UNITED STATES
SECURITIES AND EXCHANGE COMMISSION
Washington, D.C. 20549
FORM N-CSR
CERTIFIED SHAREHOLDER REPORT OF REGISTERED
MANAGEMENT INVESTMENT COMPANIES
Investment Company Act file number 811-22894
INVESTMENT MANAGERS SERIES TRUST II
(Exact name of registrant as specified in charter)
235 W. Galena Street
Milwaukee, WI 53212
(Address of principal executive offices) (Zip code)
Diane J. Drake
Mutual Fund Administration, LLC
2220 E. Route 66, Suite 226
Glendora, CA 91740
(Name and address of agent for service)
(626) 385-5777
Registrant's telephone number, including area code
Date of fiscal year end: September 30
Date of reporting period: September 30, 2021
Item 1. Report to Stockholders.
The registrant’s 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:
AXS All Terrain Opportunity Fund
(Institutional Class: TERIX)
AXS Merger Fund
(Investor Class: GAKAX)
(Class I: GAKIX)
AXS Alternative Value Fund
(Investor Class: COGLX)
(Class I: COGVX)
AXS Market Neutral Fund
(Investor Class: COGMX)
(Class I: COGIX)
ANNUAL REPORT
SEPTEMBER 30, 2021
AXS Funds
Each a series of Investment Managers Series Trust II
Table of Contents
| Shareholder Letters | 1 |
| Fund Performance | 11 |
| Schedule of Investments | 19 |
| Statements of Assets and Liabilities | 44 |
| Statements of Operations | 48 |
| Statements of Changes in Net Assets | 50 |
| Statement of Cash Flows | 54 |
| Financial Highlights | 56 |
| Notes to Financial Statements | 64 |
| Report of Independent Registered Public Accounting Firm | 83 |
| Supplemental Information | 85 |
| Expense Examples | 89 |
This report and the financial statements contained herein are provided for the general information of the shareholders of the AXS Funds. This report is not authorized for distribution to prospective investors in the Fund unless preceded or accompanied by an effective prospectus.
www.axsinvestments.com
AXS All Terrain Opportunity Fund Annual Report
Dear Fellow Shareholders,
Over the last year, as of September 30th 2021, the AXS All Terrain Opportunity Fund’s Institutional Class shares returned 3.68% while the HFRX Global Hedge Fund Index was up 8.87 %. The AXS All Terrain Opportunity Fund underperformed its respective benchmark due to lower exposure to risk assets over the course of the year.
Another Year of Historic Market Conditions & Events
Since the pandemic began, equity markets have been very volatile but have since recovered all the losses from the collapse experienced in 2020. While equity markets have recovered, the coronavirus pandemic continues to have negative impacts causing major disruptions globally. The big Central Banks - the Federal Reserve (Fed), European Central Bank (ECB), Bank of England and Bank of Japan (BOJ) - amassed $25.8 trillion dollars in total assets, a new record high. The Fed Balance Sheet equates to a whopping 37.8% of the total U.S. Gross Domestic Product (GDP), up from 33.5% a year ago. The ECB is now up to 69.7% of GDP, up from 56% a year ago. Many are wondering how this fiat money printing experiment will end and what kind of repercussions it will have on future generations. Accordingly, we believe that a tactical "All Terrain" strategy makes sense for this uncertain global environment.
Equity Strategy
Our disciplined VERT process combines Valuations, Economic data, Risk indicators, and Trends, and drives our portfolio allocation. We evaluate global equity markets on an ongoing basis across the world in order to rotate the portfolio according to our unique process. When economic data and trends are deteriorating, the AXS All Terrain Opportunity Fund reduces exposure to equities to potentially preserve capital for investors. In the opposite scenario, when the data is improving and leading indicators are strong, the Fund will allocate more capital to equities and other “risk on” asset classes. Our forecast for equity returns (Valuations) on the U.S. indices remains very anemic with approximate 5% annualized returns for the foreseeable future. However, equity markets continue to make new highs on a sea of fiat currencies.
The Fund’s position in SPY (SPDR S&P 500 ETF) has performed well year to date. The S&P 500 returned 15% as of 9/30/2021, and continues to outperform most other global markets during this economic boom since 2009. We are strong believers in efficient markets when equity markets are trending higher, which allows us to capture the rotations of the market as style shifts have been dramatic in 2021 thus far while not missing out on the constant evolving dynamics of the market.
The Fund also had a position in the Nasdaq 100 ETF (QQQ) that boosted fund performance over the last year. We continue to think that mega-cap technology companies will continue to perform as we move forward beyond the pandemic. Mega Cap technology companies have been the main driver of overall earnings growth for the major indexes over the last 5+ years. The pandemic accelerated the usage of online businesses while brick and mortar retail shops continue to struggle.
In September 2021 technology stocks were hit hard when the market rolled over. We had some positions in the technology sector during the month of September that were impacted by the correction. This caused the overall portfolio to have a larger than normal drawdown, giving back a good portion of the gains for the year. The Morgan Stanley Insight Fund (CPODX) and WCM Focused International Growth (WCMIX) have heavier weightings in growth stocks that suffered more than the overall market during the drawdown in September.
Fixed Income Strategy
Valuations play a large role in the determining which securities are selected for the asset allocation breakdown of the AXS All Terrain Opportunity Fund. As mentioned in the equity section, we anticipate lower than normal equity returns on a forward-looking basis, which directly affects how the portfolio is positioned overall. For this reason, the tactical fixed income allocation in the AXS All Terrain Opportunity Fund has at times remained a significant portion of the Fund’s assets as well as cash. We monitor our bond fund managers by having conference calls to make sure the funds are adhering to the objectives we are looking to achieve. A fund will be sold immediately if we notice any signs of the managers deviating from our outlook. We will also exit the position accordingly if we see any signs of credit contagion spreading and/or the fixed income market breaking down.
One of our best overall performing positions for the Fund in 2021 was our exposure to CLMVX (Columbia Mortgage Opportunities Fund). The fund performed extremely well as interest rates moved higher. The portfolio was positioned for higher rates generating over 6% in the first quarter of 2021. We took profits in the position as interest rates have remained range bound since the first quarter.
Pimco Mortgage Opportunities (PMZIX) was a core position for the AXS All Terrain Opportunity Fund in 2021. Pimco Mortgage has done a great job managing duration and has significantly outperformed the Barclays Aggregate Index over the last year. However, we have pared back our position in the security as we believe interest rates may be forced higher as the Fed begins to tighten in 2022.
The Fund also owns Pimco Income (PIMIX), which has always been one of our core holdings throughout the Fund’s history. PIMIX does a nice job managing duration and looks for tactical opportunities in the bond market when they present themselves. PIMIX has outperformed the Barclays Aggregate over the last year due to its exposure in Non-agency MBS and high yield corporate credit.
The Fund also maintained roughly a 30% cash position at the end of 9/30/2021. We are looking for opportunities that fit our risk profile as we think most fixed income assets are overvalued at this point and are waiting for an overshoot in the overall financial markets.
Positioning and Outlook
Our current view of the global economy remains “cautiously optimistic,” as global tensions are increasingly becoming more unstable. The Federal Reserve looks to be moving towards a more restrictive policy stance as inflation is roaring out of control due to the pandemic related supply chain disruptions and higher oil and gas prices resulting from bad choices coming out of Washington. We believe the side effects of these policies will likely continue to drive investors towards risk assets as investors are being forced to go further out on the risk curve to attempt to generate performance. High quality government securities globally are already negative yielding when factoring in inflation and they continue to push further in to negative territory. The only way we think developed governments will continue to sustain growth is to continue to ramp fiscal deficits to fund economic growth. With global debt to GDP stretched to extreme limits, sovereign bonds, investment grade credit and junk bonds collectively are the most over-valued in history. In addition, many believe equities valuations are also stretched, banking on uncertain future growth.
The Federal Reserve and fiscal powers may appear for now to have come to the rescue of financial markets during the Covid-19 recession, but they have only upped the ante on the imbalances and risks they have allowed to build. In this context, we believe that low interest rates equate to anything but low risk. From a valuation standpoint, in our analysis, the risks presented by US financial asset bubbles today are perhaps the highest in history. Easy money creates financial asset bubbles, and bubbles eventually burst and lead to financial crises.
We are also concerned that growing risks to financial markets could be future inflationary pressures. We are not ruling out stagflation either as global growth may be stagnant or slow to come back in certain areas during this recovery, with zombie companies risking financial aftershocks and industries being decimated by competing new technologies. In addition, significant currency debasement will continue at warp speed as governments try to spend their way out of this global pandemic and amass huge debt, which will not be serviceable if interest rates move higher for the wrong reasons in the future. The global economy is recalibrating from a single-minded focus on cost efficiency and short-term profitability to a system that puts equal weight on long-term resilience.
We have been extremely optimistic on the U.S. housing market long term and continue to believe this is one area that has the potential for tremendous growth for the U.S economy over the next decade. New homes sold are at the highest level in over a decade as people are bailing out of the densely populated cities. COVID has permanently changed the landscape of business and we think companies will continue to let their workforce work remotely as companies realize their workforce can be just as efficient and effective without spending money on leases and lost time commuting. This is our current view on some major drivers that should be very important factors when looking forward. Our proprietary models are projecting lower than expected equity returns in the near future due to overvalued equity markets in the U.S. While these levels are overvalued at the current time, we think there is no other alternative for investors as bond yields are at record lows across the globe. We continue to monitor the situation in global markets as valuations abroad are becoming more attractive on a relative basis to the United States. As market conditions change, the AXS All Terrain Opportunity Fund will adapt and change allocations when deemed necessary.
Sincerely,
 |  |
| Al Procaccino | Korey Bauer |
The views in this letter were as of 9/30/2021 and may not necessarily reflect the same views on the date this letter was first published or any time thereafter. These views are intended to help a shareholder in understanding the fund’s investment methodology and do not constitute investment advice.
Investment Considerations: The investment objective is to seek capital appreciation with positive returns in all market conditions. There can be no assurance that the Fund will achieve its objective or that any strategy (risk management or otherwise) will be successful. Stock and bond values fluctuate in price so the value of your investment can go down depending on market conditions. International investing involves special risks including, but not limited to political risks, currency fluctuations, illiquidity and volatility. These risks may be heightened for investments in emerging markets. Derivatives entail risks relating to liquidity, leverage and credit that may reduce returns and increase volatility.
September 30, 2021
Dear Fellow Shareholders:
The AXS Merger Fund (the “Fund”) returned 2.52% and 2.75% for the Investor Class and Class I, respectively, for fiscal year ended September 30, 2021.
Portfolio Review
In 2021, the Fund invested in approximately 109 different merger situations and was heavily concentrated in North America. Strategic deals dominated the portfolio, making up between 85% and 90% of the Fund’s holdings, on average.
Robust deal activity continued with $1.52 trillion in deal announcements in the quarter ending September 30th, the highest third quarter total on record. With volumes up 98% from last year, the $4.3 trillion in activity through the first three quarters has already broken the annual record of $4.1 trillion set in 2007. Mega deals slowed in the quarter as advisors and bankers digested the new regulatory regime in Washington and recalculated deal odds on large transactions. Deals in the $2 billion to $10 billion range doubled year-over-year as deals of this size tend to garner less scrutiny. U.S. deal activity was up 32% to $581 billion in the third quarter and hit $1.95 trillion for the year, making up almost half of all global activity. The largest strategic transactions announced in the U.S. during the year were AstraZeneca Plc’s $38.6 billion deal for Alexion Pharmaceuticals Inc., S&P Global Inc.’s $38.3 billion deal for IHS Markit Ltd., Advanced Micro Devices $33.7 billion transaction for Xilinx Inc and salesforce.com Inc.’s $26.5 billion deal for Slack Technologies. Activity in Europe doubled in the third quarter with $4.5 billion in announced transactions. The largest deal announced was Vonovia SE’s takeover of German property owner Deutsche Wohen SE for $15.8 billion. Parker-Hannifin Corp. will buy Meggitt Plc for $8.7 billion and NortonLifeLock Inc. will purchase Avast Plc for $8.6 billion. Private Equity continued its frenetic pace with $818.4 billion in transactions announced over the first nine months, up 133% over the same period last year. The largest U.S. leverage buyouts for the year belonged to Thoma Bravo LLC which purchased Proofpoint Inc. for $10.2 billion and RealPage Inc. for $9.1 billion. With the move up in the market from last year, private equity buyers have pivoted away from opportunistic buys during the depths of COVID to thematic investments that enhance companies already in their portfolios.
Performance
As is typical for our strategy, there were many deals that contributed positively to the Fund’s performance. The biggest gain for the year came from our position in the deal between LVMH Moet Hennessey Louis Vuitton SE (LVMH) and Tiffany & Co. (TIF). The $17.4 billion deal was announced in November 2019 and was moving smoothly through the process heading into 2020. As COVID fears entered the market and TIF shut down its stores, there were concerns that this deal would become another casualty of the virus. As we moved from spring into summer, speculation began that LVMH was unhappy with the pre-COVID premium it agreed to pay for TIF and was looking for ways to renegotiate the price. TIF continued to operate within the confines of the merger agreement, leaving LVMH little room for negotiation. In September the LVMH board unexpectedly said that it received a letter of “request” from the French European and Foreign Affairs Minister “which, in reaction to the threat of taxes on French products by the US, directed the Group to defer the acquisition of Tiffany until after January 6th, 2021,” a request that TIF pointed out had not been made of any other French company. This delay would push the close past the termination date of November 24th, allowing LVMH the ability to walk away from the deal. In response, TIF immediately filed a lawsuit in Delaware court accusing LVMH of slow-walking the regulatory approval process. The merger agreement stated that LVMH must use “reasonable best efforts to take all actions to consummate the transactions including preparing and filing as promptly as practicable with any Governmental Entity.” LVMH “miraculously” finished the filings within days of TIF’s filing of the lawsuit. We believed that LVMH acted in bad faith and its Chairman and CEO Bernard Arnault was using this novel approach and his tremendous influence within the French government to gain leverage to extract a price concession from TIF. Reports began to surface that the French government was not happy with this development, and that Arnault first approached the French Finance Minister to ask for help in getting out of the transaction but was denied. Interestingly, LVMH’s counter suit focused more on the deterioration and handling of TIF’s business during the pandemic and less on the French letter, their original reason for trying to get out of the merger. TIF did a great job of neutralizing these types of claims by renegotiating debt covenants, maintaining liquidity ratios, and operating the business in due course. With the pressure of the deal close approaching, LVMH needed a way to bring TIF to the negotiating table. We believed the Delaware Chancery Court would be sympathetic to TIF as LVMH did not present a valid reason for terminating the contract, in our opinion. The companies came to an agreement a month and a half before they were set to meet in court. TIF accepted a reduced price of $131.50, down from the original $135 that was agreed upon in November 2019, avoiding costly and unpredictable litigation. The 2.6% revision was reduced by half when factoring in the dividends that TIF paid during the time the two sides were bickering. We had always been of the conviction that TIF was a prized asset that LVMH wanted to own and that LVMH’s hesitation was solely on the premium they were paying considering COVID-19 and the changing retail environment. We believed the involvement of the French government and the slow walking of the regulatory process were all used as a means to get TIF to the bargaining table. Much to TIF’s credit, they held strong to the end of the process and were able to close the deal with minimal damage to the ultimate price they received.
P.O. Box 1627 | New York, NY 10150 | 212 350-0200 | www.kellnercap.com
Another positive contributor was when Simon Property Group (SPG) and Taubman Centers Inc. (TCO) renegotiated their $2.6 billion merger. In June of 2020, SPG claimed it was exercising its contractual rights to terminate its agreement with TCO alleging that TCO’s business suffered a Material Adverse Change (MAC) that was disproportionate to its peers. SPG also claimed that TCO breached its obligations under the agreement in failing to take steps to mitigate the impact of the pandemic by not making essential cuts in operating expenses and capital expenditures. By way of background, the TCO/SPG contract was considered one of the tightest merger agreements in any of the deals affected by the pandemic. It specifically prohibited using pandemic-related issues as a means of terminating the deal unless the effect was disproportionate to its peers (their first claim). In addition, this deal was structured amid the beginnings of the pandemic (February 10th, 2020) after SPG had already closed some of its own malls in China. In fact, SPG was able to lower the price (from $57 down to $52.50) during negotiations as it realized that businesses were going to have to be shut down. We believed that SPG’s claim of a MAC that was disproportionate to its peers was highly subjective and would require them to assemble a competitor profile that had weathered the crisis better than TCO, which we believed would be difficult. Its second claim was dubious in that TCO was in a no-win situation; if they had cut capital expenditures and operating expenses, SPG could claim that doing so was outside the ordinary course of its business. With a week left to go before the trial start date, the companies came to an agreement at $43 per share, down roughly 18% from the $52.50 that they agreed to back in February. While we thought the strength of TCO’s contract could prevail in court or lead to a settlement in the mid-high $40 range, the outcome was satisfactory for both parties by avoiding the uncertainty of going to court. The settlement allowed us to recover a lot of the loss we saw in early 2020.
Another positive contributor was the closing of the $39 billion cash and stock deal between Alexion Pharmaceuticals Inc. and AstraZenaca Plc. In mid-April, the Federal Trade Commission (FTC) notified the companies that the deal had cleared without the need for a second request. The market was surprised that the FTC was not going to take an in-depth look at the deal given the incoming administration had made it clear that large pharmaceutical mergers were a big antitrust priority. The spread collapsed as the most difficult approval was obtained, leaving only the European Commission (EC) and UK regulators to approve the deal, which they did, and the deal closed in late July.
The Fund suffered a loss when government decided to bring a lawsuit against Aon Plc’s (AON) $30 billion stock deal with Willis Towers Watson Plc (WLTW). The Department of Justice (DOJ) filed a 35-page complaint laying out the five markets they believed would lessen competition because of the merger. The parties came to an agreement on divestitures in three of the markets. In the remaining two markets, Property, Casualty & Financial Risk broking for large customers in the U.S. and Health Benefits broking for large customers in the U.S., divestitures were offered, but not enough to appease the DOJ. AON confirmed they were not given a “last rites” meeting with the DOJ that is typical in these types of situations, where the companies are able to make their best divestiture offer. In its complaint, the DOJ mentioned AON’s offer would not be sufficient, indicating that the issues may be solvable with the proper divestitures. A trial date had been set for December. Despite the companies offering additional divestitures to the government after it filed its lawsuit in June, AON concluded that the new administration may have been looking to make a statement by taking this case to court. With the merger agreement set to expire in September and insurance brokerage stocks rallying, AON was in a position where WLTW would likely be looking for additional compensation to extend the agreement past its termination date. AON also faced the prospect of having to make additional divestitures, which we assume was too much for them. We believed, along with the market, that this lawsuit would be settled with the government prior to the trial. The unwind of the trade pushed the stocks to an unprecedented spread level on a relative value basis. This discrepancy was underscored as two large activist funds, Starboard Value LP and Elliott Management Corp., have since taken stakes in WLTW.
P.O. Box 1627 | New York, NY 10150 | 212 350-0200 | www.kellnercap.com
Outlook
2021 was a transition year for the strategy as several of the legacy transactions from the pandemic were renegotiated and completed. We were also tasked with adjusting to the incoming administration. As with all new administrations, this one is taking its time with appointments at several of the agencies that are pertinent to our strategy. This, along with the fact that they have made enhanced regulatory enforcement a priority, has lengthened the timeline for deals to close. We, of course, will factor this into our analysis to make sure we are being compensated for these delays. The M&A cycle has been robust since the doldrums of the pandemic. The uncertainty around regulatory approvals and possible changes in corporate tax policy don’t seem to be slowing down activity. Investment bankers continue to talk of endless conversations with clients about potential deals. All the ingredients for continued activity remain. Since the pandemic, companies have been hoarding cash and raising emergency funds and now sit with close to $4 trillion in cash. This does not include all the dry powder private equity has, and continues to raise at a record pace, that could further fuel activity. Pressure from investors for companies to grow their businesses continues with M&A being an efficient way to accomplish this. With interest rates still at historic lows and strong investor demand for debt, the rebound in the economy should continue driving deal volumes for the next few years. Since merger arbitrage is a strategy that benefits in a rising rate environment, we look forward to the Federal Reserve beginning to tighten the monetary supply. That being said, the current spread environment continues to be favorable, especially in this low interest rate environment. This leaves us excited about the prospects for the Fund as we head into the new year.
We are grateful for your continued trust and support.
Sincerely,
The Investment Team at Kellner Management, LP
The views in this letter were as of September 30, 2021 and may not necessarily reflect the same views on the date this letter is first published or any time thereafter. These views are intended to help shareholders in understanding the fund’s investment methodology and do not constitute investment advice.
P.O. Box 1627 | New York, NY 10150 | 212 350-0200 | www.kellnercap.com
Dear Shareholder,
This Annual Report covers the AXS Alternative Value Fund (“the Value Fund”), and the AXS Market Neutral Fund (“the Market Neutral Fund”) for the fiscal year ending September 30, 2021. We appreciate this opportunity to offer insight into the funds’ investment strategies and to offer commentary on performance and evolving global market conditions.
Market Commentary
The trailing twelve months ended September 30, 2021 was a strong period of return in the equity market, as the rally from the pandemic-inspired March lows continued in earnest. Value stocks that had underperformed the growth stocks in the previous twelve month period had a robust recovery from a lower market low. This explains the outperformance of the Russell 1000 Value Index over the S&P 500.
The Value Fund
While value stocks outperformed growth stocks over the past twelve months, the wide valuation dispersion between growth and value stocks discussed in the June 30, 2020 shareholder letter remains prominent. The overall valuation of the market appears elevated, but perhaps justifiable, especially considering the very low rates on U.S. Treasuries. However, valuations for growth stocks are very high. As of September 30, 2021, the quoted price to earnings ratio for the iShares Russell 1000 Growth ETF, an index fund that designed to replicate the performance of the Russell 1000 Growth Index, was 44.92x and the price to book ratio was 14.16x, both high relative to historical norms. The price to earnings ratio for the iShares Russell 1000 Value ETF, an index fund Russell 1000 Value Index was 24.39x and the price to book ratio was 2.63x. The spread between the ratios at 20.53x has been wider in the past, but it is higher than the approximate 10.0x average spread over the past 20 years.
The macroeconomic view upon which our value strategies are based is what we consider to be a straightforward model of market behavior over time. This model is based on the belief that corporate profits, market multiples, and interest rates drive stock price returns over very long periods of time. However, this is not to say that a market correction or crash will occur in the near future. Should an adverse market event occur, we believe the Value and Market Neutral Funds are well positioned to mitigate volatility relative to their respective benchmarks.
Performance Commentary
The Value Fund invests in high quality companies that trade at attractive valuations relative to the broader market. We utilize our proprietary ROTA/ROME® investment selection and portfolio construction methodology to execute this strategy. ROTA/ROME® focuses on a company’s Return on Total Assets (“ROTA”) and Return on Market Value of Equity (“ROME”) in order to identify companies whose per share intrinsic value has diverged significantly from the current market price of its stock. We believe that companies that exhibit sustainable long-term high ROTA are higher quality companies that most likely have a competitive advantage within the marketplace. ROME is a measure of profit yield, and like a yield on a bond, the higher the ROME, the more likely that shares in the company can be purchased at a better valuation compared to a company with a lower ROME.
3965 West 83rd Street • #348 • Prairie Village, KS 66208
913.214.5001
www.cognios.com
| | Return 1-Yr | Annualized Rate of Return (AROR) Since Inception (10/3/2016 to 9/30/2021) |
| AXS Alternative Value Fund - CL I | 25.47% | 12.93% |
| AXS Alternative Value Fund - Investor Class | 25.08% | 12.76% |
| S&P 500 Index | 30.00% | 17.00% |
During the fiscal year ended September 30, 2021, the total return for the Institutional Class Shares (COGVX) was 25.47% and the total return for the Investor Class Shares (COGLX) was 25.08%, lagging the Russell 1000 Value Index. Over the course of the last fiscal year, the Value Fund maintained investment positions in one hundred fifty-one positions. Of those investment positions, one hundred five were profitable resulting in a .695 batting average. The tables below display the top five positions that contributed to gross profit:
| Top 5 Investment Positions by Contribution to Gross Profit |
| Ticker | Company | Contribution to Gross Profit |
| L | L Brands, Inc. (Pre-transaction with BBWI) | 4.3% |
| ORCL | Oracle Corp. | 4.1% |
| AJG | Arthur J. Gallagher & Co. | 4.0% |
| MSI | Motorola Solutions, Inc. | 3.9% |
| CPRI | Capri Holdings Limited | 3.6% |
| Total | | 19.9% |
AXS Market Neutral Fund
The AXS Market Neutral Large Cap Fund employs a Beta -adjusted market neutral investment strategy that seeks to provide investors with returns that are non-correlated to, or independent of, the returns of the global equity and fixed income markets. By attempting to hedge out all of the market Beta, the Fund’s returns over time should be essentially “pure Alpha” (i.e., Alpha is the excess return of a portfolio after considering its Beta exposure.) Additionally, by hedging out the general market movements in this Beta-adjusted market neutral fashion, we believe that the total returns of the Fund will be independent of those broad “systemic” risk factors and macro events that move the entire stock market either positively or negatively over time.
Performance Commentary
The Market Neutral Fund invests long in high quality companies that trade at attractive valuations relative to the broader market. We utilize our proprietary ROTA/ROME® investment selection and portfolio construction methodology, very similar to the Value Fund. Conversely, The Market Neutral Fund sells short shares in companies that demonstrate poor qualities based on our proprietary ROTA/ROME® investment selection and portfolio construction methodology.
| | Return 1-Yr | Annualized Rate of Return (AROR) Since Inception (12/31/2012 to 9/30/2021) |
| AXS Market Neutral Fund - CL I | -2.78% | 2.53% |
| AXS Market Neutral Fund - Investor Class | -2.93% | 2.30% |
| S&P 500 Index | 30.00% | 17.00% |
For the twelve months ended September 30, 2021, the total return for the Institutional Class Shares (COGIX) was -2.78% and the total return for the Investor Class Shares (COGMX) was -2.93%, underperforming the Morningstar Equity Market Neutral Category return 3.91% (COGIX). Over the course of the last fiscal year, the Market Neutral Fund held two hundred twenty-four long positions, of which one hundred eighteen were profitable resulting in a .527 batting average. The table below displays the top five positions that contributed to gross profit for the long positions:
| Top 5 Long Positions by Contribution to Long Gross Profit of the Market Neutral Fund |
| Ticker | Company | Contribution to Gross Loss* |
| RMD | ResMed, Inc. | 32.7% |
| LLY | Eli Lilly and Company | 29.1% |
| CVS | CVS Health Corporation | 26.0% |
| OMC | Omnicom Group Inc. | 24.5% |
| ABBV | AbbVie Inc. | 24.4% |
| Total | | 136.7% |
| * | The positive Contribution to Gross Loss percentages represent a negative return to the Fund. |
Over the course of the last fiscal year, the Market Neutral Fund held two hundred one short positions, of which fifty-one were profitable resulting in a .254 batting average. The table below displays the top five positions that contributed to gross profit for the short positions:
| Top 5 Short Positions by Contribution to Short Gross Profit of the Market Neutral Fund |
| Ticker | Company | Contribution to Gross Loss** |
| LVS | Las Vegas Sands Corp. | -4.9% |
| INCY | Incyte Corp. | -4.3% |
| ENPH | Enphase Energy, Inc. | -4.3% |
| APD | Air Products and Chemicals, Inc. | -3.9% |
| NEM | Newmont Corporation | -3.7% |
| Total | | -21.1% |
| * | The negative Contribution to Gross Loss percentages represent a positive return to the Fund. |
We look forward to future opportunities to connect with our shareholders. We strive to continuously add value to your investment experience by providing access to fund information, portfolio updates and straightforward commentary.
We thank you for investing with us and for the trust you have placed in us.
Sincerely,
 |  | |
| Jonathan Angrist | Brian Machtley | |
Portfolio Managers
Cognios Capital
Disclosures
The information provided herein represents the opinion of the Funds’ manager, is subject to change at any time, is not guaranteed and should not be considered investment advice.
Performance data quoted represents past performance; past performance does not guarantee future results.
The Funds’ holdings and sector allocations are subject to change at any time and should not be considered recommendations to buy and sell any security. Please refer to the Schedule of Investments in this report for a complete list of Fund holdings.
Mutual funds involve risk including possible loss of principal. There is no assurance that the Fund will achieve its investment objective.
The value of the Fund’s assets will fluctuate as the equity market fluctuates, although the beta-adjusted market neutral focus of the Fund should reduce the effect of general market fluctuations on the valuation of the Fund as a whole. Utilization of leverage, such as borrowings and shorting positions, involves certain risks to the Fund’s shareholders, including potential for higher volatility of the net asset value (“NAV”) of the Fund’s shares and the relatively greater effect of portfolio holdings on the NAV of the shares. The Fund may not always be able to close out a short position on favorable terms. Short sales involve the risk that the Fund will incur a loss by subsequently buying a security at a higher price than the price at which it sold the security short. Value investing is subject to the risk that the market will not recognize a security’s inherent value for a long time or at all, or that a stock judged to be undervalued may actually be appropriately priced or overvalued. The prices of foreign securities may be more volatile than the prices of securities of U.S. issuers because of economic and social conditions abroad, political developments and changes in the regulatory environments of foreign countries.
You cannot invest directly in an index.
Index performance is not indicative of a fund’s performance.
Must be preceded or accompanied by a prospectus.
Distributed by IMST Distributors, LLC, which is not affiliated with AXS.
AXS All Terrain Opportunity Fund
FUND PERFORMANCE at September 30, 2021 (Unaudited)
This graph compares a hypothetical $10,000 investment in the Fund’s Institutional Class shares, made at its inception, with a similar investment in the HFRX Global Hedge Fund Index. Results include the reinvestment of all dividends and capital gains.
HFRX Global Hedge Fund Index is designed to be representative of the overall composition of the hedge fund universe. The index does not reflect expenses, fees, or sales charge, which would lower performance. The index is unmanaged and it is not available for investment.
| Average Annual Total Returns as of September 30, 2021 | 1 Year | 5 Years | Since Inception | Inception Date |
| Institutional Class1 | 3.68% | 4.67% | 3.56% | 11/03/14 |
| HFRX Global Hedge Fund Index | 8.87% | 3.75% | 2.29% | 11/03/14 |
| 1 | Prior to September 16, 2016, the Institutional Class shares of the Fund were designated as Class A shares and subject to a distribution fee pursuant to Rule 12b-1 Plan and a 5.75% sales charge. Returns would have been lower had sales charge been reflected. The distribution fee is reflected in the Fund’s performance for periods prior to September 16, 2016. |
The performance data quoted here represents past performance and past performance is not a guarantee of future results. Investment return and principal value will fluctuate so that an investor's shares, when redeemed, may be worth more or less than their original cost. Current performance may be lower or higher than the performance information quoted. The most recent month end performance may be obtained by calling (833) 297-2587.
Gross and net expense ratios for the Fund’s Institutional Class shares were 2.57% and 1.93%, respectively, which were the amounts stated in the current prospectus dated March 1, 2021. For the Fund’s current one year expense ratios, please refer to the Financial Highlights section of this report. The Fund’s Advisor has contractually agreed to waive fees and/or pay for operating expenses of the Fund to ensure that total annual fund operating expenses (excluding any taxes, leverage interest, brokerage commissions, dividend and interest expenses on short sales, acquired fund fees and expenses as determined in accordance with Form N-1A, expenses incurred in connection with any merger or reorganization, or extraordinary expenses such as litigation expenses) do not exceed 1.60% of the average daily net assets of Institutional Class shares of the Fund. This agreement is in effect until February 28, 2022 and may be terminated before that date only by the Trust’s Board of Trustees. In the absence of such waivers, the Fund’s returns would be lower.
AXS All Terrain Opportunity Fund
FUND PERFORMANCE at September 30, 2021 (Unaudited) - Continued
Returns reflect the reinvestment of distributions made by the Fund, if any. The graph and the performance table above do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or the redemption of Fund shares. Shares redeemed within 60 days of purchase will be charged a redemption fee of 1.00%.
AXS Merger Fund
FUND PERFORMANCE at September 30, 2021 (Unaudited)
This graph compares a hypothetical $10,000 investment in the Fund’s Class I shares, made at its inception, with a similar investment in the ICE BofA Merrill Lynch 3-Month Treasury Bill Index and HFRX ED: Merger Arbitrage Index. The performance graph above is shown for the Fund’s Class I shares. Investor Class shares performance may vary. Results include the reinvestment of all dividends and capital gains.
The ICE BofA Merrill Lynch 3-Month Treasury Bill Index is an unmanaged index that measures returns of three-month Treasury Bills. The HFRX ED: Merger Arbitrage Index is an investment process primarily focused on opportunities in equity and equity related instruments of companies. The indexes do not reflect expenses, fees or sales charge, which would lower performance. The indexes are unmanaged and are not available for investment.
| Average Annual Total Returns as of September 30, 2021 | 1 Year | 5 Years | Since Inception | Inception Date |
| Class I | 2.75% | 1.99% | 2.43% | 06/29/12 |
| Investor Class | 2.52% | 1.74% | 2.12% | 06/29/12 |
| ICE BofA Merrill Lynch 3-Month Treasury Bill Index | 0.07% | 1.16% | 0.68% | 06/29/12 |
| HFRX ED: Merger Arbitrage Index | 8.24% | 1.87% | 2.91% | 06/29/12 |
The performance data quoted here represents past performance and past performance is not a guarantee of future results. Investment return and principal value will fluctuate so that an investor’s shares, when redeemed, may be worth more or less than their original cost. Current performance may be lower or higher than the performance information quoted. The most recent month end performance may be obtained by calling (833) 297-2587.
The Fund acquired the assets and liabilities of the Kellner Merger Fund, a series of the Advisors Series Trust (the “Predecessor Fund”) on January 22, 2021. As a result of the reorganization, the Fund is the accounting successor of the Predecessor Fund. Performance results shown in the graph and the performance table above for the periods prior to January 22, 2021, reflect the performance of the Predecessor Fund.
Gross and net expense ratios for the Investor Class shares were 2.41% and 2.24%, respectively, and the Class I shares were 2.16% and 1.99%, respectively, which were stated in the current prospectus dated May 1, 2021. For the Fund’s current one year expense ratios, please refer to the Financial Highlights section of this report. The Fund’s Advisor has contractually agreed to waive its fees and/or pay for operating expenses of the Fund to ensure that total annual fund operating expenses (excluding any taxes, leverage interest, brokerage commissions, dividend and interest expenses on short sales, acquired fund fees and expenses as determined in accordance with Form N-1A, expenses incurred in connection with any merger or reorganization, or extraordinary expenses such as litigation expenses) do not exceed 1.75% and 1.50% of the average daily net assets of the Fund’s Investor Class and Class I shares, respectively. This agreement is in effect until January 22, 2023, and it may be terminated before that date only by the Trust’s Board of Trustees. In the absence of such waivers, the Fund’s returns would be lower.
AXS Merger Fund
FUND PERFORMANCE at September 30, 2021 (Unaudited) – Continued
Returns reflect the reinvestment of distributions made by the Fund, if any. The graph and the performance table above do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or the redemption of the Fund shares. Shares redeemed within 30 days of purchase will be charged 1.00% redemption fee.
AXS Alternative Value Fund
FUND PERFORMANCE at September 30, 2021 (Unaudited)
This graph compares a hypothetical $10,000 investment in the Fund’s Class I shares, made at its inception, with a similar investment in the S&P 500 Total Return Index. The performance graph above is shown for the Fund’s Class I shares. Investor Class shares performance may vary. Results include the reinvestment of all dividends and capital gains.
The S&P 500 Total Return Index is a broad unmanaged index of 500 stocks, which is widely recognized as representative of the equity market in general. The index does not reflect expenses, fees or sales charge, which would lower performance. The index is unmanaged and is not available for investment.
| Average Annual Total Returns as of September 30, 2021 | 1 Year | Since Inception | Inception Date |
| Class I | 25.47% | 12.93% | 10/03/16 |
| Investor Class | 25.08% | 12.76% | 10/03/16 |
| S&P 500 Total Return Index | 30.00% | 17.00% | 10/03/16 |
The performance data quoted here represents past performance and past performance is not a guarantee of future results. Investment return and principal value will fluctuate so that an investor’s shares, when redeemed, may be worth more or less than their original cost. Current performance may be lower or higher than the performance information quoted. The most recent month end performance may be obtained by calling (833) 297-2587.
The Fund acquired the assets and liabilities of the AXS Alternative Value Fund (formerly, Cognios Large Cap Value Fund), a series of the M3Sixty Funds Trust (the “Predecessor Fund”) on March 5, 2021. As a result of the reorganization, the Fund is the accounting successor of the Predecessor Fund. Performance results shown in the graph and the performance table above for the periods prior to March 5, 2021, reflect the performance of the Predecessor Fund.
Gross and net expense ratios for the Investor Class shares were 2.65% and 2.02%, respectively, and the Class I shares were 2.40% and 1.77%, respectively, which were stated in the current prospectus dated November 1, 2021. For the Fund’s current one year expense ratios, please refer to the Financial Highlights section of this report. The Fund’s Advisor has contractually agreed to waive its fees and/or pay for operating expenses of the Fund to ensure that total annual fund operating expenses (excluding any taxes, leverage interest, brokerage commissions, dividend and interest expenses on short sales, acquired fund fees and expenses as determined in accordance with Form N-1A, expenses incurred in connection with any merger or reorganization, or extraordinary expenses such as litigation expenses) do not exceed 1.10% and 0.85% of the average daily net assets of the Fund’s Investor Class and Class I shares, respectively. This agreement is in effect until March 5, 2023, and it may be terminated before that date only by the Trust’s Board of Trustees. In the absence of such waivers, the Fund’s returns would be lower.
AXS Alternative Value Fund
FUND PERFORMANCE at September 30, 2021 (Unaudited) – Continued
Returns reflect the reinvestment of distributions made by the Fund, if any. The graph and the performance table above do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or the redemption of the Fund shares. Shares redeemed within 30 days of purchase will be charged 1.00% redemption fee.
AXS Market Neutral Fund
FUND PERFORMANCE at September 30, 2021 (Unaudited)
This graph compares a hypothetical $10,000 investment in the Fund’s Class I shares, made at its inception, with a similar investment in the S&P 500 Total Return Index. The performance graph above is shown for the Fund’s Class I shares. Investor Class shares performance may vary. Results include the reinvestment of all dividends and capital gains.
The S&P 500 Total Return Index is a broad unmanaged index of 500 stocks, which is widely recognized as representative of the equity market in general. The index does not reflect expenses, fees or sales charge, which would lower performance. The index is unmanaged and is not available for investment.
| Average Annual Total Returns as of September 30, 2021 | 1 Year | 5 Years | Since Inception | Inception Date |
| Class I | -2.78% | 0.57% | 2.53% | 12/31/12 |
| Investor Class | -2.93% | 0.34% | 2.30% | 12/31/12 |
| S&P 500 Total Return Index | 30.00% | 16.90% | 15.74% | 12/31/12 |
The performance data quoted here represents past performance and past performance is not a guarantee of future results. Investment return and principal value will fluctuate so that an investor’s shares, when redeemed, may be worth more or less than their original cost. Current performance may be lower or higher than the performance information quoted. The most recent month end performance may be obtained by calling (833) 297-2587.
The Fund acquired the assets and liabilities of the AXS Market Neutral Fund (formerly, Cognios Market Neutral Large Cap Fund), a series of the M3Sixty Funds Trust (the “Predecessor Fund”) on March 5, 2021. As a result of the reorganization, the Fund is the accounting successor of the Predecessor Fund. Performance results shown in the graph and the performance table above for the periods prior to March 5, 2021, reflect the performance of the Predecessor Fund.
Gross and net expense ratios for the Investor Class shares were 4.69% and 4.35%, respectively, and the Class I shares were 4.44% and 4.10%, respectively, which were stated in the current prospectus dated November 1, 2021. For the Fund’s current one year expense ratios, please refer to the Financial Highlights section of this report. The Fund’s Advisor has contractually agreed to waive its fees and/or pay for operating expenses of the Fund to ensure that total annual fund operating expenses (excluding any taxes, leverage interest, brokerage commissions, dividend and interest expenses on short sales, acquired fund fees and expenses as determined in accordance with Form N-1A, expenses incurred in connection with any merger or reorganization, or extraordinary expenses such as litigation expenses) do not exceed 1.70% and 1.45% of the average daily net assets of the Fund’s Investor Class and Class I shares, respectively. This agreement is in effect until March 5, 2023, and it may be terminated before that date only by the Trust’s Board of Trustees. In the absence of such waivers, the Fund’s returns would be lower.
AXS Market Neutral Fund
FUND PERFORMANCE at September 30, 2021 (Unaudited) – Continued
Returns reflect the reinvestment of distributions made by the Fund, if any. The graph and the performance table above do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or the redemption of the Fund shares. Shares redeemed within 30 days of purchase will be charged 1.00% redemption fee.
AXS All Terrain Opportunity Fund
SCHEDULE OF INVESTMENTS
As of September 30, 2021
| Number of Shares | | | | | Value | |
| | | | | COMMON STOCKS — 2.5% | | | | |
| | | | | CONSUMER STAPLES — 1.0% | | | | |
| | 620 | | | Costco Wholesale Corp. | | $ | 278,597 | |
| | | | | REAL ESTATE — 1.1% | | | | |
| | 1,500 | | | Mid-America Apartment Communities, Inc. - REIT | | | 280,125 | |
| | | | | TECHNOLOGY — 0.4% | | | | |
| | 200 | | | MicroStrategy, Inc. - Class A* | | | 115,680 | |
| | | | | TOTAL COMMON STOCKS | | | | |
| | | | | (Cost $710,324) | | | 674,402 | |
| | | | | EXCHANGE-TRADED FUNDS — 27.2% | | | | |
| | | | | EQUITY FUNDS — 27.2% | | | | |
| | 3,000 | | | Amplify Transformational Data Sharing ETF | | | 133,920 | |
| | 20,000 | | | ETFMG Alternative Harvest ETF | | | 287,800 | |
| | 5,700 | | | ETFMG Prime Cyber Security ETF | | | 346,674 | |
| | 6,000 | | | First Trust NASDAQ Cybersecurity ETF | | | 292,320 | |
| | 3,200 | | | Invesco QQQ Trust Series 1 | | | 1,145,472 | |
| | 3,600 | | | Invesco S&P 500 Equal Weight ETF | | | 539,352 | |
| | 18,000 | | | iShares Core Dividend Growth ETF | | | 904,320 | |
| | 4,500 | | | iShares U.S. Medical Devices ETF | | | 282,510 | |
| | 6,000 | | | ProShares S&P 500 Dividend Aristocrats ETF | | | 531,180 | |
| | 6,000 | | | Real Estate Select Sector SPDR Fund | | | 266,700 | |
| | 5,000 | | | SPDR S&P 500 ETF Trust | | | 2,145,700 | |
| | 3,500 | | | Technology Select Sector SPDR Fund | | | 522,620 | |
| | | | | | | | 7,398,568 | |
| | | | | TOTAL EXCHANGE-TRADED FUNDS | | | | |
| | | | | (Cost $7,593,814) | | | 7,398,568 | |
| | | | | MUTUAL FUNDS — 31.7% | | | | |
| | | | | EQUITY FUNDS — 9.6% | | | | |
| | 5,865 | | | Morgan Stanley Insight Fund - Class I | | | 560,235 | |
| | 75,261 | | | WCM Focused International Growth Fund - Class Institutional | | | 2,063,655 | |
| | | | | | | | 2,623,890 | |
| | | | | FIXED INCOME FUNDS — 22.1% | | | | |
| | 248,139 | | | PIMCO Income Fund - Class Institutional | | | 2,987,593 | |
| | 277,321 | | | PIMCO Mortgage Opportunities and Bond Fund - Class Institutional | | | 3,028,346 | |
| | | | | | | | 6,015,939 | |
| | | | | TOTAL MUTUAL FUNDS | | | | |
| | | | | (Cost $8,636,665) | | | 8,639,829 | |
AXS All Terrain Opportunity Fund
SCHEDULE OF INVESTMENTS - Continued
As of September 30, 2021
| Number of Contracts | | | | | Value | |
| | | | | PURCHASED OPTIONS CONTRACTS — 0.1% | | | | |
| | | | | CALL OPTIONS — 0.1% | | | | |
| | 100 | | | SPDR S&P 500 ETF Trust
Exercise Price: $450, Notional Amount $4,500,000
Expiration Date: November 19, 2021 | | $ | 23,400 | |
| | | | | TOTAL CALL OPTIONS | | | | |
| | | | | (Cost $42,404) | | | 23,400 | |
| | | | | TOTAL PURCHASED OPTIONS CONTRACTS | | | | |
| | | | | (Cost $42,404) | | | 23,400 | |
| Number of Shares | | | | | | |
| | | | | SHORT-TERM INVESTMENTS — 29.1% | | | | |
| | 7,920,915 | | | Fidelity Investments Money Market Funds - Treasury Portfolio - Class I, 0.010%1 | | | 7,920,915 | |
| | | | | TOTAL SHORT-TERM INVESTMENTS | | | | |
| | | | | (Cost $7,920,915) | | | 7,920,915 | |
| | | | | | | | | |
| | | | | TOTAL INVESTMENTS — 90.6% | | | | |
| | | | | (Cost $24,904,122) | | | 24,657,114 | |
| | | | | | | | | |
| | | | | Other Assets in Excess of Liabilities — 9.4% | | | 2,554,471 | |
| | | | | TOTAL NET ASSETS — 100.0% | | $ | 27,211,585 | |
| ETF – | Exchange-Traded Fund |
| REIT – | Real Estate Investment Trusts |
| * | Non-income producing security. |
| 1 | The rate is the annualized seven-day yield at period end. |
See accompanying Notes to Financial Statements.
AXS All Terrain Opportunity Fund
SUMMARY OF INVESTMENTS
As of September 30, 2021
| Security Type/Sector | Percent of Total
Net Assets |
| Common Stocks | |
| Real Estate | 1.1% |
| Consumer Staples | 1.0% |
| Technology | 0.4% |
| Total Common Stocks | 2.5% |
| Exchange-Traded Funds | |
| Equity Funds | 27.2% |
| Total Exchange-Traded Funds | 27.2% |
| Mutual Funds | |
| Fixed Income Funds | 22.1% |
| Equity Funds | 9.6% |
| Total Mutual Funds | 31.7% |
| Purchased Options Contracts | |
| Call Options | 0.1% |
| Total Purchased Options Contracts | 0.1% |
| Short-Term Investments | 29.1% |
| Total Investments | 90.6% |
| Other Assets in Excess of Liabilities | 9.4% |
| Total Net Assets | 100.0% |
See accompanying Notes to Financial Statements.
AXS Merger Fund
SCHEDULE OF INVESTMENTS
As of September 30, 2021
| Number of Shares | | | | | Value | |
| | | | | COMMON STOCKS — 83.1% | | | | |
| | | | | BANKS — 8.3% | | | | |
| | 10,500 | | | Atlantic Capital Bancshares, Inc.* | | $ | 278,145 | |
| | 76,300 | | | Cadence BanCorp. | | | 1,675,548 | |
| | 85,700 | | | CIT Group, Inc. | | | 4,452,115 | |
| | 1 | | | Prosperity Bancshares, Inc. | | | 71 | |
| | | | | | | | 6,405,879 | |
| | | | | BUILDING MATERIALS — 0.1% | | | | |
| | 1,800 | | | Forterra, Inc.* | | | 42,408 | |
| | | | | CHEMICALS — 0.5% | | | | |
| | 8,800 | | | Kraton Corp.* | | | 401,632 | |
| | | | | COMMERCIAL SERVICES — 15.1% | | | | |
| | 99,800 | | | IHS Markit Ltd. | | | 11,638,676 | |
| | | | | ELECTRONICS — 0.6% | | | | |
| | 1,900 | | | Coherent, Inc.* | | | 475,171 | |
| | | | | ENTERTAINMENT — 0.4% | | | | |
| | 30,900 | | | Cineplex, Inc.* | | | 320,564 | |
| | | | | ENVIRONMENTAL CONTROL — 0.6% | | | | |
| | 23,900 | | | Covanta Holding Corp. | | | 480,868 | |
| | | | | FOREST PRODUCTS & PAPER — 4.1% | | | | |
| | 57,700 | | | Domtar Corp.* | | | 3,146,958 | |
| | | | | HEALTHCARE-SERVICES — 6.1% | | | | |
| | 40,800 | | | Magellan Health, Inc.* | | | 3,857,640 | |
| | 17,500 | | | PPD, Inc.* | | | 818,825 | |
| | | | | | | | 4,676,465 | |
| | | | | INSURANCE — 11.5% | | | | |
| | 16,100 | | | Athene Holding Ltd. - Class A* | | | 1,108,807 | |
| | 33,215 | | | Willis Towers Watson PLC | | | 7,721,159 | |
| | | | | | | | 8,829,966 | |
| | | | | INTERNET — 1.2% | | | | |
| | 8,300 | | | Score Media and Gaming, Inc. - Class A* | | | 284,109 | |
| | 2,000 | | | Stamps.com, Inc.* | | | 659,580 | |
| | | | | | | | 943,689 | |
| | | | | MINING — 0.0% | | | | |
| | 2 | | | Newmont Corp. | | | 108 | |
AXS Merger Fund
SCHEDULE OF INVESTMENTS - Continued
As of September 30, 2021
| Number of Shares | | | | | Value | |
| | | | | COMMON STOCKS (Continued) | | | | |
| | | | | MISCELLANEOUS MANUFACTURING — 1.2% | | | | |
| | 15,000 | | | Lydall, Inc.* | | $ | 931,350 | |
| | | | | REAL ESTATE — 0.8% | | | | |
| | 10,100 | | | Deutsche Wohnen S.E.* | | | 618,893 | |
| | | | | REITS — 7.3% | | | | |
| | 40,400 | | | Columbia Property Trust, Inc. - REIT | | | 768,408 | |
| | 1 | | | Digital Realty Trust, Inc. - REIT | | | 144 | |
| | 2 | | | Prologis, Inc. - REIT | | | 251 | |
| | 106,700 | | | VEREIT, Inc. - REIT | | | 4,826,041 | |
| | | | | | | | 5,594,844 | |
| | | | | SAVINGS & LOANS — 1.7% | | | | |
| | 52,600 | | | Sterling Bancorp | | | 1,312,896 | |
| | | | | SEMICONDUCTORS — 6.0% | | | | |
| | 30,400 | | | Xilinx, Inc. | | | 4,590,096 | |
| | | | | SOFTWARE — 14.6% | | | | |
| | 12,700 | | | Change Healthcare, Inc.* | | | 265,938 | |
| | 43,400 | | | Cloudera, Inc.* | | | 693,098 | |
| | 61,000 | | | Cornerstone OnDemand, Inc.* | | | 3,492,860 | |
| | 28,600 | | | Medallia, Inc.* | | | 968,682 | |
| | 82,600 | | | Nuance Communications, Inc.* | | | 4,546,304 | |
| | 61,000 | | | Sciplay Corp. - Class A* | | | 1,262,090 | |
| | | | | | | | 11,228,972 | |
| | | | | TRANSPORTATION — 3.0% | | | | |
| | 8,400 | | | Kansas City Southern | | | 2,273,376 | |
| | | | | TOTAL COMMON STOCKS | | | | |
| | | | | (Cost $58,975,781) | | | 63,912,811 | |
| Number of Contracts | | | | | | |
| | | | | PURCHASED OPTIONS CONTRACTS — 0.0% | | | | |
| | | | | CALL OPTIONS — 0.0% | | | | |
| | 49 | | | Five9, Inc.
Exercise Price: $170.00, Notional Amount: $833,000,
Expiration Date: November 19, 2021 | | | 29,890 | |
| | | | | TOTAL CALL OPTIONS | | | | |
| | | | | (Cost $36,801) | | | 29,890 | |
| | | | | TOTAL PURCHASED OPTIONS CONTRACTS | | | | |
| | | | | (Cost $36,801) | | | 29,890 | |
AXS Merger Fund
SCHEDULE OF INVESTMENTS - Continued
As of September 30, 2021
| Number of Shares | | | | | Value | |
| | | | | SHORT-TERM INVESTMENTS — 26.9% | | | | |
| | 20,706,379 | | | Fidelity Investments Money Market Treasury Portfolio - Institutional Class, 0.01%1 | | $ | 20,706,379 | |
| | | | | TOTAL SHORT-TERM INVESTMENTS | | | | |
| | | | | (Cost $20,706,379) | | | 20,706,379 | |
| | | | | | | | | |
| | | | | TOTAL INVESTMENTS — 110.0% | | | | |
| | | | | (Cost $79,718,961) | | | 84,649,080 | |
| | | | | | | | | |
| | | | | Liabilities in Excess of Other Assets — (10.0)% | | | (7,702,060 | ) |
| | | | | TOTAL NET ASSETS — 100.0% | | $ | 76,947,020 | |
| | | | | | | | | |
| | | | | SECURITIES SOLD SHORT — (55.9)% | | | | |
| | | | | COMMON STOCKS — (55.9)% | | | | |
| | | | | BANKS — (10.1)% | | | | |
| | (53,410 | ) | | BancorpSouth Bank | | | (1,590,550 | ) |
| | (5,372 | ) | | First Citizens BancShares, Inc. - Class A | | | (4,529,509 | ) |
| | (8 | ) | | Huntington Bancshares, Inc. | | | (124 | ) |
| | (3,780 | ) | | SouthState Corp. | | | (282,253 | ) |
| | (24,353 | ) | | Webster Financial Corp. | | | (1,326,264 | ) |
| | | | | | | | (7,728,700 | ) |
| | | | | COMMERCIAL SERVICES — (15.7)% | | | | |
| | (28,324 | ) | | S&P Global, Inc. | | | (12,034,584 | ) |
| | | | | DIVERSIFIED FINANCIAL SERVICES — (1.5)% | | | | |
| | (18,499 | ) | | Apollo Global Management, Inc. - Class A | | | (1,139,353 | ) |
| | | | | ELECTRONICS — (0.1)% | | | | |
| | (1,729 | ) | | II-VI, Inc.* | | | (102,634 | ) |
| | | | | ENTERTAINMENT — (1.8)% | | | | |
| | (1,990 | ) | | Penn National Gaming, Inc.* | | | (144,195 | ) |
| | (15,250 | ) | | Scientific Games Corp. - Class A* | | | (1,266,818 | ) |
| | | | | | | | (1,411,013 | ) |
| | | | | INSURANCE — (12.3)% | | | | |
| | (33,215 | ) | | Aon PLC | | | (9,491,851 | ) |
| | | | | REITS — (6.3)% | | | | |
| | (75,198 | ) | | Realty Income Corp. - REIT | | | (4,877,342 | ) |
| | | | | SEMICONDUCTORS — (7.0)% | | | | |
| | (52,389 | ) | | Advanced Micro Devices, Inc.* | | | (5,390,828 | ) |
AXS Merger Fund
SCHEDULE OF INVESTMENTS - Continued
As of September 30, 2021
| Number of Shares | | | | | Value | |
| | | | | SECURITIES SOLD SHORT (Continued) | | | | |
| | | | | COMMON STOCKS (Continued) | | | | |
| | | | | TRANSPORTATION — (1.1)% | | | | |
| | (12,690 | ) | | Canadian Pacific Railway Ltd. | | $ | (825,738 | ) |
| | | | | TOTAL COMMON STOCKS | | | | |
| | | | | (Proceeds $37,918,673) | | | (43,002,043 | ) |
| | | | | | | | | |
| | | | | TOTAL SECURITIES SOLD SHORT | | | | |
| | | | | (Proceeds $37,918,673) | | $ | (43,002,043 | ) |
Number of Contracts | | | | | | |
| | | | | WRITTEN OPTIONS CONTRACTS — (0.0)% | | | | |
| | | | | CALL OPTIONS — (0.0)% | | | | |
| | (49 | ) | | Five9, Inc.
Exercise Price: $180.00, Notional Amount: $(882,000),
Expiration Date: November 19, 2021 | | | (17,150 | ) |
| | | | | TOTAL CALL OPTIONS | | | | |
| | | | | (Proceeds $19,549) | | | (17,150 | ) |
| | | | | PUT OPTIONS — (0.0)% | | | | |
| | (49 | ) | | Five9, Inc.
Exercise Price: $145.00, Notional Amount: $(710,500),
Expiration Date: November 19, 2021 | | | (20,825 | ) |
| | | | | TOTAL PUT OPTIONS | | | | |
| | | | | (Proceeds $17,589) | | | (20,825 | ) |
| | | | | | | | | |
| | | | | TOTAL WRITTEN OPTIONS CONTRACTS | | | | |
| | | | | (Proceeds $37,138) | | $ | (37,975 | ) |
PLC – Public Limited Company
REIT – Real Estate Investment Trusts
| * | Non-income producing security. |
| 1 | The rate is the annualized seven-day yield at period end. |
See accompanying Notes to Financial Statements.
AXS Merger Fund
SUMMARY OF INVESTMENTS
As of September 30, 2021
| Security Type/Industry | Percent of Total
Net Assets |
| Common Stocks | |
| Commercial Services | 15.1% |
| Software | 14.6% |
| Insurance | 11.5% |
| Banks | 8.3% |
| REITS | 7.3% |
| Healthcare-Services | 6.1% |
| Semiconductors | 6.0% |
| Forest Products & Paper | 4.1% |
| Transportation | 3.0% |
| Savings & Loans | 1.7% |
| Miscellaneous Manufacturing | 1.2% |
| Internet | 1.2% |
| Real Estate | 0.8% |
| Electronics | 0.6% |
| Environmental Control | 0.6% |
| Chemicals | 0.5% |
| Entertainment | 0.4% |
| Building Materials | 0.1% |
| Mining | 0.0% |
| Total Common Stocks | 83.1% |
| Short-Term Investments | 26.9% |
| Total Investments | 110.0% |
| Liabilities in Excess of Other Assets | (10.0)% |
| Total Net Assets | 100.0% |
See accompanying Notes to Financial Statements.
AXS Alternative Value Fund
SCHEDULE OF INVESTMENTS
As of September 30, 2021
| Number of Shares | | | | | Value | |
| | | | | COMMON STOCKS — 149.5% | | | | |
| | | | | ADVERTISING — 1.1% | | | | |
| | 205 | | | Omnicom Group, Inc.1 | | $ | 14,854 | |
| | | | | AEROSPACE/DEFENSE — 2.6% | | | | |
| | 61 | | | L3Harris Technologies, Inc.1 | | | 13,434 | |
| | 66 | | | Northrop Grumman Corp.1 | | | 23,770 | |
| | | | | | | | 37,204 | |
| | | | | AGRICULTURE — 2.9% | | | | |
| | 595 | | | Altria Group, Inc.1 | | | 27,085 | |
| | 141 | | | Philip Morris International, Inc.1 | | | 13,365 | |
| | | | | | | | 40,450 | |
| | | | | BEVERAGES — 3.1% | | | | |
| | 76 | | | Brown-Forman Corp. - Class B1 | | | 5,093 | |
| | 193 | | | Coca-Cola Co.1 | | | 10,126 | |
| | 185 | | | PepsiCo, Inc.1 | | | 27,826 | |
| | | | | | | | 43,045 | |
| | | | | BIOTECHNOLOGY — 8.9% | | | | |
| | 90 | | | Amgen, Inc.1 | | | 19,139 | |
| | 95 | | | Biogen, Inc.*,1 | | | 26,884 | |
| | 398 | | | Gilead Sciences, Inc.1 | | | 27,800 | |
| | 47 | | | Regeneron Pharmaceuticals, Inc.*,1 | | | 28,443 | |
| | 122 | | | Vertex Pharmaceuticals, Inc.*,1 | | | 22,130 | |
| | | | | | | | 124,396 | |
| | | | | COMMERCIAL SERVICES — 1.9% | | | | |
| | 154 | | | Rollins, Inc.1 | | | 5,441 | |
| | 108 | | | Verisk Analytics, Inc.1 | | | 21,629 | |
| | | | | | | | 27,070 | |
| | | | | COSMETICS/PERSONAL CARE — 4.4% | | | | |
| | 333 | | | Colgate-Palmolive Co.1 | | | 25,168 | |
| | 30 | | | Estee Lauder Cos., Inc. - Class A1 | | | 8,998 | |
| | 192 | | | Procter & Gamble Co.1 | | | 26,842 | |
| | | | | | | | 61,008 | |
| | | | | DISTRIBUTION/WHOLESALE — 0.8% | | | | |
| | 27 | | | Pool Corp.1 | | | 11,729 | |
| | | | | DIVERSIFIED FINANCIAL SERVICES — 7.0% | | | | |
| | 268 | | | Cboe Global Markets, Inc.1 | | | 33,195 | |
| | 146 | | | CME Group, Inc.1 | | | 28,233 | |
| | 246 | | | Intercontinental Exchange, Inc.1 | | | 28,246 | |
AXS Alternative Value Fund
SCHEDULE OF INVESTMENTS - Continued
As of September 30, 2021
| Number of Shares | | | | | Value | |
| | | | | COMMON STOCKS (Continued) | | | | |
| | | | | DIVERSIFIED FINANCIAL SERVICES (Continued) | | | | |
| | 46 | | | Nasdaq, Inc.1 | | $ | 8,879 | |
| | | | | | | | 98,553 | |
| | | | | ELECTRIC — 3.9% | | | | |
| | 430 | | | AES Corp.1 | | | 9,817 | |
| | 212 | | | DTE Energy Co.1 | | | 23,682 | |
| | 54 | | | Entergy Corp.1 | | | 5,363 | |
| | 94 | | | Evergy, Inc.1 | | | 5,847 | |
| | 366 | | | PPL Corp.1 | | | 10,204 | |
| | | | | | | | 54,913 | |
| | | | | ELECTRONICS — 0.7% | | | | |
| | 29 | | | Waters Corp.*,1 | | | 10,362 | |
| | | | | ENVIRONMENTAL CONTROL — 4.6% | | | | |
| | 267 | | | Republic Services, Inc.1 | | | 32,056 | |
| | 213 | | | Waste Management, Inc.1 | | | 31,814 | |
| | | | | | | | 63,870 | |
| | | | | FOOD — 17.8% | | | | |
| | 558 | | | Campbell Soup Co.1 | | | 23,330 | |
| | 449 | | | Conagra Brands, Inc.1 | | | 15,208 | |
| | 434 | | | General Mills, Inc.1 | | | 25,962 | |
| | 168 | | | Hershey Co.1 | | | 28,434 | |
| | 420 | | | Hormel Foods Corp.1 | | | 17,220 | |
| | 168 | | | J M Smucker Co.1 | | | 20,165 | |
| | 410 | | | Kellogg Co.1 | | | 26,207 | |
| | 604 | | | Kroger Co.1 | | | 24,420 | |
| | 384 | | | Lamb Weston Holdings, Inc.1 | | | 23,566 | |
| | 232 | | | McCormick & Co., Inc.1 | | | 18,799 | |
| | 324 | | | Tyson Foods, Inc. - Class A1 | | | 25,576 | |
| | | | | | | | 248,887 | |
| | | | | GAS — 0.8% | | | | |
| | 476 | | | NiSource, Inc.1 | | | 11,533 | |
| | | | | HEALTHCARE-PRODUCTS — 5.2% | | | | |
| | 58 | | | Danaher Corp.1 | | | 17,658 | |
| | 51 | | | ResMed, Inc.1 | | | 13,441 | |
| | 118 | | | STERIS PLC1,2 | | | 24,105 | |
| | 31 | | | Thermo Fisher Scientific, Inc.1 | | | 17,711 | |
| | | | | | | | 72,915 | |
| | | | | HEALTHCARE-SERVICES — 3.6% | | | | |
| | 249 | | | Centene Corp.*,1 | | | 15,515 | |
AXS Alternative Value Fund
SCHEDULE OF INVESTMENTS - Continued
As of September 30, 2021
| Number of Shares | | | | | Value | |
| | | | | COMMON STOCKS (Continued) | | | | |
| | | | | HEALTHCARE-SERVICES (Continued) | | | | |
| | 15 | | | Humana, Inc.1 | | $ | 5,837 | |
| | 75 | | | UnitedHealth Group, Inc.1 | | | 29,306 | |
| | | | | | | | 50,658 | |
| | | | | HOUSEHOLD PRODUCTS/WARES — 5.2% | | | | |
| | 299 | | | Church & Dwight Co., Inc.1 | | | 24,688 | |
| | 136 | | | Clorox Co.1 | | | 22,523 | |
| | 190 | | | Kimberly-Clark Corp.1 | | | 25,164 | |
| | | | | | | | 72,375 | |
| | | | | INSURANCE — 15.1% | | | | |
| | 296 | | | Aflac, Inc.1 | | | 15,430 | |
| | 163 | | | Allstate Corp.1 | | | 20,752 | |
| | 53 | | | Aon PLC - Class A1,2 | | | 15,146 | |
| | 216 | | | Arthur J. Gallagher & Co.1 | | | 32,108 | |
| | 52 | | | Berkshire Hathaway, Inc.*,1 | | | 14,193 | |
| | 61 | | | Chubb Ltd.1,2 | | | 10,582 | |
| | 146 | | | Cincinnati Financial Corp.1 | | | 16,676 | |
| | 42 | | | Everest Re Group Ltd.1,2 | | | 10,533 | |
| | 41 | | | Marsh & McLennan Cos., Inc.1 | | | 6,209 | |
| | 285 | | | Progressive Corp.1 | | | 25,761 | |
| | 102 | | | Travelers Cos., Inc.1 | | | 15,505 | |
| | 75 | | | W R Berkley Corp.1 | | | 5,489 | |
| | 98 | | | Willis Towers Watson PLC1,2 | | | 22,781 | |
| | | | | | | | 211,165 | |
| | | | | INTERNET — 1.5% | | | | |
| | 102 | | | VeriSign, Inc.*,1 | | | 20,911 | |
| | | | | OIL & GAS — 2.2% | | | | |
| | 1,437 | | | Cabot Oil & Gas Corp.1 | | | 31,269 | |
| | | | | PACKAGING & CONTAINERS — 0.7% | | | | |
| | 871 | | | Amcor PLC1,2 | | | 10,095 | |
| | | | | PHARMACEUTICALS — 13.9% | | | | |
| | 266 | | | AbbVie, Inc.1 | | | 28,693 | |
| | 94 | | | AmerisourceBergen Corp.1 | | | 11,228 | |
| | 339 | | | Bristol-Myers Squibb Co.1 | | | 20,059 | |
| | 61 | | | Cigna Corp.1 | | | 12,210 | |
| | 369 | | | CVS Health Corp.1 | | | 31,313 | |
| | 147 | | | Eli Lilly & Co.1 | | | 33,964 | |
| | 166 | | | Johnson & Johnson1 | | | 26,809 | |
| | 70 | | | McKesson Corp.1 | | | 13,957 | |
| | 159 | | | Organon & Co.1 | | | 5,214 | |
AXS Alternative Value Fund
SCHEDULE OF INVESTMENTS - Continued
As of September 30, 2021
| Number of Shares | | | | | Value | |
| | | | | COMMON STOCKS (Continued) | | | | |
| | | | | PHARMACEUTICALS (Continued) | | | | |
| | 119 | | | Pfizer, Inc.1 | | $ | 5,118 | |
| | 29 | | | Zoetis, Inc.1 | | | 5,630 | |
| | | | | | | | 194,195 | |
| | | | | REITS — 2.3% | | | | |
| | 107 | | | Public Storage - REIT1 | | | 31,790 | |
| | | | | RETAIL — 13.3% | | | | |
| | 69 | | | Costco Wholesale Corp.1 | | | 31,005 | |
| | 128 | | | Dollar General Corp.1 | | | 27,154 | |
| | 111 | | | Dollar Tree, Inc.*,1 | | | 10,625 | |
| | 49 | | | Domino's Pizza, Inc.1 | | | 23,371 | |
| | 98 | | | McDonald's Corp.1 | | | 23,629 | |
| | 50 | | | Ross Stores, Inc.1 | | | 5,443 | |
| | 46 | | | Target Corp.1 | | | 10,523 | |
| | 85 | | | TJX Cos., Inc.1 | | | 5,608 | |
| | 587 | | | Walgreens Boots Alliance, Inc.1 | | | 27,618 | |
| | 149 | | | Walmart, Inc.1 | | | 20,768 | |
| | | | | | | | 185,744 | |
| | | | | SEMICONDUCTORS — 1.9% | | | | |
| | 500 | | | Intel Corp.1 | | | 26,640 | |
| | | | | SOFTWARE — 13.7% | | | | |
| | 298 | | | Activision Blizzard, Inc.1 | | | 23,062 | |
| | 246 | | | Akamai Technologies, Inc.*,1 | | | 25,729 | |
| | 357 | | | Cerner Corp.1 | | | 25,176 | |
| | 214 | | | Citrix Systems, Inc.1 | | | 22,977 | |
| | 163 | | | Jack Henry & Associates, Inc.1 | | | 26,742 | |
| | 39 | | | Microsoft Corp.1 | | | 10,995 | |
| | 396 | | | Oracle Corp.1 | | | 34,503 | |
| | 151 | | | Take-Two Interactive Software, Inc.*,1 | | | 23,265 | |
| | | | | | | | 192,449 | |
| | | | | TELECOMMUNICATIONS — 6.8% | | | | |
| | 919 | | | AT&T, Inc.1 | | | 24,822 | |
| | 403 | | | Juniper Networks, Inc.1 | | | 11,090 | |
| | 144 | | | Motorola Solutions, Inc.1 | | | 33,454 | |
| | 468 | | | Verizon Communications, Inc.1 | | | 25,277 | |
| | | | | | | | 94,643 | |
| | | | | TRANSPORTATION — 3.6% | | | | |
| | 221 | | | C.H. Robinson Worldwide, Inc.1 | | | 19,227 | |
AXS Alternative Value Fund
SCHEDULE OF INVESTMENTS - Continued
As of September 30, 2021
| Number of Shares | | | | | Value | |
| | | | | COMMON STOCKS (Continued) | | | | |
| | | | | TRANSPORTATION (Continued) | | | | |
| | 258 | | | Expeditors International of Washington, Inc.1 | | $ | 30,735 | |
| | | | | | | | 49,962 | |
| | | | | TOTAL COMMON STOCKS | | | | |
| | | | | (Cost $1,925,346) | | | 2,092,685 | |
| Principal Amount | | | | | | |
| | | | | SHORT-TERM INVESTMENTS — 1.9% | | | | |
| $ | 27,244 | | | UMB Bank demand deposit, 0.01%3 | | | 27,244 | |
| | | | | TOTAL SHORT-TERM INVESTMENTS | | | | |
| | | | | (Cost $27,244) | | | 27,244 | |
| | | | | | | | | |
| | | | | TOTAL INVESTMENTS — 151.4% | | | | |
| | | | | (Cost $1,952,590) | | | 2,119,929 | |
| | | | | | | | | |
| | | | | Liabilities in Excess of Other Assets — (51.4)% | | | (719,879 | ) |
| | | | | TOTAL NET ASSETS — 100.0% | | $ | 1,400,050 | |
PLC – Public Limited Company
REIT – Real Estate Investment Trusts
| * | Non-income producing security. |
| 1 | All or a portion of the security is segregated as collateral for line of credit borrowings. As of September 30, 2021, the aggregate value of those securities was $2,092,685, representing 149.5% of net assets. |
| 2 | Foreign security denominated in U.S. Dollars. |
| 3 | The rate is the annualized seven-day yield at period end. |
See accompanying Notes to Financial Statements.
AXS Alternative Value Fund
SUMMARY OF INVESTMENTS
As of September 30, 2021
| Security Type/Industry | Percent of Total
Net Assets |
| Common Stocks | |
| Food | 17.8% |
| Insurance | 15.1% |
| Pharmaceuticals | 13.9% |
| Software | 13.7% |
| Retail | 13.3% |
| Biotechnology | 8.9% |
| Diversified Financial Services | 7.0% |
| Telecommunications | 6.8% |
| Household Products/Wares | 5.2% |
| Healthcare-Products | 5.2% |
| Environmental Control | 4.6% |
| Cosmetics/Personal Care | 4.4% |
| Electric | 3.9% |
| Healthcare-Services | 3.6% |
| Transportation | 3.6% |
| Beverages | 3.1% |
| Agriculture | 2.9% |
| Aerospace/Defense | 2.6% |
| REITS | 2.3% |
| Oil & Gas | 2.2% |
| Semiconductors | 1.9% |
| Commercial Services | 1.9% |
| Internet | 1.5% |
| Advertising | 1.1% |
| Distribution/Wholesale | 0.8% |
| Gas | 0.8% |
| Electronics | 0.7% |
| Packaging & Containers | 0.7% |
| Total Common Stocks | 149.5% |
| Short-Term Investments | 1.9% |
| Total Investments | 151.4% |
| Liabilities in Excess of Other Assets | (51.4)% |
| Total Net Assets | 100.0% |
See accompanying Notes to Financial Statements.
AXS Market Neutral Fund
SCHEDULE OF INVESTMENTS
As of September 30, 2021
| Number of Shares | | | | | Value | |
| | | | | COMMON STOCKS — 138.6% | | | | |
| | | | | AGRICULTURE — 1.7% | | | | |
| | 3,653 | | | Altria Group, Inc.1 | | $ | 166,285 | |
| | | | | BEVERAGES — 5.5% | | | | |
| | 2,610 | | | Brown-Forman Corp. - Class B1 | | | 174,896 | |
| | 3,248 | | | Coca-Cola Co.1 | | | 170,423 | |
| | 1,172 | | | PepsiCo, Inc.1 | | | 176,280 | |
| | | | | | | | 521,599 | |
| | | | | BIOTECHNOLOGY — 8.8% | | | | |
| | 817 | | | Amgen, Inc.1 | | | 173,735 | |
| | 537 | | | Biogen, Inc.*,1 | | | 151,966 | |
| | 2,533 | | | Gilead Sciences, Inc.1 | | | 176,930 | |
| | 272 | | | Regeneron Pharmaceuticals, Inc.*,1 | | | 164,609 | |
| | 920 | | | Vertex Pharmaceuticals, Inc.*,1 | | | 166,879 | |
| | | | | | | | 834,119 | |
| | | | | COMMERCIAL SERVICES — 1.9% | | | | |
| | 905 | | | Verisk Analytics, Inc.1 | | | 181,244 | |
| | | | | COSMETICS/PERSONAL CARE — 3.7% | | | | |
| | 2,349 | | | Colgate-Palmolive Co.1 | | | 177,537 | |
| | 1,280 | | | Procter & Gamble Co.1 | | | 178,944 | |
| | | | | | | | 356,481 | |
| | | | | DIVERSIFIED FINANCIAL SERVICES — 5.6% | | | | |
| | 1,482 | | | Cboe Global Markets, Inc.1 | | | 183,561 | |
| | 909 | | | CME Group, Inc.1 | | | 175,782 | |
| | 1,527 | | | Intercontinental Exchange, Inc.1 | | | 175,330 | |
| | | | | | | | 534,673 | |
| | | | | ELECTRIC — 5.4% | | | | |
| | 7,561 | | | AES Corp.1 | | | 172,618 | |
| | 1,515 | | | DTE Energy Co.1 | | | 169,241 | |
| | 6,223 | | | PPL Corp.1 | | | 173,497 | |
| | | | | | | | 515,356 | |
| | | | | ELECTRONICS — 1.7% | | | | |
| | 443 | | | Waters Corp.*,1 | | | 158,284 | |
| | | | | ENVIRONMENTAL CONTROL — 3.7% | | | | |
| | 1,468 | | | Republic Services, Inc.1 | | | 176,248 | |
| | 1,176 | | | Waste Management, Inc.1 | | | 175,647 | |
| | | | | | | | 351,895 | |
AXS Market Neutral Fund
SCHEDULE OF INVESTMENTS - Continued
As of September 30, 2021
| Number of Shares | | | | | Value | |
| | | | | COMMON STOCKS (Continued) | | | | |
| | | | | FOOD — 18.8% | | | | |
| | 4,435 | | | Campbell Soup Co.1 | | $ | 185,427 | |
| | 5,566 | | | Conagra Brands, Inc.1 | | | 188,521 | |
| | 3,176 | | | General Mills, Inc.1 | | | 189,988 | |
| | 1,029 | | | Hershey Co.1 | | | 174,158 | |
| | 4,034 | | | Hormel Foods Corp.1 | | | 165,394 | |
| | 1,481 | | | J M Smucker Co.1 | | | 177,765 | |
| | 2,912 | | | Kellogg Co.1 | | | 186,135 | |
| | 2,805 | | | Lamb Weston Holdings, Inc.1 | | | 172,143 | |
| | 2,121 | | | McCormick & Co., Inc.1 | | | 171,865 | |
| | 2,330 | | | Tyson Foods, Inc. - Class A1 | | | 183,930 | |
| | | | | | | | 1,795,326 | |
| | | | | HEALTHCARE-PRODUCTS — 3.8% | | | | |
| | 566 | | | Danaher Corp.1 | | | 172,313 | |
| | 331 | | | Thermo Fisher Scientific, Inc.1 | | | 189,110 | |
| | | | | | | | 361,423 | |
| | | | | HEALTHCARE-SERVICES — 3.7% | | | | |
| | 2,875 | | | Centene Corp.*,1 | | | 179,141 | |
| | 436 | | | UnitedHealth Group, Inc.1 | | | 170,363 | |
| | | | | | | | 349,504 | |
| | | | | HOUSEHOLD PRODUCTS/WARES — 5.7% | | | | |
| | 2,190 | | | Church & Dwight Co., Inc.1 | | | 180,828 | |
| | 1,094 | | | Clorox Co.1 | | | 181,177 | |
| | 1,338 | | | Kimberly-Clark Corp.1 | | | 177,205 | |
| | | | | | | | 539,210 | |
| | | | | INSURANCE — 14.8% | | | | |
| | 1,266 | | | Arthur J. Gallagher & Co.1 | | | 188,191 | |
| | 990 | | | Chubb Ltd.1 | | | 171,745 | |
| | 1,475 | | | Cincinnati Financial Corp.1 | | | 168,474 | |
| | 687 | | | Everest Re Group Ltd.1 | | | 172,286 | |
| | 1,884 | | | Progressive Corp.1 | | | 170,295 | |
| | 1,141 | | | Travelers Cos., Inc.1 | | | 173,443 | |
| | 2,410 | | | W R Berkley Corp.1 | | | 176,364 | |
| | 828 | | | Willis Towers Watson PLC1 | | | 192,477 | |
| | | | | | | | 1,413,275 | |
| | | | | INTERNET — 1.8% | | | | |
| | 847 | | | VeriSign, Inc.*,1 | | | 173,643 | |
| | | | | OIL & GAS — 2.7% | | | | |
| | 11,646 | | | Cabot Oil & Gas Corp.1 | | | 253,417 | |
AXS Market Neutral Fund
SCHEDULE OF INVESTMENTS - Continued
As of September 30, 2021
| Number of Shares | | | | | Value | |
| | | | | COMMON STOCKS (Continued) | | | | |
| | | | | PHARMACEUTICALS — 12.6% | | | | |
| | 1,515 | | | AbbVie, Inc.1 | | $ | 163,423 | |
| | 1,499 | | | AmerisourceBergen Corp.1 | | | 179,055 | |
| | 2,115 | | | CVS Health Corp.1 | | | 179,479 | |
| | 705 | | | Eli Lilly & Co.1 | | | 162,890 | |
| | 1,056 | | | Johnson & Johnson1 | | | 170,544 | |
| | 5,416 | | | Organon & Co.1 | | | 177,591 | |
| | 3,957 | | | Pfizer, Inc.1 | | | 170,191 | |
| | | | | | | | 1,203,173 | |
| | | | | REITS — 1.8% | | | | |
| | 564 | | | Public Storage - REIT1 | | | 167,564 | |
| | | | | RETAIL — 9.2% | | | | |
| | 403 | | | Costco Wholesale Corp.1 | | | 181,088 | |
| | 820 | | | Dollar General Corp.1 | | | 173,955 | |
| | 352 | | | Domino's Pizza, Inc.1 | | | 167,890 | |
| | 773 | | | McDonald's Corp.1 | | | 186,378 | |
| | 3,646 | | | Walgreens Boots Alliance, Inc.1 | | | 171,544 | |
| | | | | | | | 880,855 | |
| | | | | SEMICONDUCTORS — 1.9% | | | | |
| | 3,377 | | | Intel Corp.1 | | | 179,927 | |
| | | | | SOFTWARE — 14.6% | | | | |
| | 2,211 | | | Activision Blizzard, Inc.1 | | | 171,109 | |
| | 1,617 | | | Akamai Technologies, Inc.*,1 | | | 169,122 | |
| | 2,398 | | | Cerner Corp.1 | | | 169,107 | |
| | 1,766 | | | Citrix Systems, Inc.1 | | | 189,615 | |
| | 1,030 | | | Jack Henry & Associates, Inc.1 | | | 168,982 | |
| | 602 | | | Microsoft Corp.1 | | | 169,716 | |
| | 2,051 | | | Oracle Corp.1 | | | 178,704 | |
| | 1,133 | | | Take-Two Interactive Software, Inc.*,1 | | | 174,561 | |
| | | | | | | | 1,390,916 | |
| | | | | TELECOMMUNICATIONS — 7.4% | | | | |
| | 6,689 | | | AT&T, Inc.1 | | | 180,670 | |
| | 6,292 | | | Juniper Networks, Inc.1 | | | 173,156 | |
| | 749 | | | Motorola Solutions, Inc.1 | | | 174,008 | |
| | 3,325 | | | Verizon Communications, Inc.1 | | | 179,583 | |
| | | | | | | | 707,417 | |
AXS Market Neutral Fund
SCHEDULE OF INVESTMENTS - Continued
As of September 30, 2021
| Number of Shares | | | | | Value | |
| | | | | COMMON STOCKS (Continued) | | | | |
| | | | | TRANSPORTATION — 1.8% | | | | |
| | 1,469 | | | Expeditors International of Washington, Inc.1 | | $ | 175,002 | |
| | | | | TOTAL COMMON STOCKS | | | | |
| | | | | (Cost $11,714,891) | | | 13,210,588 | |
| Principal Amount | | | | | | |
| | | | | SHORT-TERM INVESTMENTS — 0.6% | | | | |
| $ | 59,402 | | | UMB Bank demand deposit, 0.01%2 | | | 59,402 | |
| | | | | TOTAL SHORT-TERM INVESTMENTS | | | | |
| | | | | (Cost $59,402) | | | 59,402 | |
| | | | | | | | | |
| | | | | TOTAL INVESTMENTS — 139.2% | | | | |
| | | | | (Cost $11,774,293) | | | 13,269,990 | |
| | | | | | | | | |
| | | | | Liabilities in Excess of Other Assets — (39.2)% | | | (3,734,728 | ) |
| | | | | TOTAL NET ASSETS — 100.0% | | $ | 9,535,262 | |
| Number of Shares | | | | | | |
| | | | | SECURITIES SOLD SHORT — (91.5)% | | | | |
| | | | | COMMON STOCKS — (91.5)% | | | | |
| | | | | AEROSPACE/DEFENSE — (0.7)% | | | | |
| | (717 | ) | | Raytheon Technologies Corp. | | | (61,633 | ) |
| | | | | AGRICULTURE — (0.6)% | | | | |
| | (1,020 | ) | | Archer-Daniels-Midland Co. | | | (61,210 | ) |
| | | | | AIRLINES — (2.0)% | | | | |
| | (1,512 | ) | | Delta Air Lines, Inc.* | | | (64,426 | ) |
| | (1,229 | ) | | Southwest Airlines Co.* | | | (63,208 | ) |
| | (1,312 | ) | | United Airlines Holdings, Inc.* | | | (62,412 | ) |
| | | | | | | | (190,046 | ) |
| | | | | APPAREL — (1.7)% | | | | |
| | (527 | ) | | Ralph Lauren Corp. | | | (58,518 | ) |
| | (2,603 | ) | | Under Armour, Inc. - Class A* | | | (52,529 | ) |
| | (798 | ) | | VF Corp. | | | (53,458 | ) |
| | | | | | | | (164,505 | ) |
| | | | | BANKS — (1.8)% | | | | |
| | (307 | ) | | First Republic Bank | | | (59,214 | ) |
| | (3,930 | ) | | Huntington Bancshares, Inc. | | | (60,758 | ) |
| | (1 | ) | | Morgan Stanley | | | (67 | ) |
AXS Market Neutral Fund
SCHEDULE OF INVESTMENTS - Continued
As of September 30, 2021
| Number of Shares | | | | | Value | |
| | | | | SECURITIES SOLD SHORT (Continued) | | | | |
| | | | | COMMON STOCKS (Continued) | | | | |
| | | | | BANKS (Continued) | | | | |
| | (516 | ) | | Northern Trust Corp. | | $ | (55,630 | ) |
| | | | | | | | (175,669 | ) |
| | | | | BIOTECHNOLOGY — (2.4)% | | | | |
| | (76 | ) | | Bio-Rad Laboratories, Inc. - Class A* | | | (56,692 | ) |
| | (1,393 | ) | | Corteva, Inc. | | | (58,618 | ) |
| | (136 | ) | | Illumina, Inc.* | | | (55,163 | ) |
| | (804 | ) | | Incyte Corp.* | | | (55,299 | ) |
| | | | | | | | (225,772 | ) |
| | | | | BUILDING MATERIALS — (1.7)% | | | | |
| | (812 | ) | | Johnson Controls International PLC | | | (55,281 | ) |
| | (160 | ) | | Martin Marietta Materials, Inc. | | | (54,669 | ) |
| | (328 | ) | | Vulcan Materials Co. | | | (55,484 | ) |
| | | | | | | | (165,434 | ) |
| | | | | CHEMICALS — (6.1)% | | | | |
| | (225 | ) | | Air Products and Chemicals, Inc. | | | (57,625 | ) |
| | (260 | ) | | Albemarle Corp. | | | (56,932 | ) |
| | (384 | ) | | Celanese Corp. | | | (57,846 | ) |
| | (1,339 | ) | | CF Industries Holdings, Inc. | | | (74,743 | ) |
| | (826 | ) | | DuPont de Nemours, Inc. | | | (56,160 | ) |
| | (539 | ) | | Eastman Chemical Co. | | | (54,299 | ) |
| | (271 | ) | | Ecolab, Inc. | | | (56,536 | ) |
| | (655 | ) | | FMC Corp. | | | (59,972 | ) |
| | (403 | ) | | International Flavors & Fragrances, Inc. | | | (53,889 | ) |
| | (194 | ) | | Linde PLC | | | (56,915 | ) |
| | | | | | | | (584,917 | ) |
| | | | | COMMERCIAL SERVICES — (3.1)% | | | | |
| | (293 | ) | | Automatic Data Processing, Inc. | | | (58,577 | ) |
| | (374 | ) | | Global Payments, Inc. | | | (58,935 | ) |
| | (503 | ) | | IHS Markit Ltd. | | | (58,660 | ) |
| | (213 | ) | | PayPal Holdings, Inc.* | | | (55,425 | ) |
| | (592 | ) | | Quanta Services, Inc. | | | (67,381 | ) |
| | | | | | | | (298,978 | ) |
| | | | | COMPUTERS — (0.6)% | | | | |
| | (966 | ) | | Western Digital Corp.* | | | (54,521 | ) |
| | | | | DIVERSIFIED FINANCIAL SERVICES — (1.3)% | | | | |
| | (368 | ) | | American Express Co. | | | (61,651 | ) |
AXS Market Neutral Fund
SCHEDULE OF INVESTMENTS - Continued
As of September 30, 2021
| Number of Shares | | | | | Value | |
| | | | | SECURITIES SOLD SHORT (Continued) | | | | |
| | | | | COMMON STOCKS (Continued) | | | | |
| | | | | DIVERSIFIED FINANCIAL SERVICES (Continued) | | | | |
| | (835 | ) | | Charles Schwab Corp. | | $ | (60,821 | ) |
| | | | | | | | (122,472 | ) |
| | | | | ELECTRIC — (12.5)% | | | | |
| | (998 | ) | | Alliant Energy Corp. | | | (55,868 | ) |
| | (690 | ) | | Ameren Corp. | | | (55,890 | ) |
| | (680 | ) | | American Electric Power Co., Inc. | | | (55,202 | ) |
| | (2,410 | ) | | CenterPoint Energy, Inc. | | | (59,286 | ) |
| | (945 | ) | | CMS Energy Corp. | | | (56,445 | ) |
| | (803 | ) | | Consolidated Edison, Inc. | | | (58,290 | ) |
| | (780 | ) | | Dominion Energy, Inc. | | | (56,956 | ) |
| | (579 | ) | | Duke Energy Corp. | | | (56,505 | ) |
| | (1,056 | ) | | Edison International | | | (58,576 | ) |
| | (557 | ) | | Entergy Corp. | | | (55,316 | ) |
| | (894 | ) | | Evergy, Inc. | | | (55,607 | ) |
| | (669 | ) | | Eversource Energy | | | (54,697 | ) |
| | (1,243 | ) | | Exelon Corp. | | | (60,087 | ) |
| | (1,570 | ) | | FirstEnergy Corp. | | | (55,923 | ) |
| | (724 | ) | | NextEra Energy, Inc. | | | (56,848 | ) |
| | (792 | ) | | Pinnacle West Capital Corp. | | | (57,309 | ) |
| | (950 | ) | | Public Service Enterprise Group, Inc. | | | (57,855 | ) |
| | (460 | ) | | Sempra Energy | | | (58,190 | ) |
| | (928 | ) | | Southern Co. | | | (57,508 | ) |
| | (642 | ) | | WEC Energy Group, Inc. | | | (56,624 | ) |
| | (883 | ) | | Xcel Energy, Inc. | | | (55,188 | ) |
| | | | | | | | (1,194,170 | ) |
| | | | | ELECTRONICS — (0.6)% | | | | |
| | (348 | ) | | Agilent Technologies, Inc. | | | (54,820 | ) |
| | | | | ENERGY-ALTERNATE SOURCES — (0.6)% | | | | |
| | (353 | ) | | Enphase Energy, Inc.* | | | (52,939 | ) |
| | | | | ENGINEERING & CONSTRUCTION — (0.6)% | | | | |
| | (450 | ) | | Jacobs Engineering Group, Inc. | | | (59,639 | ) |
| | | | | ENTERTAINMENT — (0.7)% | | | | |
| | (710 | ) | | Live Nation Entertainment, Inc.* | �� | | (64,702 | ) |
| | | | | FOOD — (1.2)% | | | | |
| | (1,326 | ) | | Kroger Co. | | | (53,610 | ) |
| | (982 | ) | | Mondelez International, Inc. - Class A | | | (57,133 | ) |
| | | | | | | | (110,743 | ) |
AXS Market Neutral Fund
SCHEDULE OF INVESTMENTS - Continued
As of September 30, 2021
| Number of Shares | | | | | Value | |
| | | | | SECURITIES SOLD SHORT (Continued) | | | | |
| | | | | COMMON STOCKS (Continued) | | | | |
| | | | | GAS — (1.2)% | | | | |
| | (627 | ) | | Atmos Energy Corp. | | $ | (55,301 | ) |
| | (2,463 | ) | | NiSource, Inc. | | | (59,679 | ) |
| | | | | | | | (114,980 | ) |
| | | | | HEALTHCARE-PRODUCTS — (8.6)% | | | | |
| | (483 | ) | | Abbott Laboratories | | | (57,057 | ) |
| | (804 | ) | | Baxter International, Inc. | | | (64,666 | ) |
| | (122 | ) | | Bio-Techne Corp. | | | (59,117 | ) |
| | (1,353 | ) | | Boston Scientific Corp.* | | | (58,707 | ) |
| | (137 | ) | | Cooper Cos., Inc. | | | (56,623 | ) |
| | (993 | ) | | DENTSPLY SIRONA, Inc. | | | (57,644 | ) |
| | (807 | ) | | Henry Schein, Inc.* | | | (61,461 | ) |
| | (58 | ) | | Intuitive Surgical, Inc.* | | | (57,661 | ) |
| | (456 | ) | | Medtronic PLC | | | (57,160 | ) |
| | (285 | ) | | STERIS PLC | | | (58,220 | ) |
| | (222 | ) | | Stryker Corp. | | | (58,546 | ) |
| | (155 | ) | | Teleflex, Inc. | | | (58,365 | ) |
| | (135 | ) | | West Pharmaceutical Services, Inc. | | | (57,313 | ) |
| | (407 | ) | | Zimmer Biomet Holdings, Inc. | | | (59,568 | ) |
| | | | | | | | (822,108 | ) |
| | | | | HEALTHCARE-SERVICES — (1.8)% | | | | |
| | (469 | ) | | Catalent, Inc.* | | | (62,410 | ) |
| | (138 | ) | | Charles River Laboratories International, Inc.* | | | (56,948 | ) |
| | (235 | ) | | IQVIA Holdings, Inc.* | | | (56,292 | ) |
| | | | | | | | (175,650 | ) |
| | | | | INSURANCE — (0.6)% | | | | |
| | (359 | ) | | Assurant, Inc. | | | (56,632 | ) |
| | | | | INTERNET — (2.5)% | | | | |
| | (18 | ) | | Amazon.com, Inc.* | | | (59,131 | ) |
| | (108 | ) | | Netflix, Inc.* | | | (65,917 | ) |
| | (2,287 | ) | | NortonLifeLock, Inc. | | | (57,861 | ) |
| | (946 | ) | | Twitter, Inc.* | | | (57,129 | ) |
| | | | | | | | (240,038 | ) |
| | | | | LODGING — (1.2)% | | | | |
| | (486 | ) | | Hilton Worldwide Holdings, Inc.* | | | (64,206 | ) |
| | (1,385 | ) | | Las Vegas Sands Corp.* | | | (50,691 | ) |
| | | | | | | | (114,897 | ) |
AXS Market Neutral Fund
SCHEDULE OF INVESTMENTS - Continued
As of September 30, 2021
| Number of Shares | | | | | Value | |
| | | | | SECURITIES SOLD SHORT (Continued) | | | | |
| | | | | COMMON STOCKS (Continued) | | | | |
| | | | | MACHINERY-CONSTRUCTION & MINING — (0.6)% | | | | |
| | (288 | ) | | Caterpillar, Inc. | | $ | (55,287 | ) |
| | | | | MACHINERY-DIVERSIFIED — (1.2)% | | | | |
| | (162 | ) | | Deere & Co. | | | (54,282 | ) |
| | (1,152 | ) | | Ingersoll Rand, Inc.* | | | (58,072 | ) |
| | | | | | | | (112,354 | ) |
| | | | | MEDIA — (2.4)% | | | | |
| | (75 | ) | | Charter Communications, Inc. - Class A* | | | (54,567 | ) |
| | (1,014 | ) | | Comcast Corp. - Class A | | | (56,713 | ) |
| | (2,720 | ) | | News Corp. | | | (64,002 | ) |
| | (336 | ) | | Walt Disney Co.* | | | (56,841 | ) |
| | | | | | | | (232,123 | ) |
| | | | | MINING — (0.6)% | | | | |
| | (1,057 | ) | | Newmont Corp. | | | (57,395 | ) |
| | | | | MISCELLANEOUS MANUFACTURING — (0.6)% | | | | |
| | (577 | ) | | General Electric Co. | | | (59,474 | ) |
| | | | | OIL & GAS — (1.4)% | | | | |
| | (626 | ) | | Chevron Corp. | | | (63,508 | ) |
| | (1,111 | ) | | Exxon Mobil Corp. | | | (65,349 | ) |
| | | | | | | | (128,857 | ) |
| | | | | PACKAGING & CONTAINERS — (1.2)% | | | | |
| | (4,751 | ) | | Amcor PLC | | | (55,064 | ) |
| | (638 | ) | | Ball Corp. | | | (57,401 | ) |
| | | | | | | | (112,465 | ) |
| | | | | PHARMACEUTICALS — (4.4)% | | | | |
| | (243 | ) | | Becton, Dickinson and Co. | | | (59,734 | ) |
| | (912 | ) | | Bristol-Myers Squibb Co. | | | (53,963 | ) |
| | (287 | ) | | Cigna Corp. | | | (57,446 | ) |
| | (117 | ) | | Dexcom, Inc.* | | | (63,983 | ) |
| | (799 | ) | | Merck & Co., Inc. | | | (60,013 | ) |
| | (1,499 | ) | | Perrigo Co. PLC | | | (70,948 | ) |
| | (4,212 | ) | | Viatris, Inc. | | | (57,072 | ) |
| | | | | | | | (423,159 | ) |
| | | | | PIPELINES — (0.7)% | | | | |
| | (2,475 | ) | | Williams Cos., Inc. | | | (64,202 | ) |
AXS Market Neutral Fund
SCHEDULE OF INVESTMENTS - Continued
As of September 30, 2021
| Number of Shares | | | | | Value | |
| | | | | SECURITIES SOLD SHORT (Continued) | | | | |
| | | | | COMMON STOCKS (Continued) | | | | |
| | | | | REAL ESTATE — (0.6)% | | | | |
| | (627 | ) | | CBRE Group, Inc. - Class A* | | $ | (61,045 | ) |
| | | | | REITS — (15.7)% | | | | |
| | (295 | ) | | Alexandria Real Estate Equities, Inc. - REIT | | | (56,366 | ) |
| | (210 | ) | | American Tower Corp. - REIT | | | (55,736 | ) |
| | (267 | ) | | AvalonBay Communities, Inc. - REIT | | | (59,178 | ) |
| | (537 | ) | | Boston Properties, Inc. - REIT | | | (58,184 | ) |
| | (316 | ) | | Crown Castle International Corp. - REIT | | | (54,769 | ) |
| | (374 | ) | | Digital Realty Trust, Inc. - REIT | | | (54,024 | ) |
| | (1,166 | ) | | Duke Realty Corp. - REIT | | | (55,816 | ) |
| | (72 | ) | | Equinix, Inc. - REIT | | | (56,889 | ) |
| | (725 | ) | | Equity Residential - REIT | | | (58,667 | ) |
| | (185 | ) | | Essex Property Trust, Inc. - REIT | | | (59,152 | ) |
| | (327 | ) | | Extra Space Storage, Inc. - REIT | | | (54,933 | ) |
| | (501 | ) | | Federal Realty Investment Trust - REIT | | | (59,113 | ) |
| | (1,698 | ) | | Healthpeak Properties, Inc. - REIT | | | (56,849 | ) |
| | (3,712 | ) | | Host Hotels & Resorts, Inc. - REIT* | | | (60,617 | ) |
| | (1,281 | ) | | Iron Mountain, Inc. - REIT | | | (55,659 | ) |
| | (2,787 | ) | | Kimco Realty Corp. - REIT | | | (57,830 | ) |
| | (317 | ) | | Mid-America Apartment Communities, Inc. - REIT | | | (59,200 | ) |
| | (455 | ) | | Prologis, Inc. - REIT | | | (57,071 | ) |
| | (844 | ) | | Realty Income Corp. - REIT | | | (54,742 | ) |
| | (885 | ) | | Regency Centers Corp. - REIT | | | (59,587 | ) |
| | (171 | ) | | SBA Communications Corp. - REIT | | | (56,528 | ) |
| | (455 | ) | | Simon Property Group, Inc. - REIT | | | (59,136 | ) |
| | (1,143 | ) | | UDR, Inc. - REIT | | | (60,556 | ) |
| | (1,091 | ) | | Ventas, Inc. - REIT | | | (60,234 | ) |
| | (1,450 | ) | | Vornado Realty Trust - REIT | | | (60,915 | ) |
| | (706 | ) | | Welltower, Inc. - REIT | | | (58,174 | ) |
| | | | | | | | (1,499,925 | ) |
| | | | | RETAIL — (1.2)% | | | | |
| | (32 | ) | | Chipotle Mexican Grill, Inc.* | | | (58,161 | ) |
| | (412 | ) | | Walmart, Inc. | | | (57,424 | ) |
| | | | | | | | (115,585 | ) |
| | | | | SAVINGS & LOANS — (0.7)% | | | | |
| | (3,719 | ) | | People's United Financial, Inc. | | | (64,971 | ) |
| | | | | SOFTWARE — (2.5)% | | | | |
| | (476 | ) | | Fidelity National Information Services, Inc. | | | (57,920 | ) |
| | (125 | ) | | Paycom Software, Inc.* | | | (61,969 | ) |
| | (464 | ) | | PTC, Inc.* | | | (55,582 | ) |
AXS Market Neutral Fund
SCHEDULE OF INVESTMENTS - Continued
As of September 30, 2021
| Number of Shares | | | | | Value | |
| | | | | SECURITIES SOLD SHORT (Continued) | | | | |
| | | | | COMMON STOCKS (Continued) | | | | |
| | | | | SOFTWARE (Continued) | | | | |
| | (229 | ) | | salesforce.com, Inc.* | | $ | (62,109 | ) |
| | | | | | | | (237,580 | ) |
| | | | | TELECOMMUNICATIONS — (1.2)% | | | | |
| | (1,518 | ) | | Corning, Inc. | | | (55,392 | ) |
| | (444 | ) | | T-Mobile US, Inc.* | | | (56,725 | ) |
| | | | | | | | (112,117 | ) |
| | | | | TRANSPORTATION — (1.8)% | | | | |
| | (1,851 | ) | | CSX Corp. | | | (55,049 | ) |
| | (208 | ) | | Kansas City Southern | | | (56,293 | ) |
| | (238 | ) | | Norfolk Southern Corp. | | | (56,941 | ) |
| | | | | | | | (168,283 | ) |
| | | | | WATER — (0.6)% | | | | |
| | (333 | ) | | American Water Works Co., Inc. | | | (56,290 | ) |
| | | | | TOTAL COMMON STOCKS | | | | |
| | | | | (Proceeds $8,039,284) | | | (8,727,587 | ) |
| | | | | | | | | |
| | | | | TOTAL SECURITIES SOLD SHORT | | | | |
| | | | | (Proceeds $8,039,284) | | $ | (8,727,587 | ) |
PLC – Public Limited Company
REIT – Real Estate Investment Trusts
| * | Non-income producing security. |
| 1 | All or a portion of the security is segregated as collateral for securities sold short. As of September 30, 2021, the aggregate value of those securities was $13,210,588, representing 138.6% of net assets. |
| 2 | The rate is the annualized seven-day yield at period end. |
See accompanying Notes to Financial Statements.
AXS Market Neutral Fund
SUMMARY OF INVESTMENTS
As of September 30, 2021
| Security Type/Industry | Percent of Total
Net Assets |
| Common Stocks | |
| Food | 18.8% |
| Insurance | 14.8% |
| Software | 14.6% |
| Pharmaceuticals | 12.6% |
| Retail | 9.2% |
| Biotechnology | 8.8% |
| Telecommunications | 7.4% |
| Household Products/Wares | 5.7% |
| Diversified Financial Services | 5.6% |
| Beverages | 5.5% |
| Electric | 5.4% |
| Healthcare-Products | 3.8% |
| Cosmetics/Personal Care | 3.7% |
| Environmental Control | 3.7% |
| Healthcare-Services | 3.7% |
| Oil & Gas | 2.7% |
| Semiconductors | 1.9% |
| Commercial Services | 1.9% |
| Internet | 1.8% |
| Transportation | 1.8% |
| REITS | 1.8% |
| Agriculture | 1.7% |
| Electronics | 1.7% |
| Total Common Stocks | 138.6% |
| Short-Term Investments | 0.6% |
| Total Investments | 139.2% |
| Liabilities in Excess of Other Assets | (39.2)% |
| Total Net Assets | 100.0% |
See accompanying Notes to Financial Statements.
AXS Funds
STATEMENTS OF ASSETS AND LIABILITIES
As of September 30, 2021
| | | All Terrain Opportunity Fund1 | | | Merger Fund2 | |
| Assets: | | | | | | | | |
| Investments, at cost | | $ | 24,861,718 | | | $ | 79,682,160 | |
| Purchased options contracts, at cost | | | 42,404 | | | | 36,801 | |
| Investments, at value | | $ | 24,633,714 | | | $ | 84,619,190 | |
| Purchased options contracts, at value | | | 23,400 | | | | 29,890 | |
| Cash | | | - | | | | 36,640 | |
| Cash deposited with brokers for option contracts | | | - | | | | - | |
| Cash deposited with brokers for securities sold short | | | - | | | | 37,118,183 | |
| Receivables: | | | | | | | | |
| Due from Advisor | | | - | | | | - | |
| Investment securities sold | | | 3,710,355 | | | | 579,001 | |
| Fund shares sold | | | - | | | | 85,829 | |
| Dividends and interest | | | 32,891 | | | | 349,688 | |
| Prepaid expenses | | | 14,622 | | | | 21,335 | |
| Total assets | | | 28,414,982 | | | | 122,839,756 | |
| | | | | | | | | |
| Liabilities: | | | | | | | | |
| Securities sold short, proceeds | | $ | - | | | $ | 37,918,673 | |
| Written option contract, proceeds | | | - | | | | 37,138 | |
| Foreign currency due to custodian, proceeds | | | - | | | | 2,581,668 | |
| Securities sold short, at value | | $ | - | | | $ | 43,002,043 | |
| Written option contract, at value | | | - | | | | 37,975 | |
| Foreign currency due to custodian, at value | | | - | | | | 2,520,171 | |
| Payables: | | | | | | | | |
| Investment securities purchased | | | 1,118,831 | | | | 136,867 | |
| Fund shares redeemed | �� | | 8,122 | | | | 40,072 | |
| Cash due to broker (Note 12) | | | - | | | | - | |
| Advisory fees | | | 11,424 | | | | 32,849 | |
| Shareholder servicing fees (Note 7) | | | 1,078 | | | | - | |
| Distribution fees (Note 8) | | | - | | | | 316 | |
| Fund accounting and administration fees | | | 13,168 | | | | 22,966 | |
| Transfer agent fees and expenses | | | 3,992 | | | | 8,322 | |
| Custody fees | | | 1,903 | | | | 4,098 | |
| Trustees' deferred compensation (Note 3) | | | 18,755 | | | | 3,034 | |
| Auditing fees | | | 15,000 | | | | 15,000 | |
| Shareholder reporting fees | | | 2,590 | | | | 3,171 | |
| Trustees' fees and expenses | | | 1,998 | | | | 3,268 | |
| Legal fees | | | 1,849 | | | | 4,099 | |
| Chief Compliance Officer fees | | | 960 | | | | 2,526 | |
| Dividends on securities sold short and interest expense | | | - | | | | 34,832 | |
| Sub-transfer agent fees and expenses | | | - | | | | 7,892 | |
| Accrued other expenses | | | 3,727 | | | | 13,235 | |
| Total liabilities | | | 1,203,397 | | | | 45,892,736 | |
| | | | | | | | | |
| Net Assets | | $ | 27,211,585 | | | $ | 76,947,020 | |
| | | | | | | | | |
| Components of Net Assets: | | | | | | | | |
| Paid-in capital (par value of $0.01 per share with an unlimited number of shares authorized) | | $ | 26,254,851 | | | $ | 78,157,257 | |
| Total distributable earnings (accumulated deficit) | | | 956,734 | | | | (1,210,237 | ) |
| Net Assets | | $ | 27,211,585 | | | $ | 76,947,020 | |
See accompanying Notes to Financial Statements.
AXS Funds
STATEMENTS OF ASSETS AND LIABILITIES - CONTINUED
As of September 30, 2021
| | | All Terrain Opportunity Fund1 | | | Merger Fund2 | |
| Maximum Offering Price per Share: | | | | | | | | |
| Institutional Class Shares: | | | | | | | | |
| Net assets applicable to shares outstanding | | $ | 27,211,585 | | | | | |
| Shares of beneficial interest issued and outstanding | | | 1,067,091 | | | | | |
| Redemption price per share3 | | $ | 25.50 | | | | | |
| | | | | | | | | |
| Investor Class Shares: | | | | | | | | |
| Net assets applicable to shares outstanding | | | | | | $ | 1,532,461 | |
| Shares of beneficial interest issued and outstanding | | | | | | | 148,961 | |
| Redemption price per share4 | | | | | | $ | 10.29 | |
| | | | | | | | | |
| Class I Shares: | | | | | | | | |
| Net assets applicable to shares outstanding | | | | | | $ | 75,414,559 | |
| Shares of beneficial interest issued and outstanding | | | | | | | 7,117,890 | |
| Redemption price per share4 | | | | | | $ | 10.60 | |
| 1 | Fiscal year end changed to September 30, effective August 1, 2021. |
| 2 | Fiscal year end changed to September 30, effective January 1, 2021. |
| 3 | Redemptions made within 60 days of purchase may be assessed a redemption fee of 1.00%. |
| 4 | Redemptions made within 30 days of purchase may be assessed a redemption fee of 1.00%. |
See accompanying Notes to Financial Statements.
AXS Funds
STATEMENTS OF ASSETS AND LIABILITIES - CONTINUED
As of September 30, 2021
| | | Alternative Value Fund5 | | | Market Neutral Fund5 | |
| Assets: | | | | | | | | |
| Investments, at cost | | $ | 1,952,590 | | | $ | 11,774,293 | |
| Purchased options contracts, at cost | | | - | | | | - | |
| Investments, at value | | $ | 2,119,929 | | | $ | 13,269,990 | |
| Purchased options contracts, at value | | | - | | | | - | |
| Cash | | | 1,795 | | | | 8,585 | |
| Cash deposited with brokers for futures contracts | | | - | | | | - | |
| Cash deposited with brokers for securities sold short | | | - | | | | 8,992,093 | |
| Receivables: | | | | | | | | |
| Due from Advisor | | | 6,649 | | | | - | |
| Investment securities sold | | | - | | | | - | |
| Fund shares sold | | | - | | | | 1,000 | |
| Dividends and interest | | | 2,426 | | | | 15,886 | |
| Prepaid expenses | | | 4,493 | | | | 5,528 | |
| Total assets | | | 2,135,292 | | | | 22,293,082 | |
| | | | | | | | | |
| Liabilities: | | | | | | | | |
| Securities sold short, proceeds | | $ | - | | | $ | 8,039,284 | |
| Written option contract | | | - | | | | - | |
| Foreign currency due to custodian, proceeds | | | - | | | | - | |
| Securities sold short, at value | | $ | - | | | $ | 8,727,587 | |
| Written option contract, at value | | | - | | | | - | |
| Foreign currency due to custodian, at value | | | - | | | | - | |
| Payables: | | | | | | | | |
| Investment securities purchased | | | - | | | | - | |
| Fund shares redeemed | | | - | | | | - | |
| Cash due to broker (Note 12) | | | 633,943 | | | | 3,894,568 | |
| Advisory fees | | | - | | | | 1,049 | |
| Shareholder servicing fees (Note 7) | | | - | | | | - | |
| Distribution fees (Note 8) | | | 155 | | | | 425 | |
| Fund accounting and administration fees | | | 34,679 | | | | 34,411 | |
| Transfer agent fees and expenses | | | 13,389 | | | | 10,640 | |
| Custody fees | | | 5,452 | | | | 7,189 | |
| Trustees' deferred compensation (Note 3) | | | 48 | | | | 511 | |
| Auditing fees | | | 28,751 | | | | 28,751 | |
| Shareholder reporting fees | | | 4,355 | | | | 5,196 | |
| Trustees' fees and expenses | | | 3,511 | | | | 3,493 | |
| Legal fees | | | 5,094 | | | | 13,335 | |
| Chief Compliance Officer fees | | | 1,624 | | | | 2,220 | |
| Dividends on securities sold short and interest expense | | | 579 | | | | 20,174 | |
| Sub-transfer agent fees and expenses | | | 201 | | | | 1,573 | |
| Accrued other expenses | | | 3,461 | | | | 6,698 | |
| Total liabilities | | | 735,242 | | | | 12,757,820 | |
| | | | | | | | | |
| Net Assets | | $ | 1,400,050 | | | $ | 9,535,262 | |
| | | | | | | | | |
| Components of Net Assets: | | | | | | | | |
| Paid-in capital (par value of $0.01 per share with an unlimited number of shares authorized) | | $ | 1,200,731 | | | $ | 15,055,438 | |
| Total distributable earnings (accumulated deficit) | | | 199,319 | | | | (5,520,176 | ) |
| Net Assets | | $ | 1,400,050 | | | $ | 9,535,262 | |
See accompanying Notes to Financial Statements.
AXS Funds
STATEMENTS OF ASSETS AND LIABILITIES - CONTINUED
As of September 30, 2021
| | | Alternative Value Fund5 | | | Market Neutral Fund5 | |
| Maximum Offering Price per Share: | | | | | | | | |
| Investor Class Shares: | | | | | | | | |
| Net assets applicable to shares outstanding | | $ | 629,487 | | | $ | 2,041,882 | |
| Shares of beneficial interest issued and outstanding | | | 60,918 | | | | 205,497 | |
| Redemption price per share6 | | $ | 10.33 | | | $ | 9.94 | |
| | | | | | | | | |
| Class I Shares: | | | | | | | | |
| Net assets applicable to shares outstanding | | $ | 770,563 | | | $ | 7,493,380 | |
| Shares of beneficial interest issued and outstanding | | | 74,616 | | | | 737,931 | |
| Redemption price per share6 | | $ | 10.33 | | | $ | 10.15 | |
| 5 | Fiscal year end changed to September 30, effective July 1, 2021. |
| 6 | Redemptions made within 30 days of purchase may be assessed a redemption fee of 1.00%. |
See accompanying Notes to Financial Statements.
AXS Funds
STATEMENTS OF OPERATIONS
| | | All Terrain Opportunity Fund | | | Merger Fund | |
| | | For the Period November 1, 2020 through September 30, 20211 | | | For the Year Ended October 31, 2020 | | | For the Period January 1, 2021 through September 30, 20212 | | | For the Year Ended December 31, 2020 | |
| Investment Income: | | | | | | | | | | | | | | | | |
| Dividends (net of foreign withholding taxes of $180, $0, $0 and $0, respectively) | | $ | 468,089 | | | $ | 496,589 | | | $ | 670,810 | | | $ | 912,384 | |
| Interest | | | 647 | | | | 35,937 | | | | 1,327 | | | | 237,633 | |
| Total investment income | | | 468,736 | | | | 532,526 | | | | 672,137 | | | | 1,150,017 | |
| | | | | | | | | | | | | | | | | |
| Expenses: | | | | | | | | | | | | | | | | |
| Advisory fees | | | 373,317 | | | | 391,654 | | | | 748,729 | | | | 1,528,418 | |
| Shareholder servicing fees (Note 7) | | | 26,932 | | | | 27,312 | | | | - | | | | - | |
| Distribution fees - Investor Class (Note 8) | | | - | | | | - | | | | 2,954 | | | | 4,449 | |
| Fund accounting and administration fees | | | 41,066 | | | | 74,905 | | | | 72,872 | | | | 165,171 | |
| Transfer agent fees and expenses | | | 14,042 | | | | 16,097 | | | | 19,432 | | | | 54,802 | |
| Custody fees | | | 8,141 | | | | 15,201 | | | | 13,782 | | | | 19,634 | |
| Registration fees | | | 27,132 | | | | 20,001 | | | | 45,287 | | | | 38,495 | |
| Auditing fees | | | 15,000 | | | | 15,000 | | | | 15,000 | | | | 24,800 | |
| Trustees' fees and expenses | | | 11,425 | | | | 15,205 | | | | 12,730 | | | | 13,974 | |
| Shareholder reporting fees | | | 10,937 | | | | 12,501 | | | | 8,140 | | | | 7,539 | |
| Legal fees | | | 9,238 | | | | 16,499 | | | | 17,655 | | | | 35,805 | |
| Miscellaneous | | | 4,760 | | | | 5,999 | | | | 7,464 | | | | 6,414 | |
| Chief Compliance Officer fees | | | 2,547 | | | | 13,399 | | | | 8,280 | | | | 15,000 | |
| Insurance fees | | | 2,002 | | | | 3,211 | | | | 853 | | | | 3,670 | |
| Dividends on securities sold short | | | - | | | | - | | | | 363,438 | | | | 597,952 | |
| Interest expense | | | - | | | | - | | | | 149,141 | | | | - | |
| Sub-transfer agent fees and expenses | | | - | | | | - | | | | 47,373 | | | | - | |
| Total expenses | | | 546,539 | | | | 626,984 | | | | 1,533,130 | | | | 2,516,123 | |
| Advisory fees waived | | | (116,052 | ) | | | (172,975 | ) | | | (115,647 | ) | | | (53,286 | ) |
| Voluntary advisory fees waived | | | - | | | | (52,390 | ) | | | - | | | | - | |
| Other expenses absorbed | | | - | | | | - | | | | - | | | | - | |
| Fees paid indirectly (Note 3) | | | (3,966 | ) | | | (6,404 | ) | | | (3,022 | ) | | | - | |
| Net expenses | | | 426,521 | | | | 395,215 | | | | 1,414,461 | | | | 2,462,837 | |
| Net investment income (loss) | | | 42,215 | | | | 137,311 | | | | (742,324 | ) | | | (1,312,820 | ) |
| | | | | | | | | | | | | | | | | |
| Realized and Unrealized Gain (Loss): | | | | | | | | | | | | | | | | |
| Net realized gain (loss) on: | | | | | | | | | | | | | | | | |
| Investments | | | 1,315,514 | | | | 1,310,651 | | | | 4,746,022 | | | | (5,498,077 | ) |
| Purchased options contracts | | | 135,014 | | | | 147,651 | | | | - | | | | (35,062 | ) |
| Securities sold short | | | - | | | | - | | | | (4,125,839 | ) | | | 5,684,706 | |
| Written options contracts | | | - | | | | - | | | | 90,799 | | | | 26,834 | |
| Foreign currency transactions | | | - | | | | - | | | | (3,487 | ) | | | 90,350 | |
| Net realized gain (loss) | | | 1,450,528 | | | | 1,458,302 | | | | 707,495 | | | | 268,751 | |
| Capital gain distribution from portfolio funds | | | 165,743 | | | | 660 | | | | - | | | | - | |
| Net change in unrealized appreciation/depreciation on: | | | | | | | | | | | | | | | | |
| Investments | | | (386,570 | ) | | | 30,202 | | | | 2,771,571 | | | | 220,233 | |
| Purchased options contracts | | | (19,004 | ) | | | - | | | | (6,911 | ) | | | 8,313 | |
| Securities sold short | | | - | | | | - | | | | (2,953,628 | ) | | | (1,218,042 | ) |
| Written options contracts | | | - | | | | - | | | | (837 | ) | | | (473 | ) |
| Foreign currency transactions | | | - | | | | - | | | | 75,643 | | | | 94,809 | |
| Net change in unrealized appreciation/depreciation | | | (405,574 | ) | | | 30,202 | | | | (114,162 | ) | | | (895,160 | ) |
| | | | | | | | | | | | | | | | | |
| Net realized and unrealized gain (loss) | | | 1,210,697 | | | | 1,489,164 | | | | 593,333 | | | | (626,409 | ) |
| | | | | | | | | | | | | | | | | |
| Net Increase (Decrease) in Net Assets from Operations | | $ | 1,252,912 | | | $ | 1,626,475 | | | $ | (148,991 | ) | | $ | (1,939,229 | ) |
| 1 | Fiscal year end changed to September 30, effective August 1, 2021. |
| 2 | Fiscal year end changed to September 30, effective January 1, 2021. |
See accompanying Notes to Financial Statements.
AXS Funds
STATEMENTS OF OPERATIONS - CONTINUED
| | | Alternative Value Fund | | | Market Neutral Fund | |
| | | For the Period July 1, 2021 through September 30, 20213 | | | For the Year Ended June 30, 2021 | | | For the Period July 1, 2021 through September 30, 20213 | | | For the Year Ended June 30, 2021 | |
| Investment Income: | | | | | | | | | | | | | | | | |
| Dividends (net of foreign withholding taxes of $0, $0, $0 and $0, respectively) | | $ | 8,974 | | | $ | 57,990 | | | $ | 74,355 | | | $ | 607,777 | |
| Interest | | | 2 | | | | 13 | | | | 1 | | | | 768 | |
| Total investment income | | | 8,976 | | | | 58,003 | | | | 74,356 | | | | 608,545 | |
| | | | | | | | | | | | | | | | | |
| Expenses: | | | | | | | | | | | | | | | | |
| Advisory fees | | | 2,264 | | | | 16,231 | | | | 38,717 | | | | 309,366 | |
| Shareholder servicing fees (Note 7) | | | - | | | | - | | | | - | | | | - | |
| Distribution fees - Investor Class (Note 8) | | | 427 | | | | 1,195 | | | | 1,346 | | | | 11,020 | |
| Fund accounting and administration fees | | | 2,240 | | | | 103,819 | | | | 820 | | | | 150,223 | |
| Transfer agent fees and expenses | | | 91 | | | | 14,493 | | | | 1,416 | | | | 11,921 | |
| Custody fees | | | 906 | | | | 24,628 | | | | 1,481 | | | | 22,487 | |
| Registration fees | | | 8,066 | | | | 43,510 | | | | 7,445 | | | | 75,782 | |
| Auditing fees | | | 6,294 | | | | 23,707 | | | | 5,275 | | | | 24,726 | |
| Trustees' fees and expenses | | | 88 | | | | 13,762 | | | | 829 | | | | 14,441 | |
| Shareholder reporting fees | | | 1,512 | | | | 20,116 | | | | 2,017 | | | | 20,712 | |
| Legal fees | | | 2,193 | | | | 18,125 | | | | 4,033 | | | | 29,321 | |
| Miscellaneous | | | 1,008 | | | | 16,687 | | | | 1,008 | | | | 20,355 | |
| Chief Compliance Officer fees | | | 800 | | | | 14,622 | | | | 1,085 | | | | 15,296 | |
| Insurance fees | | | 21 | | | | 1,058 | | | | 213 | | | | 7,168 | |
| Dividends on securities sold short | | | - | | | | - | | | | 46,666 | | | | 428,184 | |
| Interest expense | | | 1,628 | | | | 13,352 | | | | 26,822 | | | | 126,261 | |
| Sub-transfer agent fees and expenses | | | 313 | | | | 805 | | | | 3,494 | | | | 4,876 | |
| Total expenses | | | 27,851 | | | | 326,110 | | | | 142,667 | | | | 1,272,139 | |
| Advisory fees waived | | | (2,264 | ) | | | (16,231 | ) | | | (27,485 | ) | | | (309,366 | ) |
| Voluntary advisory fees waived | | | - | | | | - | | | | - | | | | - | |
| Other expenses absorbed | | | (20,544 | ) | | | (274,087 | ) | | | - | | | | (76,636 | ) |
| Fees paid indirectly (Note 3) | | | (26 | ) | | | (21 | ) | | | (246 | ) | | | (259 | ) |
| Net expenses | | | 5,017 | | | | 35,771 | | | | 114,936 | | | | 885,878 | |
| Net investment income (loss) | | | 3,959 | | | | 22,232 | | | | (40,580 | ) | | | (277,333 | ) |
| | | | | | | | | | | | | | | | | |
| Realized and Unrealized Gain (Loss): | | | | | | | | | | | | | | | | |
| Net realized gain (loss) on: | | | | | | | | | | | | | | | | |
| Investments | | | 37,247 | | | | 663,466 | | | | 952,192 | | | | 6,220,135 | |
| Purchased options contracts | | | - | | | | - | | | | - | | | | - | |
| Securities sold short | | | - | | | | - | | | | (604,010 | ) | | | (6,415,488 | ) |
| Written options contracts | | | - | | | | - | | | | - | | | | - | |
| Foreign currency transactions | | | - | | | | - | | | | - | | | | - | |
| Net realized gain (loss) | | | 37,247 | | | | 663,466 | | | | 348,182 | | | | (195,353 | ) |
| Capital gain distribution from portfolio funds | | | - | | | | - | | | | - | | | | - | |
| Net change in unrealized appreciation/depreciation on: | | | | | | | | | | | | | | | | |
| Investments | | | (79,850 | ) | | | 850,401 | | | | (1,024,705 | ) | | | (153,543 | ) |
| Purchased options contracts | | | - | | | | - | | | | - | | | | - | |
| Securities sold short | | | - | | | | - | | | | 587,233 | | | | (18,848 | ) |
| Written options contracts | | | - | | | | - | | | | - | | | | - | |
| Foreign currency transactions | | | - | | | | - | | | | - | | | | - | |
| Net change in unrealized appreciation/depreciation | | | (79,850 | ) | | | 850,401 | | | | (437,472 | ) | | | (172,391 | ) |
| | | | | | | | | | | | | | | | | |
| Net realized and unrealized gain (loss) | | | (42,603 | ) | | | 1,513,867 | | | | (89,290 | ) | | | (367,744 | ) |
| | | | | | | | | | | | | | | | | |
| Net Increase (Decrease) in Net Assets from Operations | | $ | (38,644 | ) | | $ | 1,536,099 | | | $ | (129,870 | ) | | $ | (645,077 | ) |
| 3 | Fiscal year end changed to September 30, effective July 1, 2021. |
See accompanying Notes to Financial Statements.
AXS All Terrain Opportunity Fund
STATEMENTS OF CHANGES IN NET ASSETS
| | | For the Period November 1, 2020 through September 30, 20211 | | | For the Year Ended October 31, 2020 | | | For the Year Ended October 31, 2019 | |
| Increase (Decrease) in Net Assets from: | | | | | | | | | | | | |
| Operations: | | | | | | | | | | | | |
| Net investment income | | $ | 42,215 | | | $ | 137,311 | | | $ | 530,844 | |
| Net realized gain on investments and purchased options contracts | | | 1,450,528 | | | | 1,458,302 | | | | 328,386 | |
| Capital gain distributions from regulated investment companies | | | 165,743 | | | | 660 | | | | 4,972 | |
| Net change in unrealized appreciation/depreciation investments and purchased options contracts | | | (405,574 | ) | | | 30,202 | | | | 102,363 | |
| Net increase in net assets resulting from operations | | | 1,252,912 | | | | 1,626,475 | | | | 966,565 | |
| | | | | | | | | | | | | |
| Distributions to Shareholders: | | | | | | | | | | | | |
| Total distributions to shareholders | | | (897,554 | ) | | | (1,401,286 | ) | | | (1,900,833 | ) |
| | | | | | | | | | | | | |
| Capital Transactions: | | | | | | | | | | | | |
| Net proceeds from shares sold | | | 3,946,940 | | | | 5,214,149 | | | | 1,194,085 | |
| Reinvestment of distributions | | | 897,554 | | | | 1,401,286 | | | | 1,900,834 | |
| Cost of shares redeemed2 | | | (7,621,418 | ) | | | (5,507,744 | ) | | | (5,345,357 | ) |
| Net increase (decrease) in net assets from capital transactions | | | (2,776,924 | ) | | | 1,107,691 | | | | (2,250,438 | ) |
| | | | | | | | | | | | | |
| Total increase (decrease) in net assets | | | (2,421,566 | ) | | | 1,332,880 | | | | (3,184,706 | ) |
| | | | | | | | | | | | | |
| Net Assets: | | | | | | | | | | | | |
| Beginning of period | | | 29,633,151 | | | | 28,300,271 | | | | 31,484,977 | |
| End of period | | $ | 27,211,585 | | | $ | 29,633,151 | | | $ | 28,300,271 | |
| | | | | | | | | | | | | |
| Capital Share Transactions: | | | | | | | | | | | | |
| Shares sold | | | 151,259 | | | | 215,089 | | | | 47,271 | |
| Shares reinvested | | | 35,561 | | | | 56,145 | | | | 76,645 | |
| Shares redeemed | | | (293,938 | ) | | | (218,036 | ) | | | (212,236 | ) |
| Net increase (decrease) in capital share transactions | | | (107,118 | ) | | | 53,198 | | | | (88,320 | ) |
| 1 | Fiscal year end changed to September 30, effective August 1, 2021. |
| 2 | Net of redemption fee proceeds of $50, $0, and $50, respectively. |
See accompanying Notes to Financial Statements.
AXS Merger Fund
STATEMENTS OF CHANGES IN NET ASSETS
| | | For the Period January 1, 2021 through September 30, 2021*1 | | For the Year Ended December 31, 2020 | | For the Year Ended December 31, 2019 |
| Increase (Decrease) in Net Assets from: | | | | | | |
| Operations: | | | | | | |
| Net investment loss | | $ | (742,324 | ) | | $ | (1,312,820 | ) | | $ | (761,666 | ) |
| Net realized gain on investments, securities sold short, written options contracts and foreign currency transactions | | | 707,495 | | | | 268,751 | | | | 7,370,637 | |
| Net change in unrealized appreciation/depreciation on investments, securities sold shorts, written options contracts and foreign currency translations | | | (114,162 | ) | | | (895,160 | ) | | | 1,235,625 | |
| Net decrease in net assets resulting from operations | | | (148,991 | ) | | | (1,939,229 | ) | | | 7,844,596 | |
| | | | | | | | | | | | | |
| Distributions to Shareholders: | | | | | | | | | | | | |
| Distributions: | | | | | | | | | | | | |
| Investor Class | | | - | | | | (31,165 | ) | | | (90,788 | ) |
| Class I | | | - | | | | (1,951,033 | ) | | | (7,212,987 | ) |
| Total distributions to shareholders | | | - | | | | (1,982,198 | ) | | | (7,303,775 | ) |
| | | | | | | | | | | | | |
| Capital Transactions: | | | | | | | | | | | | |
| Net proceeds from shares sold: | | | | | | | | | | | | |
| Investor Class | | | 70,194 | | | | 108,500 | | | | 278,537 | |
| Class I | | | 20,103,472 | | | | 20,017,461 | | | | 29,729,109 | |
| Reinvestment of distributions: | | | | | | | | | | | | |
| Investor Class | | | - | | | | 27,882 | | | | 81,249 | |
| Class I | | | - | | | | 1,922,593 | | | | 7,105,254 | |
| Cost of shares redeemed: | | | | | | | | | | | | |
| Investor Class2 | | | (166,376 | ) | | | (453,638 | ) | | | (319,523 | ) |
| Class I3 | | | (41,313,519 | ) | | | (85,346,652 | ) | | | (51,244,921 | ) |
| Net decrease in net assets from capital transactions | | | (21,306,229 | ) | | | (63,723,854 | ) | | | (14,370,295 | ) |
| | | | | | | | | | | | | |
| Total decrease in net assets | | | (21,455,220 | ) | | | (67,645,281 | ) | | | (13,829,474 | ) |
| | | | | | | | | | | | | |
| Net Assets: | | | | | | | | | | | | |
| Beginning of period | | | 98,402,240 | | | | 166,047,521 | | | | 179,876,995 | |
| End of period | | $ | 76,947,020 | | | $ | 98,402,240 | | | $ | 166,047,521 | |
| | | | | | | | | | | | | |
| Capital Share Transactions: | | | | | | | | | | | | |
| Shares sold: | | | | | | | | | | | | |
| Investor Class | | | 6,790 | | | | 10,557 | | | | 25,832 | |
| Class I | | | 1,887,493 | | | | 1,910,931 | | | | 2,688,099 | |
| Shares reinvested: | | | | | | | | | | | | |
| Investor Class | | | - | | | | 2,696 | | | | 7,745 | |
| Class I | | | - | | | | 180,865 | | | | 660,340 | |
| Shares redeemed: | | | | | | | | | | | | |
| Investor Class | | | (16,027 | ) | | | (44,219 | ) | | | (29,712 | ) |
| Class I | | | (3,885,449 | ) | | | (8,179,672 | ) | | | (4,654,842 | ) |
| Net decrease in capital share transactions | | | (2,007,193 | ) | | | (6,118,842 | ) | | | (1,302,538 | ) |
| * | Fiscal year end changed to September 30, effective January 1, 2021. |
| 1 | With the Plan of Reorganization with respect to the Kellner Merger Fund, Investor Class and Institutional Class shareholders received Investor Class and Class I shares of the AXS Merger Fund, respectively, effective as of the close of business on January 22, 2021. See Note 1 in the accompanying Notes to Financial Statements. |
| 2 | Net of redemption fee proceeds of $25, $0 and $0, respectively. |
| 3 | Net of redemption fee proceeds of $1,492, $0 and $0, respectively. |
See accompanying Notes to Financial Statements.
AXS Alternative Value Fund
STATEMENTS OF CHANGES IN NET ASSETS
| | | For the Period July 1, 2021 through September 30, 2021* | | For the Year Ended June 30, 20211 | | For the Year Ended June 30, 2020 |
| Increase (Decrease) in Net Assets From: | | | | | | |
| Operations: | | | | | | | | | | | | |
| Net investment income | | $ | 3,959 | | | $ | 22,232 | | | $ | 335,609 | |
| Net realized gain on investments | | | 37,247 | | | | 663,466 | | | | 625,973 | |
| Net change in unrealized appreciation/depreciation on investments | | | (79,850 | ) | | | 850,401 | | | | (2,580,661 | ) |
| Net increase (decrease) in net assets resulting from operations | | | (38,644 | ) | | | 1,536,099 | | | | (1,619,079 | ) |
| | | | | | | | | | | | | |
| Distributions to shareholders: | | | | | | | | | | | | |
| Distributions: | | | | | | | | | | | | |
| Investor Class | | | - | | | | (47,914 | ) | | | (78,029 | ) |
| Class I | | | - | | | | (89,850 | ) | | | (1,903,561 | ) |
| Total distributions to shareholders | | | - | | | | (137,764 | ) | | | (1,981,590 | ) |
| | | | | | | | | | | | | |
| Capital Transactions: | | | | | | | | | | | | |
| Net proceeds from shares sold: | | | | | | | | | | | | |
| Investor Class | | | 264,789 | | | | 285,324 | | | | 1,146,545 | |
| Class I | | | 105,200 | | | | 168,778 | | | | 4,860,219 | |
| Reinvestment of distributions: | | | | | | | | | | | | |
| Investor Class | | | - | | | | 47,914 | | | | 78,029 | |
| Class I | | | - | | | | 89,850 | | | | 1,903,562 | |
| Cost of shares redeemed: | | | | | | | | | | | | |
| Investor Class2 | | | (199,094 | ) | | | (428,995 | ) | | | (959,662 | ) |
| Class I3 | | | - | | | | (11,599,747 | ) | | | (12,613,624 | ) |
| Net increase (decrease) in net assets from capital transactions | | | 170,895 | | | | (11,436,876 | ) | | | (5,584,931 | ) |
| | | | | | | | | | | | | |
| Total increase (decrease) in net assets | | | 132,251 | | | | (10,038,541 | ) | | | (9,185,600 | ) |
| | | | | | | | | | | | | |
| Net Assets: | | | | | | | | | | | | |
| Beginning of year | | | 1,267,799 | | | | 11,306,340 | | | | 20,491,940 | |
| End of year | | $ | 1,400,050 | | | $ | 1,267,799 | | | $ | 11,306,340 | |
| | | | | | | | | | | | | |
| Capital Share Transactions: | | | | | | | | | | | | |
| Shares sold: | | | | | | | | | | | | |
| Investor Class | | | 24,431 | | | | 30,434 | | | | 121,063 | |
| Class I | | | 10,013 | | | | 16,895 | | | | 515,604 | |
| Shares reinvested: | | | | | | | | | | | | |
| Investor Class | | | - | | | | 5,342 | | | | 8,301 | |
| Class I | | | - | | | | 10,039 | | | | 202,722 | |
| Shares redeemed: | | | | | | | | | | | | |
| Investor Class | | | (18,707 | ) | | | (46,740 | ) | | | (120,916 | ) |
| Class I | | | - | | | | (1,281,710 | ) | | | (1,513,379 | ) |
| Net increase (decrease) in capital share transactions | | | 15,737 | | | | (1,265,740 | ) | | | (786,605 | ) |
| * | Fiscal year end changed to September 30, effective July 1, 2021. |
| 1 | With the Plan of Reorganization with respect to the AXS Alternative Value Fund (formerly, Cognios Large Cap Value Fund), Investor Class and Institutional Class shareholders received Investor Class and Class I shares of the AXS Alternative Value Fund, respectively, effective as of the close of business on March 5, 2021. See Note 1 in the accompanying Notes to Financial Statements. |
| 2 | Net of redemption fees of $997, $0 and $0, respectively. |
| 3 | Net of redemption fees of $0, $382 and $0, respectively. |
See accompanying Notes to Financial Statements.
AXS Market Neutral Fund
STATEMENTS OF CHANGES IN NET ASSETS
| | | For the Period July 1, 2021 through September 30, 2021* | | For the Year Ended June 30, 20211 | | For the Year Ended June 30, 2020 |
| Increase (Decrease) in Net Assets From: | | | | | | |
| Operations: | | | | | | | | | | | | |
| Net investment loss | | $ | (40,580 | ) | | $ | (277,333 | ) | | $ | (576,863 | ) |
| Net realized gain (loss) | | | 348,182 | | | | (195,353 | ) | | | (4,315,752 | ) |
| Net change in unrealized appreciation/depreciation on investments and securities sold short | | | (437,472 | ) | | | (172,391 | ) | | | 6,315,285 | |
| Net increase (decrease) in net assets resulting from operations | | | (129,870 | ) | | | (645,077 | ) | | | 1,422,670 | |
| | | | | | | | | | | | | |
| Capital Transactions: | | | | | | | | | | | | |
| Net proceeds from shares sold: | | | | | | | | | | | | |
| Investor Class | | | 45,663 | | | | 1,461,001 | | | | 2,203,175 | |
| Class I | | | 76,582 | | | | 1,537,662 | | | | 8,659,564 | |
| Cost of shares redeemed: | | | | | | | | | | | | |
| Investor Class2 | | | (165,881 | ) | | | (6,188,254 | ) | | | (13,188,820 | ) |
| Class I3 | | | (2,016,018 | ) | | | (23,029,121 | ) | | | (52,963,742 | ) |
| Net decrease in net assets from capital transactions | | | (2,059,654 | ) | | | (26,218,712 | ) | | | (55,289,823 | ) |
| | | | | | | | | | | | | |
| Total decrease in net assets | | | (2,189,524 | ) | | | (26,863,789 | ) | | | (53,867,153 | ) |
| | | | | | | | | | | | | |
| Net Assets: | | | | | | | | | | | | |
| Beginning of period | | | 11,724,786 | | | | 38,588,575 | | | | 92,455,728 | |
| End of period | | $ | 9,535,262 | | | $ | 11,724,786 | | | $ | 38,588,575 | |
| | | | | | | | | | | | | |
| Capital Share Transactions: | | | | | | | | | | | | |
| Shares sold: | | | | | | | | | | | | |
| Investor Class | | | 4,524 | | | | 144,466 | | | | 216,567 | |
| Class I | | | 7,459 | | | | 151,780 | | | | 845,563 | |
| Shares redeemed: | | | | | | | | | | | | |
| Investor Class | | | (16,543 | ) | | | (631,680 | ) | | | (1,304,274 | ) |
| Class I | | | (197,603 | ) | | | (2,261,339 | ) | | | (5,136,106 | ) |
| Net decrease in capital share transactions | | | (202,163 | ) | | | (2,596,773 | ) | | | (5,378,250 | ) |
| * | Fiscal year end changed to September 30, effective July 1, 2021. |
| 1 | With the Plan of Reorganization with respect to the AXS Market Neutral Fund (formerly, Cognios Market Neutral Large Cap Fund), Investor Class and Institutional Class shareholders received Investor Class and Class I shares of the AXS Market Neutral Fund, respectively, effective as of the close of business on March 5, 2021. See Note 1 in the accompanying Notes to Financial Statements. |
| 2 | Net of redemption fees of $0, $1,032 and $0, respectively. |
| 3 | Net of redemption fees of $0, $1,374 and $0, respectively. |
See accompanying Notes to Financial Statements.
AXS Merger Fund
STATEMENT OF CASH FLOWS
| | | For the Period January 1, 2021 through September 30, 2021* | | For the Year Ended December 31, 2020 |
| Increase (Decrease) in Cash: | | | | |
| Cash flows provided by (used for) operating activities: | | | | |
| Net decrease in net assets resulting from operations | | $ | (148,991 | ) | | $ | (1,939,229 | ) |
| Adjustments to reconcile net decrease in net assets from operations to net cash provided by (used for) operating activities: | | | | | | | | |
| Purchases of long-term investments | | | (156,248,337 | ) | | | (202,082,368 | ) |
| Sales of long-term investments | | | 157,517,885 | | | | 206,779,278 | |
| Return of capital dividends received | | | 89,846 | | | | 68,426 | |
| Purchased options contracts | | | (195,936 | ) | | | - | |
| Sale of options contracts | | | 159,135 | | | | - | |
| Proceeds from securities sold short | | | 56,747,301 | | | | 63,125,151 | |
| Cover short securities | | | (46,595,435 | ) | | | (59,905,117 | ) |
| Proceeds from written options contracts | | | 178,958 | | | | 15,634 | |
| Closed written options contracts | | | (50,839 | ) | | | (132 | ) |
| Sale of short-term investments, net | | | 24,258,214 | | | | 43,316,675 | |
| Increase (Decrease) in investment securities sold receivable | | | (36,439 | ) | | | 2,342,820 | |
| Increase (Decrease) in dividends and interest receivables | | | (55,860 | ) | | | 262,407 | |
| Increase in other assets | | | (9,354 | ) | | | (2,355 | ) |
| Increase (Decrease) in foreign currency payable | | | 2,186,648 | | | | (5,139,691 | ) |
| Decrease in deposits at broker | | | - | | | | 1,746,923 | |
| Decrease in payables for securities purchased | | | (1,023,978 | ) | | | (5,810,505 | ) |
| Decrease in advisory fees payable | | | (66,409 | ) | | | (77,520 | ) |
| Increase (Decrease) in payables for dividends and interest on securities sold short | | | 33,908 | | | | (71,844 | ) |
| Increase (Decrease) in accrued expenses | | | 13,655 | | | | (10,825 | ) |
| Net realized gain (loss) | | | (694,930 | ) | | | 2,560 | |
| Net change in unrealized appreciation/depreciation | | | 189,805 | | | | 989,969 | |
| Proceeds received through mergers | | | - | | | | 12,055,326 | |
| Net cash provided by operating activities | | | 36,248,847 | | | | 55,665,583 | |
| | | | | | | | | |
| Cash flows provided by (used for) financing activities: | | | | | | | | |
| Proceeds from shares sold | | | 20,412,720 | | | | 20,032,961 | |
| Cost of shares redeemed | | | (44,339,823 | ) | | | (83,050,171 | ) |
| Dividends paid to shareholders, net of reinvestments | | | - | | | | (31,723 | ) |
| Net cash used for financing activities | | | (23,927,103 | ) | | | (63,048,933 | ) |
| | | | | | | | | |
| Net increase in cash | | | 12,321,744 | | | | (7,383,350 | ) |
| | | | | | | | | |
| Cash and cash equivalents | | | | | | | | |
| Beginning cash balance | | | 29,000 | | | | 7,412,350 | |
| Beginning cash held at broker | | | 24,804,079 | | | | - | |
| Total beginning cash and cash equivalents | | | 24,833,079 | | | | 7,412,350 | |
| | | | | | | | | |
| Ending cash balance | | | 36,640 | | | | 29,000 | |
| Ending cash held at broker | | | 37,118,183 | | | | - | |
| Total ending cash and cash equivalents | | $ | 37,154,823 | | | $ | 29,000 | |
| Supplemental disclosure of interest expense paid | | $ | 144,647 | | | $ | - | |
| * | Fiscal year end changed to September 30, effective January 1, 2021. |
See accompanying Notes to Financial Statements.
AXS Market Neutral Fund
STATEMENT OF CASH FLOWS
| | | For the Period July 1, 2021 through September 30, 2021* | | For the Year Ended June 30, 2021 |
| Increase (Decrease) in Cash: | | | | |
| Cash flows provided by (used for) operating activities: | | | | | | | | |
| Net decrease in net assets resulting from operations | | $ | (129,870 | ) | | $ | (645,077 | ) |
| Adjustments to reconcile net increase in net assets from operations to net cash provided by (used for) operating activities: | | | | | | | | |
| Purchases of long-term investments | | | (2,222,748 | ) | | | (23,295,723 | ) |
| Sales of long-term investments | | | 5,816,013 | | | | 60,747,591 | |
| Proceeds from securities sold short | | | 1,462,327 | | | | 18,346,964 | |
| Cover short securities | | | (3,429,619 | ) | | | (49,328,519 | ) |
| Sale (Purchase) of short-term investments, net | | | (37,474 | ) | | | 18,740 | |
| Decrease (Increase) in Due from Advisor | | | 7,086 | | | | (7,086 | ) |
| Decrease in dividends and interest receivables | | | 2,433 | | | | 39,724 | |
| Decrease in other assets | | | 312 | | | | 17,935 | |
| Decrease in payables for dividends on securities sold short and interest expense | | | (1,278 | ) | | | (66,319 | ) |
| Increase (Decrease) in advisory fees payable | | | 1,049 | | | | (17,119 | ) |
| Increase in accrued expenses | | | 9,374 | | | | 66,129 | |
| Net realized loss (gain) | | | (348,182 | ) | | | 287,166 | |
| Net change in unrealized appreciation/depreciation | | | 437,472 | | | | 172,391 | |
| Net cash provided by operating activities | | | 1,566,895 | | | | 6,336,797 | |
| | | | | | | | | |
| Cash flows provided by (used for) financing activities: | | | | | | | | |
| Borrowings from Broker | | | 3,894,568 | | | | - | |
| Proceeds from shares sold | | | 121,245 | | | | 2,999,269 | |
| Cost of shares redeemed | | | (2,182,145 | ) | | | (29,288,156 | ) |
| Net cash provided by (used for) financing activities | | | 1,833,668 | | | | (26,288,887 | ) |
| | | | | | | | | |
| Net increase (decrease) in cash | | | 3,400,563 | | | | (19,952,090 | ) |
| | | | | | | | | |
| Cash and cash equivalents | | | | | | | | |
| Beginning cash held at broker | | | 39,959 | | | | 3,128,075 | |
| Beginning segregated cash held by custodian | | | 5,560,156 | | | | 22,424,130 | |
| Total beginning cash and cash equivalents | | | 5,600,115 | | | | 25,552,205 | |
| | | | | | | | | |
| Ending cash balance | | | 8,585 | | | | 39,959 | |
| Ending cash held at broker | | | 8,992,093 | | | | 5,560,156 | |
| Total ending cash and cash equivalents | | $ | 9,000,678 | | | $ | 5,600,115 | |
| Supplemental disclosure of interest expense paid | | $ | 26,566 | | | $ | 118,636 | |
| * | Fiscal year end changed to September 30, effective July 1, 2021. |
See accompanying Notes to Financial Statements.
AXS All Terrain Opportunity Fund
FINANCIAL HIGHLIGHTS
Institutional Class
Per share operating performance.
For a capital share outstanding throughout each period.
| | | For the Period November 1, 2020 through September 30, | | | For the Year Ended October 31, | |
| | | 20211 | | | 2020 | | | 2019 | | | 2018 | | | 2017 | | | 2016 | |
| Net asset value, beginning of period | | $ | 25.24 | | | $ | 25.25 | | | $ | 26.04 | | | $ | 25.57 | | | $ | 24.23 | | | $ | 24.39 | |
| Income from Investment Operations: | | | | | | | | | | | | | | | | | | | | | | | | |
| Net investment income2,3 | | | 0.04 | | | | 0.12 | | | | 0.44 | | | | 0.37 | | | | 0.60 | | | | 0.60 | |
| Net realized and unrealized gain (loss) | | | 1.01 | | | | 1.16 | | | | 0.35 | | | | 0.47 | | | | 1.33 | | | | (0.18 | ) |
| Total from investment operations | | | 1.05 | | | | 1.28 | | | | 0.79 | | | | 0.84 | | | | 1.93 | | | | 0.42 | |
| Less Distributions: | | | | | | | | | | | | | | | | | | | | | | | | |
| From net investment income | | | (0.07 | ) | | | (0.69 | ) | | | (0.45 | ) | | | (0.37 | ) | | | (0.59 | ) | | | (0.58 | ) |
| From net realized gain | | | (0.72 | ) | | | (0.60 | ) | | | (1.13 | ) | | | - | | | | - | | | | - | |
| Total distributions | | | (0.79 | ) | | | (1.29 | ) | | | (1.58 | ) | | | (0.37 | ) | | | (0.59 | ) | | | (0.58 | ) |
| Redemption fee proceeds2 | | | - | 4 | | | - | | | | - | 4 | | | - | | | | - | 4 | | | - | |
| Net asset value, end of period | | $ | 25.50 | | | $ | 25.24 | | | $ | 25.25 | | | $ | 26.04 | | | $ | 25.57 | | | $ | 24.23 | |
| Total return5 | | | 4.21 | %6 | | | 5.24 | % | | | 3.28 | % | | | 3.23 | % | | | 8.05 | % | | | 1.74 | % |
| Ratios and Supplemental Data: | | | | | | | | | | | | | | | | | | | | | | | | |
| Net assets, end of period (in thousands) | | $ | 27,212 | | | $ | 29,633 | | | $ | 28,300 | | | $ | 31,485 | | | $ | 33,470 | | | $ | 33,429 | |
| Ratio of expenses to average net assets (including interest expense): | | | | | | | | | | | | | | | | | | | | | | | | |
| Before fees waived and expenses absorbed7 | | | 2.05 | %8 | | | 2.24 | % | | | 2.15 | % | | | 2.20 | % | | | 2.34 | % | | | 2.69 | % |
| After fees waived and expenses absorbed7,9 | | | 1.60 | %8 | | | 1.41 | % | | | 1.52 | % | | | 1.39 | % | | | 1.49 | %10 | | | 1.78 | % |
| Ratio of net investment income (loss) to average net assets (including interest expense): | | | | | | | | | | | | | | | | | | | | | | | | |
| Before fees waived and expenses absorbed3 | | | (0.29 | )%8 | | | (0.34 | )% | | | 1.12 | % | | | 0.62 | % | | | 1.54 | % | | | 1.56 | % |
| After fees waived and expenses absorbed3 | | | 0.16 | %8 | | | 0.49 | % | | | 1.75 | % | | | 1.43 | % | | | 2.39 | % | | | 2.47 | % |
| Portfolio turnover rate | | | 655 | %6 | | | 1,445 | % | | | 799 | % | | | 550 | % | | | 280 | % | | | 206 | % |
| 1 | Fiscal year end changed to September 30, effective August 1, 2021. |
| 2 | Based on average shares outstanding for the period. |
| 3 | Recognition of net investment income by the Fund is affected by the timing of the declaration of dividends by the underlying investment companies in which the Fund invests. The ratio does not include net investment income of the investment companies in which the Fund invests. |
| 4 | Amount represents less than $0.01 per share. |
| 5 | Total returns would have been lower had expenses not been waived or absorbed by the Advisor. Prior to September 16, 2016, returns shown include Rule 12b-1 fees of up to 0.25% and do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or the redemption of Fund shares. Prior to September 16, 2016, returns shown do not include payment of sales load of 5.75% of offering price which is reduced on sales of $25,000 or more. If the sales charge was included, total returns would be lower. |
See accompanying Notes to Financial Statements.
AXS All Terrain Opportunity Fund
FINANCIAL HIGHLIGHTS - Continued
Institutional Class
| 7 | Does not include expenses of the investment companies in which the Fund invests. |
| 9 | Effective May 1, 2017, the Advisor has contractually agreed to limit the operating expenses to 1.60% of the Institutional Class. Effective September 16, 2016, the Advisor has contractually agreed to limit the annual operating expenses to 1.70% of the Institutional Class which was re-designed from Class A on that date. Prior to September 16, 2016, the Advisor had contractually agreed to limit the annual operating expeses of Class A to 1.95%. |
| 10 | If interest expense on cash due to broker had been excluded, the expense ratio would have been lowered by 0.01% for the year ended October 31, 2017. |
See accompanying Notes to Financial Statements.
AXS Merger Fund
FINANCIAL HIGHLIGHTS
Investor Class*
Per share operating performance.
For a capital share outstanding throughout each period.
| | | For the Period January 1, 2021 through September | | | For the Year Ended December 31, | |
| | | 30, 2021** | | | 2020 | | | 2019 | | | 2018 | | | 2017 | | | 2016 | |
| Net asset value, beginning of period | | $ | 10.33 | | | $ | 10.52 | | | $ | 10.54 | | | $ | 10.53 | | | $ | 10.22 | | | $ | 10.30 | |
| Income from Investment Operations: | | | | | | | | | | | | | | | | | | | | | | | | |
| Net investment loss1 | | | (0.12 | ) | | | (0.14 | ) | | | (0.08 | ) | | | (0.10 | ) | | | (0.15 | ) | | | (0.16 | ) |
| Net realized and unrealized gain | | | 0.08 | | | | 0.15 | | | | 0.55 | | | | 0.19 | | | | 0.46 | | | | 0.13 | |
| Total from investment operations | | | (0.04 | ) | | | 0.01 | | | | 0.47 | | | | 0.09 | | | | 0.31 | | | | (0.03 | ) |
| | | | | | | | | | | | | | | | | | | | | | | | | |
| Less Distributions: | | | | | | | | | | | | | | | | | | | | | | | | |
| From net realized gain | | | - | | | | (0.20 | ) | | | (0.49 | ) | | | (0.08 | ) | | | - | | | | (0.05 | ) |
| Total distributions | | | - | | | | (0.20 | ) | | | (0.49 | ) | | | (0.08 | ) | | | - | | | | (0.05 | ) |
| | | | | | | | | | | | | | | | | | | | | | | | | |
| Redemption fee proceeds1 | | | - | 2 | | | - | | | | - | | | | - | | | | - | | | | - | |
| | | | | | | | | | | | | | | | | | | | | | | | | |
| Net asset value, end of period | | $ | 10.29 | | | $ | 10.33 | | | $ | 10.52 | | | $ | 10.54 | | | $ | 10.53 | | | $ | 10.22 | |
| | | | | | | | | | | | | | | | | | | | | | | | | |
| Total return3 | | | (0.39 | )%5 | | | 0.08 | % | | | 4.48 | % | | | 0.88 | % | | | 3.03 | % | | | (0.30 | )% |
| | | | | | | | | | | | | | | | | | | | | | | | | |
| Ratios and Supplemental Data: | | | | | | | | | | | | | | | | | | | | | | | | |
| Net assets, end of period (in thousands) | | $ | 1,532 | | | $ | 1,634 | | | $ | 1,990 | | | $ | 1,954 | | | $ | 4,306 | | | $ | 6,370 | |
| | | | | | | | | | | | | | | | | | | | | | | | | |
| Ratio of expenses to average net assets (including dividends on securities sold short and interest expense): | | | | | | | | | | | | | | | | | | | | | | | | |
| Before fees waived and expenses absorbed | | | 2.81 | %4,6 | | | 2.31 | %6,7 | | | 2.53 | %6 | | | 2.28 | %6 | | | 2.38 | %6 | | | 2.26 | %6 |
| After fees waived and expenses absorbed | | | 2.61 | %4,6 | | | 2.26 | %6,7 | | | 2.53 | %6 | | | 2.31 | %6 | | | 2.38 | %6 | | | 2.26 | %6 |
| Ratio of net investment loss to average net assets (including dividends on securities sold short and interest expense): | | | | | | | | | | | | | | | | | | | | | | | | |
| Before fees waived and expenses absorbed | | | (1.68 | )%4 | | | (1.39 | )% | | | (0.71 | )% | | | (0.88 | )% | | | (1.51 | )% | | | (1.55 | )% |
| After fees waived and expenses absorbed | | | (1.48 | )%4 | | | (1.34 | )% | | | (0.71 | )% | | | (0.91 | )% | | | (1.51 | )% | | | (1.55 | )% |
| | | | | | | | | | | | | | | | | | | | | | | | | |
| Portfolio turnover rate | | | 184 | %5 | | | 256 | % | | | 298 | % | | | 285 | % | | | 218 | % | | | 224 | % |
| * | Financial information from January 1, 2016 through December 31, 2020 is for the Kellner Merger Fund, which was reorganized into the AXS Merger Fund as of the close of business on January 22, 2021. See Note 1 in the accompanying Notes to Financial Statements. |
| ** | Fiscal year end changed to September 30, effective January 1, 2021. |
| 1 | Based on average daily shares outstanding for the period. |
| 2 | Amount represents less than $0.01 per share. |
| 3 | Total returns would have been higher/lower had expenses not been recovered/waived and absorbed by the Advisor. Returns shown do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or the redemption of Fund shares. |
| 4 | Annualized. |
| 5 | Not annualized. |
| 6 | If dividends on securities sold short, interest expense and extraordinary expenses had been excluded, the expense ratios would have been lowered by 0.86% for the period January 1, 2021 through September 30, 2021. For the years ended December 31, 2020, 2019, 2018, 2017 and 2016, the ratios would have been lowered by 0.51%, 0.78%, 0.56%, 0.63% and 0.51%, respectively. |
| 7 | Includes extraordinary expenses of 0.02% that occurred during the Fund’s fiscal year ended December 31, 2020. |
See accompanying Notes to Financial Statements.
AXS Merger Fund
FINANCIAL HIGHLIGHTS
Class I*
Per share operating performance.
For a capital share outstanding throughout each period.
| | | For the Period January 1, 2021 through September | | | For the Year Ended December 31, | |
| | | 30, 2021** | | | 2020 | | | 2019 | | | 2018 | | | 2017 | | | 2016 | |
| Net asset value, beginning of period | | $ | 10.62 | | | $ | 10.79 | | | $ | 10.78 | | | $ | 10.74 | | | $ | 10.40 | | | $ | 10.45 | |
| Income from Investment Operations: | | | | | | | | | | | | | | | | | | | | | | | | |
| Net investment loss1 | | | (0.10 | ) | | | (0.11 | ) | | | (0.05 | ) | | | (0.07 | ) | | | (0.13 | ) | | | (0.13 | ) |
| Net realized and unrealized gain | | | 0.08 | | | | 0.15 | | | | 0.55 | | | | 0.19 | | | | 0.47 | | | | 0.13 | |
| Total from investment operations | | | (0.02 | ) | | | 0.04 | | | | 0.50 | | | | 0.12 | | | | 0.34 | | | | - | |
| | | | | | | | | | | | | | | | | | | | | | | | | |
| Less Distributions: | | | | | | | | | | | | | | | | | | | | | | | | |
| From net investment income | | | - | | | | (0.01 | ) | | | - | | | | - | | | | - | | | | - | |
| From net realized gain | | | - | | | | (0.20 | ) | | | (0.49 | ) | | | (0.08 | ) | | | - | | | | (0.05 | ) |
| Total distributions | | | - | | | | (0.21 | ) | | | (0.49 | ) | | | (0.08 | ) | | | - | | | | (0.05 | ) |
| | | | | | | | | | | | | | | | | | | | | | | | | |
| Redemption fee proceeds1 | | | - | 2 | | | - | | | | - | | | | - | | | | - | | | | - | |
| | | | | | | | | | | | | | | | | | | | | | | | | |
| Net asset value, end of period | | $ | 10.60 | | | $ | 10.62 | | | $ | 10.79 | | | $ | 10.78 | | | $ | 10.74 | | | $ | 10.40 | |
| | | | | | | | | | | | | | | | | | | | | | | | | |
| Total return3 | | | (0.19) | %5 | | | 0.37 | % | | | 4.66 | % | | | 1.15 | % | | | 3.27 | % | | | (0.01 | )% |
| | | | | | | | | | | | | | | | | | | | | | | | | |
| Ratios and Supplemental Data: | | | | | | | | | | | | | | | | | | | | | | | | |
| Net assets, end of period (in thousands) | | $ | 75,415 | | | $ | 96,768 | | | $ | 164,058 | | | $ | 177,923 | | | $ | 147,941 | | | $ | 149,800 | |
| | | | | | | | | | | | | | | | | | | | | | | | | |
| Ratio of expenses to average net assets (including dividends on securities sold short and interest expense): | | | | | | | | | | | | | | | | | | | | | | | | |
| Before fees waived and expenses absorbed | | | 2.56 | %4,6 | | | 2.06 | %6,7 | | | 2.28 | %6 | | | 2.06 | %6 | | | 2.09 | %6 | | | 2.01 | %6 |
| After fees waived and expenses absorbed | | | 2.36 | %4,6 | | | 2.01 | %6,7 | | | 2.28 | %6 | | | 2.09 | %6 | | | 2.09 | %6 | | | 2.01 | %6 |
| Ratio of net investment loss to average net assets (including dividends on securities sold short and interest expense): | | | | | | | | | | | | | | | | | | | | | | | | |
| Before fees waived and expenses absorbed | | | (1.43 | )%4 | | | (1.11 | )% | | | (0.45 | )% | | | (0.64 | )% | | | (1.21 | )% | | | (1.30 | )% |
| After fees waived and expenses absorbed | | | (1.23 | )%4 | | | (1.06 | )% | | | (0.45 | )% | | | (0.67 | )% | | | (1.21 | )% | | | (1.30 | )% |
| | | | | | | | | | | | | | | | | | | | | | | | | |
| Portfolio turnover rate | | | 184 | %5 | | | 256 | % | | | 298 | % | | | 285 | % | | | 218 | % | | | 224 | % |
| * | Financial information from January 1, 2016 through December 31, 2020 is for the Kellner Merger Fund, which was reorganized into the AXS Merger Fund as of the close of business on January 22, 2021. See Note 1 in the accompanying Notes to Financial Statements. |
| ** | Fiscal year end changed to September 30, effective January 1, 2021. |
| 1 | Based on average daily shares outstanding for the period. |
| 2 | Amount represents less than $0.01 per share. |
| 3 | Total returns would have been higher/lower had expenses not been recovered/waived and absorbed by the Advisor. Returns shown do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or the redemption of Fund shares. |
| 4 | Annualized. |
| 5 | Not annualized. |
| 6 | If dividends on securities sold short, interest expense and extraordinary expenses had been excluded, the expense ratios would have been lowered by 0.86% for the period January 1, 2021 through September 30, 2021. For the years ended December 31, 2020, 2019, 2018, 2017 and 2016, the ratios would have been lowered by 0.51%, 0.78%, 0.59%, 0.59% and 0.51%, respectively. |
| 7 | Includes extraordinary expenses of 0.02% that occurred during the Fund’s fiscal year ended December 31, 2020. |
See accompanying Notes to Financial Statements.
AXS Alternative Value Fund
FINANCIAL HIGHLIGHTS
Investor Class*
Per share operating performance.
For a capital share outstanding throughout each period.
| | | For the Period July 1, 2021 through September | | | For the Year Ended June 30, | | | For the Period October 3, 2016*** through June | |
| | | 30, 2021** | | | 2021 | | | 2020 | | | 2019 | | | 2018 | | | 30, 2017 | |
| Net asset value, beginning of period | | $ | 10.58 | | | $ | 8.16 | | | $ | 9.44 | | | $ | 10.23 | | | $ | 10.79 | | | $ | 10.00 | |
| Income from Investment Operations: | | | | | | | | | | | | | | | | | | | | | | | | |
| Net investment income1 | | | 0.03 | | | | 0.07 | | | | 0.10 | | | | 0.11 | | | | 0.12 | | | | 0.04 | |
| Net realized and unrealized gain (loss) | | | (0.30 | ) | | | 3.39 | | | | (0.65 | ) | | | 0.92 | | | | 1.29 | | | | 0.75 | |
| Total from investment operations | | | (0.27 | ) | | | 3.46 | | | | (0.55 | ) | | | 1.03 | | | | 1.41 | | | | 0.79 | |
| | | | | | | | | | | | | | | | | | | | | | | | | |
| Less Distributions: | | | | | | | | | | | | | | | | | | | | | | | | |
| From net investment income | | | - | | | | (1.04 | ) | | | (0.08 | ) | | | (0.19 | ) | | | (0.18 | ) | | | - | 2 |
| From net realized gain | | | - | | | | - | | | | (0.65 | ) | | | (1.63 | ) | | | (1.79 | ) | | | - | |
| Total distributions | | | - | | | | (1.04 | ) | | | (0.73 | ) | | | (1.82 | ) | | | (1.97 | ) | | | - | |
| | | | | | | | | | | | | | | | | | | | | | | | | |
| Redemption fee proceeds1 | | | 0.02 | | | | - | | | | - | | | | - | | | | - | | | | - | |
| | | | | | | | | | | | | | | | | | | | | | | | | |
| Net asset value, end of period | | $ | 10.33 | | | $ | 10.58 | | | $ | 8.16 | | | $ | 9.44 | | | $ | 10.23 | | | $ | 10.79 | |
| | | | | | | | | | | | | | | | | | | | | | | | | |
| Total return3 | | | (2.36) | %5 | | | 44.75 | % | | | (6.89 | )% | | | 12.90 | % | | | 13.58 | % | | | 7.92 | %5 |
| | | | | | | | | | | | | | | | | | | | | | | | | |
| Ratios and Supplemental Data: | | | | | | | | | | | | | | | | | | | | | | | | |
| Net assets, end of period (in thousands) | | $ | 629 | | | $ | 584 | | | $ | 540 | | | $ | 545 | | | $ | 25 | | | $ | 11 | |
| | | | | | | | | | | | | | | | | | | | | | | | | |
| Ratio of expenses to average net assets (including interest expense): | | | | | | | | | | | | | | | | | | | | | | | | |
| Before fees waived and expenses absorbed4 | | | 8.13 | %6 | | | 13.41 | % | | | 2.87 | % | | | 2.96 | % | | | 1.62 | % | | | 1.52 | %6 |
| After fees waived and expenses absorbed4 | | | 1.57 | %6 | | | 1.65 | % | | | 2.02 | % | | | 2.07 | % | | | 1.10 | % | | | 1.10 | %6 |
| Ratio of net investment income (loss) to average net assets (including interest expense): | | | | | | | | | | | | | | | | | | | | | | | | |
| Before fees waived and expenses absorbed | | | (5.55) | %6 | | | (11.06 | )% | | | 2.01 | % | | | 2.28 | % | | | 1.37 | % | | | 1.21 | %6 |
| After fees waived and expenses absorbed | | | 1.01 | %6 | | | 0.70 | % | | | 1.16 | % | | | 1.39 | % | | | 0.85 | % | | | 0.79 | %6 |
| | | | | | | | | | | | | | | | | | | | | | | | | |
| Portfolio turnover rate | | | 6 | %5 | | | 50 | % | | | 74 | % | | | 64 | % | | | 84 | % | | | 24 | %5 |
| * | Financial information from October 3, 2016 through March 5, 2021 is for the AXS Alternative Value Fund (formerly, Cognios Large Cap Value Fund), which was reorganized into the AXS Alternative Value Fund as of the close of business on March 5, 2021. See Note 1 in the accompanying Notes to Financial Statements. |
| ** | Fiscal year end changed to September 30, effective July 1, 2021. |
| *** | Commencement of operations. |
| 1 | Calculated based on average shares outstanding for the period. |
| 2 | Amount represents less than $0.01 per share. |
| 3 | Total returns would have been lower had expenses not been waived or absorbed by the Advisor. Returns shown include 12b-1 fees of up to 0.25% and do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or the redemption of Fund shares. |
| 4 | If interest expense had been excluded, the expense ratios would have been lowered by 0.47% for the period July 1, 2021 through September 30, 2021. For the periods ended June 30, 2021, 2020, 2019, 2018 and 2017, the ratios would have been lowered by 0.55%, 0.92%, 0.97%, 0.00% and 0.00%, respectively. |
| 5 | Not annualized. |
| 6 | Annualized. |
See accompanying Notes to Financial Statements.
AXS Alternative Value Fund
FINANCIAL HIGHLIGHTS
Class I*
Per share operating performance.
For a capital share outstanding throughout each period.
| | | For the Period July 1, 2021 through September | | | For the Year Ended June 30, | | | For the Period October 3, 2016*** through June | |
| | | 30, 2021** | | | 2021 | | | 2020 | | | 2019 | | | 2018 | | | 30, 2017 | |
| Net asset value, beginning of period | | $ | 10.58 | | | $ | 8.16 | | | $ | 9.43 | | | $ | 10.25 | | | $ | 10.80 | | | $ | 10.00 | |
| Income from Investment Operations: | | | | | | | | | | | | | | | | | | | | | | | | |
| Net investment income 1 | | | 0.03 | | | | 0.08 | | | | 0.13 | | | | 0.18 | | | | 0.20 | | | | 0.06 | |
| Net realized and unrealized gain (loss) | | | (0.28 | ) | | | 3.42 | | | | (0.66 | ) | | | 0.82 | | | | 1.23 | | | | 0.75 | |
| Total from investment operations | | | (0.25 | ) | | | 3.50 | | | | (0.53 | ) | | | 1.00 | | | | 1.43 | | | | 0.81 | |
| | | | | | | | | | | | | | | | | | | | | | | | | |
| Less Distributions: | | | | | | | | | | | | | | | | | | | | | | | | |
| From net investment income | | | - | | | | (1.08 | ) | | | (0.09 | ) | | | (0.19 | ) | | | (0.19 | ) | | | (0.01 | ) |
| From net realized gain | | | - | | | | - | | | | (0.65 | ) | | | (1.63 | ) | | | (1.79 | ) | | | - | |
| Total distributions | | | - | | | | (1.08 | ) | | | (0.74 | ) | | | (1.82 | ) | | | (1.98 | ) | | | (0.01 | ) |
| | | | | | | | | | | | | | | | | | | | | | | | | |
| Redemption fee proceeds | | | - | | | | - | 2 | | | - | | | | - | | | | - | | | | - | |
| | | | | | | | | | | | | | | | | | | | | | | | | |
| Net asset value, end of period | | $ | 10.33 | | | $ | 10.58 | | | $ | 8.16 | | | $ | 9.43 | | | $ | 10.25 | | | $ | 10.80 | |
| | | | | | | | | | | | | | | | | | | | | | | | | |
| Total return3 | | | (2.36 | )%5 | | | 45.36 | % | | | (6.67 | )% | | | 12.56 | % | | | 13.87 | % | | | 8.09 | %5 |
| | | | | | | | | | | | | | | | | | | | | | | | | |
| Ratios and Supplemental Data: | | | | | | | | | | | | | | | | | | | | | | | | |
| Net assets, end of period (in thousands) | | $ | 771 | | | $ | 684 | | | $ | 10,766 | | | $ | 19,947 | | | $ | 25,014 | | | $ | 40,514 | |
| | | | | | | | | | | | | | | | | | | | | | | | | |
| Ratio of expenses to average net assets (including interest expense): | | | | | | | | | | | | | | | | | | | | | | | | |
| Before fees waived and expenses absorbed4 | | | 7.88 | %6 | | | 13.16 | % | | | 2.62 | % | | | 2.71 | % | | | 1.37 | % | | | 1.27 | %6 |
| After fees waived and expenses absorbed4 | | | 1.32 | %6 | | | 1.40 | % | | | 1.77 | % | | | 1.82 | % | | | 0.85 | % | | | 0.85 | %6 |
| Ratio of net investment income (loss) to average net assets (including interest expense): | | | | | | | | | | | | | | | | | | | | | | | | |
| Before fees waived and expenses absorbed | | | (5.30 | )%6 | | | (10.81 | )% | | | 2.26 | % | | | 2.53 | % | | | 1.62 | % | | | 1.46 | %6 |
| After fees waived and expenses absorbed | | | 1.26 | %6 | | | 0.95 | % | | | 1.41 | % | | | 1.64 | % | | | 1.10 | % | | | 1.04 | %6 |
| | | | | | | | | | | | | | | | | | | | | | | | | |
| Portfolio turnover rate | | | 6 | %5 | | | 50 | % | | | 74 | % | | | 64 | % | | | 84 | % | | | 24 | %5 |
| * | Financial information from October 3, 2016 through March 5, 2021 is for the AXS Alternative Value Fund (formerly, Cognios Large Cap Value Fund), which was reorganized into the AXS Alternative Value Fund as of the close of business on March 5, 2021. See Note 1 in the accompanying Notes to Financial Statements. |
| ** | Fiscal year end changed to September 30, effective July 1, 2021. |
| *** | Commencement of operations. |
| 1 | Calculated based on average shares outstanding for the period. |
| 2 | Amount represents less than $0.01 per share. |
| 3 | Total returns would have been lower had fees not been waived or absorbed by the Advisor. These returns do not reflect the deduction of taxes that a shareholder would pay on the Fund distributions or redemption of Fund shares. |
| 4 | If interest expense had been excluded, the expense ratios would have been lowered by 0.47% for the period July 1, 2021 through September 30, 2021. For the periods ended June 30, 2021, 2020, 2019, 2018 and 2017, the ratios would have been lowered by 0.55%, 0.92%, 0.97%, 0.00% and 0.00%, respectively. |
| 5 | Not annualized. |
| 6 | Annualized. |
See accompanying Notes to Financial Statements.
AXS Market Neutral Fund
FINANCIAL HIGHLIGHTS
Investor Class*
Per share operating performance.
For a capital share outstanding throughout each period.
| | | For the Period July 1, 2021 through September | | | For the Year Ended June 30, | | | For the Period October 1, 2017 through June | | | For the Year Ended September 30, | |
| | | 30, 2021** | | | 2021 | | | 2020 | | | 2019 | | | 30, 2018 | | | 2017 | | | 2016 | |
| Net asset value, beginning of period | | $ | 10.06 | | | $ | 10.15 | | | $ | 10.00 | | | $ | 10.31 | | | $ | 9.32 | | | $ | 9.93 | | | $ | 9.68 | |
| Income from Investment Operations: | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| Net investment loss1 | | | (0.04 | ) | | | (0.15 | ) | | | (0.11 | ) | | | (0.05 | ) | | | (0.08 | ) | | | (0.13 | ) | | | (0.15 | ) |
| Net realized and unrealized gain (loss) | | | (0.08 | ) | | | 0.06 | | | | 0.26 | | | | (0.26 | ) | | | 1.07 | | | | (0.33 | ) | | | 0.45 | |
| Total from investment operations | | | (0.12 | ) | | | (0.09 | ) | | | 0.15 | | | | (0.31 | ) | | | 0.99 | | | | (0.46 | ) | | | 0.30 | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| Less Distributions: | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| From net realized gain | | | - | | | | - | | | | - | | | | - | | | | - | | | | (0.15 | ) | | | (0.05 | ) |
| Total distributions | | | - | | | | - | | | | - | | | | - | | | | - | | | | (0.15 | ) | | | (0.05 | ) |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| Redemption fee proceeds1 | | | - | | | | - | 2 | | | - | | | | - | | | | - | | | | - | | | | - | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| Net asset value, end of period | | $ | 9.94 | | | $ | 10.06 | | | $ | 10.15 | | | $ | 10.00 | | | $ | 10.31 | | | $ | 9.32 | | | $ | 9.93 | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| Total return3 | | | (1.19 | )%5 | | | (0.89 | )% | | | 1.50 | % | | | (3.01 | )% | | | 10.62 | %5 | | | (4.65 | )% | | | 3.15 | % |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| Ratios and Supplemental Data: | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| Net assets, end of period (in thousands) | | $ | 2,042 | | | $ | 2,188 | | | $ | 7,155 | | | $ | 17,931 | | | $ | 19,771 | | | $ | 22,997 | | | $ | 43,779 | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| Ratio of expenses to average net assets (including dividends on securities sold short and interest expense): | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| Before fees waived and expenses absorbed4 | | | 5.36 | %6 | | | 5.97 | % | | | 4.86 | % | | | 4.27 | % | | | 4.09 | %6 | | | 3.87 | % | | | 4.07 | % |
| After fees waived and expenses absorbed4 | | | 4.36 | %6 | | | 4.22 | % | | | 4.34 | % | | | 3.88 | % | | | 3.66 | %6,7 | | | 3.72 | % | | | 3.80 | % |
| Ratio of net investment loss to average net assets (including dividends on securities sold short and interest expense): | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| Before fees waived and expenses absorbed | | | (2.67 | )%6 | | | (3.21 | )% | | | (1.61 | )% | | | (0.65 | )% | | | (1.41 | )%6 | | | (1.57 | )% | | | (1.80 | )% |
| After fees waived and expenses absorbed | | | (1.67 | )%6 | | | (1.46 | )% | | | (1.09 | )% | | | (0.26 | )% | | | (0.98 | )%6 | | | (1.42 | )% | | | (1.53 | )% |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| Portfolio turnover rate | | | 15 | %5 | | | 91 | % | | | 137 | % | | | 159 | % | | | 104 | %5 | | | 277 | % | | | 250 | % |
| * | Financial information for the year ended September 30, 2016 through March 5, 2021 is for the AXS Market Neutral Fund (formerly, Cognios Market Neutral Large Cap Fund), which was reorganized into the AXS Market Neutral Fund as of the close of business on March 5, 2021. See Note 1 in the accompanying Notes to Financial Statements. |
| ** | Fiscal year end changed to September 30, effective July 1, 2021. |
| 1 | Calculated based on average shares outstanding for the period. |
| 2 | Amount represents less than $0.01 per share. |
| 3 | Total returns would have been lower had expenses not been waived or absorbed by the Advisor. Returns shown include 12b-1 fees of up to 0.25% and do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or the redemption of Fund shares. |
| 4 | If interest expense and dividends on securities sold short had been excluded, the expense ratios would have been lowered by 2.66% for the period ended September 30, 2021. For the periods ended June 30, 2021, 2020, 2019, 2018 and the periods ended September 30, 2017 and 2016, the ratios would have been lowered by 2.52%, 2.64%, 2.19%, 1.79%, 1.77% and 1.85%, respectively. |
| 5 | Not annualized. |
| 6 | Annualized. |
| 7 | Contractual expense limitation changed from 1.95% to 1.70% effective May 5, 2018. |
See accompanying Notes to Financial Statements.
AXS Market Neutral Fund
FINANCIAL HIGHLIGHTS
Class I*
Per share operating performance.
For a capital share outstanding throughout each period.
| | | For the Period July 1, 2021 through September | | | For the Year Ended June 30, | | | For the Period October 1, 2017 through June | | | For the Year Ended September 30, | |
| | | 30, 2021** | | | 2021 | | | 2020 | | | 2019 | | | 30, 2018 | | | 2017 | | | 2016 | |
| Net asset value, beginning of period | | $ | 10.28 | | | $ | 10.35 | | | $ | 10.17 | | | $ | 10.46 | | | $ | 9.44 | | | $ | 10.02 | | | $ | 9.76 | |
| Income from Investment Operations: | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| Net investment income (loss)1 | | | (0.04 | ) | | | (0.12 | ) | | | (0.08 | ) | | | 0.01 | | | | (0.05 | ) | | | (0.11 | ) | | | (0.13 | ) |
| Net realized and unrealized gain (loss) | | | (0.09 | ) | | | 0.05 | | | | 0.26 | | | | (0.30 | ) | | | 1.07 | | | | (0.32 | ) | | | 0.44 | |
| Total from investment operations | | | (0.13 | ) | | | (0.07 | ) | | | 0.18 | | | | (0.29 | ) | | | 1.02 | | | | (0.43 | ) | | | 0.31 | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| Less Distributions: | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| From net realized gain | | | - | | | | - | | | | - | | | | - | | | | - | | | | (0.15 | ) | | | (0.05 | ) |
| Total distributions | | | - | | | | - | | | | - | | | | - | | | | - | | | | (0.15 | ) | | | (0.05 | ) |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| Redemption fee proceeds | | | - | | | | - | 2 | | | - | | | | - | | | | - | | | | - | | | | - | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| Net asset value, end of period | | $ | 10.15 | | | $ | 10.28 | | | $ | 10.35 | | | $ | 10.17 | | | $ | 10.46 | | | $ | 9.44 | | | $ | 10.02 | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| Total return3 | | | (1.26 | )%5 | | | (0.68 | )% | | | 1.77 | % | | | (2.77 | )% | | | 10.81 | %5 | | | (4.31 | )% | | | 3.23 | % |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| Ratios and Supplemental Data: | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| Net assets, end of period (in thousands) | | $ | 7,493 | | | $ | 9,537 | | | $ | 31,433 | | | $ | 74,525 | | | $ | 44,363 | | | $ | 38,856 | | | $ | 113,499 | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| Ratio of expenses to average net assets (including dividends on securities sold short and interest expense): | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| Before fees waived and expenses absorbed4 | | | 5.11 | %6 | | | 5.72 | % | | | 4.61 | % | | | 4.02 | % | | | 3.84 | %6 | | | 3.62 | % | | | 3.83 | % |
| After fees waived and expenses absorbed4 | | | 4.11 | %6 | | | 3.97 | % | | | 4.09 | % | | | 3.63 | % | | | 3.41 | %6,7 | | | 3.47 | % | | | 3.55 | % |
| Ratio of net investment loss to average net assets (including dividends on securities sold short and interest expense): | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| Before fees waived and expenses absorbed | | | (2.42 | )%6 | | | (2.96 | )% | | | (1.36 | )% | | | (0.40 | )% | | | (1.16 | )%6 | | | (1.29 | )% | | | (1.58 | )% |
| After fees waived and expenses absorbed | | | (1.42 | )%6 | | | (1.21 | )% | | | (0.84 | )% | | | (0.01 | )% | | | (0.73 | )%6 | | | (1.14 | )% | | | (1.30 | )% |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| Portfolio turnover rate | | | 15 | %5 | | | 91 | % | | | 137 | % | | | 159 | % | | | 104 | %5 | | | 277 | % | | | 250 | % |
| * | Financial information for the year ended September 30, 2016 through March 5, 2021 is for the AXS Market Neutral Fund (formerly, Cognios Market Neutral Large Cap Fund), which was reorganized into the AXS Market Neutral Fund as of the close of business on March 5, 2021. See Note 1 in the accompanying Notes to Financial Statements. |
| ** | Fiscal year end changed to September 30, effective July 1, 2021. |
| 1 | Calculated based on average shares outstanding for the period. |
| 2 | Amount represents less than $0.01 per share. |
| 3 | Total returns would have been lower had fees not been waived or absorbed by the Advisor. These returns do not reflect the deduction of taxes that a shareholder would pay on the Fund distributions or redemption of Fund shares. |
| 4 | If interest expense and dividends on securities sold short had been excluded, the expense ratios would have been lowered by 2.66% for the period ended September 30, 2021. For the periods ended June 30, 2021, 2020, 2019, 2018 and the periods ended September 30, 2017 and 2016, the ratios would have been lowered by 2.52%, 2.64%, 2.19%, 1.79%, 1.77% and 1.85%, respectively. |
| 5 | Not annualized. |
| 6 | Annualized. |
| 7 | Contractual expense limitation changed from 1.75% to 1.45% effective May 5, 2018. |
See accompanying Notes to Financial Statements.
AXS Funds
NOTES TO FINANCIAL STATEMENTS
September 30, 2021
Note 1 – Organization
AXS All Terrain Opportunity Fund (the “All Terrain Opportunity Fund”), AXS Merger Fund (the “Merger Fund”), AXS Alternative Value Fund (the ‘‘Alternative Value Fund’’) and AXS Market Neutral Fund (the “Market Neutral Fund”) (each a “Fund” and collectively the ‘‘Funds’’) are organized as a series of Investment Managers Series Trust II, a Delaware statutory trust (the “Trust”) which is registered as an open-end management investment company under the Investment Company Act of 1940, as amended (the “1940 Act”). The Merger Fund is a non-diversified fund. The All Terrain Opportunity Fund, Alternative Value Fund and Market Neutral Fund are diversified funds.
The All Terrain Opportunity Fund seeks to provide capital appreciation with positive returns in all market conditions. Effective August 1, 2021, the All Terrain Opportunity Fund changed fiscal year end from October 31 to September 30.
The All Terrain Opportunity Fund commenced investment operations on November 3, 2014, with three classes of shares: Class A, Class C and Class I. Class I shares were liquidated on December 4, 2015. Class C shares were re-designated to Class I shares on August 29, 2016 and were subsequently liquidated on September 30, 2016. Class A shares were re-designated to Institutional Class on September 16, 2016.
The Merger Fund’s investment objective seeks to achieve positive risk-adjusted returns with less volatility than in the equity markets. Effective January 1, 2021, the Merger Fund changed fiscal year end from December 31 to September 30.
The Merger Fund commenced investment operations on January 25, 2021 with Investor Class shares and Class I shares. Prior to that date, the Merger Fund acquired the assets and assumed the liabilities of the Kellner Merger Fund (the "Merger Predecessor Fund"), a series of Advisors Series Trust, which offered two classes of shares, Investor Class shares and Institutional Class shares, in a tax-free reorganization as set out in the Agreement and Plan of Reorganization. The proposed Plan of Reorganization was approved by the Trust’s Board on October 20, 2020, by the Board of Advisors Series Trust on October 23, 2020, and by beneficial owners of the Merger Predecessor Fund on January 15, 2021. The tax-free reorganization was accomplished on January 22, 2021. As a result of the reorganization, the Merger Fund assumed the performance and accounting history of the Merger Predecessor Fund. Financial information included for the dates prior to the reorganization is that of the Merger Predecessor Fund.
The reorganization was accomplished by the following tax-free exchange in which each shareholder of the Merger Predecessor Fund received the same aggregate share net asset value in the corresponding classes as noted below:
| | | Shares Issued | | | Net Assets | |
| Investor Class | | | 158,344 | | | $ | 1,639,685 | |
| Class I | | | 9,122,919 | | | $ | 97,119,730 | |
The net unrealized appreciation of investments transferred was $372,944 as of the date of the acquisition.
The Alternative Value Fund’s investment objective is to seek long-term growth of capital. Effective July 1, 2021, the Alternative Value Fund changed fiscal year end from June 30 to September 30.
The Alternative Value Fund commenced investment operations on March 8, 2021 with Class I shares and Investor Class shares. Prior to that date, the Alternative Value Fund acquired the assets and assumed the liabilities of the AXS Alternative Value Fund (formerly, Cognios Large Cap Value Fund) (the "Alternative Value Predecessor Fund"), a series of M3Sixty Funds Trust, which offered two classes of shares, Investor Class shares and Institutional Class shares, in a tax-free reorganization as set out in the Agreement and Plan of Reorganization. The proposed Plan of Reorganization was approved by the Trust’s Board on October 20, 2020, by the Board of M3Sixty Funds Trust on October 20, 2020, and by beneficial owners of the Alternative Value Predecessor Fund on February 26, 2021. The tax-free reorganization was accomplished on March 5, 2021. As a result of the reorganization, the Alternative Value Fund assumed the performance and accounting history of the Alternative Value Predecessor Fund. Financial information included for the dates prior to the reorganization is that of the Alternative Value Predecessor Fund.
AXS Funds
NOTES TO FINANCIAL STATEMENTS - Continued
September 30, 2021
The reorganization was accomplished by the following tax-free exchange in which each shareholder of the Alternative Value Predecessor Fund received the same aggregate share net asset value in the corresponding classes as noted below:
| | | Shares Issued | | | Net Assets | |
| Investor Class | | | 53,742 | | | $ | 497,821 | |
| Institutional Class | | | 65,608 | | | $ | 606,912 | |
The net unrealized appreciation of investments transferred was $143,049 as of the date of the acquisition.
The Market Neutral Fund’s investment objective is to seek long-term growth of capital independent of stock market direction. Effective July 1, 2021, the Market Neutral Fund changed fiscal year end from June 30 to September 30.
The Market Neutral Fund commenced investment operations on March 8, 2021 with Class I shares and Investor Class shares. Prior to that date, the Market Neutral Fund acquired the assets and assumed the liabilities of the AXS Market Neutral Fund (formerly, Cognios Market Neutral Large Cap Fund) (the “Market Neutral Predecessor Fund”), a series of M3Sixty Funds Trust, which offered two class of shares, Investor Class shares and Institutional Class shares in a tax-free reorganization as set out in the Agreement and Plan of Reorganization. The proposed Plan of Reorganization was approved by the Trust’s Board on October 20, 2020, by the Board of M3Sixty Funds Trust on October 20, 2020, and by beneficial owners of the Market Neutral Predecessor Fund on March 3, 2021. The tax-free reorganization was accomplished on March 5, 2021. As a result of the reorganization, the Market Neutral Fund assumed the performance and accounting history of the Market Neutral Predecessor Fund. Financial information included for the dates prior to the reorganization is that of the Market Neutral Predecessor Fund.
The reorganization was accomplished by the following tax-free exchange in which each shareholder of the Market Neutral Predecessor Fund received the same aggregate share net asset value in the corresponding classes as noted below:
| | | Shares Issued | | | Net Assets | |
| Investor Class | | | 246,342 | | | $ | 2,334,398 | |
| Institutional Class | | | 1,189,884 | | | $ | 11,511,835 | |
The net unrealized appreciation of investments transferred was $735,813 as of the date of the acquisition.
The shares of each class of each Fund represent an interest in the same portfolio of investments of each particular Fund and have equal rights as to voting, redemptions, dividends and liquidation, subject to the approval of the Trustees. Income, expenses (other than expenses attributable to a specific class) and realized and unrealized gains and losses on investments are allocated to each class of shares in proportion to their relative net assets. Shareholders of a class that bears distribution and service expenses under the terms of a distribution plan have exclusive voting rights to that distribution plan.
AXS Funds
NOTES TO FINANCIAL STATEMENTS - Continued
Each Fund is an investment company and accordingly follows the investment company accounting and reporting guidance of the Financial Accounting Standards Board (FASB) Accounting Standard Codification Topic 946 “Financial Services—Investment Companies.”
Note 2 – Accounting Policies
The following is a summary of the significant accounting policies consistently followed by the Funds in the preparation of their financial statements. The preparation of financial statements in conformity with accounting principles generally accepted in the United States of America (“GAAP”) requires management to make estimates and assumptions that affect the reported amounts and disclosures in the financial statements. Actual results could differ from these estimates.
(a) Valuation of Investments
The Funds value equity securities at the last reported sale price on the principal exchange or in the principal over the counter (“OTC”) market in which such securities are traded, as of the close of regular trading on the NYSE on the day the securities are being valued or, if the last-quoted sales price is not readily available, the securities will be valued at the last bid or the mean between the last available bid and ask price. Securities traded on the NASDAQ are valued at the NASDAQ Official Closing Price (“NOCP”). Investments in open-end investment companies are valued at the daily closing net asset value of the respective investment company. Debt securities are valued by utilizing a price supplied by independent pricing service providers. The independent pricing service providers may use various valuation methodologies including matrix pricing and other analytical pricing models as well as market transactions and dealer quotations. These models generally consider such factors as yields or prices of bonds of comparable quality, type of issue, coupon, maturity, ratings and general market conditions. If a price is not readily available for a portfolio security, the security will be valued at fair value (the amount which the Funds might reasonably expect to receive for the security upon its current sale) as determined in good faith by the Funds’ advisor, subject to review and approval by the Valuation Committee, pursuant to procedures adopted by the Board of Trustees. The actions of the Valuation Committee are subsequently reviewed by the Board at its next regularly scheduled board meeting. The Valuation Committee meets as needed. The Valuation Committee is comprised of all the Trustees, but action may be taken by any one of the Trustees.
(b) Foreign Currency Translation
The Funds’ records are maintained in U.S. dollars. The value of securities, currencies and other assets and liabilities denominated in currencies other than U.S. dollars are translated into U.S. dollars based upon foreign exchange rates prevailing at the end of the reporting period. The currencies are translated into U.S. dollars by using the exchange rates quoted as of 4:00 PM Eastern Standard Time. Purchases and sales of investment securities, income and expenses are translated on the respective dates of such transactions.
The Funds do not isolate that portion of their net realized and unrealized gains and losses on investments resulting from changes in foreign exchange rates from the impact arising from changes in market prices. Such fluctuations are included with net realized and unrealized gain or loss from investments and foreign currency.
Net realized foreign currency transaction gains and losses arise from sales of foreign currencies, currency gains or losses realized between the trade and settlement dates on securities transactions, and the differences between the amounts of dividends, interest, and foreign withholding taxes recorded on the Funds’ books and the U.S. dollar equivalent of the amounts actually received or paid. Net unrealized foreign currency translation gains and losses arise from changes in the value of assets and liabilities, other than investments in securities, resulting from changes in the exchange rates.
AXS Funds
NOTES TO FINANCIAL STATEMENTS - Continued
September 30, 2021
(c) Short Sales
Short sales are transactions in which the Funds sell a security they do not own in anticipation of a decline in the value of that security. To complete such a transaction, the Funds must borrow the security to make delivery to the buyer. The Funds then are obligated to replace the security borrowed by purchasing the security at market price at the time of replacement. The price at such time may be more or less than the price at which the security was sold by the Funds. When a security is sold short, a decrease in the value of the security will be recognized as a gain and an increase in the value of the security will be recognized as a loss, which is potentially limitless. Until the security is replaced, the Funds are required to pay the lender amounts equal to dividend or interest that accrue during the period of the loan which is recorded as an expense. To borrow the security, the Funds also may be required to pay a premium or an interest fee, which are recorded as interest expense. Cash or securities are segregated for the broker to meet the necessary margin requirements. The Funds are subject to the risk that they may not always be able to close out a short position at a particular time or at an acceptable price.
(d) Options
The Funds may write or purchase options contracts primarily to generate gains from option premiums or to reduce overall portfolio risk. When the Fund writes or purchases an option, an amount equal to the premium received or paid by the Fund is recorded as a liability or an asset and is subsequently adjusted to the current market value of the option written or purchased. Premiums received or paid from writing or purchasing options which expire unexercised are treated by the Fund on the expiration date as realized gains or losses. The difference between the premium and the amount paid or received on effecting a closing purchase or sale transaction, including brokerage commissions, is also treated as a realized gain or loss. If an option is exercised, the premium paid or received is added to the cost of the purchase or proceeds from the sale in determining whether the Fund has realized a gain or a loss on investment transactions. The Fund, as a writer of an option, may have no control over whether the underlying securities may be sold (call) or purchased (put) and as a result bears the market risk of an unfavorable change in the price of the security underlying the written option.
(e) Investment Transactions, Investment Income and Expenses
Investment transactions are accounted for on the trade date. Realized gains and losses on investments are determined on the identified cost basis. Dividend income is recorded net of applicable withholding taxes on the ex-dividend date and interest income is recorded on an accrual basis. Withholding taxes on foreign dividends, if applicable, are paid (a portion of which may be reclaimable) or provided for in accordance with the applicable country’s tax rules and rates and are disclosed in the Statement of Operations. Withholding tax reclaims are filed in certain countries to recover a portion of the amounts previously withheld. The Funds record a reclaim receivable based on a number of factors, including a jurisdiction’s legal obligation to pay reclaims as well as payment history and market convention. Income and expenses of the Funds are allocated on a pro rata basis to each class of shares net relative assets, except for distribution and service fees which are unique to each class of shares. Expenses incurred by the Trust with respect to more than one fund are allocated in proportion to the net assets of each fund except where allocation of direct expenses to each fund or an alternative allocation method can be more appropriately made.
(f) Federal Income Tax
The Funds intend to comply with the requirements of Subchapter M of the Internal Revenue Code applicable to regulated investment companies and to distribute substantially all of their net investment income and any net realized gains to their shareholders. Therefore, no provision is made for federal income or excise taxes. Due to the timing of dividend distributions and the differences in accounting for income and realized gains and losses for financial statement and federal income tax purposes, the fiscal year in which amounts are distributed may differ from the year in which the income and realized gains and losses are recorded by the Funds.
AXS Funds
NOTES TO FINANCIAL STATEMENTS - Continued
September 30, 2021
Accounting for Uncertainty in Income Taxes (the “Income Tax Statement”) requires an evaluation of tax positions taken (or expected to be taken) in the course of preparing a Fund’s tax returns to determine whether these positions meet a “more-likely-than-not” standard that, based on the technical merits, have a more than fifty percent likelihood of being sustained by a taxing authority upon examination. A tax position that meets the “more-likely-than-not” recognition threshold is measured to determine the amount of benefit to recognize in the financial statements. The Funds recognize interest and penalties, if any, related to unrecognized tax benefits as income tax expense in the Statements of Operations.
The Income Tax Statement requires management of the Funds to analyze tax positions taken in the prior three open tax years, if any, and tax positions expected to be taken in the Funds’ current tax year, as defined by the IRS statute of limitations for all major jurisdictions, including federal tax authorities and certain state tax authorities. As of September 30, 2021, and during the prior three open tax years, the Funds did not have a liability for any unrecognized tax benefits. The Funds have no examinations in progress and are not aware of any tax positions for which it is reasonably possible that the total amounts of unrecognized tax benefits will significantly change in the next twelve months.
(g) Distributions to Shareholders
The All Terrain Fund will make distributions of net investment income quarterly and net capital gains, if any, at least annually. The Merger Fund, Alternative Value Fund, and Market Neutral Fund will make distributions of net investment income and net capital gains, if any, at least annually. Distributions to shareholders are recorded on the ex-dividend date. The amount and timing of distributions are determined in accordance with federal income tax regulations, which may differ from GAAP.
The character of distributions made during the year from net investment income or net realized gains may differ from the characterization for federal income tax purposes due to differences in the recognition of income, expense and gain (loss) items for financial statement and tax purposes.
(h) Illiquid Securities
Pursuant to Rule 22e-4 under the 1940 Act, the Funds have adopted a Liquidity Risk Management Program (“LRMP”) that requires, among other things, that the Funds limit their illiquid investments that are assets to no more than 15% of net assets. An illiquid investment is any security which may not reasonably be expected to be sold or disposed of in current market conditions in seven calendar days or less without the sale or disposition significantly changing the market value of the investment. If the Advisor, at any time, determines that the value of illiquid securities held by the Funds exceed 15% of its net asset value, the Advisor will take such steps as it considers appropriate to reduce them as soon as reasonably practicable in accordance with the Funds’ written LRMP.
(i) Exchange Traded Funds (“ETFs”)
ETFs typically trade on securities exchanges and their shares may, at times, trade at a premium or discount to their net asset values. In addition, an ETF may not replicate exactly the performance of the benchmark index it seeks to track for a number of reasons, including transaction costs incurred by the ETF, the temporary unavailability of certain index securities in the secondary market or discrepancies between the ETF and the index with respect to the weighting of securities or the number of securities held. Investing in ETFs, which are investment companies, may involve duplication of advisory fees and certain other expenses. As a result, Fund shareholders indirectly bear their proportionate share of these acquired expenses. Therefore, the cost of investing in the Fund will be higher than the cost of investing directly in ETFs and may be higher than other mutual funds that invest directly in securities.
AXS Funds
NOTES TO FINANCIAL STATEMENTS - Continued
September 30, 2021
Each ETF in which the Funds invest is subject to specific risks, depending on the nature of the ETF. Each ETF is subject to the risks associated with direct ownership of the securities comprising the index on which the ETF is based. These risks could include liquidity risk, sector risk as well as risks associated with fixed-income securities.
Note 3 – Investment Advisory and Other Agreements
The Trust, on behalf of the Funds, entered into an Investment Advisory Agreement (the “Agreement”) with AXS Investments LLC (the “Advisor”). Under the terms of the Agreement, the Funds pay twice a month investment advisory fee to the Advisor. The annual rates are listed by Fund in the table below:
| Fund | Investment Advisory Fees | Investment Advisory Fees Tier 2 | Investment Advisory Fees Tier 3 |
| All Terrain Opportunity Fund | 1.40% | - | - |
| Merger Fund | 1.25%* | 1.125%** | 1.00%*** |
| Alternative Value Fund | 0.65% | - | - |
| Market Neutral Fund | 1.40% | - | - |
| * | Fund’s average daily net assets up to $2 billion. |
| ** | Fund’s average daily net assets between $2 billion and $4 billion. |
| *** | Fund’s average daily net assets in excess of $4 billion. |
The Advisor has contractually agreed to waive its fee and, if necessary, to absorb other operating expenses to ensure that total annual operating expenses (excluding any taxes, leverage interest, brokerage commissions, dividend and interest expenses on short sales, acquired fund fees and expenses as determined in accordance with Form N-1A, expenses incurred in connection with any merger or reorganization, and extraordinary expenses such as litigation expenses) in order to limit total annual operating expenses of each fund. These agreements are in effect until February 28, 2022 for the All Terrain Opportunity Fund, January 22, 2023 for the Merger Fund and March 5, 2023 for the Alternative Value Fund and the Market Neutral Fund, respectively, and they may be terminated before that date only by the Trust’s Board of Trustees. The table below contains the expense cap by Fund and by Class.
| | Total Limit on Annual |
| | Operating Expenses |
| | Investor Class Shares | Class I Shares | Institutional Class Shares |
| All Terrain Opportunity Fund | - | - | 1.60% |
| Merger Fund | 1.75% | 1.50% | - |
| Alternative Value Fund | 1.10% | 0.85% | - |
| Market Neutral Fund | 1.70% | 1.45% | - |
The Advisor has engaged Kellner Management, L.P. (“Kellner”) to manage the Merger Fund’s overall investment program and pays Kellner from its advisory fees. The Advisor has engaged Quantitative Value Technologies, LLC d/b/a Cognios Capital (the “Cognios”) to manage the Alternative Value Fund and the Market Neutral Fund and pays Cognios from its advisory fees.
AXS Funds
NOTES TO FINANCIAL STATEMENTS - Continued
September 30, 2021
Prior to October 26, 2020, Castle Financial & Retirement Planning Associates, Inc. (“Castle Financial”) and Foothill Capital Management, LLC (“FCM”) served as co-investment advisors for the All Terrain Opportunity Fund. Under the terms of the prior co-advisory agreement, the All Terrain Opportunity Fund paid a monthly investment advisory fee to Castle Financial and FCM and at the annual rate of 0.56%, and 0.84%, respectively, of the All Terrain Opportunity Fund’s average daily net assets.
For the period November 1, 2020 through September 30, 2021, the Advisor waived a portion of its advisory fees totaling $116,052 for the All Terrain Opportunity Fund. The Advisor may recover from the All Terrain Opportunity Fund fees and/or expenses previously waived and/or absorbed if the All Terrain Opportunity Fund’s expense ratio, including the recovered expenses, falls below the expense limit at which they were waived. The All Terrain Opportunity Fund’s advisor is permitted to seek reimbursement from the All Terrain Opportunity Fund, subject to certain limitations, of fees waived or payments made to the All Terrain Opportunity Fund for a period ending three full years after the date of the waiver or payment. This reimbursement may be requested from the All Terrain Opportunity Fund if the reimbursement will not cause the All Terrain Opportunity Fund’s annual expense ratio to exceed the lesser of (a) the expense limitation amount in effect at the time such fees were waived or payments made, or (b) the expense limitation amount in effect at the time of the reimbursement. At September 30, 2021, the amount of these potentially recoverable expenses was $119,655. The Advisor may recapture all or a portion of this amount no later than the stated dates below:
| October 31, 2023 | | $ | 3,603 | |
| September 30, 2024 | | | 116,052 | |
| Total | | $ | 119,655 | |
Prior to the close of business on January 22, 2021, investment advisory services were provided to the Merger Predecessor Fund by Kellner, which received investment management fees for its services pursuant to the terms of the investment advisory agreements for the Merger Predecessor Fund. The investment advisory fees were computed and accrued daily and paid monthly at an annual rate of 1.25% of the Merger Fund’s average daily net assets up to $2 billion in assets, 1.125% on assets between $2 billion to $4 billion, and 1.00% on assets in excess of $4 billion. The Merger Predecessor’s advisor had contractually agreed to waive its fees and/or pay for operating expenses of the Merger Predecessor Fund to ensure that total annual fund operating expenses (excluding any taxes, leverage interest, brokerage commissions, dividend and interest expenses on short sales, Rule 12b-1 fees, acquired fund fees and expenses (as determined in accordance with SEC Form N-1A), expenses incurred in connection with any merger or reorganization, and extraordinary expenses such as litigation expenses) do not exceed 1.50% of the average daily net assets of the Predecessor Fund.
For the period January 23, 2021 through September 30, 2021, the Advisor waived advisory fees and absorbed other expenses totaling $91,243 for the Merger Fund. The Advisor is permitted to seek reimbursement from the Merger Fund, subject to certain limitations, of fees waived or payments made to the Merger Fund for a period ending three years after the date of the waiver or payment. This reimbursement may be requested from the Merger Fund if the reimbursement will not cause the Merger Fund’s annual expense ratio to exceed the lesser of (a) the expense limitation amount in effect at the time such fees were waived or payments made, or (b) the expense limitation amount in effect at the time of the reimbursement. The Advisor may recapture all or a portion of this amount no later than September 30 of the year stated below:
| 2024 | | $ | 91,243 | |
| Total | | $ | 91,243 | |
AXS Funds
NOTES TO FINANCIAL STATEMENTS - Continued
September 30, 2021
Kellner is permitted to seek reimbursement, subject to certain limitations, of fees waived or payments made by Kellner to the Merger Predecessor Fund prior to the Merger Predecessor Fund’s reorganization on January 22, 2021, for a period ending three years after the date of the waiver of payment. This reimbursement may be requested from the Merger Fund if the reimbursement will not cause the Merger Fund’s annual expense ratio to exceed the lesser of (a) the expense limitation amount in effect at the time such fees were waived or payments made, or (b) the expense limitation amount in effect at the time of the reimbursement. Reimbursements of fees waived or payments made will be made on a “first in, first out” basis so that the oldest fees waived or payments are satisfied first. Any reimbursement of fees waived or payments made by Kellner to the predecessor fund prior to the reorganization must be approved by the Trust’s Board of Trustees. Kellner may recapture all or a portion of this amount no later than dates stated below:
| December 31, 2023 | | $ | 53,286 | |
| January 31, 2024 | | | 24,404 | |
| Total | | $ | 77,690 | |
Prior to the close of business on March 5, 2021, investment advisory services were provided to the Alternative Value Predecessor Fund and Market Neutral Predecessor Fund by Cognios for the period July 1, 2020 through November 30, 2020, and by AXS Investments LLC for the period December 1, 2020 through March 5, 2021, which received investment management fees for their services pursuant to the terms of the investment advisory agreements for the Alternative Value Predecessor Fund and the Market Neutral Predecessor Fund. The investment advisory fees were computed and accrued daily and paid monthly at an annual rate of 0.65% of the Alternative Value Predecessor Fund’s average daily net assets and 1.40% of the Market Neutral Predecessor Fund’s average daily net assets. Cognios and AXS Investments LLC had contractually agreed to waive its fee and, if necessary, to absorb other operating expenses to ensure that total annual operating expenses (excluding any taxes, leverage interest, brokerage commissions, dividend and interest expenses on short sales, acquired fund fees and expenses as determined in accordance with Form N-1A, expenses incurred in connection with any merger or reorganization, and extraordinary expenses such as litigation expenses) do not exceed 1.10% and 0.85% of the average daily net assets of Investor Class and Institutional Class shares, respectively, of the Alternative Value Predecessor Fund and do not exceed 1.70% and 1.45% of the average daily net assets of Investor Class and Institutional Class shares, respectively, of the Market Neutral Predecessor Fund.
For the period July 1, 2021 through September 30, 2021, the Advisor waived advisory fees and absorbed other expenses totaling $22,808 and $27,485 for the Alternative Value and Market Neutral Fund, respectively. The Advisor may recover from the Alternative Value and Market Neutral Funds’ fees and/or expenses previously waived and/or absorbed if the Alternative Value and Market Neutral Funds’ expense ratio, including the recovered expenses, falls below the expense limit at which it was waived. The Alternative Value and Market Neutral Funds’ advisor is permitted to seek reimbursement from each Fund, subject to certain limitations, of fees waived or payments made to the Fund for a period ending three years after the date of the waiver or payment. This reimbursement may be requested from the Funds if the reimbursement will not cause the Alternative Value and Market Neutral Funds’ annual expense ratio to exceed the lesser of (a) the expense limitation amount in effect at the time such fees were waived or payments made, or (b) the expense limitation amount in effect at the time of the reimbursement. The Advisor may recapture all or a portion of this amount no later than the date stated below:
| | | Alternative Value Fund | | | Market Neutral Fund | |
| June 30, 2024 | | $ | 204,502 | | | $ | 255,480 | |
| September 30, 2024 | | | 22,808 | | | | 27,485 | |
| Total | | $ | 227,310 | | | $ | 282,965 | |
AXS Funds
NOTES TO FINANCIAL STATEMENTS - Continued
September 30, 2021
Cognios is permitted to seek reimbursement, subject to certain limitations, of fees waived or payments made by Cognios to the Alternative Value Predecessor Fund and the Market Neutral Predecessor Fund prior to the reorganization on March 5, 2021, for a period ending three years after the date of the waiver of payment Such reimbursement may be requested from each Fund if the reimbursement will not cause the Fund’s annual expense ratios to exceed the lesser of (a) the expense limitation amount in effect at the time such fees were waived or payments made, or (b) the expense limitation amount in effect at the time of the reimbursements. Reimbursements of fees waived or payments made will be made on a “first in, first out” basis so that the oldest fees waived or payments are satisfied first. Any reimbursements of fees waived or payments made by Cognios to the Alternative Value Predecessor Fund and Market Neutral Predecessor Fund prior to the reorganization must be approved by the Trust’s Board of Trustees. Cognios may recapture all or a portion of this amount no later than June 30 of the years of the dates stated below:
| | | Alternative Value Fund | | | Market Neutral Fund | |
| 2022 | | $ | 175,817 | | | $ | 322,356 | |
| 2023 | | | 203,862 | | | | 336,109 | |
| 2024 | | | 85,816 | | | | 130,522 | |
| Total | | $ | 465,495 | | | $ | 788,987 | |
UMB Fund Services, Inc. (“UMBFS”) serves as the Funds’ fund accountant, transfer agent and co-administrator; and Mutual Fund Administration, LLC (“MFAC”) serves as the Funds’ other co-administrator. UMB Bank, N.A., an affiliate of UMBFS, serves as the Funds’ custodian. For the period January 22, 2021 to September 30, 2021, the Merger Fund paid UMBFS $65,837 and UMB Bank, N.A. $12,325. For the period March 6, 2021 to June 30, 2021, the Alternative Value Fund and Market Neutral Fund paid UMBFS $30,626 and $36,336, respectively, and UMB Bank, N.A. $9,420 and $10,907, respectively.
Prior to the close of business on January 22, 2021, Fund Services served as the administrator, fund accountant, and transfer agent to the Merger Predecessor Fund and U.S. Bank N.A. served as the Merger Predecessor Fund’s Custodian. For the period January 1, 2021 to January 22, 2021, the Merger Predecessor Fund paid Fund Services $11,520 and U.S. Bank, N.A. $1,457.
Prior to the close of business on March 5, 2021, M3Sixty Administration, LLC (“M3Sixty”) served as administrator, fund accountant, and transfer agent to the Alternative Value and Market Neutral Predecessor Funds and MUFG Union Bank, N.A. (“MUFG”) served as the Alternative Value and Market Neutral Predecessor Funds’ Custodian. For the period July 1, 2020 to March 5, 2021, the Alternative Value Predecessor Fund and Market Neutral Predecessor Fund paid M3Sixty $73,193 and $113,887, respectively, and MUFG $15,208 and $11,580, respectively.
The Fund’s allocated fees incurred for fund accounting, fund administration, transfer agency and custody services for the periods ended September 30, 2021, are reported on the Statements of Operations.
IMST Distributors, LLC serves as the Funds’ distributor (the “Distributor”). The Distributor does not receive compensation from the Funds for its distribution services; the Advisor pays the Distributor a fee for its distribution related services.
Prior to the close of business on January 22, 2021, Compass Distributors, LLC served as the Merger Predecessor Fund’s distributor. Prior to the close of business on March 5, 2021, ALPS Distributors, Inc. (“ALPS”) served as distributor to the Alternative Value and Market Neutral Predecessor Funds.
AXS Funds
NOTES TO FINANCIAL STATEMENTS - Continued
September 30, 2021
Certain trustees and officers of the Trust are employees of UMBFS or MFAC. The Funds do not compensate trustees and officers affiliated with the Funds’ co-administrators. For the periods ended September 30, 2021, the Funds’ allocated fees incurred to Trustees who are not affiliated with the Funds’ co-administrators are reported on the Statements of Operations. The amount shown as “Fees paid indirectly” on the Statements of Operations is a portion of the Trustees fees paid by the Trust’s Co-Administrators.
For the period November 1, 2020 to September 30, 2021, the All Terrain Opportunity Fund paid its Trustees who are not affiliated with the Fund $11,425.
For the period January 23, 2021 to September 30, 2021, the Merger Fund paid its Trustees who are not affiliated with the Fund $12,724. For the period January 1, 2021 to January 22, 2021, the Merger Fund Predecessor Fund paid its Trustees who are not affiliated with the Funds $6.
For the period July 1, 2021 to September 30, 2021, the Alternative Value Fund and Market Neutral Fund paid its Trustees who are not affiliated with the Funds $88 and $829 respectively. For the period March 6, 2021 to June 30, 2021, the Alternative Value Fund and Market Neutral Fund paid its Trustees who are not affiliated with the Funds $2,345 and $3,024, respectively. For the period July 1, 2020 to March 5, 2021, the Alternative Value Predecessor Fund and Market Neutral Predecessor Fund paid its Trustees who are not affiliated with the Funds $11,417 and $11,417, respectively.
The Funds’ Board of Trustees has adopted a Deferred Compensation Plan (the “Plan”) for the Independent Trustees that enables Trustees to elect to receive payment in cash or the option to select various fund(s) in the Trust in which their deferred accounts shall be deemed to be invested. If a trustee elects to defer payment, the Plan provides for the creation of a deferred payment account. The Funds’ liability for these amounts is adjusted for market value changes in the invested fund and remains a liability to the Funds until distributed in accordance with the Plan. The Trustees’ Deferred compensation liability under the Plan constitutes a general unsecured obligation of the Funds and is disclosed in the Statements of Assets and Liabilities. Contributions made under the plan and the change in unrealized appreciation/depreciation and income are included in the Trustees’ fees and expenses in the Statements of Operations.
Dziura Compliance Consulting, LLC provides Chief Compliance Officer (“CCO”) services to the Trust. For the period January 23, 2021 to September 30, 2021, the Merger Fund paid the CCO $7,030. For the period March 6, 2021 to June 30, 2021, the Alternative Value Fund and Market Neutral Fund paid the CCO $2,380 and $3,054, respectively. Prior to the close of business on January 22, 2021, Fund Services served as the Merger Predecessor Fund’s CCO. For the period January 1, 2021 to January 22, 2021, the Merger Predecessor Fund paid the CCO $1,250. Prior to the close of business on March 5, 2021, M3Sixty served as the CCO to the Alternative Value Predecessor and Market Neutral Predecessor Fund. For the period July 1, 2020 to March 5, 2021, the Alternative Value Predecessor Fund and Market Neutral Predecessor Fund paid the CCO $12,242 and $12,242, respectively. The Funds’ allocated fees incurred for CCO services for the periods ended September 30, 2021, are reported on the Statements of Operations.
AXS Funds
NOTES TO FINANCIAL STATEMENTS - Continued
September 30, 2021
Note 4 – Federal Income Taxes
At September 30, 2021, gross unrealized appreciation (depreciation) of investments based on cost for federal income tax purposes were as follows:
| | | All Terrain Opportunity Fund | | | Merger Fund | | | Alternative Value Fund | | | Market Neutral Fund | |
| Cost of investments | | $ | 25,040,784 | | | $ | 43,498,693 | | | $ | 1,981,766 | | | $ | 4,977,768 | |
| | | | | | | | | | | | | | | | | |
| Gross unrealized appreciation | | $ | 97,078 | | | $ | 6,026,572 | | | $ | 204,553 | | | $ | 1,844,081 | |
| Gross unrealized depreciation | | | (480,748 | ) | | | (7,916,203 | ) | | | (66,390 | ) | | | (2,279,446 | ) |
| Net unrealized appreciation (depreciation) on investments | | $ | (383,670 | ) | | $ | (1,889,631 | ) | | $ | 138,163 | | | $ | (435,365 | ) |
At June 30, 2021, gross unrealized appreciation (depreciation) of investments based on cost for federal income tax purposes were as follows:
| | | Market Neutral Fund | |
| Cost of investments | | $ | 6,455,889 | |
| | | | | |
| Gross unrealized appreciation | | $ | 2,650,899 | |
| Gross unrealized depreciation | | | (2,886,596 | ) |
| Net unrealized depreciation on investments | | $ | (235,697 | ) |
The difference between cost amounts for financial statement and federal income tax purposes is due primarily to timing differences in recognizing certain gains and losses in security transactions.
GAAP requires that certain components of net assets be reclassified between financial and tax reporting. These reclassifications have no effect on net assets or net asset value per share. For the periods ended September 30, 2021 and June 30, 2021, permanent differences in book and tax accounting have been reclassified to paid-in capital and total distributable earnings (loss) as follows:
| | Increase (Decrease) |
| September 30, 2021 | | Paid-in Capital | | | Total Distributable Earnings (Loss) | |
| All Terrain Opportunity Fund | | $ | 2,039 | | | $ | (2,039 | ) |
| Merger Fund | | | - | | | | - | |
| Alternative Value Fund | | | - | | | | - | |
| | | | | | | | | |
| June 30, 2021 | | | | | | | | |
| Market Neutral Fund | | | (610,483 | ) | | | 610,483 | |
AXS Funds
NOTES TO FINANCIAL STATEMENTS - Continued
The components of accumulated earnings (deficit) on a tax basis were as follows:
| | | As of September 30, 2021 | | | As of June 30, 2021* | |
| | | All Terrain Opportunity Fund | | | Merger Fund | | | Alternative Value Fund | | | Market Neutral Fund | |
| Undistributed ordinary income | | $ | 1,256,458 | | | $ | 491,178 | | | $ | 26,239 | | | $ | - | |
| Undistributed long-term capital gains | | | 102,701 | | | | 119,242 | | | | 34,965 | | | | - | |
| Tax accumulated earnings | | | 1,359,159 | | | | 610,420 | | | | 61,204 | | | | - | |
| | | | | | | | | | | | | | | | | |
| Accumulated capital and other losses | | | - | | | | - | | | | - | | | | (5,154,319 | ) |
| Unrealized appreciation (depreciation) on investments | | | (383,670 | ) | | | (1,889,631 | ) | | | 138,163 | | | | (235,697 | ) |
| Unrealized appreciation on foreign currency translations | | | - | | | | 72,008 | | | | - | | | | - | |
| Unrealized Trustees’ deferred compensation | | | (18,755 | ) | | | (3,034 | ) | | | (48 | ) | | | (290 | ) |
| Total accumulated earnings (deficit) | | $ | 956,734 | | | $ | (1,210,237 | ) | | $ | 199,319 | | | $ | (5,390,306 | ) |
| * | The Fund’s tax year end is June 30th. |
The tax character of the distributions paid during the periods ended September 30, 2021 and for the years ended October 31, 2020, October 31, 2019, December 31, 2020, December 31, 2019, June 30, 2021, and June 30, 2020 were as follows:
| | | All Terrain Opportunity Fund | |
| | | September 30, 2021 | | | October 31, 2020 | | | October 31, 2019 | |
| Distributions paid from: | | | | | | | | | | | | |
| Ordinary income | | $ | 885,670 | | | $ | 1,401,286 | | | $ | 1,382,850 | |
| Net long-term capital gains | | | 11,884 | | | | - | | | | 517,983 | |
| Total distributions paid | | $ | 897,554 | | | $ | 1,401,286 | | | $ | 1,900,833 | |
| | | Merger Fund | |
| | | September 30, 2021 | | | December 31, 2020 | | | December 31, 2019 | |
| Distributions paid from: | | | | | | | | | | | | |
| Ordinary income | | $ | - | | | $ | 1,778,629 | | | $ | 6,465,164 | |
| Net long-term capital gains | | | - | | | | 203,569 | | | | 838,611 | |
| Total distributions paid | | $ | - | | | $ | 1,982,198 | | | $ | 7,303,775 | |
AXS Funds
NOTES TO FINANCIAL STATEMENTS - Continued
September 30, 2021
| | | Alternative Value Fund | |
| | | September 30, 2021 | | | June 30, 2021 | | | June 30, 2020 | |
| Distributions paid from: | | | | | | | | | | | | |
| Ordinary income | | $ | - | | | $ | 137,764 | | | $ | 771,689 | |
| Net long-term capital gains | | | - | | | | - | | | | 1,209,901 | |
| Total distributions paid | | $ | - | | | $ | 137,764 | | | $ | 1,981,590 | |
| | | Market Neutral Fund | |
| | | June 30, 2021 | | | June 30, 2020 | |
| Distributions paid from: | | | | | | | | |
| Ordinary income | | $ | - | | | $ | - | |
| Net long-term capital gains | | | - | | | | - | |
| Total distributions paid | | $ | - | | | $ | - | |
As of September 30, 2021, the Funds had net capital loss carryovers as follows:
| | | All Terrain Opportunity Fund | | | Merger Fund | | | Alternative Value Fund | |
| Not subject to expiration: | | | | | | | | | |
| Short-term | | $ | - | | | $ | - | | | $ | - | |
| Long-term | | | - | | | | - | | | | - | |
| Total | | $ | - | | | $ | - | | | $ | - | |
As of June 30, 2021, the Market Neutral Fund had net capital loss carryovers as follows:
| | | Market Neutral Fund | |
| Not subject to expiration: | | | |
| Short-term | | $ | 5,154,319 | |
| Long-term | | | - | |
| Total | | $ | 5,154,319 | |
The Alternative Value Fund had utilized non-expiring capital loss carry overs totaling $2,162.
Note 5 – Redemption Fee
The Funds may impose a redemption fee of 1.00% of the total redemption amount on all shares redeemed within 60 or 30 days of purchase. These Funds received redemption fees as follows:
| | | Period Ended
September 30, 2021 | | | Year Ended
October 31, 2020 | | | Year Ended
October 31,2019 | |
| All Terrain Opportunity Fund | | $ | 50 | | | $ | - | | | $ | 50 | |
AXS Funds
NOTES TO FINANCIAL STATEMENTS - Continued
September 30, 2021
| | | Period Ended September 30, 2021 | | | Year Ended December 31, 2020 | | | Year Ended December 31, 2019 | |
| Merger Fund | | $ | 1,517 | | | $ | - | | | $ | - | |
| | | Period Ended September 30, 2021 | | | Year Ended June 30, 2021 | | | Year Ended June 30, 2020 | |
| Alternative Value Fund | | $ | 997 | | | $ | 382 | | | $ | - | |
| Market Neutral Fund | | | - | | | | 2,406 | | | | - | |
Note 6 – Investment Transactions
For the periods ended September 30, 2021, cost of purchases and proceeds from sales of portfolio securities, other than short-term investments, short-term U.S. Government securities and options contracts were as follows:
| | | Purchases | | | Sales | | | Proceeds from Securities Sold Short | | | Cover Short Securities | |
| All Terrain Opportunity Fund | | $ | 147,712,764 | | | $ | 135,514,840 | | | $ | - | | | $ | - | |
| Merger Fund | | | 156,248,337 | | | | 157,517,885 | | | | 56,747,301 | | | | 46,595,435 | |
| Alternative Value Fund | | | 484,532 | | | | 112,470 | | | | - | | | | - | |
| Market Neutral Fund | | | 2,222,748 | | | | 5,816,013 | | | | 1,462,327 | | | | 3,429,619 | |
Note 7 – Shareholder Servicing Plan
The Trust, on behalf of the All Terrain Opportunity Fund, has adopted a Shareholder Servicing Plan to pay a fee at an annual rate of up to 0.10% of average daily net assets attributable to Institutional Class shares to shareholder servicing agents who provide administrative and support services to their customers.
For the periods ended September 30, 2021, shareholder servicing fees incurred are disclosed on the Statements of Operations.
Note 8 – Distribution Plan
The Trust, on behalf of each Fund, has adopted a Distribution Plan (the “Plan”) pursuant to Rule 12b-1 under the 1940 Act that allows each Fund to pay distribution fees for the sale and distribution of its shares. With respect to Investor Class shares, the Plan provides for the payment of distribution fees at the annual rate of up to 0.25% of average daily net assets. Class I Shares are not subject to any distribution or service fees under the Plan.
Prior to the close of business on January 22, 2021, the Merger Predecessor Fund adopted a distribution plan pursuant to Rule 12b-1 with respect to Investor Class shares. Pursuant to the Plan, the Merger Predecessor Fund paid Compass Distributors, LLC an annual rate of up to 0.25% average daily net assets of the Fund’s Investor Class shares.
For the period January 1, 2021 to January 22, 2021, the Fund paid Compass Distributors, LLC $246 under the Predecessor Fund’s distribution plan. For the periods ended September 30, 2021, distribution fees incurred are disclosed on the Statements of Operations.
Prior to the close of business on March 5, 2021, the Alternative Value Predecessor Fund and Market Neutral Predecessor Fund adopted a distribution plan pursuant to Rule 12b-1 with respect to Investor Class shares. Institutional Class shares did not pay any distribution fees. For the period July 1, 2020 to March 5, 2021, the Alternative Value Predecessor Fund and Market Neutral Predecessor Fund paid ALPS $758 and $9,272, respectively, with respect to Investor Class shares under the Predecessor Funds’ distribution plan. For the periods ended September 30, 2021, distribution fees incurred are disclosed on the Statements of Operations.
AXS Funds
NOTES TO FINANCIAL STATEMENTS - Continued
September 30, 2021
Note 9 – Indemnifications
In the normal course of business, the Funds enter into contracts that contain a variety of representations, which provide general indemnifications. 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, the Funds expect the risk of loss to be remote.
Note 10 – Fair Value Measurements and Disclosure
Fair Value Measurements and Disclosures defines fair value, establishes a framework for measuring fair value in accordance with GAAP, and expands disclosure about fair value measurements. It also provides guidance on determining when there has been a significant decrease in the volume and level of activity for an asset or a liability, when a transaction is not orderly, and how that information must be incorporated into a fair value measurement.
Under Fair Value Measurements and Disclosures, various inputs are used in determining the value of the Funds’ investments. These inputs are summarized into three broad Levels as described below:
| · | Level 1 – Unadjusted quoted prices in active markets for identical assets or liabilities that the Funds have the ability to access. |
| · | Level 2 – Observable inputs other than quoted prices included in level 1 that are observable for the asset or liability, either directly or indirectly. These inputs may include quoted prices for the identical instrument on an inactive market, prices for similar instruments, interest rates, prepayment speeds, credit risk, yield curves, default rates and similar data. |
| · | Level 3 – Unobservable inputs for the asset or liability, to the extent relevant observable inputs are not available; representing the Funds’ own assumptions about the assumptions a market participant would use in valuing the asset or liability and would be based on the best information available. |
The availability of observable inputs can vary from security to security and is affected by a wide variety of factors, including, for example, the type of security, whether the security is new and not yet established in the marketplace, the liquidity of markets, and other characteristics particular to the security. To the extent that valuation is based on models or inputs that are less observable or unobservable in the market, the determination of fair value requires more judgment. Accordingly, the degree of judgment exercised in determining fair value is greatest for instruments categorized in Level 3.
The inputs used to measure fair value may fall into different Levels of the fair value hierarchy. In such cases, for disclosure purposes, the Level in the fair value hierarchy within which the fair value measurement falls in its entirety, is determined based on the lowest Level input that is significant to the fair value measurement in its entirety.
AXS Funds
NOTES TO FINANCIAL STATEMENTS - Continued
September 30, 2021
The inputs or methodology used for valuing securities are not an indication of the risk associated with investing in those securities. The following is a summary of the inputs used, as of September 30, 2021, in valuing the Funds’ assets carried at fair value:
| All Terrain Opportunity Fund | | Level 1 | | | Level 2* | | | Level 3* | | | Total | |
| Investments | | | | | | | | | | | | | | | | |
| Common Stock1 | | $ | 674,402 | | | $ | - | | | $ | - | | | $ | 674,402 | |
| Exchange-Traded Funds1 | | | 7,398,568 | | | | - | | | | - | | | | 7,398,568 | |
| Mutual Funds1 | | | 8,639,829 | | | | - | | | | - | | | | 8,639,829 | |
| Short-Term Investments | | | 7,920,915 | | | | - | | | | - | | | | 7,920,915 | |
| Total Investments | | | 24,633,714 | | | | - | | | | - | | | | 24,633,714 | |
| Purchased Options Contracts | | | 23,400 | | | | - | | | | - | | | | 23,400 | |
| Total Investments and Purchased Options Contracts | | $ | 24,657,114 | | | $ | - | | | $ | - | | | $ | 24,657,114 | |
| Merger Fund | | Level 1 | | | Level 2* | | | Level 3* | | | Total | |
| Assets | | | | | | | | | | | | |
| Investments | | | | | | | | | | | | | | | | |
| Common Stocks1 | | $ | 63,912,811 | | | $ | - | | | $ | - | | | $ | 63,912,811 | |
| Short-Term Investments | | | 20,706,379 | | | | - | | | | - | | | | 20,706,379 | |
| Total Investments | | | 84,619,190 | | | | - | | | | - | | | | 84,619,190 | |
| Purchased Options Contracts | | | 29,890 | | | | - | | | | - | | | | 29,890 | |
| Total Investments and Purchased Options Contracts | | $ | 84,649,080 | | | $ | - | | | $ | - | | | $ | 84,649,080 | |
| | | | | | | | | | | | | | | | | |
| Liabilities | | | | | | | | | | | | | | | | |
| Securities Sold Short | | | | | | | | | | | | | | | | |
| Common Stocks1 | | $ | 43,002,043 | | | $ | - | | | $ | - | | | $ | 43,002,043 | |
| Total Securities Sold Short | | | 43,002,043 | | | | - | | | | - | | | | 43,002,043 | |
| Written Options Contracts | | | 37,975 | | | | - | | | | - | | | | 37,975 | |
| Total Securities Sold Short and Written Options Contracts | | $ | 43,040,018 | | | $ | - | | | $ | - | | | $ | 43,040,018 | |
| Alternative Value Fund | | Level 1 | | | Level 2* | | | Level 3* | | | Total | |
| Investments | | | | | | | | | | | | |
| Common Stocks1 | | $ | 2,092,685 | | | $ | - | | | $ | - | | | $ | 2,092,685 | |
| Short-Term Investments | | | 27,244 | | | | - | | | | - | | | | 27,244 | |
| Total Investments | | $ | 2,119,929 | | | $ | - | | | $ | - | | | $ | 2,119,929 | |
AXS Funds
NOTES TO FINANCIAL STATEMENTS - Continued
September 30, 2021
| Market Neutral Fund | | Level 1 | | | Level 2* | | | Level 3* | | | Total | |
| Assets | | | | | | | | | | | | |
| Investments | | | | | | | | | | | | |
| Common Stocks1 | | $ | 13,210,588 | | | $ | - | | | $ | - | | | $ | 13,210,588 | |
| Short-Term Investments | | | 59,402 | | | | - | | | | - | | | | 59,402 | |
| Total Investments | | $ | 13,269,990 | | | $ | - | | | $ | - | | | $ | 13,269,990 | |
| | | | | | | | | | | | | | | | | |
| Liabilities | | | | | | | | | | | | | | | | |
| Securities Sold Short | | | | | | | | | | | | | | | | |
| Common Stocks1 | | $ | 8,727,587 | | | $ | - | | | $ | - | | | $ | 8,727,587 | |
| Total Securities Sold Short | | $ | 8,727,587 | | | $ | - | | | $ | - | | | $ | 8,727,587 | |
| 1 | For a detailed break-out of common stocks, exchange-traded funds, mutual funds, and securities sold short by major industry classification, please refer to the Schedules of Investments. |
| * | The Funds did not hold any Level 2 or 3 securities at period end. |
Note 11 – Derivatives and Hedging Disclosures
Derivatives and Hedging requires enhanced disclosures about the All Terrain Opportunity Fund’s and the Merger Fund’s derivative and hedging activities, including how such activities are accounted for and their effects on the Merger Fund’s financial position, performance and cash flows. The All Terrain Opportunity Fund and the Merger Fund invested in options contracts during the periods ended September 30, 2021.
The effects of these derivative instruments on the All Terrain Opportunity Fund’s and the Merger Fund’s financial position and financial performance as reflected in the Statements of Assets and Liabilities and Statements of Operations are presented in the tables below. The fair values of derivative instruments, as of September 30, 2021, by risk category are as follows:
| All Terrain Opportunity Fund |
| | | Asset Derivatives |
| Derivatives not designated as hedging instruments | | Statement of Asset and Liabilities Location | | | Value | |
| Equity contracts | | Purchased options contracts, at value | | $ | 23,400 | |
| Total | | | | $ | 23,400 | |
AXS Funds
NOTES TO FINANCIAL STATEMENTS - Continued
September 30, 2021
| Merger Fund |
| | | Asset Derivatives | | | | | | Liability Derivatives | | | | |
| Derivatives not designated as hedging instruments | | Statement of Asset and Liabilities Location | | | Value | | | Statement of Asset and Liabilities Location | | | Value | |
| Equity contracts | | Purchased options contracts, at value | | $ | 29,890 | | | Written options contracts, at value | | $ | 37,975 | |
| Total | | | | $ | 29,890 | | | | | $ | 37,975 | |
The effects of derivative instruments on the Statements of Operations for the periods ended September 30, 2021 are as follows:
| All Terrain Opportunity Fund |
| Amount of Realized Gain on Derivatives Recognized in Income |
| Derivatives not designated as hedging instruments | | Purchased Options Contracts | |
| Equity contracts | | $ | 135,014 | |
| Total | | $ | 135,014 | |
| Merger Fund |
| Amount of Realized Gain on Derivatives Recognized in Income |
| Derivatives not designated as hedging instruments | | Written Options Contracts | |
| Equity contracts | | $ | 90,799 | |
| Total | | $ | 90,799 | |
| All Terrain Opportunity Fund |
| Change in Unrealized Appreciation/Depreciation on Derivatives Recognized in Income |
| Derivatives not designated as hedging instruments | | Purchased Options Contracts | |
| Equity contracts | | $ | (19,004 | ) |
| Total | | $ | (19,004 | ) |
| Merger Fund |
| Change in Unrealized Appreciation/Depreciation on Derivatives Recognized in Income |
| Derivatives not designated as hedging instruments | | Purchased Options Contracts | | | Written Options Contracts | |
| Equity contracts | | $ | (6,911 | ) | | $ | (837 | ) |
| Total | | $ | (6,911 | ) | | $ | (837 | ) |
The notional amount is included on the Schedules of Investments. The quarterly average volumes of derivative instruments as of September 30, 2021 are as follows:
| All Terrain Opportunity Fund |
| Derivatives not designated as hedging instruments | | | Written Options Contracts | |
| Equity contracts | | $ | 1,030,000 | |
AXS Funds
NOTES TO FINANCIAL STATEMENTS - Continued
September 30, 2021
| Merger Fund |
| Derivatives not designated as hedging instruments | | Purchased Options Contracts | | | Written Options Contracts | |
| Equity contracts | | $ | 1,570,250 | | | $ | (3,214,688 | ) |
Note 12 – Borrowing
The Alternative Value Fund and Market Neutral Fund have entered into a borrowing agreement with BNP Paribas (acting through its New York Branch). The Funds may borrow amounts up to one-third of the value of its assets. The Alternative Value Fund and Market Neutral Fund are charged interest of the bank’s prime rate plus 1.25% and 1.00%, respectively, for borrowing under this agreement. Interest expense for the periods ended September 30, 2021, is disclosed on the Statements of Operations, if applicable. Credit facility activity for the period ended September 30, 2021, was as follows:
| | | Alternative Value Fund | | | Market Neutral Fund | |
| Maximum available credit | | $ | 855,530 | | | $ | 7,824,782 | |
| Largest amount outstanding on an individual day | | | 633,863 | | | | 6,227,549 | |
| Average daily loan outstanding | | | 482,622 | | | | 4,737,916 | |
| Credit facility outstanding as of September 30, 2021 | | | 633,863 | | | | 3,898,386 | |
| Average interest rate when in use | | | 1.325 | % | | | 1.075 | % |
| Interest | | $ | 1,638 | | | $ | 13,578 | |
Note 13 – COVID-19 Risks
In early 2020, an outbreak of a novel strain of coronavirus (COVID-19) emerged globally. This coronavirus has resulted in closing international borders, enhanced health screenings, healthcare service preparation and delivery, quarantines, cancellations, disruptions to supply chains and customer activity, as well as general public concern and uncertainty. The impact of this outbreak has negatively affected the worldwide economy, as well as the economies of individual countries, the financial health of individual companies and the market in general in significant and unforeseen ways. The future impact of COVID-19 is currently unknown, and it may exacerbate other risks that apply to the Funds, including political, social and economic risks. Any such impact could adversely affect the Funds’ performance, the performance of the securities in which the Funds invest and may lead to losses on your investment in the Funds. The ultimate impact of COVID-19 on the financial performance of the Funds’ investments is not reasonably estimable at this time.
Note 14 – Events Subsequent to the Fiscal Period End
The Funds have adopted financial reporting rules regarding subsequent events which require an entity to recognize in the financial statements the effects of all subsequent events that provide additional evidence about conditions that existed at the date of the balance sheet. Management has evaluated the Funds’ related events and transactions that occurred through the date of issuance of the Funds’ financial statements. There were no events or transactions that occurred during this period that materially impacted the amounts or disclosures in the Funds’ financial statements.
REPORT OF INDEPENDENT REGISTERED PUBLIC ACCOUNTING FIRM
To the Board of Trustees of Investment Managers Series Trust II and
Shareholders of AXS Funds
Opinion on the Financial Statements
We have audited the accompanying statements of assets and liabilities of AXS All Terrain Opportunity Fund, AXS Merger Fund, AXS Alternative Value Fund and AXS Market Neutral Fund (the “Funds”), each a series of Investment Managers Series Trust II (the “Trust”), including the schedules of investments, as of September 30, 2021, the related statements of operations, the statements of cash flows, the statements of changes in net assets and the financial highlights for the periods indicated in the table below, and the related notes (collectively referred to as the “financial statements”). In our opinion, the financial statements present fairly, in all material respects, the financial position of the Funds as of September 30, 2021, the results of their operations and their cash flows for the period then ended, the changes in their net assets and their financial highlights for each of the periods indicated in the table below, in conformity with accounting principles generally accepted in the United States of America.
| Fund | Statement of Operations | Statement of Cash Flows | Statements of Changes in Net Assets | Financial Highlights |
| AXS All Terrain Opportunity Fund | For the Period November 1, 2020 through September 30, 2021 and the year ended October 31, 2020 | N/A | For the Period November 1, 2020 through September 30, 2021and for each of the two years ended October 31, 2020 | For the Period November 1, 2020 through September 30, 2021and for each of the five years in the period ended October 31, 2020 |
| AXS Merger Fund | For the Period January 1, 2021 through September 30, 2021 and the year ended December 31, 2020 | For the Period January 1, 2021 through September 30, 2021 and the year ended December 31, 2020 | For the Period January 1, 2021 through September 30, 2021and for each of the two years ended December 31, 2020 | For the Period January 1, 2021 through September 30, 2021and for each of the five years in the period ended December 31, 2020 |
| AXS Alternative Value Fund | For the Period July 1, 2021 through September 30, 2021 and the year ended June 30, 2021 | N/A | For the Period July 1, 2021 through September 30, 2021 and the year ended June 30, 2021 | For the Period July 1, 2021 through September 30, 2021 and the year ended June 30, 2021 |
| AXS Market Neutral Fund | For the Period July 1, 2021 through September 30, 2021 and the year ended June 30, 2021 | For the Period July 1, 2021 through September 30, 2021 and the year ended June 30, 2021 | For the Period July 1, 2021 through September 30, 2021 and the year ended June 30, 2021 | For the Period July 1, 2021 through September 30, 2021 and the year ended June 30, 2021 |
With respect to the AXS Alternative Value Fund, the statement of changes in net assets for the year ended June 30, 2020 and the financial highlights for each of the three years in the period ended June 30, 2020 and for the period October 3, 2016 through June 30, 2017 were audited by other auditors, and in their opinions dated August 31, 2020 and August 29, 2017, they expressed unqualified opinions on said financial statements and financial highlights. With respect to the AXS Market Neutral Fund, the statement of changes in net assets for the year ended June 30, 2020 and the financial highlights for each of the two years in the period ended June 30, 2020, for the period October 1, 2017 through June 30, 2018 and for the two years in the period ended September 30, 2017 were audited by other auditors, and in their opinions dated August 31, 2020 and November 29, 2017, they expressed unqualified opinions on said financial statements and financial highlights.
Basis for Opinion
These financial statements are the responsibility of the Funds’ management. Our responsibility is to express an opinion on the Funds’ financial statements based on our audits. We are a public accounting firm registered with the Public Company Accounting Oversight Board (United States) (“PCAOB”) and are required to be independent with respect to the Funds in accordance with the U.S. federal securities laws and the applicable rules and regulations of the Securities and Exchange Commission and the PCAOB. We have served as the auditor of one or more of the funds in the Trust since 2013.
We conducted our audits in accordance with the standards of the PCAOB. Those standards require that we plan and perform the audits to obtain reasonable assurance about whether the financial statements are free of material misstatement, whether due to error or fraud. The Funds are not required to have, nor were we engaged to perform, an audit of the Funds’ internal control over financial reporting. As part of our audits we are required to obtain an understanding of internal control over financial reporting, but not for the purpose of expressing an opinion on the effectiveness of the Funds’ internal control over financial reporting. Accordingly, we express no such opinion.
Our audits included performing procedures to assess the risks of material misstatement of the financial statements, whether due to error or fraud, and performing procedures that respond to those risks. Such procedures included examining, on a test basis, evidence regarding the amounts and disclosures in the financial statements. Our audits also included evaluating the accounting principles used and significant estimates made by management, as well as evaluating the overall presentation of the financial statements. Our procedures included confirmation of securities owned as of September 30, 2021 by correspondence with the custodian and brokers or by other appropriate auditing procedures where replies were not received.. We believe that our audits provide a reasonable basis for our opinion.
| |  |
| | TAIT, WELLER & BAKER LLP |
| | |
| Philadelphia, Pennsylvania | |
| November 29, 2021 | |
AXS Funds
SUPPLEMENTAL INFORMATION (Unaudited)
Change in Auditor Disclosure
On October 20, 2020, the Audit Committee of Investment Series Trust II (“Committee”) appointed Tait, Weller & Baker LLP (“TWB”) as the Alternative Value and Market Neutral Funds’ independent registered public accounting firm upon the reorganization of the Predecessor Funds for the fiscal period ended June 30, 2021.
BBD, LLP (“BBD”) reports on the Predecessor Funds’ financial statements for the periods prior to June 30, 2021 did not contain an adverse opinion or a disclaimer of opinion, nor were such reports qualified or modified as to uncertainty, audit scope or accounting principles.
During the periods ended prior to June 30, 2021, neither the Funds nor anyone on its behalf has consulted with BBD regarding; (i) the application of accounting principles to a specified transaction, either completed or proposed; or the type of audit opinion that might be rendered on the Funds’ financial statements, and neither a written report was provided to the Funds nor oral advice was provided that BBD concluded was an important factor considered by the Funds in reaching a decision as to any accounting, auditing or financial reporting issue; or (ii) any matter that was the subject of a disagreement (as that term is defined in Item 304 (a)(1)(iv) of Regulation S-K and the related instructions to Item 304 of Regulation S-K) or a reportable event (as that term is defined in Item 304 (a)(1)(v) of Regulation S-K).
Corporate Dividends Received Deduction
For the year ended September 30, 2021, the All Terrain Opportunity Fund had 0.62% of the dividends to be paid from net investment income, including short-term capital gains from the Fund (if any), are designated as dividends received deduction available to corporate shareholders.
For the year ended September 30, 2021, the All Terrain Opportunity Fund designates $11,884 as long-term capital gain dividends.
Qualified Dividend Income
For the year ended September 30, 2021, the All Terrain Opportunity Fund had 1.34% of dividends paid from net investment income, including short-term capital gains from the Fund (if any), designated as qualified dividend income.
Trustees and Officers Information
Additional information about the Trustees is included in the Funds’ Statement of Additional Information which is available, without charge, upon request by calling (833) 297-2587. The Trustees and officers of the Funds and their principal occupations during the past five years are as follows:
| Name, Address, Year of Birth and Position(s) held with Trust | Term of Officec and Length of Time Served | Principal Occupation During the Past Five Years and Other Affiliations | Number of Portfolios in the Fund Complex Overseen by Trusteed | Other Directorships Held by Trustee During the Past Five Yearse |
| Independent Trustee: |
Thomas Knipper, CPA a (Born 1957) Trustee | Since September 2013 | Vice President and Chief Compliance Officer, Ameritas Investment Partners, a registered investment advisor (1995 – present). | 12 | None. |
AXS Funds
SUPPLEMENTAL INFORMATION (Unaudited) – Continued
| Independent Trustees: |
| Kathleen K. Shkuda a (born 1951) Trustee | Since September 2013 | Zigzag Consulting, a financial services consulting firm (2008 – present). Director, Managed Accounts, Merrill Lynch (2007-2008). | 12 | None. |
| Larry D. Tashjian a (born 1953) Trustee and Chairman of the Board | Since September 2013 | Principal, CAM Capital Advisors, a family office (2001 – present). | 12 | General Finance Corporation. |
| John P. Zader a (born 1961) Trustee | Since September 2013 | Retired (June 2014 – present); CEO, UMB Fund Services, Inc., a mutual fund and hedge fund service provider, and the transfer agent, fund accountant, and co-administrator for the Fund (December 2006 – June 2014); President, Investment Managers Series Trust (December 2007 - June 2014). | 12 | Investment Managers Series Trust, a registered investment company (includes 53 portfolios), and 361 Social Infrastructure Fund, a closed-end investment company. |
| Interested Trustee: |
Eric M. Banhazl b† (born 1957) Trustee | Since September 2013 | Chairman (2016 – present), and President (2006 – 2015), Mutual Fund Administration, LLC, co-administrator for the Fund. Chairman (2018 – present), Foothill Capital Management, LLC, a registered investment advisor. | 12 | Investment Managers Series Trust, a registered investment company (includes 53 portfolios), and 361 Social Infrastructure Fund, a closed-end investment company. |
AXS Funds
SUPPLEMENTAL INFORMATION (Unaudited) – Continued
| Interested Trustee: |
Terrance P. Gallagher a* (born 1958) Trustee and President | Since July 2019 | President, Investment Managers Series Trust II (September 2013 – present); Executive Vice President, UMB Fund Services, Inc. (2007 – present). Director of Compliance, Unified Fund Services Inc. (now Huntington Fund Services), a mutual fund service provider (2004 – 2007). | 12 | Cliffwater Corporate Lending Fund, Agility Multi-Asset Income Fund, Corbin Multi-Strategy Fund, Aspiriant Risk-Managed Real Asset Fund, Aspiriant Risk-Managed Capital Appreciation Fund, Infinity Core Alternative Fund, Infinity Long/Short Equity Fund, LLC, Keystone Private Income Fund, First Trust Alternative Opportunities Fund, and Variant Alternative Income Fund, each a closed-end investment company. |
| Officers of the Trust: |
Rita Dam b (born 1966) Treasurer and Assistant Secretary | Since September 2013 | Treasurer, 361 Social Infrastructure Fund (December 2019 – present); Co-President, Foothill Capital Management, LLC, a registered investment advisor (2018 – present); Co-Chief Executive Officer (2016 – present), and Vice President (2006 – 2015), Mutual Fund Administration, LLC. | N/A | N/A |
Joy Ausili b (born 1966) Vice President and Assistant Secretary | Since January 2016 | Vice President and Assistant Secretary, 361 Social Infrastructure Fund (December 2019 – present); Co-President, Foothill Capital Management, LLC, a registered investment advisor (2018 – present); Co-Chief Executive Officer (2016 – present), and Vice President (2006 – 2015), Mutual Fund Administration, LLC; Secretary and Assistant Treasurer, Investment Managers Series Trust (September 2013 – January 2016). | N/A | N/A |
AXS Funds
SUPPLEMENTAL INFORMATION (Unaudited) – Continued
| Officers of the Trust: |
Diane Drake b (born 1967) Secretary | Since January 2016 | Secretary, 361 Social Infrastructure Fund (December 2019 – present); Senior Counsel, Mutual Fund Administration, LLC (October 2015 – present); Chief Compliance Officer, Foothill Capital Management, LLC, a registered investment advisor (2018 – 2019). | N/A | N/A |
Martin Dziura b (born 1959) Chief Compliance Officer | Since September 2013 | Principal, Dziura Compliance Consulting, LLC (October 2014 - present). Managing Director, Cipperman Compliance Services (2010 – September 2014). Chief Compliance Officer, Hanlon Investment Management (2009 - 2010). Vice President − Compliance, Morgan Stanley Investment Management (2000 − 2009). | N/A | N/A |
| a | Address for certain Trustees and certain officers: 235 West Galena Street, Milwaukee, Wisconsin 53212. |
| b | Address for Mr. Banhazl, Ms. Ausili, Ms. Dam and Ms. Drake: 2220 E. Route 66, Suite 226, Glendora, California 91740. Address for Mr. Dziura: 309 Woodridge Lane, Media, Pennsylvania 19063. |
| c | Trustees and officers serve until their successors have been duly elected. |
| d | The Trust is comprised of 21 series managed by unaffiliated investment advisors. The term “Fund Complex” applies only to the Funds managed by the same investment advisor. The Funds’ investment advisor also serves as the investment advisor to the AXS Alternative Growth Fund, AXS Multi-Strategy Alternatives Fund, AXS Chesapeake Strategy Fund, AXS Aspect Core Diversified Strategy Fund, AXS Managed Futures Strategy Fund, AXS Sustainable Fund, AXS Thomson Reuters Venture Capital Return Tracker and AXS Thomson Reuters Private Equity Return Tracker Fund which are offered in separate prospectus. The Funds do not hold themselves out as related to any other series within the Trust, for purposes of investment and investor services. |
| e | “Other Directorships Held” includes only directorship of companies required to register or file reports with the SEC under the Securities Exchange Act of 1934, as amended (that is, “public companies”) or other investment companies registered under the 1940 Act. |
| † | Mr. Banhazl is an “interested person” of the Trust by virtue of his position with Mutual Fund Administration, LLC and Foothill Capital Management, LLC. |
| * | Mr. Gallagher is an “interested person” of the Trust by virtue of his position with UMB Fund Services, Inc. |
AXS Funds
EXPENSE EXAMPLES
For the Periods Ended September 30, 2021 (Unaudited)
Expense Examples
As a shareholder of the Funds, you incur two types of costs: (1) transaction costs; and (2) ongoing costs, including management fees; distribution and/or 12b-1 fees (Investor Class shares only) and other Fund expenses. The examples below are intended to help you understand your ongoing costs (in dollars) of investing in the Funds and to compare these costs with the ongoing costs of investing in other mutual funds.
These examples are based on an investment of $1,000 invested at the beginning of the period and held for the entire period from April 1, 2021 to September 30, 2021.
The All Terrain Opportunity Fund’s Actual Performance examples are based on an investment of $1,000 invested at the beginning of the period and held for the entire period from May 1, 2021 to September 30, 2021.
The Alternative Value Fund’s and Market Neutral Fund’s Actual Performance examples are based on an investment of $1,000 invested at the beginning of the period and held for the entire period from July 1, 2021 to September 30, 2021.
Actual Expenses
The information in the row titled “Actual Performance” of the table below provides actual account values and actual expenses. You may use the information in these columns, 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 appropriate row for your share class, under the column titled “Expenses Paid During Period” to estimate the expenses you paid on your account during this period.
Hypothetical Example for Comparison Purposes
The information in the row titled “Hypothetical (5% annual return before expenses)” of the table below provides hypothetical account values and hypothetical expenses based on the Fund’s actual expense ratios and an assumed rate of return of 5% per year before expenses, which is not the Fund’s actual return. The hypothetical account values and expenses may not be used to estimate the actual ending account balance or expenses you paid for the period. You may use this information to compare the ongoing costs of investing in the Fund and other funds. To do so, compare these 5% hypothetical examples 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 transaction costs, such as sales charges (load) or contingent deferred sales charges. Therefore, the information in the row titled “Hypothetical (5% annual return before expenses)” is useful in comparing ongoing costs only and will not help you determine the relative total costs of owning different funds. In addition, if these transactional costs were included, your costs would have been higher.
| All Terrain Opportunity Fund | Beginning Account Value | Ending Account Value | Expenses Paid During Period |
| | | 5/1/21 | 9/30/21 | 5/1/21* – 9/30/21 |
| Investor Class | Actual Performance** | $ 1,000.00 | $983.00 | $6.65 |
| | | 4/1/21 | 9/30/21 | 4/1/21 – 9/30/21 |
| | Hypothetical (5% annual return before expenses)*** | 1,000.00 | 1,017.05 | 8.09 |
| * | Fiscal year end changed effective August 1, 2021. |
| ** | Expenses are equal to the Fund’s annualized expense ratios of 1.60%, multiplied by the average account values over the period, multiplied by 153/365 (to reflect the five-month period). The expense ratios reflect an expense waiver. Assumes all dividends and distributions were reinvested. |
| *** | Expenses are equal to the Fund’s annualized expense ratios of 1.60%, multiplied by the average account values over the period, multiplied by 183/365 (to reflect the six-month period). The expense ratios reflect an expense waiver. Assumes all dividends and distributions were reinvested. |
AXS Funds
EXPENSE EXAMPLES - Continued
For the Periods Ended September 30, 2021 (Unaudited)
| Merger Fund | Beginning Account Value | Ending Account Value | Expenses Paid During Period* |
| | | 4/1/21 | 9/30/21 | 4/1/21 – 9/30/21 |
| Investor Class | Actual Performance | $ 1,000.00 | $995.20 | $13.31 |
| | Hypothetical (5% annual return before expenses) | 1,000.00 | 1,011.72 | 13.42 |
| Class I | Actual Performance | 1,000.00 | 996.20 | 12.06 |
| | Hypothetical (5% annual return before expenses) | 1,000.00 | 1,012.99 | 12.16 |
| * | Expenses are equal to the Fund’s annualized expense ratios of 2.66% and 2.41% for Investor Class shares and Class I shares, respectively, multiplied by the average account values over the period, multiplied by 183/365 (to reflect the six-month period). The expense ratios reflect an expense waiver. Assumes all dividends and distributions were reinvested. |
| Alternative Value Fund | Beginning Account Value | Ending Account Value | Expenses Paid During Period |
| | | 7/1/21* | 9/30/21 | 7/1/21* – 9/30/21 |
| Investor Class | Actual Performance** | $1,000.00 | $976.40 | $ 3.91 |
| Class I | Actual Performance** | 1,000.00 | 976.40 | 3.28 |
| | | 4/1/21 | 9/30/21 | 4/1/21 – 9/30/21 |
| Investor Class | Hypothetical (5% annual return before expenses)*** | 1,000.00 | 1,017.20 | 7.93 |
| Class I | Hypothetical (5% annual return before expenses)*** | 1,000.00 | 1,018.46 | 6.67 |
| * | Fiscal year end changed effective July 1, 2021. |
| ** | Expenses are equal to the Fund’s annualized expense ratio of 1.57% and 1.32% for Investor Class shares and Class I shares, respectively, multiplied by the average account value over the period, multiplied by 92/365 (to reflect the period ended). The expense ratios reflect an expense waiver and other expenses absorbed. Assumes all dividends and distributions were reinvested. |
| *** | Expenses are equal to the Fund’s annualized expense ratio of 1.57% and 1.32% for Investor Class shares and Class I shares, respectively, multiplied by the average account value over the period, multiplied by 183/365 (to reflect the six month period). The expense ratios reflect an expense waiver and other expenses absorbed. Assumes all dividends and distributions were reinvested. |
AXS Funds
EXPENSE EXAMPLES - Continued
For the Periods Ended September 30, 2021 (Unaudited)
| Market Neutral Fund | Beginning Account Value | Ending Account Value | Expenses Paid During Period |
| | | 7/1/21* | 9/30/21 | 7/1/21* – 9/30/21 |
| Investor Class | Actual Performance** | $1,000.00 | $988.10 | $ 10.92 |
| Class I | Actual Performance** | 1,000.00 | 987.40 | 10.29 |
| | | 4/1/21 | 9/30/21 | 4/1/21 – 9/30/21 |
| Investor Class | Hypothetical (5% annual return before expenses)*** | 1,000.00 | 1,003.22 | 21.88 |
| Class I | Hypothetical (5% annual return before expenses)*** | 1,000.00 | 1,004.47 | 20.64 |
| * | Fiscal year end changed effective July 1, 2021. |
| ** | Expenses are equal to the Fund’s annualized expense ratio of 4.36% and 4.11% for Investor Class shares and Class I shares, respectively, multiplied by the average account value over the period, multiplied by 92/365 (to reflect the period ended). The expense ratios reflect an expense waiver. Assumes all dividends and distributions were reinvested. |
| *** | Expenses are equal to the Fund’s annualized expense ratio of 4.36% and 4.11% for Investor Class shares and Class I shares, respectively, multiplied by the average account value over the period, multiplied by 183/365 (to reflect the six month period). The expense ratios reflect an expense waiver. Assumes all dividends and distributions were reinvested. |
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AXS Funds
Each a series of Investment Managers Series Trust II
Investment Advisor
AXS Investments LLC
181 Westchester Avenue, Unit 402
Port Chester, New York 10573
Sub-Advisor
Quantitative Value Technologies, LLC dba Cognios Capital
3965 West 83rd Street, Suite 348
Prairie Village, Kansas 66208
Sub-Advisor
Kellner Management, L.P.
900 Third Avenue, Suite 1401
New York, New York 10022
Independent Registered Public Accounting Firm
Tait, Weller & Baker LLP
Two Liberty Place
50 South 16th Street, Suite 2900
Philadelphia, Pennsylvania 19102
Custodian
UMB Bank, n.a.
928 Grand Boulevard, 5th Floor
Kansas City, Missouri 64106
Fund Co-Administrator
Mutual Fund Administration, LLC
2220 E. Route 66, Suite 226
Glendora, California 91740
Fund Co-Administrator, Transfer Agent and Fund Accountant
UMB Fund Services, Inc.
235 W. Galena Street
Milwaukee, Wisconsin 53212
Distributor
IMST Distributors, LLC
Three Canal Plaza, Suite 100
Portland, Maine 04101
www.foreside.com
FUND INFORMATION
| | TICKER | CUSIP |
| AXS All Terrain Opportunity Fund – Institutional Class | TERIX | 46141T 406 |
| AXS Merger Fund – Investor Class | GAKAX | 46141T 216 |
| AXS Merger Fund – Class I | GAKIX | 46141T 190 |
| AXS Alternative Value Fund – Investor Class | COGLX | 46141T 240 |
| AXS Alternative Value Fund – Class I | COGVX | 46141T 257 |
| AXS Market Neutral Fund – Investor Class | COGMX | 46141T 224 |
| AXS Market Neutral Fund – Class I | COGIX | 46141T 232 |
Privacy Principles of the AXS Funds for Shareholders
The Funds are committed to maintaining the privacy of their shareholders and to safeguarding their non-public personal information. The following information is provided to help you understand what personal information the Funds collect, how we protect that information and why, in certain cases, we may share information with select other parties.
Generally, the Funds do not receive any non-public personal information relating to their shareholders, although certain non-public personal information of their shareholders may become available to the Funds. The Funds do not disclose any non-public personal information about their shareholders or former shareholders to anyone, except as permitted by law or as is necessary in order to service shareholder accounts (for example, to a transfer agent or third party administrator).
This report is sent to shareholders of the AXS Funds for their information. It is not a Prospectus, circular or representation intended for use in the purchase or sale of shares of the Funds or of any securities mentioned in this report.
Proxy Voting
The Funds’ proxy voting policies and procedures, as well as information regarding how the Funds voted proxies for portfolio securities, if applicable, during the most recent 12-month period ended June 30, are available, without charge and upon request by calling (833) 297-2587 or on the SEC’s website at www.sec.gov.
Fund Portfolio Holdings
The Funds file a complete schedule of their portfolio holdings with the SEC for the first and third quarters of each fiscal year on Form N-PORT within 60 days of the end of such fiscal quarter. Shareholders may obtain the Funds’ Form N-PORT on the SEC’s website at www.sec.gov.
Prior to the use of Form N-PORT, the Funds filed their complete schedule of portfolio holdings with the SEC on Form N-Q, which is available online at www.sec.gov.
Householding
The Funds will mail only one copy of shareholder documents, including prospectuses and notice of annual and semi-annual reports availability and proxy statements, to shareholders with multiple accounts at the same address. This practice is commonly called “householding” and is intended to reduce expenses and eliminate duplicate mailings of shareholder documents. Mailings of your shareholder documents may be householded indefinitely unless you instruct us otherwise. If you do not want the mailing of these documents to be combined with those for other members of your household, please call the Funds at (833) 297-2587.
AXS Funds
P.O. Box 2175
Milwaukee, WI 53201
Toll Free: (833) 297-2587
Item 1. Report to Stockholders (Continued).
(b) Not applicable.
Item 2. Code of Ethics.
The registrant has adopted a code of ethics that applies to the registrant's principal executive officer and principal financial officer. The registrant has not made any amendments to its code of ethics during the period covered by this report. The registrant has not granted any waivers from any provisions of the code of ethics during the period covered by this report.
The registrant undertakes to provide to any person without charge, upon request, a copy of its code of ethics by mail when they call the registrant at 1-833-297-2587.
Item 3. Audit Committee Financial Expert.
The Board of Trustees of the Registrant has determined that the Registrant has the following “audit committee financial experts” as defined in Item 3(b) of Form N-CSR serving on its Audit Committee: Messrs. Thomas Knipper and John P. Zader. The audit committee financial experts are “independent” as that term is defined in Item 3(a)(2) of Form N-CSR.
Item 4. Principal Accountant Fees and Services.
The registrant has engaged its principal accountant to perform audit services, audit-related services, tax services and other services during the past two fiscal years. "Audit services" refer to performing an audit of the registrant's annual financial statements or services that are normally provided by the accountant in connection with statutory and regulatory filings or engagements for those fiscal years. "Audit-related services" refer to the assurance and related services by the principal accountant that are reasonably related to the performance of the audit. "Tax services" refer to professional services rendered by the principal accountant for tax compliance, tax advice, and tax planning. There were no "other services" provided by the principal accountant. The following table details the aggregate fees billed or expected to be billed for each of the last two fiscal years for audit fees, audit-related fees, tax fees and other fees by the principal accountant.
| AXS All Terrain Opportunity Fund | FYE 9/30/2021 | FYE 10/31/2020 |
| Audit Fees | $12,500 | $12,500 |
| Audit-Related Fees | N/A | N/A |
| Tax Fees | $2,500 | $2,500 |
| All Other Fees | N/A | N/A |
| AXS Alternative Value Fund | FYE 9/30/2021 | FYE 6/30/2021 |
| Audit Fees | $12,500 | $12,500 |
| Audit-Related Fees | N/A | N/A |
| Tax Fees | $2,500 | $2,500 |
| All Other Fees | N/A | N/A |
| AXS Market Neutral Fund | FYE 9/30/2021 | FYE 6/30/2021 |
| Audit Fees | $12,500 | $12,500 |
| Audit-Related Fees | N/A | N/A |
| Tax Fees | $2,500 | $2,500 |
| All Other Fees | N/A | N/A |
| AXS Merger Fund | FYE 9/30/2021 | FYE 12/31/2020 |
| Audit Fees | $12,500 | $21,200 |
| Audit-Related Fees | N/A | N/A |
| Tax Fees | $2,500 | $3,600 |
| All Other Fees | N/A | N/A |
The audit committee has adopted pre-approval policies and procedures that require the audit committee to pre-approve all audit and non-audit services of the registrant, including services provided to any entity affiliated with the registrant.
The percentage of fees billed by Tait, Weller, & Weller LLP applicable to non-audit services pursuant to waiver of pre-approval requirement were as follows:
| AXS All Terrain Opportunity Fund | FYE 9/30/2021 | FYE 10/31/2020 |
| Audit-Related Fees | 0% | 0% |
| Tax Fees | 0% | 0% |
| All Other Fees | 0% | 0% |
| AXS Alternative Value Fund | FYE 9/30/2021 | FYE 6/30/2021 |
| Audit-Related Fees | 0% | 0% |
| Tax Fees | 0% | 0% |
| All Other Fees | 0% | 0% |
| AXS Market Neutral Fund | FYE 9/30/2021 | FYE 6/30/2021 |
| Audit-Related Fees | 0% | 0% |
| Tax Fees | 0% | 0% |
| All Other Fees | 0% | 0% |
| AXS Merger Fund | FYE 9/30/2021 | FYE 12/31/2020 |
| Audit-Related Fees | 0% | 0% |
| Tax Fees | 0% | 0% |
| All Other Fees | 0% | 0% |
All of the principal accountant's hours spent on auditing the registrant's financial statements were attributed to work performed by full-time permanent employees of the principal accountant.
The following table indicates the non-audit fees billed or expected to be billed by the registrant's accountant for services to the registrant and to the registrant's investment advisor (and any other controlling entity, etc.—not sub-advisor) for the last two years. The audit committee of the Board of Trustees has considered whether the provision of non-audit services that were rendered to the registrant's investment advisor is compatible with maintaining the principal accountant's independence and has concluded that the provision of such non-audit services by the accountant has not compromised the accountant's independence.
| AXS All Terrain Opportunity Fund | | |
| Non-Audit Related Fees | FYE 9/30/2021 | FYE 10/31/2020 |
| Registrant | N/A | N/A |
| Registrant’s Investment Advisor | N/A | N/A |
| AXS Alternative Value Fund | | |
| Non-Audit Related Fees | FYE 9/30/2021 | FYE 6/30/2021 |
| Registrant | N/A | N/A |
| Registrant’s Investment Advisor | N/A | N/A |
| AXS Market Neutral Fund | | |
| Non-Audit Related Fees | FYE 9/30/2021 | FYE 6/30/2021 |
| Registrant | N/A | N/A |
| Registrant’s Investment Advisor | N/A | N/A |
| AXS Merger Fund | | |
| Non-Audit Related Fees | FYE 9/30/2021 | FYE 12/31/2020 |
| Registrant | N/A | N/A |
| Registrant’s Investment Advisor | N/A | N/A |
Item 5. Audit Committee of Listed Registrants.
| (a) | Not applicable to registrants who are not listed issuers (as defined in Rule 10A-3 under the Securities Exchange Act of 1934). |
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.
Item 10. Submission of Matters to a Vote of Security Holders.
The registrant has not made any 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 President/Chief Executive Officer and Treasurer/Chief 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 has materially affected, or is 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.
(2) Certifications pursuant to Section 302 of the Sarbanes-Oxley Act of 2002. Filed herewith.
(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) | Investment Managers Series Trust II | |
| | | |
| By (Signature and Title) | /s/ Terrance Gallagher | |
| | Terrance Gallagher, President/Chief Executive Officer | |
| | | |
| Date | 12/9/2021 | |
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/ Terrance Gallagher | |
| | Terrance Gallagher, President/Chief Executive Officer | |
| | | |
| Date | 12/9/2021 | |
| | | |
| By (Signature and Title) | /s/ Rita Dam | |
| | Rita Dam, Treasurer/Chief Financial Officer | |
| | | |
| Date | 12/9/2021 | |
