business management fees payable to the Adviser by each of the Funds pursuant to which Brown Advisory provides certain business management services to the Funds, which the Board had previously considered and approved at a prior meeting based upon a finding that the business management fees charged are fair and reasonable in light of the usual and customary charges made by others for services of the same nature and quality.
In reaching their conclusion with respect to the approval of the continuation of the Investment Advisory Agreement and the level of fees paid under the Agreement, the Trustees did not identify any one single factor as being controlling, but rather, the Board took note of a combination of factors that had influenced their decision making process. They noted the level and quality of the investment advisory services provided by Brown Advisory to each of the Funds in the Trust, and they found that these services will continue to benefit the Funds and their shareholders and also reflected the Adviser’s overall commitment to the continued growth and development of the Funds.
Based upon their review and consideration of these factors and other matters deemed relevant by the Board in reaching an informed business judgment, a majority of the Board of Trustees, including a majority of the Independent Trustees, concluded that the terms of the Investment Advisory Agreement, were fair and reasonable and the Board voted to renew the Investment Advisory Agreement with respect to the Funds for an additional one-year period.
2. Board of Trustees Approval of the Continuation of the Sub-Investment Advisory Agreement With Respect to the Brown Advisory – WMC Strategic European Equity Fund
The continuation of the Sub-Investment Advisory Agreement with respect to the Brown Advisory – WMC Strategic European Equity Fund between Brown Advisory and Wellington Management Company LLP, the sub-investment adviser to the Fund (“Wellington”), was also approved by the Board of Trustees at the Board meeting held on September 10, 2020.
In accordance with the Investment Company Act of 1940, the Board of Trustees was required to consider the approval of the continuation of the Sub-Investment Advisory Agreement. The relevant provisions of the Investment Company Act of 1940 specifically provide that it is the duty of the Board to request and evaluate such information as the Board determines is necessary to allow them to properly consider the approval of the continuation of the Sub-Advisory Agreement, and it is the duty of Brown Advisory and Wellington, as applicable, to furnish the Trustees with such information that is responsive to their request.
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Board of Trustees Approval of: (i) the Continuation of the Investment Advisory Agreement for Each of the Funds; and (ii) the Continuation of the Sub-Investment Advisory Agreements for Each of the Sub-Advised Funds (Unaudited)
Accordingly, in determining whether to approve the continuation of the Sub-Investment Advisory Agreement between Brown Advisory and Wellington, the Board of Trustees requested, and Brown Advisory and Wellington provided, information and data relevant to the Board’s consideration.
The Board then undertook the consideration of various matters with respect to the proposed approval of the continuation of the Sub-Investment Advisory Agreement between Brown Advisory and Wellington. The Trustees considered various matters involving the respective services provided by each of Brown Advisory and Wellington in connection with the management and operation of the Fund and they took note of the extensive oversight duties performed by Brown Advisory including investment management and compliance oversight of the operations of Wellington. The Trustees considered that Brown Advisory is actively engaged in conducting an ongoing monitoring program involving Wellington’s investment activities with respect to Wellington’s day-to-day portfolio management of the Fund’s assets in order to make sure that Wellington is adhering to all of the stated investment objectives, policies, limitations and restrictions that the Fund is subject to. In addition, the Trustees also took note of the fact that in connection with Brown Advisory’s oversight of the investment program maintained by Wellington with respect to the Fund, Brown Advisory prepares extensive reports to the Board regarding the investment activities of Wellington, which reports contain detailed analyses of how Wellington is performing.
The Board reviewed and evaluated the information that Brown Advisory and Wellington had presented for the Board’s review. The Board particularly noted, among other considerations, that the Fund’s investment advisory fees and overall operating expenses were competitive with comparable mutual funds. The Board also took into account presentations made by Wellington and Brown Advisory throughout the year. Based on its review of all of the information, the Board determined that the Sub-Investment Advisory Agreement was consistent with the best interests of the Fund and its shareholders and would enable the Fund to continue to receive high quality sub-advisory services at a cost that is appropriate, reasonable, and in the best interests of the Fund and its shareholders. In reaching these conclusions, the Board considered the following:
The nature, extent and quality of the sub-investment advisory services provided. The Trustees concluded that Wellington is capable of providing high quality sub-advisory services to the Fund as indicated by the professional qualifications and experience of the portfolio managers of the Fund, and Wellington’s investment management processes. On the basis of the Trustees’ assessment of the nature, extent and quality of the sub-advisory services provided by Wellington, the Trustees concluded that Wellington is capable of generating a level of long-term investment performance that is appropriate in light of the Fund’s investment objectives, policies and strategies and competitive with many other comparable investment companies.
The cost of advisory services provided and the expected level of profitability. On the basis of comparative information derived from the data that had been provided to the Board members, the Trustees determined that the expense ratios for each class of shares of the Fund are competitive with industry averages. The Trustees also noted that the Fund is subject to a contractual expense limitation agreement for the benefit of shareholders of the Fund to limit the Fund’s operating expenses through October 31, 2021. The Board also took note of the fact that the sub-advisory fees for the Fund had been separately negotiated by Brown Advisory and Wellington. Accordingly, on the basis of the Board’s review of the fees charged by Wellington for sub-investment advisory services provided to the Fund, the Board concluded that the level of sub-investment advisory fees is appropriate in light of the management fees, overall expense ratios and investment performance of comparable investment companies, and that the sub-advisory fee had been separately negotiated at arm’s-length by independent third parties.
The extent to which economies of scale may be realized as the Fund grows and whether the advisory fees reflect possible economies of scale. While it was noted that the Fund’s investment sub-advisory fees will not decrease as the Fund’s assets grow because they will not be subject to investment sub-advisory fee breakpoints, the Trustees concluded that the Fund’s investment sub-advisory fees are appropriate in light of the size of the Fund, and appropriately reflect the current economic environment for Brown Advisory and Wellington and the competitive nature of the mutual fund market. The Trustees then noted that they will have the opportunity to periodically re-examine whether the Fund has achieved economies of scale, and the appropriateness of the investment sub-advisory fees with respect to the Fund, in the future at which time the implementation of fee breakpoints on the Fund could be further considered.
Benefits to Wellington from its relationship with the Fund (and any corresponding benefits to the Fund). The Trustees concluded that other benefits that may be derived by Wellington from its relationship with the Fund, including any potential “soft dollar” benefits in connection with the Fund’s brokerage transactions and use of the Fund’s performance track record in advertising materials, are reasonable and fair, and consistent with industry practice and the best interests of the Fund and its shareholders.
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Board of Trustees Approval of: (i) the Continuation of the Investment Advisory Agreement for Each of the Funds; and (ii) the Continuation of the Sub-Investment Advisory Agreements for Each of the Sub-Advised Funds (Unaudited)
Other Considerations. In approving the continuation of the Sub-Investment Advisory Agreement, the Trustees determined that Wellington has made a substantial commitment to the recruitment and retention of high quality personnel, and maintains the financial, compliance and operational resources reasonably necessary to provide sub-advisory services to the Fund in a professional manner that is consistent with the best interests of the Fund and its shareholders. The Board also considered matters with respect to the brokerage practices of Wellington, including its soft dollar arrangements and its best-execution procedures, and noted that these were reasonable and consistent with standard industry practice.
It was noted that in making their determinations, the Trustees had considered and relied upon the materials provided to them by Wellington with respect to the contract and the presentation of the representatives of Brown Advisory. In reaching their conclusion with respect to the approval of the continuation of the Sub-Investment Advisory Agreement and the level of fees paid under the Agreement, the Trustees did not identify any one single factor as being controlling, rather, the Trustees took note of a combination of factors that had influenced their decision making process. They noted the level and quality of investment advisory services provided by Wellington to the Fund and determined that these services will continue to benefit the Fund and its shareholders. They also considered the nature of the allocation of the duties and responsibilities for the management and operation of the Fund between Brown Advisory and Wellington and they determined that the sub-advisory fees for the Fund, as negotiated by Brown Advisory and Wellington, reasonably reflected the nature and extent of the services provided by Wellington with respect to the Fund.
3. Board of Trustees Approval of the Continuation of the Sub-Investment Advisory Agreement With Respect to the Brown Advisory Global Leaders Fund
At their September 10, 2020 Board meeting, the Board also undertook the consideration of matters with respect to the proposed continuation of the Sub-Investment Advisory Agreement between Brown Advisory and its affiliate Brown Advisory Ltd. with respect to the Brown Advisory Global Leaders Fund.
In accordance with the Investment Company Act of 1940, the Board of Trustees was required to consider the approval of the continuation of the Sub-Investment Advisory Agreement. The relevant provisions of the Investment Company Act of 1940 specifically provide that it is the duty of the Board to request and evaluate such information as the Board determines is necessary to allow them to properly consider the approval of the continuation of the Sub-Advisory Agreement, and it is the duty of Brown Advisory and Brown Advisory Ltd., as applicable, to furnish the Trustees with such information that is responsive to their request.
Accordingly, in determining whether to approve the continuation of the Sub-Investment Advisory Agreement between Brown Advisory and Brown Advisory Ltd., the Board of Trustees requested, and Brown Advisory and Brown Advisory Ltd. provided, information and data relevant to the Board’s consideration. In connection with these matters with respect to the sub-advisory arrangements for the Fund, the Trustees took into consideration the fact that the two firms are affiliates of one another and under common control.
The Board then undertook the consideration of various matters with respect to the proposed approval of the continuation of the Sub-Investment Advisory Agreement between Brown Advisory and Brown Advisory Ltd. The Trustees considered various matters involving the respective services provided by each of Brown Advisory and Brown Advisory Ltd. in connection with the management and operation of the Fund and they took note of the extensive oversight duties performed by Brown Advisory including investment management and compliance oversight of the operations of Brown Advisory Ltd. The Trustees considered that Brown Advisory is actively engaged in conducting an ongoing monitoring program involving Brown Advisory Ltd.’s investment activities with respect to Brown Advisory Ltd.’s day-to-day portfolio management of the Fund’s assets in order to make sure that Brown Advisory Ltd. is adhering to all of the stated investment objectives, policies, limitations and restrictions that the Fund is subject to. In addition, the Trustees also took note of the fact that in connection with Brown Advisory’s oversight of the investment program maintained by Brown Advisory Ltd. with respect to the Fund, Brown Advisory prepares extensive reports to the Board regarding the investment activities of Brown Advisory Ltd., which reports contain detailed analyses of how Brown Advisory Ltd. is performing.
The Board reviewed and evaluated the information that Brown Advisory and Brown Advisory Ltd. had presented for the Board’s review. The Board particularly noted, among other considerations, that the Fund’s investment advisory fees and overall operating expenses were competitive with comparable mutual funds. The Board also took into account presentations made by Brown Advisory Ltd. and Brown Advisory throughout the year. Based on its review of all of the information, the Board determined that
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Board of Trustees Approval of: (i) the Continuation of the Investment Advisory Agreement for Each of the Funds; and (ii) the Continuation of the Sub-Investment Advisory Agreements for Each of the Sub-Advised Funds (Unaudited)
the Sub-Investment Advisory Agreement was consistent with the best interests of the Fund and its shareholders and would enable the Fund to continue to receive high quality sub-advisory services at a cost that is appropriate, reasonable, and in the best interests of the Fund and its respective shareholders. In reaching these conclusions, the Board considered the following:
The nature, extent and quality of the sub-investment advisory services provided. The Trustees concluded that Brown Advisory Ltd. is capable of providing high quality sub-advisory services to the Fund as indicated by the professional qualifications and experience of the portfolio managers of the Fund, and Brown Advisory Ltd.’s investment management processes. On the basis of the Trustees’ assessment of the nature, extent and quality of the sub-advisory services provided by Brown Advisory Ltd., the Trustees concluded that Brown Advisory Ltd. is capable of generating a level of long-term investment performance that is appropriate in light of the Fund’s investment objectives, policies and strategies and competitive with many other comparable investment companies.
The cost of advisory services provided and the expected level of profitability. On the basis of comparative information derived from the data that had been provided to the Board members, the Trustees determined that the expense ratios for each respective class of shares of the Fund are competitive with industry averages. The Trustees also noted that the Fund is subject to a contractual expense limitation agreement for the benefit of shareholders of the Fund to limit the Fund’s operating expenses through October 31, 2021. Accordingly, on the basis of the Board’s review of the fees charged by Brown Advisory Ltd. for sub-investment advisory services provided to the Fund, the Board concluded that the level of sub-investment advisory fees is appropriate in light of the management fees, overall expense ratios and investment performance of comparable investment companies.
The extent to which economies of scale may be realized as the Fund grows and whether the advisory fees reflect possible economies of scale. While it was noted that the Fund’s investment sub-advisory fees will not decrease as the Fund’s assets grow because they will not be subject to investment sub-advisory fee breakpoints, the Trustees concluded that the Fund’s investment sub-advisory fees are appropriate in light of the size of the Fund, and appropriately reflect the current economic environment for Brown Advisory and Brown Advisory Ltd. and the competitive nature of the mutual fund market. The Trustees then noted that they will have the opportunity to periodically re-examine whether the Fund has achieved economies of scale, and the appropriateness of the investment sub-advisory fees with respect to the Fund, in the future at which time the implementation of fee breakpoints on the Fund could be further considered.
Benefits to Brown Advisory Ltd. from its relationship with the Fund (and any corresponding benefits to the Fund). The Trustees concluded that other benefits that may be derived by Brown Advisory Ltd. from its relationship with the Fund, including any potential “soft dollar” benefits in connection with the Fund’s brokerage transactions and use of the Fund’s performance track record in advertising materials, are reasonable and fair, and consistent with industry practice and the best interests of the Fund and its shareholders.
Other Considerations. In approving the continuation of the Sub-Investment Advisory Agreement, the Trustees determined that Brown Advisory Ltd. has made a substantial commitment to the recruitment and retention of high quality personnel, and maintains the financial, compliance and operational resources reasonably necessary to provide sub-advisory services to the Fund in a professional manner that is consistent with the best interests of the Fund and its shareholders. The Board also considered matters with respect to the brokerage practices of Brown Advisory Ltd., including its soft dollar arrangements and its best-execution procedures, and noted that these were reasonable and consistent with standard industry practice.
It was noted that in making their determinations, the Trustees had considered and relied upon the materials provided to them by Brown Advisory Ltd. with respect to the contract and the presentation of the representatives of Brown Advisory. In reaching their conclusion with respect to the approval of the continuation of the Sub-Investment Advisory Agreement and the level of fees paid under the Agreement, the Trustees did not identify any one single factor as being controlling, rather, the Trustees took note of a combination of factors that had influenced their decision making process. They noted the level and quality of investment advisory services provided by Brown Advisory Ltd. to the Fund and determined that these services will continue to benefit the Fund and its shareholders. They also considered the nature of the allocation of the duties and responsibilities for the management and operation of the Fund between Brown Advisory and Brown Advisory Ltd. and they determined that the sub-advisory fees for the Fund, as negotiated by Brown Advisory and Brown Advisory Ltd., reasonably reflected the nature and extent of the services provided by Brown Advisory Ltd. with respect to the Fund. The Trustees also took into consideration the fact that Brown Advisory and Brown Advisory Ltd. are affiliated entities and are under common control.
131
Board of Trustees Approval of: (i) the Continuation of the Investment Advisory Agreement for Each of the Funds; and (ii) the Continuation of the Sub-Investment Advisory Agreements for Each of the Sub-Advised Funds (Unaudited)
4. Board of Trustees Approval of the Continuation of the Sub-Investment Advisory Agreement With Respect to the Brown Advisory – Beutel Goodman Large-Cap Value Fund
The continuation of the Sub-Investment Advisory Agreement with respect to the Brown Advisory – Beutel Goodman Large-Cap Value Fund between Brown Advisory and Beutel Goodman & Company, Ltd., the sub-investment adviser to the Fund (“Beutel Goodman”), was also approved by the Board of Trustees at the Board meeting held on September 10, 2020.
In accordance with the Investment Company Act of 1940, the Board of Trustees was required to consider the approval of the continuation of the Sub-Investment Advisory Agreement. The relevant provisions of the Investment Company Act of 1940 specifically provide that it is the duty of the Board to request and evaluate such information as the Board determines is necessary to allow them to properly consider the approval of the continuation of the Sub-Advisory Agreement, and it is the duty of Brown Advisory and Beutel Goodman, as applicable, to furnish the Trustees with such information that is responsive to their request.
Accordingly, in determining whether to approve the continuation of the Sub-Investment Advisory Agreement between Brown Advisory and Beutel Goodman, the Board of Trustees requested, and Brown Advisory and Beutel Goodman provided, information and data relevant to the Board’s consideration.
The Board then undertook the consideration of various matters with respect to the proposed approval of the continuation of the Sub-Investment Advisory Agreement between Brown Advisory and Beutel Goodman. The Trustees considered various matters involving the respective services provided by each of Brown Advisory and Beutel Goodman in connection with the management and operation of the Fund and they took note of the extensive oversight duties performed by Brown Advisory including investment management and compliance oversight of the operations of Beutel Goodman. The Trustees considered that Brown Advisory is actively engaged in conducting an ongoing monitoring program involving Beutel Goodman’s investment activities with respect to Beutel Goodman’s day-to-day portfolio management of the Fund’s assets in order to make sure that Beutel Goodman is adhering to all of the stated investment objectives, policies, limitations and restrictions that the Fund is subject to. In addition, the Trustees also took note of the fact that in connection with Brown Advisory’s oversight of the investment program maintained by Beutel Goodman with respect to the Fund, Brown Advisory prepares extensive reports to the Board regarding the investment activities of Beutel Goodman, which reports contain detailed analyses of how Beutel Goodman is performing.
The Board reviewed and evaluated the information that Brown Advisory and Beutel Goodman had presented for the Board’s review. The Board particularly noted, among other considerations, that the Fund’s investment advisory fees and overall operating expenses were competitive with comparable mutual funds. The Board also took into account presentations made by Beutel Goodman and Brown Advisory throughout the year. Based on its review of all of the information, the Board determined that the Sub-Investment Advisory Agreement was consistent with the best interests of the Fund and its shareholders and would enable the Fund to continue to receive high quality sub-advisory services at a cost that is appropriate, reasonable, and in the best interests of the Fund and its respective shareholders. In reaching these conclusions, the Board considered the following:
The nature, extent and quality of the sub-investment advisory services provided. The Trustees concluded that Beutel Goodman is capable of providing high quality sub-advisory services to the Fund as indicated by the professional qualifications and experience of the portfolio managers of the Fund, and Beutel Goodman’s investment management processes. On the basis of the Trustees’ assessment of the nature, extent and quality of the sub-advisory services provided by Beutel Goodman, the Trustees concluded that Beutel Goodman is capable of generating a level of long-term investment performance that is appropriate in light of the Fund’s investment objectives, policies and strategies and competitive with many other comparable investment companies.
The cost of advisory services provided and the expected level of profitability. On the basis of comparative information derived from the data that had been provided to the Board members, the Trustees determined that the expense ratios for each respective class of shares of the Fund are competitive with industry averages. The Trustees also noted that the Fund is subject to a contractual expense limitation agreement for the benefit of shareholders of the Fund to limit the Funds’ operating expenses through October 31, 2021. The Board also took note of the fact that the sub-advisory fees for the Fund had been separately negotiated by Brown Advisory and Beutel Goodman. Accordingly, on the basis of the Board’s review of the fees charged by Beutel Goodman for sub-investment advisory services provided to the Fund, the Board concluded that the level of sub-investment advisory fees are appropriate in light of the management fees, overall expense ratios and investment performance of comparable investment companies.
132
Board of Trustees Approval of: (i) the Continuation of the Investment Advisory Agreement for Each of the Funds; and (ii) the Continuation of the Sub-Investment Advisory Agreements for Each of the Sub-Advised Funds (Unaudited)
The extent to which economies of scale may be realized as the Fund grows and whether the advisory fees reflect possible economies of scale. While it was noted that the Fund’s investment sub-advisory fees will not decrease as the Fund’s assets grow because they will not be subject to investment sub-advisory fee breakpoints, the Trustees concluded that the Fund’s investment sub-advisory fees are appropriate in light of the size of the Fund, and appropriately reflect the current economic environment for Brown Advisory and Beutel Goodman and the competitive nature of the mutual fund market. The Trustees then noted that they will have the opportunity to periodically re-examine whether the Fund has achieved economies of scale, and the appropriateness of the investment sub-advisory fees with respect to the Fund, in the future at which time the implementation of fee breakpoints on the Fund could be further considered.
Benefits to Beutel Goodman from its relationship with the Fund (and any corresponding benefits to the Fund). The Trustees concluded that other benefits that may be derived by Beutel Goodman from its relationship with the Fund, including any potential “soft dollar” benefits in connection with the Fund’s brokerage transactions and use of the Fund’s performance track record in advertising materials, are reasonable and fair, and consistent with industry practice and the best interests of the Fund and its shareholders.
Other Considerations. In approving the continuation of the Sub-Investment Advisory Agreement, the Trustees determined that Beutel Goodman has made a substantial commitment to the recruitment and retention of high quality personnel, and maintains the financial, compliance and operational resources reasonably necessary to provide sub-advisory services to the Fund in a professional manner that is consistent with the best interests of the Fund and its shareholders. The Board also considered matters with respect to the brokerage practices of Beutel Goodman, including its soft dollar arrangements and its best-execution procedures, and noted that these were reasonable and consistent with standard industry practice.
It was noted that in making their determinations, the Trustees had considered and relied upon the materials provided to them by Beutel Goodman with respect to the contract and the presentation of the representatives of Brown Advisory. In reaching their conclusion with respect to the approval of the continuation of the Sub-Investment Advisory Agreement and the level of fees paid under the Agreement, the Trustees did not identify any one single factor as being controlling, rather, the Trustees took note of a combination of factors that had influenced their decision making process. They noted the level and quality of investment advisory services provided by Beutel Goodman to the Fund and determined that these services will continue to benefit the Fund and its shareholders. They also considered the nature of the allocation of the duties and responsibilities for the management and operation of the Fund between Brown Advisory and Beutel Goodman and they determined that the sub-advisory fees for the Fund, as negotiated by Brown Advisory and Beutel Goodman, reasonably reflected the nature and extent of the services provided by Beutel Goodman with respect to the Fund.
5. Board of Trustees Approval of the Continuation of the Sub-Investment Advisory Agreements With Respect to the Brown Advisory Emerging Markets Select Fund
At their September 10, 2020 Board meeting, the Board also undertook the consideration of matters with respect to the proposed continuation of the Sub-Investment Advisory Agreements between Brown Advisory and Wellington and Pzena Investment Management LLC (“Pzena”) with respect to the Brown Advisory Emerging Markets Select Fund.
In accordance with the Investment Company Act of 1940, the Board of Trustees was required to consider the approval of the continuation of the Sub-Investment Advisory Agreements. The relevant provisions of the Investment Company Act of 1940 specifically provide that it is the duty of the Board to request and evaluate such information as the Board determines is necessary to allow them to properly consider the approval of the continuation of the Sub-Advisory Agreements, and it is the duty of Brown Advisory, Wellington and Pzena, as applicable, to furnish the Trustees with such information that is responsive to their request.
Accordingly, in determining whether to approve the continuation of the Sub-Investment Advisory Agreements between Brown Advisory and Wellington and Pzena, the Board of Trustees requested, and Brown Advisory, Wellington and Pzena provided, information and data relevant to the Board’s consideration.
Approval of the Continuation of the Sub-Investment Advisory Agreement with Wellington Management Company LLC
The Board then undertook the consideration of various matters with respect to the proposed approval of the continuation of the Sub-Investment Advisory Agreement between Brown Advisory and Wellington. The Trustees considered various matters involving the respective services provided by each of Brown Advisory and Wellington in connection with the management and operation of Wellington’s allocated portion of the Fund’s portfolio and they took note of the extensive oversight duties performed by Brown
133
Board of Trustees Approval of: (i) the Continuation of the Investment Advisory Agreement for Each of the Funds; and (ii) the Continuation of the Sub-Investment Advisory Agreements for Each of the Sub-Advised Funds (Unaudited)
Advisory including investment management and compliance oversight of the operations of Wellington. The Trustees considered that Brown Advisory is actively engaged in conducting an ongoing monitoring program involving Wellington’s investment activities with respect to Wellington’s day-to-day portfolio management of the Fund’s assets that have been allocated to Wellington to manage in order to make sure that Wellington is adhering to all of the stated investment objectives, policies, limitations and restrictions that the Fund is subject to. In addition, the Trustees also took note of the fact that in connection with Brown Advisory’s oversight of the investment program maintained by Wellington with respect to the Fund, Brown Advisory prepares extensive reports to the Board regarding the investment activities of Wellington, which reports contain detailed analyses of how Wellington is performing.
The Board reviewed and evaluated the information that Brown Advisory and Wellington had presented for the Board’s review. The Board particularly noted, among other considerations, that the Fund’s investment advisory fees and overall operating expenses were competitive with comparable mutual funds. The Board also took into account presentations made by Wellington and Brown Advisory throughout the year. Based on its review of all of the information, the Board determined that the Sub-Investment Advisory Agreement was consistent with the best interests of the Fund and its shareholders and would enable the Fund to continue to receive high quality sub-advisory services at a cost that is appropriate, reasonable, and in the best interests of the Fund and its respective shareholders. In reaching these conclusions, the Board considered the following:
The nature, extent and quality of the sub-investment advisory services provided. The Trustees concluded that Wellington is capable of providing high quality sub-advisory services to the Fund as indicated by the professional qualifications and experience of the portfolio managers for Wellington, and Wellington’s investment management processes. On the basis of the Trustees’ assessment of the nature, extent and quality of the sub-advisory services provided by Wellington, the Trustees concluded that Wellington is capable of generating a level of long-term investment performance that is appropriate in light of the Fund’s investment objectives, policies and strategies and competitive with many other comparable investment companies.
The cost of advisory services provided and the expected level of profitability. On the basis of comparative information derived from the data that had been provided to the Board members, the Trustees determined that the expense ratios for each respective class of shares of the Fund are competitive with industry averages. The Trustees also noted that the Fund is subject to a contractual expense limitation agreement for the benefit of shareholders of the Fund to limit the Fund’s operating expenses through October 31, 2021. The Board also took note of the fact that the sub-advisory fees for the Fund had been separately negotiated by Brown Advisory and Wellington. Accordingly, on the basis of the Board’s review of the fees charged by Wellington for sub-investment advisory services provided to the Fund, the Board concluded that the level of sub-investment advisory fees is appropriate in light of the management fees, overall expense ratios and investment performance of comparable investment companies, and that the sub-advisory fees had been separately negotiated at arm’s-length by independent third parties.
The extent to which economies of scale may be realized as the Fund grows and whether the advisory fees reflect possible economies of scale. While it was noted that the Fund’s investment sub-advisory fees will not decrease as the Fund’s assets grow because they will not be subject to investment sub-advisory fee breakpoints, the Trustees concluded that the Fund’s investment sub-advisory fees are appropriate in light of the size of the Fund, and appropriately reflect the current economic environment for Brown Advisory and Wellington and the competitive nature of the mutual fund market. The Trustees then noted that they will have the opportunity to periodically re-examine whether the Fund has achieved economies of scale, and the appropriateness of the investment sub-advisory fees with respect to the Fund, in the future at which time the implementation of fee breakpoints on the Fund could be further considered.
Benefits to Wellington from its relationship with the Fund (and any corresponding benefits to the Fund). The Trustees concluded that other benefits that may be derived by Wellington from its relationship with the Fund, including any potential “soft dollar” benefits in connection with the Fund’s brokerage transactions and use of the Fund’s performance track record in advertising materials, are reasonable and fair, and consistent with industry practice and the best interests of the Fund and its shareholders.
Other Considerations. In approving the continuation of the Sub-Investment Advisory Agreement with Wellington, the Trustees determined that Wellington has made a substantial commitment to the recruitment and retention of high quality personnel, and maintains the financial, compliance and operational resources reasonably necessary to provide sub-advisory services to the Fund in a professional manner that is consistent with the best interests of the Fund and its shareholders. The Board also considered matters with respect to the brokerage practices of Wellington, including its soft dollar arrangements and its best-execution procedures, and noted that these were reasonable and consistent with standard industry practice.
134
Board of Trustees Approval of: (i) the Continuation of the Investment Advisory Agreement for Each of the Funds; and (ii) the Continuation of the Sub-Investment Advisory Agreements for Each of the Sub-Advised Funds (Unaudited)
It was noted that in making their determinations, the Trustees had considered and relied upon the materials provided to them by Wellington with respect to the contract and the presentation of the representatives of Brown Advisory. In reaching their conclusion with respect to the approval of the continuation of the Sub-Investment Advisory Agreement with Wellington and the level of fees paid under the Agreement, the Trustees did not identify any one single factor as being controlling, rather, the Trustees took note of a combination of factors that had influenced their decision making process. They noted the level and quality of investment advisory services provided by Wellington to the Fund and determined that these services will continue to benefit the Fund and its shareholders. They also considered the nature of the allocation of the duties and responsibilities for the management and operation of the Fund between Brown Advisory and Wellington and they determined that the sub-advisory fees for the Fund, as negotiated by Brown Advisory and Wellington, reasonably reflected the nature and extent of the services provided by Wellington with respect to the Fund.
Approval of the Continuation of the Sub-Investment Advisory Agreement with Pzena Investment Management LLC
The Board then undertook the consideration of various matters with respect to the proposed approval of the continuation of the Sub-Investment Advisory Agreement between Brown Advisory and Pzena. The Trustees considered various matters involving the respective services provided by each of Brown Advisory and Pzena in connection with the management and operation of Pzena’s allocated portion of the Fund’s portfolio and they took note of the extensive oversight duties performed by Brown Advisory including investment management and compliance oversight of the operations of Pzena. The Trustees considered that Brown Advisory is actively engaged in conducting an ongoing monitoring program involving Pzena’s investment activities with respect to Pzena’s day-to-day portfolio management of the Fund’s assets that have been allocated to Pzena to manage in order to make sure that Pzena is adhering to all of the stated investment objectives, policies, limitations and restrictions that the Fund is subject to. In addition, the Trustees also took note of the fact that in connection with Brown Advisory’s oversight of the investment program maintained by Pzena with respect to the Fund, Brown Advisory prepares extensive reports to the Board regarding the investment activities of Pzena, which reports contain detailed analyses of how Pzena is performing.
The Board reviewed and evaluated the information that Brown Advisory and Pzena had presented for the Board’s review. The Board particularly noted, among other considerations, that the Fund’s investment advisory fees and overall operating expenses were competitive with comparable mutual funds. The Board also took into account presentations made by Pzena and Brown Advisory throughout the year. Based on its review of all of the information, the Board determined that the Sub-Investment Advisory Agreement was consistent with the best interests of the Fund and its shareholders and would enable the Fund to continue to receive high quality sub-advisory services at a cost that is appropriate, reasonable, and in the best interests of the Fund and its respective shareholders. In reaching these conclusions, the Board considered the following:
The nature, extent and quality of the sub-investment advisory services provided. The Trustees concluded that Pzena is capable of providing high quality sub-advisory services to the Fund as indicated by the professional qualifications and experience of the portfolio managers for Pzena, and Pzena’s investment management processes. On the basis of the Trustees’ assessment of the nature, extent and quality of the sub-advisory services provided by Pzena, the Trustees concluded that Pzena is capable of generating a level of long-term investment performance that is appropriate in light of the Fund’s investment objectives, policies and strategies and competitive with many other comparable investment companies.
The cost of advisory services provided and the expected level of profitability. On the basis of comparative information derived from the data that had been provided to the Board members, the Trustees determined that the expense ratios for each respective class of shares of the Fund are competitive with industry averages. The Trustees also noted that the Fund is subject to a contractual expense limitation agreement for the benefit of shareholders of the Fund to limit the Fund’s operating expenses through October 31, 2021. The Board also took note of the fact that the sub-advisory fees for the Fund had been separately negotiated by Brown Advisory and Pzena. Accordingly, on the basis of the Board’s review of the fees charged by Pzena for sub-investment advisory services provided to the Fund, the Board concluded that the level of sub-investment advisory fees is appropriate in light of the management fees, overall expense ratios and investment performance of comparable investment companies, and that the sub-advisory fees had been separately negotiated at arm’s-length by independent third parties.
The extent to which economies of scale may be realized as the Fund grows and whether the advisory fees reflect possible economies of scale. While it was noted that the Fund’s investment sub-advisory fees will not decrease as the Fund’s assets grow because they will not be subject to investment sub-advisory fee breakpoints, the Trustees concluded that the Fund’s investment sub-advisory fees are appropriate in light of the size of the Fund, and appropriately reflect the current economic environment for
135
Board of Trustees Approval of: (i) the Continuation of the Investment Advisory Agreement for Each of the Funds; and (ii) the Continuation of the Sub-Investment Advisory Agreements for Each of the Sub-Advised Funds (Unaudited)
Brown Advisory and Pzena and the competitive nature of the mutual fund market. The Trustees then noted that they will have the opportunity to periodically re-examine whether the Fund has achieved economies of scale, and the appropriateness of the investment sub-advisory fees with respect to the Fund, in the future at which time the implementation of fee breakpoints on the Fund could be further considered.
Benefits to Pzena from its relationship with the Fund (and any corresponding benefits to the Fund). The Trustees concluded that other benefits that may be derived by Pzena from its relationship with the Fund, including any potential “soft dollar” benefits in connection with the Fund’s brokerage transactions and use of the Fund’s performance track record in advertising materials, are reasonable and fair, and consistent with industry practice and the best interests of the Fund and its shareholders.
Other Considerations. In approving the continuation of the Sub-Investment Advisory Agreement with Pzena, the Trustees determined that Pzena has made a substantial commitment to the recruitment and retention of high quality personnel, and maintains the financial, compliance and operational resources reasonably necessary to provide sub-advisory services to the Fund in a professional manner that is consistent with the best interests of the Fund and its shareholders. The Board also considered matters with respect to the brokerage practices of Pzena, including its soft dollar arrangements and its best-execution procedures, and noted that these were reasonable and consistent with standard industry practice.
It was noted that in making their determinations, the Trustees had considered and relied upon the materials provided to them by Pzena with respect to the contract and the presentation of the representatives of Brown Advisory. In reaching their conclusion with respect to the approval of the continuation of the Sub-Investment Advisory Agreement with Pzena and the level of fees paid under the Agreement, the Trustees did not identify any one single factor as being controlling, rather, the Trustees took note of a combination of factors that had influenced their decision making process. They noted the level and quality of investment advisory services provided by Pzena to the Fund and determined that these services will continue to benefit the Fund and its shareholders. They also considered the nature of the allocation of the duties and responsibilities for the management and operation of the Fund between Brown Advisory and Pzena and they determined that the sub-advisory fees for the Fund, as negotiated by Brown Advisory and Pzena, reasonably reflected the nature and extent of the services provided by Pzena with respect to the Fund.
136
A description of the policies and procedures that the Funds use to determine how to vote proxies relating to portfolio securities is available without charge upon request by calling toll-free at (800) 540-6807 and by accessing the Funds’ website at www.brownadvisory.com/mf/how-to-invest (refer to Appendix B in the Statement of Additional Information). Furthermore, you can obtain the description on the SEC’s website at www.sec.gov.
Information regarding how the Funds voted proxies relating to portfolio securities during the year ended June 30 is available without charge, by calling toll-free at (800) 540-6807. In addition, you can obtain the Funds’ proxy voting records on the SEC’s website at www.sec.gov.
Information About the Portfolio Holdings (Unaudited)
The Funds file their complete schedule of portfolio holdings for their first and third fiscal quarters with the SEC on Form N-PORT. The Funds’ Form N-PORT is available without charge, upon request, by calling toll-free at (800) 540-6807. Furthermore, you can obtain the Form N-PORT on the SEC’s website at www.sec.gov. The Funds’ schedules of portfolio holdings are posted on their website at www.brownadvisory.com/mf/how-to-invest within ten business days after calendar quarter end.
Householding (Unaudited)
In an effort to decrease costs, the Funds will reduce the number of duplicate Prospectuses and annual and semi-annual reports that you receive by sending only one copy of each to those addresses shown by two or more accounts. Please call the Transfer Agent toll free at (800) 540-6807 to request individual copies of these documents. The Funds will begin sending individual copies 30 days after receiving your request. This policy does not apply to account statements.
137
BROWN ADVISORY FUNDS
At Brown Advisory, we believe that you deserve frank and open communication on all aspects of our relationship. In this spirit, we provide this annual summary of our policies relating to confidentiality and privacy of client information, mutual funds, conflicts of interest, trading commissions, proxy voting and Form ADV annual notice.
CONFIDENTIALITY AND PRIVACY POLICY
Brown Advisory takes the confidentiality of your personal information and the privacy of your account very seriously. Our commitment to safeguard your personal information goes beyond our legal obligation to process your transactions accurately and securely. Whether we serve you online, in person, on the telephone or by mail, the principles that guide the way in which we conduct business are built upon the core values of trust and integrity.
We limit access to your personal information to only those employees with a business reason to know such information. We train and consistently remind all employees to respect client privacy and to recognize the importance of the confidentiality of such information. Those who violate our privacy policy are subject to disciplinary action. This commitment also applies to the sharing of information among Brown Advisory and its affiliates.
We maintain physical, electronic and procedural safeguards that comply with applicable laws and regulations to protect your personal information, including various measures to protect your personal information while it is stored electronically.
Federal law requires us to inform you that we have on record personal information about you and that we obtain such information from you directly (e.g., information you provide to us on account applications and other forms, such as your name, address, social security number, occupation, assets and income) and indirectly (e.g., information on our computer systems about your transactions with us, such as your account balance and account holdings). Any personal information you choose to provide is kept confidential and allows us to: (i) provide better and more complete investment and strategic advice; (ii) develop new services that meet additional needs you may have; and, (iii) comply with legal and regulatory requirements.
In addition, in the normal conduct of our business, it may become necessary for us to share information relating to our clients that we have on record, as described above, with companies not affiliated with us who are under contract to perform services on our behalf. For example, we have contracted with companies to assist us in complying with anti-terrorist and anti-money laundering statutory requirements (including the identification and reporting of activities that may involve terrorist acts or money laundering activities), companies that provide clearing services, and other vendors that provide services directly related to your account relationship with us. Our agreements with these companies require that they keep your information confidential and not use such information for any unrelated purpose.
We do not sell information about you to third parties, and we do not otherwise disclose information to third parties without your permission or unless required by law.
138
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INVESTMENT ADVISER
Brown Advisory LLC
901 South Bond Street, Suite 400
Baltimore, MD 21231
www.brownadvisory.com
DISTRIBUTOR
ALPS Distributors, Inc.
1290 Broadway, Suite 1000
Denver, CO 80203
CUSTODIAN
U.S. Bank, N.A.
Custody Operations
1555 North Rivercenter Drive, Suite 302
Milwaukee, WI 53212
TRANSFER AGENT
U.S. Bancorp Fund Services, LLC
P.O. Box 701
Milwaukee, WI 53201
(800) 540-6807
INDEPENDENT REGISTERED PUBLIC ACCOUNTING FIRM
Tait, Weller & Baker LLP
Two Liberty Place
50 South 16th Street, Suite 2900
Philadelphia, PA 19102
LEGAL COUNSEL
Dechert LLP
1900 K Street, NW
Washington, DC 20006
Institutional Shares | Investor Shares | Advisor Shares | |||||||||||||||
Symbol | CUSIP | Symbol | CUSIP | Symbol | CUSIP | ||||||||||||
Growth Equity Fund | BAFGX | 115233702 | BIAGX | 115233504 | BAGAX | 115233603 | |||||||||||
Flexible Equity Fund | BAFFX | 115233843 | BIAFX | 115233868 | BAFAX | 115233850 | |||||||||||
Equity Income Fund | BAFDX | 115233660 | BIADX | 115233686 | BADAX | 115233678 | |||||||||||
Sustainable Growth Fund | BAFWX | 115233207 | BIAWX | 115233306 | BAWAX | 115233405 | |||||||||||
Mid-Cap Growth Fund | BAFMX | 115233413 | BMIDX | 115233439 | — | — | |||||||||||
Small-Cap Growth Fund | BAFSX | 115233819 | BIASX | 115233835 | BASAX | 115233827 | |||||||||||
Small-Cap Fundamental Value Fund | BAUUX | 115233777 | BIAUX | 115233793 | BAUAX | 115233785 | |||||||||||
Global Leaders Fund | BAFLX | 115233355 | BIALX | 115233462 | — | — | |||||||||||
Intermediate Income Fund | — | — | BIAIX | 115233744 | BAIAX | 115233736 | |||||||||||
Total Return Fund | BAFTX | 115233538 | BIATX | 115233520 | — | — | |||||||||||
Sustainable Bond Fund | BAISX | 115233389 | BASBX | 115233447 | — | — | |||||||||||
Maryland Bond Fund | — | — | BIAMX | 115233751 | — | — | |||||||||||
Tax-Exempt Bond Fund | BTEIX | 115233371 | BIAEX | 115233108 | — | — | |||||||||||
Tax-Exempt Sustainable Bond Fund | — | — | BITEX | 115233348 | — | — | |||||||||||
Mortgage Securities Fund | BAFZX | 115233546 | BIAZX | 115233587 | — | — | |||||||||||
WMC Strategic European Equity Fund | BAFHX | 115233629 | BIAHX | 115233611 | BAHAX | 115233595 | |||||||||||
Emerging Markets Select Fund | BAFQX | 115233652 | BIAQX | 115233645 | BAQAX | 115233637 | |||||||||||
Beutel Goodman Large-Cap Value Fund | BVALX | 115233421 | — | — | — | — |
This report is submitted for the general information of the shareholders of each Fund. It is not authorized for distribution to prospective investors unless preceded or accompanied by an effective prospectus, which includes information regarding the Funds’ risks, objectives, fees and expenses, experience of their management, and other information.
BX-SEMIANNUAL
Item 1. Reports to Stockholders (Continued).
(b) Not applicable.
Item 2. Code of Ethics.
Not applicable for semi-annual reports.
Item 3. Audit Committee Financial Expert.
Not applicable for semi-annual reports.
Item 4. Principal Accountant Fees and Services.
Not applicable for semi-annual reports.
Item 5. Audit Committee of Listed Registrants.
Not applicable for semi-annual reports.
Item 6. Schedule of Investments.
(a) | Schedule of Investments is included as part of the report to shareholders filed under Item 1 of this Form. |
(b) | Not applicable. |
Item 7. Disclosure of Proxy Voting Policies and Procedures for Closed-End Management Investment Companies.
Not applicable to open-end investment companies.
Item 8. Portfolio Managers of Closed-End Management Investment Companies.
Not applicable to open-end investment companies.
Item 9. Purchases of Equity Securities by Closed‑End Management Investment Company and Affiliated Purchasers.
Not applicable to open-end investment companies.
Item 10. Submission of Matters to a Vote of Security Holders.
There have been no material changes to the procedures by which shareholders may recommend nominees to the registrant’s board of trustees.
Item 11. Controls and Procedures.
(a) | The Registrant’s Principal Executive Officer and Principal Financial Officer 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 period covered by this report that have materially affected, or are reasonably likely to materially affect, the Registrant's internal control over financial reporting. |
Item 12. Disclosure of Securities Lending Activities for Closed-End Management Investment Companies.
Not applicable to open-end investment companies.
Item 13. Exhibits.
(a) | (1) Not applicable |
(3) Any written solicitation to purchase securities under Rule 23c‑1 under the Act sent or given during the period covered by the report by or on behalf of the registrant to 10 or more persons. Not applicable to open-end investment companies.
(4) Change in the registrant’s independent public accountant. There was no change in the registrant’s independent public accountant for the period covered by this report.
SIGNATURES
Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, the Registrant has duly caused this report to be signed on its behalf by the undersigned, thereunto duly authorized.
(Registrant) Brown Advisory Funds
By (Signature and Title)* /s/ Paul J. Chew
Paul J. Chew, Principal Executive Officer
Date March 9, 2021
Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, this report has been signed below by the following persons on behalf of the Registrant and in the capacities and on the dates indicated.
By (Signature and Title)* /s/ Paul J. Chew
Paul J. Chew, Principal Executive Officer
Date March 9, 2021
By (Signature and Title)* /s/ Jason T. Meix
Jason T. Meix, Principal Financial Officer
Date March 9, 2021
* Print the name and title of each signing officer under his or her signature.