Table of Contents
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 811-22906
Virtus Alternative Solutions Trust
(Exact name of registrant as specified in charter)
101 Munson Street
Greenfield, MA 01301
(Address of principal executive offices) (Zip code)
Jennifer Fromm, Esq.
Vice President, Chief Legal Officer, Counsel and Secretary for Registrant
One Financial Plaza
Hartford, CT 06103-4506
(Name and address of agent for service)
Registrant’s telephone number, including area code: (800) 243-1574
Date of fiscal year end: October 31
Date of reporting period: April 30, 2020
Form N-CSR is to be used by management investment companies to file reports with the Commission not later than 10 days after the transmission to stockholders of any report that is required to be transmitted to stockholders under Rule 30e-1 under the Investment Company Act of 1940 (17 CFR 270.30e-1). The Commission may use the information provided on Form N-CSR in its regulatory, disclosure review, inspection, and policymaking roles.
A registrant is required to disclose the information specified by Form N-CSR, and the Commission will make this information public. A registrant is not required to respond to the collection of information contained in Form N-CSR unless the Form displays a currently valid Office of Management and Budget (“OMB”) control number. Please direct comments concerning the accuracy of the information collection burden estimate and any suggestions for reducing the burden to Secretary, Securities and Exchange Commission, 450 Fifth Street, NW, Washington, DC 20549-0609. The OMB has reviewed this collection of information under the clearance requirements of 44 U.S.C. § 3507.
Table of Contents
Item 1. | Reports to Stockholders. |
The Report to Shareholders is attached herewith.
Table of Contents
Virtus Aviva Multi-Strategy Target Return Fund |
Virtus Duff & Phelps Select MLP and Energy Fund |
Virtus KAR Long/Short Equity Fund |
Table of Contents
1 | ||
2 | ||
4 | ||
5 | ||
Fund | Schedule of Investments | |
6 | ||
13 | ||
15 | ||
17 | ||
19 | ||
21 | ||
23 | ||
25 | ||
42 |
Table of Contents
President, Virtus Funds
Table of Contents
Beginning Account Value November 1, 2019 | Ending Account Value April 30, 2020 | Annualized Expense Ratio* | Expenses Paid During Period** | |||||
Aviva Multi-Strategy Target Return Fund | ||||||||
Class A | $ 1,000.00 | $ 984.60 | 1.69 % | $ 8.34 | ||||
Class C | 1,000.00 | 981.20 | 2.44 | 12.02 | ||||
Class I | 1,000.00 | 987.10 | 1.44 | 7.11 | ||||
Class R6 | 1,000.00 | 986.60 | 1.38 | 6.82 | ||||
Duff & Phelps Select MLP and Energy Fund | ||||||||
Class A | 1,000.00 | 715.40 | 1.40 | 5.97 | ||||
Class C | 1,000.00 | 712.20 | 2.15 | 9.15 | ||||
Class I | 1,000.00 | 715.90 | 1.15 | 4.91 | ||||
KAR Long/Short Equity Fund | ||||||||
Class A | 1,000.00 | 1,048.60 | 2.40 | 12.22 | ||||
Class C | 1,000.00 | 1,044.20 | 3.15 | 16.01 | ||||
Class I | 1,000.00 | 1,050.10 | 2.15 | 10.96 | ||||
Class R6 | 1,000.00 | 1,050.10 | 2.08 | 10.60 |
* | Annualized expense ratios include dividend and interest expense on securities sold short. |
** | Expenses are equal to the relevant Fund’s annualized expense ratio, which is net of waived fees and reimbursed expenses, if applicable, multiplied by the average account value over the period, multiplied by the number of days (182) expenses were accrued in the most recent fiscal half-year, then divided by 366 to reflect the one-half year period. |
Table of Contents
Beginning Account Value November 1, 2019 | Ending Account Value April 30, 2020 | Annualized Expense Ratio* | Expenses Paid During Period** | |||||
Aviva Multi-Strategy Target Return Fund | ||||||||
Class A | $ 1,000.00 | $ 1,016.46 | 1.69 % | $ 8.47 | ||||
Class C | 1,000.00 | 1,012.73 | 2.44 | 12.21 | ||||
Class I | 1,000.00 | 1,017.70 | 1.44 | 7.22 | ||||
Class R6 | 1,000.00 | 1,018.00 | 1.38 | 6.92 | ||||
Duff & Phelps Select MLP and Energy Fund | ||||||||
Class A | 1,000.00 | 1,017.90 | 1.40 | 7.02 | ||||
Class C | 1,000.00 | 1,014.17 | 2.15 | 10.77 | ||||
Class I | 1,000.00 | 1,019.14 | 1.15 | 5.77 | ||||
KAR Long/Short Equity Fund | ||||||||
Class A | 1,000.00 | 1,012.93 | 2.40 | 12.01 | ||||
Class C | 1,000.00 | 1,009.20 | 3.15 | 15.74 | ||||
Class I | 1,000.00 | 1,014.17 | 2.15 | 10.77 | ||||
Class R6 | 1,000.00 | 1,014.52 | 2.08 | 10.42 |
* | Annualized expense ratios include dividend and interest expense on securities sold short. |
** | Expenses are equal to the relevant Fund’s annualized expense ratio, which is net of waived fees and reimbursed expenses, if applicable, multiplied by the average account value over the period, multiplied by the number of days (182) expenses were accrued in the most recent fiscal half-year, then divided by 366 to reflect the one-half year period. |
Table of Contents
Table of Contents
Short-Term Investment* | 69% | |
Common Stocks | 30 | |
Industrials | 10% | |
Information Technology | 7 | |
Health Care | 5 | |
All Other Common Stocks | 8 | |
Exchange-Traded Fund | 1 | |
Total | 100% | |
*Portion represents collateral utilized for derivative contracts. |
Diversified | 31% | |
Petroleum Transportation & Storage | 16 | |
Downstream/Other | 16 | |
Gathering/Processing | 15 | |
Natural Gas Pipelines | 13 | |
Electric, LDC & Power | 6 | |
Marine/Shipping | 3 | |
Total | 100% |
Common Stocks | 118% | |
Information Technology | 28% | |
Financials | 19 | |
Industrials | 17 | |
Consumer Staples | 13 | |
Communication Services | 11 | |
Consumer Discretionary | 11 | |
Health Care | 10 | |
Real Estate | 5 | |
Materials | 4 | |
Short-Term Investment | 9 | |
Securities Sold Short | (27) | |
Industrials | (6) | |
Real Estate | (4) | |
Consumer Discretionary | (7) | |
Information Technology | (2) | |
Consumer Staples | (2) | |
Financials | (6) | |
Total | 100% |
Table of Contents
Shares | Value | ||
Common Stocks—20.8% | |||
Communication Services—1.7% | |||
Alphabet, Inc. Class A(1) | 16 | $ 22 | |
Altice USA, Inc. Class A(1) | 1,341 | 35 | |
Anterix, Inc.(1) | 296 | 16 | |
Bandwidth, Inc. Class A(1) | 186 | 15 | |
Cable One, Inc. | 32 | 61 | |
Cargurus, Inc.(1) | 666 | 15 | |
Charter Communications, Inc. Class A(1) | 304 | 151 | |
Comcast Corp. Class A | 3,392 | 128 | |
Facebook, Inc. Class A(1) | 102 | 21 | |
Liberty Broadband Corp. Class A(1) | 116 | 14 | |
Liberty Broadband Corp. Class C(1) | 112 | 14 | |
Madison Square Garden Sports Corp. Class A(1) | 55 | 9 | |
New York Times Co. (The) Class A | 400 | 13 | |
Sirius XM Holdings, Inc. | 2,623 | 15 | |
Spotify Technology SA(1) | 102 | 15 | |
TechTarget, Inc.(1) | 658 | 15 | |
Telecom Italia SpA/Milano(1) | 51,141 | 20 | |
Vodafone Group PLC | 14,519 | 21 | |
Zynga, Inc. Class A(1) | 1,846 | 14 | |
614 | |||
Consumer Discretionary—1.1% | |||
Carnival PLC | 1,807 | 25 | |
Chegg, Inc.(1) | 341 | 15 | |
Chipotle Mexican Grill, Inc.(1) | 20 | 18 | |
Choice Hotels International, Inc. | 202 | 15 | |
Cie Generale des Etablissements Michelin SCA | 212 | 21 | |
Columbia Sportswear Co. | 185 | 13 | |
Continental AG | 257 | 22 | |
Deckers Outdoor Corp.(1) | 94 | 14 | |
Dollar General Corp. | 85 | 15 | |
Dorman Products, Inc.(1) | 239 | 15 | |
Fox Factory Holding Corp.(1) | 333 | 17 | |
Garmin Ltd. | 169 | 14 | |
Gentex Corp. | 567 | 14 | |
Grand Canyon Education, Inc.(1) | 173 | 15 | |
Lululemon Athletica, Inc.(1) | 66 | 15 | |
NVR, Inc.(1) | 5 | 16 | |
Peugeot SA | 1,562 | 22 | |
Pool Corp. | 65 | 14 | |
Strategic Education, Inc. | 96 | 15 | |
Sturm Ruger & Co., Inc. | 253 | 13 | |
Tractor Supply Co. | 149 | 15 | |
Wingstop, Inc. | 156 | 18 | |
Yum China Holdings, Inc. | 299 | 14 | |
375 | |||
Consumer Staples—0.8% | |||
Boston Beer Co., Inc. (The) Class A(1) | 36 | 17 |
Shares | Value | ||
Consumer Staples—continued | |||
Brown-Forman Corp. Class B | 224 | $ 14 | |
Calavo Growers, Inc. | 227 | 13 | |
Cal-Maine Foods, Inc. | 310 | 13 | |
Carrefour SA | 1,283 | 19 | |
Church & Dwight Co., Inc. | 197 | 14 | |
Clorox Co. (The) | 71 | 13 | |
Flowers Foods, Inc. | 618 | 14 | |
Freshpet, Inc.(1) | 202 | 15 | |
Hershey Co. (The) | 93 | 12 | |
Hormel Foods Corp. | 268 | 13 | |
J&J Snack Foods Corp. | 106 | 13 | |
John B Sanfilippo & Son, Inc. | 157 | 13 | |
Lancaster Colony Corp. | 94 | 13 | |
McCormick & Co., Inc. | 91 | 14 | |
National Beverage Corp.(1) | 303 | 15 | |
Sanderson Farms, Inc. | 105 | 14 | |
Simply Good Foods Co. (The)(1) | 734 | 14 | |
Tootsie Roll Industries, Inc. | 342 | 12 | |
WD-40 Co. | 64 | 11 | |
276 | |||
Energy—0.1% | |||
BP PLC | 5,329 | 21 | |
Financials—1.1% | |||
Aon PLC | 421 | 73 | |
Banco Santander SA | 11,100 | 25 | |
Brown & Brown, Inc. | 697 | 25 | |
Gallagher (Arthur J.) & Co. | 918 | 72 | |
Intesa Sanpaolo SpA | 15,831 | 25 | |
Marsh & McLennan Cos., Inc. | 777 | 76 | |
UniCredit SpA(1) | 3,170 | 24 | |
Willis Towers Watson PLC | 428 | 76 | |
396 | |||
Health Care—3.4% | |||
ABIOMED, Inc.(1) | 86 | 16 | |
Acceleron Pharma, Inc. (1) | 146 | 13 | |
Agilent Technologies, Inc. | 176 | 13 | |
Allogene Therapeutics, Inc.(1) | 628 | 18 | |
Alnylam Pharmaceuticals, Inc.(1) | 118 | 16 | |
Amedisys, Inc.(1) | 71 | 13 | |
Arena Pharmaceuticals, Inc.(1) | 297 | 15 | |
AtriCure, Inc.(1) | 409 | 18 | |
Atrion Corp. | 20 | 13 | |
BioMarin Pharmaceutical, Inc.(1) | 155 | 14 | |
Bio-Rad Laboratories, Inc. Class A(1) | 37 | 16 | |
Bio-Techne Corp. | 68 | 15 | |
Cardiovascular Systems, Inc.(1) | 361 | 15 | |
Cerner Corp. | 199 | 14 | |
Change Healthcare, Inc.(1) | 1,243 | 14 | |
Chemed Corp. | 30 | 13 | |
Codexis, Inc.(1) | 1,245 | 14 |
Shares | Value | ||
Health Care—continued | |||
Cooper Cos., Inc. (The) | 45 | $ 13 | |
Corcept Therapeutics, Inc.(1) | 1,093 | 14 | |
CorVel Corp.(1) | 239 | 13 | |
CryoPort, Inc.(1) | 838 | 16 | |
DENTSPLY SIRONA, Inc. | 327 | 14 | |
DexCom, Inc.(1) | 47 | 16 | |
Eagle Pharmaceuticals Inc.(1) | 313 | 16 | |
Eidos Therapeutics, Inc.(1) | 343 | 16 | |
Enanta Pharmaceuticals, Inc.(1) | 259 | 12 | |
Exelixis, Inc.(1) | 728 | 18 | |
Global Blood Therapeutics, Inc.(1) | 245 | 19 | |
Globus Medical, Inc. Class A(1) | 300 | 14 | |
Guardant Health, Inc.(1) | 182 | 14 | |
Haemonetics Corp.(1) | 122 | 14 | |
Halozyme Therapeutics, Inc.(1) | 699 | 16 | |
HealthStream, Inc.(1) | 578 | 13 | |
IDEXX Laboratories, Inc.(1) | 54 | 15 | |
Incyte Corp.(1) | 180 | 18 | |
Inspire Medical Systems, Inc.(1) | 218 | 16 | |
Insulet Corp.(1) | 72 | 14 | |
Ionis Pharmaceuticals, Inc.(1) | 261 | 14 | |
iRhythm Technologies, Inc.(1) | 155 | 16 | |
Krystal Biotech, Inc.(1) | 321 | 15 | |
Kura Oncology, Inc.(1) | 1,397 | 20 | |
LeMaitre Vascular, Inc. | 664 | 19 | |
LHC Group, Inc.(1) | 95 | 12 | |
Luminex Corp. | 478 | 17 | |
Madrigal Pharmaceuticals, Inc.(1) | 179 | 15 | |
Masimo Corp.(1) | 70 | 15 | |
Mesa Laboratories, Inc. | 60 | 14 | |
Mettler-Toledo International, Inc.(1) | 19 | 14 | |
Mirati Therapeutics, Inc.(1) | 161 | 14 | |
MyoKardia, Inc.(1) | 241 | 15 | |
National HealthCare Corp. | 212 | 15 | |
Neogen Corp.(1) | 197 | 12 | |
Neurocrine Biosciences, Inc.(1) | 139 | 14 | |
Novocure Ltd.(1) | 187 | 12 | |
OrthoPediatrics Corp.(1) | 383 | 19 | |
Penumbra, Inc.(1) | 81 | 14 | |
Principia Biopharma, Inc.(1) | 237 | 15 | |
Quest Diagnostics, Inc. | 151 | 17 | |
Quidel Corp.(1) | 132 | 18 | |
Repligen Corp.(1) | 132 | 15 | |
ResMed, Inc. | 82 | 13 | |
Rhythm Pharmaceuticals, Inc.(1) | 1,238 | 23 | |
Seattle Genetics, Inc.(1) | 110 | 15 | |
Shockwave Medical, Inc.(1) | 370 | 15 | |
Simulations Plus, Inc. | 383 | 15 | |
STAAR Surgical Co.(1) | 407 | 16 | |
STERIS PLC | 94 | 13 |
Table of Contents
Shares | Value | ||
Health Care—continued | |||
Tactile Systems Technology, Inc.(1) | 315 | $ 16 | |
Tandem Diabetes Care, Inc.(1) | 185 | 15 | |
Teladoc Health, Inc.(1) | 74 | 12 | |
Teleflex, Inc. | 44 | 15 | |
Turning Point Therapeutics, Inc.(1) | 288 | 15 | |
Varian Medical Systems, Inc.(1) | 125 | 14 | |
Veeva Systems, Inc. Class A(1) | 84 | 16 | |
Veracyte, Inc.(1) | 553 | 15 | |
Viking Therapeutics, Inc.(1) | 2,785 | 16 | |
Waters Corp.(1) | 68 | 13 | |
West Pharmaceutical Services, Inc. | 86 | 16 | |
Y-mAbs Therapeutics, Inc.(1) | 663 | 22 | |
1,197 | |||
Industrials—6.6% | |||
A.O. Smith Corp. | 332 | 14 | |
AAON, Inc. | 269 | 13 | |
Acuity Brands Inc. | 274 | 24 | |
Advanced Disposal Services, Inc.(1) | 386 | 12 | |
AeroVironment, Inc.(1) | 235 | 14 | |
Allegion PLC | 1,883 | 189 | |
AMETEK, Inc. | 175 | 15 | |
Assa Abloy AB Class B | 5,302 | 96 | |
Bouygues SA | 701 | 22 | |
Brady Corp. Class A | 280 | 12 | |
Carlisle Cos, Inc. | 102 | 12 | |
Carrier Global Corp.(1) | 657 | 12 | |
Cie de Saint-Gobain | 2,473 | 66 | |
Cintas Corp. | 71 | 16 | |
Copart, Inc.(1) | 176 | 14 | |
CoStar Group, Inc.(1) | 21 | 14 | |
CSW Industrials, Inc. | 239 | 16 | |
Daikin Industries Ltd. | 900 | 115 | |
Donaldson Co., Inc. | 337 | 15 | |
Encore Wire Corp. | 294 | 13 | |
Equifax, Inc. | 992 | 138 | |
ESCO Technologies, Inc. | 171 | 13 | |
Expeditors International of Washington, Inc. | 194 | 14 | |
Experian PLC | 3,735 | 112 | |
Exponent, Inc. | 178 | 12 | |
Fastenal Co. | 395 | 14 | |
Forward Air Corp. | 246 | 13 | |
Graco, Inc. | 268 | 12 | |
Heartland Express, Inc. | 689 | 13 | |
HEICO Corp. | 164 | 14 | |
HEICO Corp. Class A | 190 | 14 | |
IDEX Corp. | 94 | 14 | |
IHS Markit Ltd. | 209 | 14 | |
Johnson Controls International PLC | 1,515 | 44 | |
Kingspan Group PLC | 1,343 | 68 | |
Kone OYJ Class B | 1,313 | 80 | |
L3Harris Technologies, Inc. | 69 | 13 |
Shares | Value | ||
Industrials—continued | |||
Landstar System, Inc. | 131 | $ 13 | |
Lennox International, Inc. | 329 | 61 | |
Lincoln Electric Holdings, Inc. | 181 | 15 | |
Mercury Systems, Inc.(1) | 178 | 16 | |
MSA Safety, Inc. | 129 | 14 | |
MSC Industrial Direct Co., Inc. Class A | 237 | 14 | |
National Presto Industries, Inc. | 209 | 17 | |
Nordson Corp. | 91 | 15 | |
Old Dominion Freight Line, Inc. | 94 | 14 | |
Otis Worldwide Corp.(1) | 328 | 17 | |
Proto Labs, Inc.(1) | 168 | 17 | |
Raven Industries, Inc. | 673 | 15 | |
Raytheon Technologies Corp. | 684 | 44 | |
Republic Services, Inc. | 165 | 13 | |
Robert Half International, Inc. | 310 | 15 | |
Rollins, Inc. | 348 | 14 | |
Safran SA(2)(3) | 246 | 23 | |
Schindler Holding AG | 327 | 73 | |
Schneider Electric SE | 746 | 68 | |
Siemens AG | 229 | 21 | |
Signify NV | 2,286 | 47 | |
Simpson Manufacturing Co., Inc. | 209 | 15 | |
Snap-on, Inc. | 116 | 15 | |
Teledyne Technologies, Inc.(1) | 44 | 14 | |
Toro Co. (The) | 197 | 13 | |
Trane Technologies PLC | 1,638 | 143 | |
TransUnion | 1,422 | 112 | |
Trex Co., Inc.(1) | 144 | 14 | |
UniFirst Corp. | 88 | 15 | |
Verisk Analytics, Inc. | 89 | 14 | |
Vicor Corp.(1) | 319 | 17 | |
WABCO Holdings, Inc.(1) | 93 | 12 | |
Watsco, Inc. | 444 | 71 | |
Watts Water Technologies, Inc. Class A | 155 | 13 | |
Xylem, Inc. | 190 | 14 | |
2,334 | |||
Information Technology—5.2% | |||
Acacia Communications, Inc.(1) | 186 | 13 | |
Adobe, Inc.(1) | 59 | 21 | |
Akamai Technologies, Inc.(1) | 136 | 13 | |
Alarm.com Holdings, Inc.(1) | 314 | 14 | |
Ambarella, Inc.(1) | 260 | 14 | |
Amdocs Ltd. | 233 | 15 | |
Amphenol Corp. Class A | 169 | 15 | |
ANSYS, Inc.(1) | 55 | 14 | |
Appfolio, Inc. Class A(1) | 118 | 13 | |
Arista Networks, Inc.(1) | 95 | 21 | |
Aspen Technology, Inc.(1) | 130 | 13 | |
Atlassian Corp. PLC Class A(1) | 87 | 14 |
Shares | Value | ||
Information Technology—continued | |||
Automatic Data Processing, Inc. | 158 | $ 23 | |
Avalara, Inc.(1) | 158 | 14 | |
Badger Meter, Inc. | 248 | 15 | |
Black Knight, Inc.(1) | 218 | 15 | |
Booz Allen Hamilton Holding Corp. | 180 | 13 | |
Broadcom, Inc. | 181 | 49 | |
Broadridge Financial Solutions, Inc. | 134 | 16 | |
Cadence Design Systems, Inc.(1) | 195 | 16 | |
CDW Corp. | 188 | 21 | |
CGI, Inc.(1) | 364 | 23 | |
Citrix Systems, Inc. | 87 | 13 | |
Cognex Corp. | 280 | 15 | |
Constellation Software, Inc. | 24 | 23 | |
DocuSign, Inc.(1) | 145 | 15 | |
Dolby Laboratories, Inc. Class A | 233 | 14 | |
EPAM Systems, Inc.(1) | 68 | 15 | |
F5 Networks, Inc.(1) | 116 | 16 | |
Fair Isaac Corp.(1) | 42 | 15 | |
Five9, Inc.(1) | 162 | 15 | |
Global Payments, Inc. | 134 | 22 | |
Guidewire Software, Inc.(1) | 152 | 14 | |
Intelligent Systems Corp.(1) | 497 | 17 | |
Intuit, Inc. | 84 | 23 | |
IPG Photonics Corp.(1) | 115 | 15 | |
Jack Henry & Associates, Inc. | 83 | 14 | |
Keysight Technologies, Inc.(1) | 214 | 21 | |
KLA Corp. | 124 | 20 | |
LiveRamp Holdings, Inc.(1) | 380 | 14 | |
LogMeIn, Inc. | 150 | 13 | |
Lumentum Holdings, Inc.(1) | 611 | 49 | |
Manhattan Associates, Inc.(1) | 236 | 17 | |
ManTech International Corp. Class A | 170 | 13 | |
Mastercard, Inc. Class A | 75 | 21 | |
Maxim Integrated Products, Inc. | 255 | 14 | |
MAXIMUS, Inc. | 223 | 15 | |
MediaTek, Inc. | 4,000 | 55 | |
Micron Technology, Inc.(1) | 2,597 | 124 | |
Microsoft Corp. | 116 | 21 | |
Mitek Systems, Inc.(1) | 1,983 | 18 | |
Monolithic Power Systems, Inc. | 77 | 15 | |
Murata Manufacturing Co. Ltd. | 900 | 51 | |
National Instruments Corp. | 391 | 15 | |
NIC, Inc. | 571 | 14 | |
Okta, Inc.(1) | 101 | 15 | |
Open Text Corp. | 608 | 23 | |
Pegasystems, Inc. | 171 | 14 | |
Power Integrations, Inc. | 139 | 14 | |
Qorvo, Inc.(1) | 559 | 55 | |
QUALCOMM, Inc. | 629 | 49 |
Table of Contents
Shares | Value | ||
Information Technology—continued | |||
Qualys, Inc.(1) | 143 | $ 15 | |
RingCentral, Inc. Class A(1) | 51 | 12 | |
Samsung Electronics Co. Ltd. | 2,457 | 101 | |
SK Hynix, Inc. | 1,533 | 105 | |
Skyworks Solutions, Inc. | 650 | 68 | |
Smartsheet, Inc. Class A(1) | 287 | 15 | |
SPS Commerce, Inc.(1) | 280 | 16 | |
SS&C Technologies Holdings, Inc. | 373 | 21 | |
Synopsys, Inc.(1) | 100 | 16 | |
Twilio Inc. Class A(1) | 129 | 14 | |
Tyler Technologies, Inc.(1) | 43 | 14 | |
Universal Display Corp. | 92 | 14 | |
Varonis Systems, Inc.(1) | 194 | 13 | |
VeriSign, Inc.(1) | 69 | 14 | |
Win Semiconductors Corp. | 5,000 | 45 | |
Xilinx, Inc. | 162 | 14 | |
Zscaler, Inc.(1) | 213 | 14 | |
1,822 | |||
Materials—0.6% | |||
AptarGroup, Inc. | 130 | 14 | |
ArcelorMittal SA | 2,115 | 23 | |
Balchem Corp. | 130 | 12 | |
BHP Group PLC | 1,230 | 21 | |
Johnson Matthey PLC | 823 | 21 | |
NewMarket Corp. | 32 | 13 | |
Newmont Corp. | 264 | 16 | |
Novagold Resources, Inc.(1) | 1,585 | 18 | |
Rio Tinto PLC | 421 | 19 | |
Royal Gold, Inc. | 135 | 16 | |
Sensient Technologies Corp. | 292 | 14 | |
Vulcan Materials Co. | 129 | 14 | |
201 | |||
Real Estate—0.1% | |||
RMR Group, Inc. (The) Class A | 572 | 17 | |
SBA Communications, Corp. | 46 | 13 | |
30 | |||
Utilities—0.1% | |||
Atmos Energy Corp. | 127 | 13 | |
El Paso Electric Co. | 188 | 13 | |
26 | |||
Total Common Stocks (Identified Cost $7,095) | 7,292 | ||
Exchange-Traded Fund—0.9% | |||
iShares JP Morgan USD Emerging Markets Bond ETF(4) | 3,265 | 328 | |
Total Exchange-Traded Fund (Identified Cost $353) | 328 | ||
Shares | Value | ||
Purchased Options—0.1% | |||
(See open purchased options schedule) | |||
Total Purchased Options (Premiums paid $85) | $ 43 | ||
Total Long-Term Investments—21.8% (Identified Cost $7,533) | 7,663 | ||
Short-Term Investment—47.3% | |||
Money Market Mutual Fund—47.3% | |||
Dreyfus Government Cash Management Fund - Institutional Shares (seven-day effective yield 0.170%)(4) | 16,579,443 | 16,579 | |
Total Short-Term Investment (Identified Cost $16,579) | 16,579 | ||
TOTAL INVESTMENTS, BEFORE WRITTEN OPTIONS—69.1% (Identified Cost $24,112) | 24,242 | ||
Written Options—(0.1)% | |||
(See open written options schedule) | |||
Total Written Options (Premiums received $50) | (30) | ||
TOTAL INVESTMENTS, NET OF WRITTEN OPTIONS—69.0% (Identified Cost $24,062) | $24,212 | ||
Other assets and liabilities, net—31.0% | 10,854 | ||
NET ASSETS—100.0% | $35,066 |
Abbreviations: | |
ETF | Exchange-Traded Fund |
LIBOR | London Interbank Offered Rate |
PLC | Public Limited Company |
QTR | Quarterly |
TERM | Payment Frequency at Termination |
Footnote Legend: | |
(1) | Non-income producing. |
(2) | Security valued at fair value as determined in good faith by or under the direction of the Trustees. |
(3) | Non-tradable security. |
(4) | Shares of these funds are publicly offered, and the prospectus and annual reports of each are publicly available. |
Counterparties: | |
BNP | BNP Paribas |
CITI | Citibank |
GS | Goldman Sachs & Co. |
JPM | JPMorgan Chase Bank N.A. |
ML | Merrill Lynch |
Soc Gen | Societe Generale |
Foreign Currencies: | |
AUD | Australian Dollar |
BRL | Brazilian Real |
CHF | Swiss Franc |
CLP | Chilean Peso |
CNH | Chinese Yuan |
CNY | China Yuan |
CZK | Czech koruna |
EUR | Euro |
GBP | United Kingdom Pound Sterling |
HUF | Hungarian Forint |
IDR | Indonesian Rupiah |
INR | Indian Rupee |
JPY | Japanese Yen |
KRW | South Korean Won |
MXN | Mexican Peso |
RUB | Russian Ruble |
SEK | Swedish Krona |
SGD | Singapore Dollar |
TRY | Turkish Lira |
TWD | Taiwan Dollar |
USD | United States Dollar |
Country Weightings† | |
United States | 91% |
Ireland | 3 |
France | 1 |
South Korea | 1 |
Japan | 1 |
United Kingdom | 1 |
Jersey | 1 |
Other | 1 |
Total | 100% |
† % of total investments, net of written options, as of April 30, 2020. |
Table of Contents
Open purchased option contracts as of April 30, 2020 were as follows: | ||||||
Description of Options | Counterparty | Number of Contracts | Contract Notional Amount | Strike Price(1) | Expiration Date | Value |
Call Option | ||||||
Swiss Market Index | JPM | 10 | $ 950 | $9,500.00 | 06/19/20 | $ 43 |
Put Options | ||||||
Put USD 295 versus Call TRY 1,180 | CITI | 295,000 | 1,180 | 4.00 | 05/04/20 | — (2) |
Put USD 590 versus Call TRY 2,360 | CITI | 590,000 | 2,360 | 4.00 | 06/04/20 | — (2) |
Total | $ 43 |
Footnote Legend: | |
(1) | Strike price not reported in thousands. |
(2) | Amount is less than $500. |
Open written option contracts as of April 30, 2020 were as follows: | ||||||
Description of Options | Counterparty | Number of Contracts | Contract Notional Amount | Strike Price(1) | Expiration Date | Value |
Put Option | ||||||
Swiss Market Index | JPM | 10 | $950 | $9,500.00 | 06/19/20 | $(30) |
Total | $(30) |
Footnote Legend: | |
(1) | Strike price not reported in thousands. |
Futures contracts as of April 30, 2020 were as follows: | ||||
Issue | Expiration | Contracts Purchased/(Sold) | Notional Value | Value/Unrealized Appreciation (Depreciation) |
TOPIX Index Future | June 2020 | (4) | $ (542) | $ (18) |
30 Year U.S. Ultra Treasury Bond Future | June 2020 | 26 | 5,844 | 239 |
E-Mini Consumer Staples Select Sector Future | June 2020 | 12 | 700 | (23) |
E-mini Russell 2000®Index Future | June 2020 | (55) | (3,593) | (500) |
Euro Stoxx 50® Future | June 2020 | 8 | 253 | — (1) |
MSCI Emerging Markets Index Future | June 2020 | 20 | 906 | 101 |
MSCI Industrials Future | June 2020 | (17) | (531) | (33) |
MSCI World Index Future | June 2020 | (17) | (1,028) | (97) |
S&P 500® Index E-Mini Future | June 2020 | 9 | 1,306 | 50 |
Stoxx ® Europe Mid 200 Index Future | June 2020 | 10 | 219 | 43 |
Stoxx ® Europe Mid 600 Index Future | June 2020 | (20) | (369) | (37) |
5 Year U.S. Treasury Note Future | June 2020 | 52 | 6,525 | 20 |
Total | $(255) |
Footnote Legend: | |
(1) | Amount is less than $500. |
Table of Contents
Forward foreign currency exchange contracts as of April 30, 2020 were as follows: | ||||||||
Currency Purchased | Value (1) | Currency Sold | Value (1) | Counterparty | Settlement Date | Unrealized Appreciation | Unrealized (Depreciation) | |
AUD (2) | 209 | USD | 137 | CITI | 05/18/20 | $— | $(1) | |
AUD (2) | 419 | USD | 275 | JPM | 05/18/20 | — | (2) | |
AUD (2) | 209 | USD | 137 | Soc Gen | 05/18/20 | — | (1) | |
AUD (2) | 420 | JPY | 28,454 | CITI | 06/19/20 | 8 | — | |
BRL (2) | 716 | USD | 141 | JPM | 06/19/20 | — | (10) | |
CLP (2) | 347,760 | USD | 420 | GS | 05/05/20 | — | (3) | |
CLP (2) | 121,917 | USD | 142 | ML | 05/05/20 | 5 | — | |
CLP (2) | 19,228 | USD | 23 | ML | 05/05/20 | — (3) | — | |
CNH (2) | 4,200 | USD | 599 | CITI | 10/15/20 | — | (8) | |
CNH (2) | 3,763 | USD | 531 | GS | 10/15/20 | — | (2) | |
EUR (2) | 565 | USD | 614 | JPM | 05/18/20 | 5 | — | |
GBP (2) | 126 | USD | 157 | ML | 05/18/20 | 2 | — | |
IDR (2) | 2,228,688 | USD | 141 | ML | 05/18/20 | 9 | — | |
INR (2) | 10,875 | USD | 141 | ML | 05/18/20 | 4 | — | |
JPY (2) | 201,167 | AUD | 3,025 | GS | 06/19/20 | — | (96) | |
JPY (2) | 199,507 | AUD | 3,025 | JPM | 06/19/20 | — | (111) | |
JPY (2) | 218,617 | USD | 2,120 | GS | 06/19/20 | — | (81) | |
JPY (2) | 416,653 | USD | 3,900 | JPM | 06/19/20 | — | (15) | |
KRW (2) | 745,000 | USD | 619 | BNP | 07/15/20 | — | (7) | |
MXN (2) | 3,417 | USD | 141 | CITI | 05/18/20 | 1 | — | |
RUB (2) | 10,574 | USD | 141 | JPM | 05/18/20 | 1 | — | |
SGD (2) | 552 | USD | 391 | JPM | 05/18/20 | — | (—) (3) | |
SGD (2) | 184 | USD | 130 | Soc Gen | 05/18/20 | — | (—) (3) | |
USD (2) | 396 | CLP | 319,981 | GS | 05/05/20 | 13 | — | |
USD (2) | 188 | CLP | 151,941 | ML | 05/05/20 | 6 | — | |
USD (2) | 993 | AUD | 1,579 | ML | 05/18/20 | — | (36) | |
USD (2) | 141 | CZK | 3,487 | BNP | 05/18/20 | — | (—) (3) | |
USD (2) | 1,193 | EUR | 1,094 | ML | 05/18/20 | — | (6) | |
USD (2) | 247 | GBP | 197 | ML | 05/18/20 | — | (2) | |
USD (2) | 141 | HUF | 45,352 | JPM | 05/18/20 | — | (—) (3) | |
USD (2) | 94 | JPY | 10,132 | JPM | 05/18/20 | — | (—) (3) | |
USD (2) | 141 | SEK | 1,414 | JPM | 05/18/20 | — | (5) | |
USD (2) | 965 | SGD | 1,376 | Soc Gen | 05/18/20 | — | (11) | |
USD (2) | 142 | CLP | 121,734 | ML | 06/19/20 | — | (4) | |
USD (2) | 118 | GBP | 96 | GS | 06/19/20 | — | (3) | |
USD (2) | 1,650 | JPY | 175,738 | BNP | 06/19/20 | 11 | — | |
USD (2) | 135 | JPY | 14,887 | CITI | 06/19/20 | — | (4) | |
USD (2) | 48 | JPY | 5,145 | JPM | 06/19/20 | — | (—) (3) | |
USD (2) | 550 | JPY | 58,545 | ML | 06/19/20 | 4 | — | |
USD (2) | 175 | JPY | 19,079 | ML | 06/19/20 | — | (3) | |
USD (2) | 141 | KRW | 170,001 | ML | 06/19/20 | 1 | — | |
USD (2) | 92 | TWD | 2,754 | JPM | 06/19/20 | — | (—) (3) | |
USD (2) | 1,225 | KRW | 1,497,412 | JPM | 07/15/20 | — | (6) | |
USD (2) | 1,571 | CNH | 11,100 | CITI | 10/15/20 | 9 | — | |
Total | $79 | $(417) |
Footnote Legend: | |
(1) | Reported in thousands. |
(2) | Non deliverable forward. See Note 3b. |
(3) | Amount is less than $500. |
Table of Contents
Centrally Cleared credit default swaps - sell protection(1) outstanding as of April 30, 2020 was as follows: | |||||||||||||
Reference Entity | Payment Frequency | Counterparty | Fixed Rate | Expiration Date | Notional Amount(2) | Value | Premiums Paid (Received) | Unrealized Appreciation | Unrealized (Depreciation) | ||||
iTRAXX Europe | QTR | JPM | 5.000% | 12/20/24 | 2,454 | EUR | $ 45 | $285 | $— | $(240) | |||
CDX North American High Yield Index | QTR | JPM | 5.000% | 06/20/25 | 1,840 | USD | (86) | (97) | 11 | — | |||
Total | $(41) | $188 | $11 | $(240) |
Footnote Legend: | |
(1) | If the Fund is a seller of protection and a credit event occurs, as defined under the terms of that particular swap agreement, the Fund will either (i) pay to the buyer of protection an amount equal to the notional amount of the swap and take delivery of the referenced obligation or underlying investments comprising the referenced index or (ii) pay a net settlement amount in the form of cash or investments equal to the notional amount of the swap less the recovery value of the referenced obligation or underlying investments comprising the referenced index. |
(2) | The maximum potential amount the Fund could be required to pay as a seller of credit protection or receive as a buyer of credit protection if a credit event occurs as defined under the terms of that particular swap agreement. |
Centrally cleared inflation swaps outstanding as of April 30, 2020 were as follows: | |||||||||||||
Fixed Rate | Floating Rate | Payment Frequency | Counterparty | Expiration Date | Notional Amount | Value | Premiums Paid (Received) | Unrealized Appreciation | Unrealized Depreciation | ||||
3.591% (1) | 1-Month-UKRPI | TERM | JPM | 05/15/29 | 1,492 | GBP | $ 105 | $— | $105 | $ — | |||
3.513% (1) | 1-Month-UKRPI | TERM | JPM | 12/15/29 | 500 | GBP | 26 | — | 26 | — | |||
3.538% (1) | 1-Month-UKRPI | TERM | JPM | 12/15/29 | 325 | GBP | 19 | — | 19 | — | |||
1.808% (2) | 1-Month-USCPI | TERM | JPM | 01/14/25 | 938 | USD | (47) | — | — | (47) | |||
1.805% (2) | 1-Month-USCPI | TERM | JPM | 01/14/25 | 285 | USD | (14) | — | — | (14) | |||
1.821% (2) | 1-Month-USCPI | TERM | JPM | 01/15/25 | 2,767 | USD | (141) | — | — | (141) | |||
Total | $ (52) | $— | $150 | $(202) |
Footnote Legend: | |
(1) | Fund pays the floating rate and receives the fixed rate. |
(2) | Fund pays the fixed rate and receives the floating rate. |
Centrally cleared interest rate swaps outstanding as of April 30, 2020 were as follows: | |||||||||||||
Fixed Rate | Floating Rate | Payment Frequency | Counterparty | Expiration Date | Notional Amount | Value | Premiums Paid (Received) | Unrealized Appreciation | Unrealized Depreciation | ||||
2.998% (1) | China Fixing Repo Rates 7 Days | TERM | JPM | 03/18/25 | 3,600 | CNY | $ 29 | $— | $ 29 | $— | |||
2.975% (1) | China Fixing Repo Rates 7 Days | TERM | JPM | 03/18/25 | 7,300 | CNY | 58 | — | 58 | — | |||
2.300% (1) | China Fixing Repo Rates 7 Days | TERM | JPM | 03/18/25 | 5,100 | CNY | 17 | — | 17 | — | |||
Total | $104 | $— | $104 | $— |
Footnote Legend: | |
(1) | Fund pays the floating rate and receives the fixed rate. |
Table of Contents
Over-the-counter total return swaps outstanding as of April 30, 2020 were as follows: | |||||||||||||
Referenced Entity | Floating Rate(1) | Payment Frequency | Counterparty | Expiration Date | Notional Amount | Value | Premiums Paid (Received) | Unrealized Appreciation | Unrealized Depreciation | ||||
MSCI World Industrials Net Total Return USD Index | 1-Month LIBOR | Monthly | CITI | 09/08/20 | 584 | USD | $(24) | $— | $— | $(24) | |||
CenturyLink, Inc. | 1-Month LIBOR | Monthly | Soc Gen | 01/13/21 | 33 | USD | 7 | — | 7 | — | |||
Walt Disney Co. | 1-Month LIBOR | Monthly | Soc Gen | 01/13/21 | 38 | USD | 10 | — | 10 | — | |||
Fox Corp. | 1-Month LIBOR | Monthly | Soc Gen | 01/13/21 | 36 | USD | 11 | — | 11 | — | |||
Netflix, Inc. | 1-Month LIBOR | Monthly | Soc Gen | 01/13/21 | 39 | USD | (10) | — | — | (10) | |||
AT&T, Inc. | 1-Month LIBOR | Monthly | Soc Gen | 01/13/21 | 73 | USD | 15 | — | 15 | — | |||
Verizon Communications, Inc. | 1-Month LIBOR | Monthly | Soc Gen | 01/13/21 | 75 | USD | 2 | — | 2 | — | |||
ViacomCBS, Inc. | 1-Month LIBOR | Monthly | Soc Gen | 01/13/21 | 37 | USD | 23 | — | 23 | — | |||
Discovery, Inc. | 1-Month LIBOR | Monthly | Soc Gen | 01/13/21 | 36 | USD | 11 | — | 11 | — | |||
Total | $ 45 | $— | $79 | $(34) |
Footnote Legend: | |
(1) | The Fund pays the floating rate (+/- a spread) and receives the total return of the reference entity. |
Total Value at April 30, 2020 | Level 1 Quoted Prices | Level 2 Significant Observable Inputs | |||
Assets: | |||||
Equity Securities: | |||||
Common Stocks | $ 7,292 | $ 6,797 | $ 495 | ||
Exchange-Traded Fund | 328 | 328 | — | ||
Money Market Mutual Fund | 16,579 | 16,579 | — | ||
Other Financial Instruments: | |||||
Purchased Options | 43 | 43 | — | ||
Futures Contracts | 453 | 453 | — | ||
Forward Foreign Currency Exchange Contracts | 79 | — | 79 | ||
Centrally Cleared Inflation Swaps | 150 | — | 150 | ||
Centrally Cleared Interest Rate Swaps | 104 | — | 104 | ||
Over-the-Counter Total Return Swaps | 79 | — | 79 | ||
Centrally Cleared Credit Default Swap | 45 | — | 45 | ||
Total Assets | 25,152 | 24,200 | 952 | ||
Liabilities: | |||||
Other Financial Instruments: | |||||
Written Options | (30) | (30) | — | ||
Futures Contracts | (708) | (708) | — | ||
Forward Foreign Currency Exchange Contracts | (417) | — | (417) | ||
Centrally Cleared Inflation Swaps | (202) | — | (202) | ||
Centrally Cleared Credit Default Swap | (86) | — | (86) | ||
Over-the-Counter Total Return Swaps | (34) | — | (34) | ||
Total Liabilities | (1,477) | (738) | (739) | ||
Total Investments | $23,675 | $23,462 | $ 213 |
Table of Contents
Shares | Value | ||
Master Limited Partnerships and Related Companies—98.9% | |||
Diversified—30.7% | |||
Energy Transfer LP | 24,719 | $ 208 | |
Enterprise Products Partners LP | 22,085 | 388 | |
Keyera Corp. | 7,620 | 113 | |
Kinder Morgan, Inc. | 23,140 | 352 | |
MPLX LP | 10,321 | 187 | |
ONEOK, Inc. | 6,585 | 197 | |
Pembina Pipeline Corp. | 6,440 | 148 | |
1,593 | |||
Downstream/Other—15.3% | |||
Cheniere Energy, Inc.(1) | 10,017 | 468 | |
Delek US Holdings, Inc. | 2,230 | 52 | |
Marathon Petroleum Corp. | 3,550 | 114 | |
Phillips 66 | 2,150 | 157 | |
791 | |||
Electric, LDC & Power—6.2% | |||
NextEra Energy Partners LP | 3,210 | 161 | |
Sempra Energy | 1,300 | 161 | |
322 | |||
Gathering/Processing—15.0% | |||
Antero Midstream Corp. | 18,550 | 88 | |
CNX Midstream Partners LP | 9,500 | 72 | |
Hess Midstream LP Class A | 10,090 | 176 | |
Rattler Midstream LP | 19,370 | 132 | |
Targa Resources Corp. | 23,900 | 310 | |
778 | |||
Shares | Value | ||
Marine/Shipping—2.6% | |||
GasLog Ltd. | 10,840 | $ 50 | |
Golar LNG Ltd.(1) | 11,840 | 84 | |
134 | |||
Natural Gas Pipelines—12.9% | |||
TC Energy Corp. | 4,850 | 225 | |
Williams Cos., Inc. (The) | 22,770 | 441 | |
666 | |||
Petroleum Transportation & Storage—16.2% | |||
Enbridge, Inc. | 5,500 | 169 | |
Genesis Energy LP | 9,365 | 56 | |
Magellan Midstream Partners LP | 5,770 | 237 | |
Phillips 66 Partners LP | 2,000 | 85 | |
Plains GP Holdings LP Class A | 31,934 | 294 | |
841 | |||
Total Master Limited Partnerships and Related Companies (Identified Cost $6,995) | 5,125 | ||
Total Long-Term Investments—98.9% (Identified Cost $6,995) | 5,125 | ||
TOTAL INVESTMENTS—98.9% (Identified Cost $6,995) | $5,125 | ||
Other assets and liabilities, net—1.1% | 56 | ||
NET ASSETS—100.0% | $5,181 |
Abbreviation: | |
LP | Limited Partnership |
Footnote Legend: | |
(1) | Non-income producing. |
Country Weightings† | |
United States | 84% |
Canada | 13 |
Bermuda | 3 |
Total | 100% |
† % of total investments as of April 30, 2020. |
Ownership Structure (Unaudited)†,†† | |
Major Midstream Companies | 36% |
Midstream MLP | 24 |
Embedded General Partner | 22 |
MLP Affiliates & Other | 18 |
Total | 100% |
† % of total investments as of April 30, 2020. |
Table of Contents
Total Value at April 30, 2020 | Level 1 Quoted Prices | ||
Assets: | |||
Equity Securities: | |||
Master Limited Partnerships and Related Companies | $5,125 | $5,125 | |
Total Investments | $5,125 | $5,125 |
Table of Contents
Shares | Value | ||
Common Stocks—90.6% | |||
Communication Services—8.6% | |||
Alphabet, Inc. Class C(1)(2) | 2,315 | $ 3,123 | |
Auto Trader Group plc | 366,248 | 2,116 | |
5,239 | |||
Consumer Discretionary—8.2% | |||
Home Depot, Inc. (The) | 9,557 | 2,101 | |
Pool Corp. | 9,420 | 1,994 | |
Trip.com Group Ltd. ADR(1) | 34,500 | 889 | |
4,984 | |||
Consumer Staples—10.0% | |||
Grocery Outlet Holding Corp.(1) | 47,463 | 1,579 | |
Hormel Foods Corp. | 16,991 | 796 | |
Lamb Weston Holdings, Inc. | 43,873 | 2,692 | |
Monster Beverage Corp.(1) | 15,987 | 988 | |
6,055 | |||
Financials—14.9% | |||
Berkley (W.R.) Corp. | 34,566 | 1,867 | |
Moelis & Co. Class A | 28,789 | 860 | |
Moody’s Corp. | 7,252 | 1,769 | |
Primerica, Inc.(2) | 26,653 | 2,769 | |
SEI Investments Co. | 35,431 | 1,805 | |
9,070 | |||
Health Care—7.6% | |||
Mettler-Toledo International, Inc.(1) | 2,355 | 1,696 | |
Silk Road Medical, Inc.(1) | 26,956 | 1,129 | |
Zoetis, Inc. | 13,736 | 1,776 | |
4,601 | |||
Industrials—12.7% | |||
CoreLogic, Inc. | 46,891 | 1,801 | |
Lennox International, Inc. | 7,104 | 1,326 | |
Old Dominion Freight Line, Inc. | 9,330 | 1,356 | |
TransUnion | 19,583 | 1,543 | |
Verisk Analytics, Inc.(2) | 11,092 | 1,695 | |
7,721 | |||
Information Technology—21.7% | |||
Avalara, Inc.(1) | 16,633 | 1,486 | |
CDW Corp.(2) | 15,865 | 1,758 | |
DocuSign, Inc.(1) | 13,593 | 1,424 | |
Intuit, Inc.(2) | 6,776 | 1,828 | |
Jack Henry & Associates, Inc.(2) | 12,158 | 1,988 | |
Trade Desk, Inc. (The) Class A(1) | 8,192 | 2,397 |
Shares | Value | ||
Information Technology—continued | |||
Visa, Inc. Class A | 12,917 | $ 2,309 | |
13,190 | |||
Materials—3.0% | |||
Scotts Miracle-Gro Co. (The) | 14,908 | 1,849 | |
Real Estate—3.9% | |||
Lamar Advertising Co. Class A | 40,939 | 2,360 | |
Total Common Stocks (Identified Cost $53,823) | 55,069 | ||
Total Long-Term Investments—90.6% (Identified Cost $53,823) | 55,069 | ||
Short-Term Investment—6.8% | |||
Money Market Mutual Fund—6.8% | |||
Dreyfus Government Cash Management Fund - Institutional Shares (seven-day effective yield 0.170%)(3) | 4,144,921 | 4,145 | |
Total Short-Term Investment (Identified Cost $4,145) | 4,145 | ||
TOTAL INVESTMENTS, BEFORE SECURITIES SOLD SHORT—97.4% (Identified Cost $57,968) | 59,214 | ||
Securities Sold Short(4)—(20.6)% | |||
Consumer Discretionary—(5.1)% | |||
Beazer Homes USA, Inc.(5) | (29,289) | (206) | |
Century Communities, Inc.(5) | (41,175) | (882) | |
H&R Block, Inc. | (40,523) | (675) | |
Kontoor Brands, Inc. | (26,650) | (517) | |
Office Depot, Inc. | (372,000) | (826) | |
(3,106) | |||
Consumer Staples—(1.3)% | |||
Flowers Foods, Inc. | (34,281) | (764) | |
Financials—(5.0)% | |||
Focus Financial Partners, Inc. Class A(5) | (37,248) | (889) | |
LendingClub Corp.(5) | (85,838) | (658) | |
Third Point Reinsurance, Ltd.(5) | (94,027) | (699) |
Shares | Value | ||
Financials—continued | |||
Waddell & Reed Financial, Inc. Class A | (56,700) | $ (825) | |
(3,071) | |||
Industrials—(4.9)% | |||
ACCO Brands Corp. | (123,383) | (913) | |
Allison Transmission Holdings, Inc. | (4,061) | (148) | |
ArcBest Corp. | (15,355) | (313) | |
Deluxe Corp. | (22,327) | (629) | |
Herc Holdings, Inc.(5) | (10,750) | (303) | |
Textainer Group Holdings Ltd.(5) | (47,300) | (415) | |
Werner Enterprises, Inc. | (6,747) | (271) | |
(2,992) | |||
Information Technology—(1.4)% | |||
Endurance International Group Holdings, Inc.(5) | (322,003) | (826) | |
Real Estate—(2.9)% | |||
Paramount Group, Inc. | (76,579) | (739) | |
Regency Centers Corp. | (15,894) | (698) | |
Retail Opportunity Investments Corp. | (32,481) | (315) | |
(1,752) | |||
Total Securities Sold Short (Proceeds $(14,681)) | (12,511) | ||
TOTAL INVESTMENTS, NET OF SECURITIES SOLD SHORT—76.8% (Identified Cost $43,287) | $ 46,703 | ||
Other assets and liabilities, net—23.2% | 14,083 | ||
NET ASSETS—100.0% | $ 60,786 |
Abbreviation: | |
ADR | American Depositary Receipt |
Footnote Legend: | |
(1) | Non-income producing. |
(2) | All or portion segregated as collateral for securities sold short. |
(3) | Shares of this fund are publicly offered, and its prospectus and annual report are publicly available. |
(4) | The Fund is contractually responsible to the lender for any dividends payable and interest accrued on securities while those securities are in a short position. These dividends and interest are recorded as an expense of the Fund. |
(5) | No dividend expense on security sold short. |
Table of Contents
Total Value at April 30, 2020 | Level 1 Quoted Prices | ||
Assets: | |||
Equity Securities: | |||
Common Stocks | $ 55,069 | $ 55,069 | |
Money Market Mutual Fund | 4,145 | 4,145 | |
Total Assets | 59,214 | 59,214 | |
Liabilities: | |||
Equity Securities: | |||
Common Stocks | (12,511) | (12,511) | |
Total Liabilities | (12,511) | (12,511) | |
Total Investments | $ 46,703 | $ 46,703 |
Table of Contents
Aviva Multi-Strategy Target Return Fund | Duff & Phelps Select MLP and Energy Fund | KAR Long/Short Equity Fund | |||
Assets | |||||
Investment in securities at value(1) | $24,242 | $ 5,125 | $59,214 | ||
Foreign currency at value(2) | 523 | — | — (a) | ||
Cash | 2,598 | 16 | — | ||
Segregated cash | 90 | — | — | ||
Collateral pledged for futures contracts | 1,165 | — | — | ||
Deposits with prime broker | 4,596 | — | 14,602 | ||
Margin due from counterparty on cleared swaps | 604 | — | — | ||
Variation margin receivable on futures contracts | 180 | — | — | ||
Swaps at value(3) | 378 | — | — | ||
Unrealized appreciation on forward foreign currency exchange contracts | 79 | — | — | ||
Receivables | |||||
Investment securities sold | 1,956 | 23 | — | ||
Fund shares sold | 7 | 3 | 437 | ||
Receivable from adviser | — | 4 | — | ||
Dividends and interest | 5 | 34 | 7 | ||
Tax reclaims | 8 | — | — | ||
Prepaid Trustees’ retainer | 1 | — (a) | 1 | ||
Prepaid expenses | 34 | 18 | 45 | ||
Other assets | 3 | — (a) | 5 | ||
Total assets | 36,469 | 5,223 | 74,311 | ||
Liabilities | |||||
Written options at value(4) | 30 | — | — | ||
Securities sold short(5) | — | — | 12,511 | ||
Variation margin payable on futures contracts | 82 | — | — | ||
Swaps at value(3) | 322 | — | — | ||
Unrealized depreciation on forward foreign currency exchange contracts | 417 | — | — | ||
Payables | |||||
Fund shares repurchased | 89 | — | 904 | ||
Investment securities purchased | 359 | 12 | 4 | ||
Dividend distributions | — | — | 15 | ||
Investment advisory fees | 20 | — | 46 | ||
Distribution and service fees | 1 | — (a) | — (a) | ||
Administration and accounting fees | 4 | 1 | 6 | ||
Transfer agent and sub-transfer agent fees and expenses | 6 | — (a) | 7 | ||
Professional fees | 29 | 25 | 19 | ||
Trustee deferred compensation plan | 3 | — (a) | 5 | ||
Interest expense and/or commitment fees | — (a) | — (a) | — (a) | ||
Other accrued expenses | 41 | 4 | 8 | ||
Total liabilities | 1,403 | 42 | 13,525 | ||
Net Assets | $35,066 | $ 5,181 | $60,786 | ||
Net Assets Consist of: | |||||
Capital paid in on shares of beneficial interest | $37,866 | $ 8,527 | $57,399 | ||
Accumulated earnings (loss) | (2,800) | (3,346) | 3,387 | ||
Net Assets | $35,066 | $ 5,181 | $60,786 | ||
Table of Contents
Aviva Multi-Strategy Target Return Fund | Duff & Phelps Select MLP and Energy Fund | KAR Long/Short Equity Fund | |||
Net Assets: | |||||
Class A | $ 1,618 | $ 281 | $ 343 | ||
Class C | $ 668 | $ 85 | $ 389 | ||
Class I | $ 32,671 | $ 4,815 | $ 56,459 | ||
Class R6 | $ 109 | $ — | $ 3,595 | ||
Shares Outstanding (unlimited number of shares authorized, no par value): | |||||
Class A | 168,497 | 49,413 | 25,843 | ||
Class C | 71,074 | 15,148 | 29,641 | ||
Class I | 3,388,463 | 859,560 | 4,242,860 | ||
Class R6 | 11,271 | — | 270,000 | ||
Net Asset Value and Redemption Price Per Share: | |||||
Class A | $ 9.60 | $ 5.69 | $ 13.26 | ||
Class C | $ 9.40 | $ 5.62 | $ 13.12 | ||
Class I | $ 9.64 | $ 5.60 | $ 13.31 | ||
Class R6 | $ 9.65 | $ — | $ 13.32 | ||
Maximum Offering Price per Share (NAV/(1-Maximum Sales Charge)): | |||||
Class A | $ 10.19 | $ 6.04 | $ 14.07 | ||
Maximum Sales Charge - Class A | 5.75% | 5.75% | 5.75% | ||
(1) Investment in securities at cost | $ 24,112 | $ 6,995 | $ 57,968 | ||
(2) Foreign currency at cost | $ 518 | $ — | $ — | ||
(3) Includes premiums paid (received) on centrally cleared credit default swaps | $ 188 | $ — | $ — | ||
(4) Written options premiums received | $ 50 | $ — | $ — | ||
(5) Securities sold short proceeds | $ — | $ — | $ 14,681 |
(a) | Amount is less than $500. |
Table of Contents
Aviva Multi-Strategy Target Return Fund | Duff & Phelps Select MLP and Energy Fund | KAR Long/Short Equity Fund | |||
Investment Income | |||||
Dividends | $ 233 | $ 169 | $ 219 | ||
Less: return of capital distributions | — | (138) | — | ||
Interest | 40 | 1 | — | ||
Foreign taxes withheld | (9) | (2) | — | ||
Total investment income | 264 | 30 | 219 | ||
Expenses | |||||
Investment advisory fees | 245 | 23 | 257 | ||
Distribution and service fees, Class A | 2 | 1 | — (1) | ||
Distribution and service fees, Class C | 4 | 1 | 2 | ||
Administration and accounting fees | 23 | 6 | 25 | ||
Transfer agent fees and expenses | 8 | 1 | 9 | ||
Sub-transfer agent fees and expenses, Class A | — (1) | — (1) | — (1) | ||
Sub-transfer agent fees and expenses, Class C | — (1) | — (1) | — (1) | ||
Sub-transfer agent fees and expenses, Class I | 7 | — (1) | 22 | ||
Custodian fees | 8 | — (1) | — (1) | ||
Printing fees and expenses | 12 | 3 | 7 | ||
Professional fees | 35 | 15 | 13 | ||
Interest expense and/or commitment fees | — (1) | — (1) | — (1) | ||
Registration fees | 32 | 25 | 39 | ||
Trustees’ fees and expenses | 2 | — (1) | 1 | ||
Miscellaneous expenses | 4 | 1 | 2 | ||
Total expenses | 382 | 76 | 377 | ||
Dividend expense and interest expense on securities sold short | — | — | 123 | ||
Total expenses, including dividend and interest expense on securities sold short | 382 | 76 | 500 | ||
Less net expenses reimbursed and/or waived by investment adviser(2) | (105) | (46) | (58) | ||
Net expenses | 277 | 30 | 442 | ||
Net investment income (loss) | (13) | — (1) | (223) | ||
Table of Contents
Aviva Multi-Strategy Target Return Fund | Duff & Phelps Select MLP and Energy Fund | KAR Long/Short Equity Fund | |||
Net Realized and Unrealized Gain (Loss) on Investments | |||||
Net realized gain (loss) from: | |||||
Investments | $ (913) | $ (709) | $ 201 | ||
Foreign currency transactions | (55) | — (1) | (2) | ||
Forward foreign currency transactions | 2 | — | — | ||
Written options | (363) | — | — | ||
Futures | 1,757 | — | — | ||
Swaps | (530) | — | — | ||
Net change in unrealized appreciation (depreciation) on: | |||||
Investments | (59) | (1,423) | (135) | ||
Securities sold short | — | — | 2,076 | ||
Foreign currency transactions | 1 | — (1) | — | ||
Forward foreign currency transactions | (199) | — | — | ||
Written options | 32 | — | — | ||
Futures | (373) | — | — | ||
Swaps | 86 | — | — | ||
Net realized and unrealized gain (loss) on investments | (614) | (2,132) | 2,140 | ||
Net increase (decrease) in net assets resulting from operations | $ (627) | $(2,132) | $1,917 |
(1) | Amount is less than $500. |
(2) | See Note 4A and 4D in the Notes to Financial Statements. |
Table of Contents
Aviva Multi-Strategy Target Return Fund | Duff & Phelps Select MLP and Energy Fund | ||||||
Six Months Ended April 30, 2020 (Unaudited) | Year Ended October 31, 2019 | Six Months Ended April 30, 2020 (Unaudited) | Year Ended October 31, 2019 | ||||
Increase (Decrease) in Net Assets Resulting from Operations | |||||||
Net investment income (loss) | $ (13) | $ 495 | $ —(1) | $ 67 | |||
Net realized gain (loss) | (102) | (1,481) | (709) | (425) | |||
Net change in unrealized appreciation (depreciation) | (512) | 1,657 | (1,423) | (328) | |||
Increase (decrease) in net assets resulting from operations | (627) | 671 | (2,132) | (686) | |||
Dividends and Distributions to Shareholders | |||||||
Net Investment Income and Net Realized Gains: | |||||||
Class A | — | (50) | (5) | (24) | |||
Class C | — | (19) | (1) | (3) | |||
Class I | (52) | (1,589) | (104) | (139) | |||
Class R6 | (—) (1) | (3) | — | — | |||
Return of Capital: | |||||||
Class A | — | — | — | (32) | |||
Class C | — | — | — | (5) | |||
Class I | — | — | — | (188) | |||
Total Dividends and Distributions to Shareholders | (52) | (1,661) | (110) | (391) | |||
Change in Net Assets from Capital Transactions (See Note 6): | |||||||
Class A | 96 | (1,004) | 117 | 474 | |||
Class C | (287) | (630) | (4) | 3 | |||
Class I | (966) | (39,524) | 2,482 | (25) | |||
Class R6 | 6 | — (1) | — | — | |||
Increase (decrease) in net assets from capital transactions | (1,151) | (41,158) | 2,595 | 452 | |||
Net increase (decrease) in net assets | (1,830) | (42,148) | 353 | (625) | |||
Net Assets | |||||||
Beginning of period | 36,896 | 79,044 | 4,828 | 5,453 | |||
End of Period | $ 35,066 | $ 36,896 | $ 5,181 | $ 4,828 |
(1) | Amount is less than $500. |
Table of Contents
KAR Long/Short Equity Fund | |||
Six Months Ended April 30, 2020 (Unaudited) | From Inception December 06, 2018 to October 31, 2019 | ||
Increase (Decrease) in Net Assets Resulting from Operations | |||
Net investment income (loss) | $ (223) | $ (72) | |
Net realized gain (loss) | 199 | 197 | |
Net change in unrealized appreciation (depreciation) | 1,941 | 1,474 | |
Increase (decrease) in net assets resulting from operations | 1,917 | 1,599 | |
Dividends and Distributions to Shareholders | |||
Class A | — (1) | — | |
Class C | (1) | — | |
Class I | (115) | — | |
Class R6 | (13) | — | |
Total Dividends and Distributions to Shareholders | (129) | — | |
Change in Net Assets from Capital Transactions (See Note 6): | |||
Class A | 209 | 107 | |
Class C | 278 | 109 | |
Class I | 36,989 | 17,007 | |
Class R6 | — | 2,700 | |
Increase (decrease) in net assets from capital transactions | 37,476 | 19,923 | |
Net increase (decrease) in net assets | 39,264 | 21,522 | |
Net Assets | |||
Beginning of period | 21,522 | — | |
End of Period | $ 60,786 | $ 21,522 |
(1) | Amount is less than $500. |
Table of Contents
THROUGHOUT EACH PERIOD
Net Asset Value, Beginning of Period | Net Investment Income (Loss)(1) | Net Realized and Unrealized Gain (Loss) | Total from Investment Operations | Dividends from Net Investment Income | Return of Capital | Distributions from Net Realized Gains | Total Distributions | Change in Net Asset Value | Net Asset Value, End of Period | Total Return(2)(3) | Net Assets, End of Period (in thousands) | Ratio of Net Expenses to Average Net Assets (including dividend and interest expense on securities sold short)(4) | Ratio of Gross Expenses to Average Net Assets(4) | Ratio of Net Investment Income (Loss) to Average Net Assets(4) | Portfolio Turnover Rate(2) | ||
Aviva Multi-Strategy Target Return Fund | |||||||||||||||||
Class A | |||||||||||||||||
11/1/19 to 4/30/20(5) | $ 9.75 | (0.01) | (0.14) | (0.15) | — | — | — | — | (0.15) | $ 9.60 | (1.54) % | $ 1,618 | 1.69 % | 2.27 % | (0.28) % | 118 % | |
11/1/18 to 10/31/19 | 9.65 | 0.08 | 0.23 | 0.31 | (0.13) | — | (0.08) | (0.21) | 0.10 | 9.75 | 3.38 | 1,558 | 1.69 | 2.15 | 0.81 | 185 | |
11/1/17 to 10/31/18 | 9.74 | 0.04 | (0.12) | (0.08) | (0.01) | — | — | (0.01) | (0.09) | 9.65 | (0.79) | 2,580 | 1.69 | 2.01 | 0.41 | 113 | |
11/1/16 to 10/31/17 | 9.71 | (0.01) | 0.07 | 0.06 | (0.01) | — | (0.02) | (0.03) | 0.03 | 9.74 | 0.63 | 2,873 | 1.69 | 2.14 | (0.09) | 106 | |
11/1/15 to 10/31/16 | 10.02 | (0.06) | (0.19) | (0.25) | (0.02) | — | (0.04) | (0.06) | (0.31) | 9.71 | (2.51) | 4,847 | 1.72 (6)(7) | 2.31 | (0.65) | 129 | |
7/20/15 (8) to 10/31/15 | 10.00 | (0.04) | 0.06 | 0.02 | — | — | — | — | 0.02 | 10.02 | 0.20 | 863 | 1.80 | 4.07 | (1.40) | 1 | |
Class C | |||||||||||||||||
11/1/19 to 4/30/20(5) | $ 9.58 | (0.05) | (0.13) | (0.18) | — | — | — | — | (0.18) | $ 9.40 | (1.88) % | $ 668 | 2.44 % | 3.00 % | (0.99) % | 118 % | |
11/1/18 to 10/31/19 | 9.46 | 0.01 | 0.23 | 0.24 | (0.04) | — | (0.08) | (0.12) | 0.12 | 9.58 | 2.63 | 966 | 2.44 | 2.88 | 0.08 | 185 | |
11/1/17 to 10/31/18 | 9.61 | (0.03) | (0.12) | (0.15) | — (9) | — | — | — (9) | (0.15) | 9.46 | (1.54) | 1,597 | 2.44 | 2.72 | (0.34) | 113 | |
11/1/16 to 10/31/17 | 9.62 | (0.08) | 0.07 | (0.01) | — | — | — | — | (0.01) | 9.61 | (0.10) | 2,637 | 2.44 | 2.89 | (0.85) | 106 | |
11/1/15 to 10/31/16 | 10.00 | (0.13) | (0.20) | (0.33) | (0.01) | — | (0.04) | (0.05) | (0.38) | 9.62 | (3.26) | 4,655 | 2.46 (6)(7) | 3.09 | (1.40) | 129 | |
7/20/15 (8) to 10/31/15 | 10.00 | (0.06) | 0.06 | — | — | — | — | — | — | 10.00 | 0.00 | 448 | 2.55 | 4.63 | (2.15) | 1 | |
Class I | |||||||||||||||||
11/1/19 to 4/30/20(5) | $ 9.79 | — (9) | (0.14) | (0.14) | (0.01) | — | — | (0.01) | (0.15) | $ 9.64 | (1.29) % | $ 32,671 | 1.44 % | 2.00 % | (0.04) % | 118 % | |
11/1/18 to 10/31/19 | 9.70 | 0.10 | 0.23 | 0.33 | (0.16) | — | (0.08) | (0.24) | 0.09 | 9.79 | 3.59 | 34,268 | 1.44 | 1.89 | 1.07 | 185 | |
11/1/17 to 10/31/18 | 9.77 | 0.06 | (0.11) | (0.05) | (0.02) | — | — | (0.02) | (0.07) | 9.70 | (0.52) | 74,764 | 1.44 | 1.74 | 0.66 | 113 | |
11/1/16 to 10/31/17 | 9.74 | 0.02 | 0.07 | 0.09 | (0.04) | — | (0.02) | (0.06) | 0.03 | 9.77 | 0.92 | 102,802 | 1.44 | 1.88 | 0.16 | 106 | |
11/1/15 to 10/31/16 | 10.03 | (0.04) | (0.19) | (0.23) | (0.02) | — | (0.04) | (0.06) | (0.29) | 9.74 | (2.30) | 113,343 | 1.47 (6)(7) | 2.08 | (0.41) | 129 | |
7/20/15 (8) to 10/31/15 | 10.00 | (0.03) | 0.06 | 0.03 | — | — | — | — | 0.03 | 10.03 | 0.30 | 53,325 | 1.55 | 3.24 | (1.15) | 1 | |
Class R6 | |||||||||||||||||
11/1/19 to 4/30/20(5) | $ 9.80 | — (9) | (0.13) | (0.13) | (0.02) | — | — | (0.02) | (0.15) | $ 9.65 | (1.34) % | $ 109 | 1.38 % | 1.96 % | 0.01 % | 118 % | |
11/1/18 to 10/31/19 | 9.71 | 0.11 | 0.22 | 0.33 | (0.16) | — | (0.08) | (0.24) | 0.09 | 9.80 | 3.64 | 104 | 1.38 | 1.84 | 1.15 | 185 | |
11/1/17 to 10/31/18 | 9.77 | 0.07 | (0.11) | (0.04) | (0.02) | — | — | (0.02) | (0.06) | 9.71 | (0.41) | 103 | 1.38 | 1.70 | 0.72 | 113 | |
11/3/16 (8) to 10/31/17 | 9.65 | 0.02 | 0.16 | 0.18 | (0.04) | — | (0.02) | (0.06) | 0.12 | 9.77 | 1.87 | 102 | 1.39 | 1.84 | 0.21 | 106 | |
Duff & Phelps Select MLP and Energy Fund | |||||||||||||||||
Class A | |||||||||||||||||
11/1/19 to 4/30/20(5) | $ 8.09 | 0.01 | (2.31) | (2.30) | (0.10) | — | — | (0.10) | (2.40) | $ 5.69 | (28.46) % | $ 281 | 1.40 % (10) | 3.26 % | 0.42 % | 24 % | |
11/1/18 to 10/31/19 | 9.26 | 0.14 | (0.82) | (0.68) | (0.12) | (0.37) | — | (0.49) | (1.17) | 8.09 | (7.22) | 447 | 1.40 (10) | 2.59 | 1.56 | 82 | |
11/1/17 to 10/31/18 | 9.39 | 0.02 | 0.07 | 0.09 | (0.17) | (0.05) | — | (0.22) | (0.13) | 9.26 | 0.79 | 321 | 1.45 (6) | 2.87 | 0.21 | 29 | |
11/1/16 to 10/31/17 | 9.57 | — (9) | 0.02 | 0.02 | (0.10) | (0.10) | — | (0.20) | (0.18) | 9.39 | 0.06 | 333 | 1.55 | 4.75 | 0.01 | 32 | |
11/1/15 to 10/31/16 | 9.79 | 0.06 | (0.10) | (0.04) | (0.08) | (0.10) | — | (0.18) | (0.22) | 9.57 | (0.17) | 226 | 1.56 (7) | 6.20 | 0.69 | 33 | |
9/9/15 (8) to 10/31/15 | 10.00 | 0.01 | (0.22) | (0.21) | — | — | — | — | (0.21) | 9.79 | (2.10) | 102 | 1.55 | 10.70 | 1.00 | 0 | |
Class C | |||||||||||||||||
11/1/19 to 4/30/20(5) | $ 8.01 | (0.02) | (2.28) | (2.30) | (0.09) | — | — | (0.09) | (2.39) | $ 5.62 | (28.78) % | $ 85 | 2.15 % (10) | 4.01 % | (0.70) % | 24 % | |
11/1/18 to 10/31/19 | 9.20 | (0.03) | (0.70) | (0.73) | (0.09) | (0.37) | — | (0.46) | (1.19) | 8.01 | (7.84) | 126 | 2.16 (10) | 3.36 | (0.32) | 82 | |
11/1/17 to 10/31/18 | 9.36 | (0.05) | 0.05 | — | (0.11) | (0.05) | — | (0.16) | (0.16) | 9.20 | (0.13) | 143 | 2.21 (6) | 3.61 | (0.55) | 29 | |
11/1/16 to 10/31/17 | 9.54 | (0.07) | 0.01 | (0.06) | (0.02) | (0.10) | — | (0.12) | (0.18) | 9.36 | (0.69) | 145 | 2.30 | 5.47 | (0.74) | 32 | |
11/1/15 to 10/31/16 | 9.78 | (0.01) | (0.09) | (0.10) | (0.04) | (0.10) | — | (0.14) | (0.24) | 9.54 | (0.93) | 128 | 2.31 (7) | 6.93 | (0.06) | 33 | |
9/9/15 (8) to 10/31/15 | 10.00 | — (9) | (0.22) | (0.22) | — | — | — | — | (0.22) | 9.78 | (2.20) | 98 | 2.30 | 11.41 | 0.25 | 0 |
Table of Contents
Net Asset Value, Beginning of Period | Net Investment Income (Loss)(1) | Net Realized and Unrealized Gain (Loss) | Total from Investment Operations | Dividends from Net Investment Income | Return of Capital | Distributions from Net Realized Gains | Total Distributions | Change in Net Asset Value | Net Asset Value, End of Period | Total Return(2)(3) | Net Assets, End of Period (in thousands) | Ratio of Net Expenses to Average Net Assets (including dividend and interest expense on securities sold short)(4) | Ratio of Gross Expenses to Average Net Assets(4) | Ratio of Net Investment Income (Loss) to Average Net Assets(4) | Portfolio Turnover Rate(2) | ||
Duff & Phelps Select MLP and Energy Fund (Continued) | |||||||||||||||||
Class I | |||||||||||||||||
11/1/19 to 4/30/20(5) | $ 7.99 | — (9) | (2.27) | (2.27) | (0.12) | — | — | (0.12) | (2.39) | $ 5.60 | (28.41) % | $ 4,815 | 1.15 % (10) | 2.96 % | (0.07) % | 24 % | |
11/1/18 to 10/31/19 | 9.25 | 0.05 | (0.70) | (0.65) | (0.24) | (0.37) | — | (0.61) | (1.26) | 7.99 | (6.98) | 4,255 | 1.16 (10) | 2.31 | 0.62 | 82 | |
11/1/17 to 10/31/18 | 9.40 | 0.04 | 0.07 | 0.11 | (0.21) | (0.05) | — | (0.26) | (0.15) | 9.25 | 0.99 | 4,989 | 1.21 (6) | 2.56 | 0.45 | 29 | |
11/1/16 to 10/31/17 | 9.58 | 0.03 | 0.01 | 0.04 | (0.12) | (0.10) | — | (0.22) | (0.18) | 9.40 | 0.27 | 5,056 | 1.30 | 4.46 | 0.26 | 32 | |
11/1/15 to 10/31/16 | 9.79 | 0.08 | (0.09) | (0.01) | (0.10) | (0.10) | — | (0.20) | (0.21) | 9.58 | 0.10 | 4,738 | 1.31 (7) | 5.95 | 0.94 | 33 | |
9/9/15 (8) to 10/31/15 | 10.00 | 0.02 | (0.23) | (0.21) | — | — | — | — | (0.21) | 9.79 | (2.10) | 4,699 | 1.30 | 10.41 | 1.25 | 0 | |
KAR Long/Short Equity Fund | |||||||||||||||||
Class A | |||||||||||||||||
11/1/19 to 4/30/20(5) | $12.69 | (0.09) | 0.71 | 0.62 | — | — | (0.05) | (0.05) | 0.57 | $13.26 | 4.86 % | $ 343 | 2.40 % (11) | 2.59 % | (1.31) % | 31 % | |
12/6/18 (8) to 10/31/19 | 10.00 | (0.11) | 2.80 | 2.69 | — | — | — | — | 2.69 | 12.69 | 26.90 | 134 | 2.40 (11) | 4.26 | (1.03) | 56 | |
Class C | |||||||||||||||||
11/1/19 to 4/30/20(5) | $12.61 | (0.13) | 0.69 | 0.56 | — | — | (0.05) | (0.05) | 0.51 | $13.12 | 4.42 % | $ 389 | 3.15 % (11) | 3.33 % | (1.98) % | 31 % | |
12/6/18 (8) to 10/31/19 | 10.00 | (0.18) | 2.79 | 2.61 | — | — | — | — | 2.61 | 12.61 | 26.10 | 138 | 3.15 (11) | 5.02 | (1.78) | 56 | |
Class I | |||||||||||||||||
11/1/19 to 4/30/20(5) | $12.72 | (0.07) | 0.71 | 0.64 | — | — | (0.05) | (0.05) | 0.59 | $13.31 | 5.01 % | $ 56,459 | 2.15 % (11) | 2.44 % | (1.10) % | 31 % | |
12/6/18 (8) to 10/31/19 | 10.00 | (0.10) | 2.82 | 2.72 | — | — | — | — | 2.72 | 12.72 | 27.20 | 17,813 | 2.04 (11) | 3.99 | (0.94) | 56 | |
Class R6 | |||||||||||||||||
11/1/19 to 4/30/20(5) | $12.73 | (0.06) | 0.70 | 0.64 | — | — | (0.05) | (0.05) | 0.59 | $13.32 | 5.01 % | $ 3,595 | 2.08 % (11) | 2.32 % | (0.90) % | 31 % | |
12/6/18 (8) to 10/31/19 | 10.00 | (0.07) | 2.80 | 2.73 | — | — | — | — | 2.73 | 12.73 | 27.30 | 3,437 | 2.08 (11) | 4.00 | (0.71) | 56 |
Footnote Legend: | |
(1) | Calculated using average shares outstanding. |
(2) | Not annualized for periods less than one year. |
(3) | Sales charges, where applicable, are not reflected in the total return calculation. |
(4) | Annualized for periods less than one year. |
(5) | Unaudited. |
(6) | Due to a change in expense cap, the ratio shown is a blended expense ratio. |
(7) | Net expense ratio includes extraordinary proxy expenses. |
(8) | Inception date. |
(9) | Amount is less than $0.005 per share. |
(10) | The ratio of net expenses to average net assets excluding interest expense for the Duff & Phelps Select MLP and Energy Fund for Class A is 1.40%, for Class C is 2.15% and for Class I is 1.15% for the six months ended April 30, 2020 and the year ended October 31, 2019, respectively. |
(11) | The ratio of net expenses to average net assets excluding dividend and interest expense on securities sold short for the KAR Long/Short Equity Fund for Class A is 1.80%, for Class C is 2.55%, for Class I is 1.55% and for Class R6 is 1.48% for the six months ended April 30, 2020 and the period ended October 31, 2019, respectively. |
Table of Contents
Fund | Investment objective(s) | |
Aviva Multi-Strategy Target Return Fund | Long-term total return. | |
Duff & Phelps Select MLP and Energy Fund | Total return with a secondary objective of income. | |
KAR Long/Short Equity Fund | Seeking long-term capital appreciation. |
A. | Security Valuation |
Each Fund utilizes a fair value hierarchy which prioritizes the inputs to valuation techniques used to measure fair value into three broad levels. The Funds’ policy is to recognize transfers into or out of Level 3 at the end of the reporting period. |
• | Level 1 – quoted prices in active markets for identical securities (security types generally include listed equities). |
Table of Contents
• | Level 2 – prices determined using other significant observable inputs (including quoted prices for similar securities, interest rates, prepayment speeds, credit risk, etc.). |
• | Level 3 – prices determined using significant unobservable inputs (including the Valuation Committee’s own assumptions in determining the fair value of investments). |
B. | Security Transactions and Investment Income |
C. | Income Taxes |
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D. | Distributions to Shareholders |
Distributions are recorded by each Fund on the ex-dividend date. Income and capital gain distributions are determined in accordance with income tax regulations that may differ from U.S. GAAP. | |
E. | Expenses |
Expenses incurred together by a Fund and other affiliated mutual funds are allocated in proportion to the net assets of each such fund, except where allocation of direct expense to each Fund or an alternative allocation method can be more appropriately used. | |
In addition to the net annual operating expenses that a Fund bears directly, the shareholders of a Fund indirectly bear the pro-rata expenses of any underlying mutual funds in which the Fund invests. | |
F. | Foreign Currency Translations |
Non-U.S. investment securities and other assets and liabilities denominated in foreign currencies are translated into U.S. dollar amounts at the foreign currency exchange rate effective at the end of the reporting period. Cost of investments is translated at the currency exchange rate effective at the trade date. The gain or loss resulting from a change in currency exchange rates between the trade and settlement date of a portfolio transaction is treated as a gain or loss on foreign currency. Likewise, the gain or loss resulting from a change in currency exchange rates between the date income is accrued and the date it is paid is treated as a gain or loss on foreign currency. The Funds do not isolate that portion of the results of operations arising from changes in foreign exchange rates on investments from the fluctuations arising from changes in the market prices of securities held. Such fluctuations are included with the net realized and unrealized gain or loss on investments. | |
G. | Short Sales |
Each Fund may sell securities short. A short sale is a transaction in which a Fund sells a security it does not own in anticipation of a decline in market price. To sell a security short, a Fund must borrow the security. The Fund’s obligation to replace the security borrowed and sold short will be fully collateralized at all times by the proceeds from the short sale retained by the broker and by cash and securities deposited in a segregated account with the Fund’s custodian. If the price of the security sold short increases between the time of the short sale and the time the Fund replaces the borrowed security, the Fund will realize a loss, and if the price declines during the period, the Fund will realize a gain. Any realized gain will be decreased, and any realized loss increased, by the amount of transaction costs. On ex-dividend date, dividends on short sales are recorded as an expense to the Fund. | |
In addition, in accordance with the terms of its prime brokerage agreement, KAR Long/Short Equity Fund may receive rebate income or be charged a fee on borrowed securities. Such income or fee is calculated on a daily basis based upon the market value of each borrowed security and a variable rate that is dependent upon the availability of such security. The dividends on short sales and rebate income/fees are recorded under “Dividend expense and interest expense on securities sold short” on the Statement of Operations. |
A. | Futures Contracts |
A futures contract is an agreement between two parties to purchase (long) or sell (short) a security at a set price for delivery on a future date. Upon entering into a futures contract, a Fund is required to pledge to the broker an amount of cash and/or securities equal to the “initial margin” requirements of the futures exchange on which the contract is traded. Pursuant to the contract, the Fund agrees to receive from or pay to the broker an amount of cash equal to the daily fluctuation in value of the contract. Such receipts or payments are known as variation margin and are recorded by a Fund for financial statement purposes on a daily basis as unrealized appreciation or depreciation. When the contract expires or is closed, gain or loss equal to the difference between the value of the contract at the time it was opened and the value at the time it was closed is realized. This is presented in the Statement of Operations as net realized gain (loss) from future contracts. | |
During the fiscal period, Aviva Multi-Strategy Target Return Fund utilized futures to optimize performance by gaining exposure to broad markets or to hedge the risk of securities within the portfolios. The potential risks of doing so are that 1) the use of futures may result in larger losses or smaller gains than the use of more traditional investments, 2) the prices of futures and the price movements of the securities that the future is intended to simulate may not correlate well, 3) the Fund’s success in using futures will be dependent upon the subadviser’s ability to correctly predict such price movements, 4) liquidity of futures can be adversely affected by market factors, and the prices of such securities may move in unexpected ways, and 5) if the Fund cannot close out a futures position, it may be compelled to continue to make daily cash payments to the broker to meet margin requirements, thus increasing transaction costs. Futures contracts outstanding at period end, if any, are listed after each Fund’s Schedule of Investments. |
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B. | Forward Foreign Currency Exchange Contracts |
A forward foreign currency exchange contract is an agreement between two parties to buy and sell a currency at a set exchange rate on a future date. Forward foreign currency exchange contracts, when used by a Fund, help to manage the overall exposure to the currencies in which some of the investments held by the Fund are denominated. The contract is marked-to-market daily, and the change in market value is recorded by the Fund as an unrealized appreciation or depreciation. When the contract is closed, the Fund records a realized gain or loss equal to the difference between the value at the time it was opened and the value at the time it was closed. The use of forward foreign currency exchange contracts involves the risk that the value of the contract changes unfavorably due to movements in the value of the referenced foreign currencies. Non-deliverable forward foreign currency exchange contracts are settled with the counterparty in U.S. dollars without the delivery of foreign currency. | |
During the fiscal period, Aviva Multi-Strategy Target Return Fund entered into forward foreign currency exchange contracts as an economic hedge against either specific transactions or portfolio instruments or to obtain exposure to, or hedge exposure away from, foreign currencies (foreign currency exchange rate risk). Forward foreign currency contracts outstanding at period end, if any, are listed after each Fund’s Schedule of Investments. | |
C. | Options Contracts |
An options contract provides the purchaser with the right, but not the obligation, to buy (call option) or sell (put option) a financial instrument at an agreed upon price. Certain Funds may purchase or write both put and call options on portfolio securities. A Fund doing so is subject to equity price risk and/or foreign currency risk in the normal course of pursuing its investment objectives. | |
When a Fund purchases an option, it pays a premium and an amount equal to that premium is recorded as an asset. When a Fund writes an option, it receives a premium and an amount equal to that premium is recorded as a liability. The asset or liability is adjusted daily to reflect the current market value of the option. Holdings of the Fund designated to cover outstanding written options are noted in the Schedules of Investments. Purchased options are reported as an asset within “Investment in securities at value” in the Statements of Assets and Liabilities. Written options are reported as a liability within “Written options at value.” Changes in value of the purchased option are included in “Net change in unrealized appreciation (depreciation) from investments” in the Statements of Operations. Changes in value of written options are included in “Net change in unrealized appreciation (depreciation) from written options” in the Statements of Operations. | |
If an option expires unexercised, the Fund realizes a gain or loss to the extent of the premium received or paid. If an option is exercised, the premium received or paid is recorded as an adjustment to the proceeds from the sale or the cost basis of the purchase. The difference between the premium and the amount received or paid on effecting a closing purchase or sale transaction is also treated as a realized gain or loss. Gain or loss on purchased options is included in “Net realized gain (loss) on investments” in the Statements of Operations. Gain or loss on written options is presented separately as “Net realized gain (loss) from written options” in the Statements of Operations. | |
The risk in writing call options is that the Fund gives up the opportunity for profit if the market price/foreign currency rate of the referenced security/currency increases and the option is exercised. The risk in writing put options is that the Fund may incur a loss if the market price/foreign currency rate of the referenced security/currency decreases and the option is exercised. The risk in buying options is that the Fund pays a premium whether or not the option is exercised. The use of such instruments may involve certain additional risks as a result of unanticipated movements in the market. Writers (sellers) of options are subject to unlimited risk of loss, as the seller will be obligated to deliver or take delivery of the security at a predetermined price which may, upon exercise of the option, be significantly different from the then-market value. | |
During the fiscal period, Aviva Multi-Strategy Target Return Fund used options contracts to gain asymmetric exposure to, or hedge against, market and idiosyncratic risk or to reduce portfolio volatility. | |
D. | Swaps |
Certain Funds may enter into swap agreements, in which the Fund and a counterparty agree either to make periodic net payments on a specified notional amount or a net payment upon termination. Swap agreements are negotiated in the OTC market and may be entered into as a bilateral contract (“OTC swaps”) or centrally cleared (“centrally cleared swaps”). The value of the swap is reflected on the Statements of Assets and Liabilities as “Swaps at value”. Swaps are marked-to-market daily and changes in value are recorded as “Net change in unrealized appreciation (depreciation) on swaps” in the Statements of Operations. | |
Any upfront premiums paid are recorded as assets and any upfront fees received are recorded as liabilities and are shown under “Swaps at value” in the Statements of Assets and Liabilities and are amortized over the term of the swap. When a swap is terminated, the Fund records a realized gain or loss equal to the difference between the proceeds from (or cost of) the closing transaction and the Fund’s basis in the contract, if any. Generally, the basis of the contracts is the unamortized premium received or paid. Cash settlements between the Fund and the counterparty are recognized as “Net realized gain (loss) on swaps” in the Statements of Operations. Swap contracts outstanding at period end, if any, are listed after each Fund’s Schedule of Investments. | |
In a centrally cleared swap, immediately following execution of the swap agreement, the swap agreement is submitted to a central counterparty (the “CCP”) and the Fund’s counterparty on the swap agreement becomes the CCP. The Fund is required to interface with the CCP through a clearing broker. Upon entering into a centrally cleared swap, a Fund is required to deposit initial margin with the clearing broker in the form of cash or securities in an amount that varies depending on the size and risk profile of the particular swap. | |
Securities deposited as margin are designated on the Schedule of Investments and cash deposited is recorded on the Statements of Assets and Liabilities as “Deposits with prime broker”. |
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Swap transactions involve, to varying degrees, elements of interest rate, credit and market risk in excess of the amounts recognized in the Statements of Assets and Liabilities. Such risks involve the possibility that there will be no liquid market for these agreements, that the counterparty to the agreements may default on its obligation to perform or disagree as to the meaning of the contractual terms in the agreements, and that there may be unfavorable changes in interest rates and/or market values associated with these transactions. | |
Credit default swaps – A Fund may either buy or sell (write) credit default swaps on single-name issuers (corporate or sovereign), a combination or basket of single-name issuers or traded indexes. Credit default swaps on single-name issuers are agreements in which the buyer pays fixed periodic payments to the seller in consideration for a guarantee from the protection seller to make specific payment should a negative credit event take place with respect to the referenced entity (e.g., bankruptcy, failure to pay, obligation accelerators, repudiation, moratorium or restructuring). Credit default swaps on a combination or basket of single-name issuers are agreements in which the buyer pays fixed periodic payments to the seller in consideration for a guarantee from the protection seller to make specific payment should a negative credit event take place with respect to any of the referenced entities (e.g., bankruptcy, failure to pay, obligation accelerators, repudiation, moratorium or restructuring). Credit default swaps on traded indexes are agreements in which the buyer pays fixed periodic payments to the seller in consideration for a guarantee from the seller to make a specific payment should a write-down, principal or interest shortfall or default of all or individual underlying securities included in the index occurs. As a buyer, if an underlying credit event occurs, the Fund will either receive from the seller an amount equal to the notional amount of the swap and deliver the referenced security or underlying securities comprising the index or receive a net settlement of cash equal to the notional amount of the swap less the recovery value of the security or underlying securities comprising the index. As a seller (writer), if an underlying credit event occurs, the Fund will either pay the buyer an amount equal to the notional amount of the swap and take delivery of the referenced security or underlying securities comprising the index or pay a net settlement of cash equal to the notional amount of the swap less the recovery value of the security or underlying securities comprising the index. The Funds may enter into credit default swaps to manage their exposure to the market or certain sectors of the market, to reduce their risk exposure to defaults of corporate and/or sovereign issuers or to create exposure to corporate and/or sovereign issuers to which they are not otherwise exposed (credit risk). | |
During the fiscal period, Aviva Multi-Strategy Target Return Fund utilized both single name credit default swaps and credit index swaps to gain long or short exposure to individual securities or to gain exposure to a credit or asset-backed index. | |
Total return swaps – Total return swaps are agreements in which there is an exchange of cash flows whereby one party commits to make payments based on the total return (coupons plus capital gains/losses) of an underlying instrument in exchange for fixed or floating rate interest payments. To the extent the total return of the instrument or index underlying the transaction exceeds or falls short of the offsetting interest rate obligation, the Fund will receive a payment from or make a payment to the counterparty. Certain Funds may enter into total return swaps to obtain exposure to a security or market without owning such security or investing directly in that market or to transfer the risk/return of one market (e.g., fixed income) to another market (e.g., equity) (equity risk and/or interest rate risk). | |
Certain Funds may enter into equity basket swaps to obtain exposure to a portfolio of long and short securities. Under the terms of the agreement, the swap is designed to function as a portfolio of direct investments in long and short equity or fixed income positions. This means that the Fund has the ability to trade in and out of long and short positions within the swap and will receive all of the economic benefits and risks equivalent to direct investments in these positions such as: capital appreciation (depreciation), corporate actions, and dividends and interest received and paid, all of which are reflected in the swap value. The swap value also includes interest charges and credits related to the notional values of the long and short positions and cash balances within the swap. These interest charges and credits are based on defined market rates plus or minus a specified spread and are referred to herein as “financing costs”. Positions within the swap are reset periodically, and financing costs are reset monthly. | |
During a reset, any unrealized gains (losses) on positions and accrued financing costs become available for cash settlement between the Fund and the swap counterparty. Cash settlement in and out of the swap may occur at a reset date or any other date, at the discretion of the Fund and the counterparty, over the life of the agreement, and is generally determined based on limits and thresholds established as part of the ISDA Master Agreement (defined below in “Derivative Risks”) between the Fund and the counterparty. | |
The value of the swap is derived from a combination of (i) the net value of the underlying positions, which are valued daily using the last sale or closing prices on the principal exchange on which the securities are traded; (ii) financing costs; (iii) the value of dividends or accrued interest; (iv) cash balances within the swap; and (v) other factors, as applicable. The swap involves additional risks than if the Fund has invested in the underlying positions directly, including: the risk that changes in the swap may not correlate perfectly with the underlying long and short securities; credit risk related to the counterparty’s failure to perform under contract terms; and liquidity risk related to the lack of a liquid market for the swap contract, which may limit the ability of the Fund to close out its position(s). | |
During the fiscal period, Aviva Multi-Strategy Target Return Fund utilized total return swaps to gain exposure to broad markets or to hedge the risk of individual securities within the portfolios, obtain long or short exposure to the underlying reference instrument, obtain leverage and gain exposure to restricted markets in order to avoid the operational burden of ownership filing requirements. At April 30, 2020, the Aviva Multi-Strategy Target Return Fund did not hold Swap Baskets. | |
Interest rate swaps – Interest rate swaps are agreements in which one party pays a stream of interest payments, either fixed or floating, for another party’s stream of interest payments, either fixed or floating, on the same notional amount for a specified period of time. Certain Funds may enter into interest rate swaps to gain or reduce exposure to interest rates or to manage duration, the yield curve or interest rate risk by economically hedging the value of the fixed rate bonds which may decrease when interest rates rise (interest rate risk). | |
During the fiscal period, Aviva Multi-Strategy Target Return Fund utilized interest rate swaps to gain exposure to interest rates or to hedge interest rate risk within its portfolio. |
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Inflation swaps – Inflation swaps are contracts in which one party agrees to pay the cumulative percentage increase in a price index (e.g., the Consumer Price Index with respect to CPI swaps) over the term of the swap (with some lag on the inflation index), while the other pays a compounded fixed rate. One factor that may lead to changes in the values of inflation swaps is a change in real interest rates, which are tied to the relationship between nominal interest rates and the rate of inflation. If nominal interest rates increase at a faster rate than inflation, real interest rates may rise, which may lead to a decrease in value of an inflation swap. Certain Funds may enter into inflation swaps to hedge the inflation risk associated with non-inflation indexed investments, thereby creating “synthetic” inflation-indexed investments. | |
During the fiscal period, Aviva Multi-Strategy Target Return Fund utilized inflation swaps to hedge inflation risk within its portfolio or to gain exposure to the impact of inflation. | |
Variance swaps –Variance swaps are contracts in which two parties agree to exchange cash payments based on the difference between the stated level of variance and the actual variance realized on an underlying asset or index. Certain Funds may enter into variance swaps in an attempt to hedge equity market risk or adjust exposure to the equity markets. | |
During the fiscal period, Aviva Multi-Strategy Target Return Fund utilized variance swaps to capitalize on volatility in the equity markets. | |
The following is a summary of derivative instruments categorized by primary risk exposure as of April 30, 2020: |
Fair Values of Derivative Financial Instruments as of April 30, 2020 | ||
Derivative Assets | ||
Aviva Multi-Strategy Target Return Fund | ||
Primary Risk | Statement of Assets and Liabilities Location | Value |
Interest rate contracts | Unrealized appreciation on futures contracts(1) ; Swaps as value | $513 |
Foreign currency exchange contracts | Investment in securities at value(2); Unrealized appreciation on forward foreign currency exchange contracts | 79 |
Equity contracts | Unrealized appreciation on futures contracts(1); Investments in securities at value(2); Swaps at value | 316 |
Credit contracts | Swaps at value | 45 |
Total | $953 |
Fair Value of Derivative Financial Instruments as of April 30, 2020 | ||
Derivative Liabilities | ||
Aviva Multi-Strategy Target Return Fund | ||
Primary Risk | Statement of Assets and Liabilities Location | Value |
Interest rate contracts | Swaps at value | $ 202 |
Foreign currency exchange contracts | Unrealized depreciation on forward foreign currency exchange contracts | 417 |
Equity contracts | Written options at value; Unrealized appreciation on futures contracts(1); Swaps at value | 772 |
Credit contracts | Swaps at value | 86 |
Total | $1,477 |
For futures contracts only current day’s variation margin is reported within the Statements of Assets and Liabilities.
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The Effect of Derivative Financial Instruments in the Statements of Operations for the Six Months Ended April 30, 2020 | |||
Net Realized Gain (Loss) From | |||
Aviva Multi-Strategy Target Return Fund | |||
Interest rate contracts: | |||
Futures contracts(1) | $1,267 | ||
Swaps (2) | (531) | ||
Foreign currency exchange contracts: | |||
Forward foreign currency transactions(3) | 2 | ||
Equity contracts: | |||
Futures (1) | 490 | ||
Purchased options(4) | 138 | ||
Written options(5) | (363) | ||
Swaps (2) | 390 | ||
Credit contracts: | |||
Swaps (2) | (389) | ||
Total | $1,004 |
(1) Included in net realized gain (loss) from futures within the Statements of Operations. |
(2) Included in net realized gain (loss) from swaps within the Statements of Operations. |
(3) Included in net realized gain (loss) from forward foreign currency transactions within the Statements of Operations. |
(4) Included in net realized gain (loss) from investments within the Statement of Operations. |
(5) Included in net realized gain (loss) from written options within the Statement of Operations. |
The Effect of Derivative Financial Instruments in the Statements of Operations for the Six Months Ended April 30, 2020 | |||
Net Change in Unrealized Appreciation/(Depreciation) on | |||
Aviva Multi-Strategy Target Return Fund | |||
Interest rate contracts: | |||
Futures contracts(1) | $ 310 | ||
Swaps (2) | 70 | ||
Foreign currency exchange contracts: | |||
Forward foreign currency transactions(3) | (199) | ||
Equity contracts: | |||
Futures contracts(1) | (683) | ||
Purchased options(4) | 33 | ||
Written options(5) | 32 | ||
Swaps (2) | 267 | ||
Credit contracts: | |||
Swaps (2) | (251) | ||
Total | $ (421) |
(1) Included in net change in unrealized appreciation (depreciation) from futures within the Statements of Operations. |
(2) Included in net change in unrealized appreciation (depreciation) from swaps within the Statement of Operations. |
(3) Included in net change in unrealized appreciation (depreciation) from forward foreign currency transactions within the Statements of Operations. |
(4) Included in net change in unrealized appreciation (depreciation) from investments within the Statement of Operations. |
(5) Included in net change in unrealized appreciation (depreciation) from written options within the Statement of Operations. |
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Aviva Multi-Strategy Target Return Fund | |
Purchased Options(1) | $ 193 |
Written Options(2) | (126) |
Futures Contracts - Long Positions(3) | 202 |
Futures Contracts - Short Positions(3) | (238) |
Forward Foreign Currency Exchange Purchase Contracts(4) | 13,533 |
Forward Foreign Currency Exchange Sale Contracts(5) | (14,909) |
Interest Rate Swap Agreements(6) | 43,553 |
Credit Default Swap Agreements - Sell Protection(6) | 3,481 |
Total Return Swap Agreements(6) | 1,572 |
Inflation Swap Agreements(6) | 7,867 |
Variance Swap Agreements(6) | 481 |
(1) Average premiums paid for the period. |
(2) Average premiums received for the period. |
(3) Average unrealized for the period. |
(4) Average value at trade date payable. |
(5) Average value at settlement date receivable. |
(6) Notional amount. |
E. | Derivative Risks |
A derivative contract may suffer a mark-to-market loss if the value of the contract decreases due to an unfavorable change in the market rates or values of the underlying instrument. Losses can also occur if the counterparty does not perform under the contract. | |
A Fund’s risk of loss from counterparty credit risk on OTC derivatives is generally limited to the aggregate unrealized gain netted against any collateral held by such Fund. For OTC purchased options, each Fund bears the risk of loss of the amount of the premiums paid plus the positive change in market values net of any collateral held by such Fund should the counterparty fail to perform under the contracts. Options written by a Fund do not typically give rise to counterparty credit risk, as options written generally obligate the Fund, and not the counterparty, to perform. | |
With exchange traded purchased options and futures and centrally cleared swaps, generally speaking, there is less counterparty credit risk to the Fund since the exchange or clearinghouse, as counterparty to such instruments, guarantees against a possible default. The clearinghouse stands between the buyer and the seller of the contract; therefore, credit risk is limited to failure of the clearinghouse. While offset rights may exist under applicable law, a Fund does not have a contractual right of offset against a clearing broker or clearinghouse in the event of a default (including the bankruptcy or insolvency) of the clearing broker or clearinghouse. Additionally, credit risk exists in exchange traded futures and centrally cleared swaps with respect to initial and variation margin that is held in a clearing broker’s customer accounts. While clearing brokers are required to segregate customer margin from their own assets, in the event that a clearing broker becomes insolvent or goes into bankruptcy and at that time there is a shortfall in the aggregate amount of margin held by the clearing broker for all its clients, typically the shortfall would be allocated on a pro rata basis across all the clearing broker’s customers, potentially resulting in losses to the Fund. | |
In order to better define its contractual rights and to secure rights that will help a Fund mitigate its counterparty risk, each Fund may enter into an International Swaps and Derivatives Association, Inc. Master Agreement (“ISDA Master Agreement”) or similar agreement with its derivative contract counterparties. An ISDA Master Agreement is a bilateral agreement between a Fund and a counterparty that governs certain OTC derivatives and typically contains, among other things, collateral posting terms and netting provisions in the event of a default and/or termination event. Under an ISDA Master Agreement, a Fund may, under certain circumstances, offset with the counterparty certain derivative financial instruments’ payables and/or receivables with collateral held and/or posted and create one single net payment. The provisions of the ISDA Master Agreement typically permit a single net payment in the event of default including the bankruptcy or insolvency of the counterparty. However, bankruptcy or insolvency laws of a particular jurisdiction may impose restrictions on or prohibitions against the right of offset in bankruptcy, insolvency or other events. In addition, certain ISDA Master Agreements allow counterparties to OTC derivatives to terminate derivative contracts prior to maturity in the event a Fund’s net assets decline by a stated percentage or the Fund fails to meet the terms of its ISDA Master Agreements, which would cause the Fund to accelerate payment of any net liability owed to the counterparty. | |
F. | Collateral Requirements and Master Netting Agreements (“MNA”) |
For derivatives traded under an ISDA Master Agreement, the collateral requirements are typically calculated by netting the mark-to-market amount for each transaction under such agreement and comparing that amount to the value of any collateral currently pledged by the Funds and the counterparty. |
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Cash collateral that has been pledged to cover obligations of a Fund and cash collateral received from the counterparty, if any, is reported separately on the Statements of Assets and Liabilities as cash pledged as collateral and cash received as collateral, respectively. Non-cash collateral pledged by a Fund, if any, is noted in the Schedules of Investments. Typically, the Funds and counterparties are not permitted to sell, re-pledge or use the collateral they receive. To the extent amounts due to a Fund from its counterparties are not fully collateralized, contractually or otherwise, the Fund bears the risk of loss from counterparty non-performance. The Funds attempt to mitigate counterparty risk by only entering into agreements with counterparties that they believe have the financial resources to honor their obligations and by monitoring the financial stability of those counterparties. | |
The following tables present the Funds’ derivative assets and liabilities by counterparty net of amounts available for offset under a MNA and net of the related collateral received/pledged by the Funds as of April 30, 2020: |
At April 30, 2020, the Funds’ derivative assets and liabilities (by type) are as follows: | |||||
Aviva Multi-Strategy Target Return Fund | |||||
Assets | Liabilities | ||||
Derivative Financial Instruments: | |||||
Futures contracts | $ 180 | $ 82 | |||
Forward foreign currency exchange contracts | 79 | 417 | |||
Swaps | 378 | 322 | |||
Purchased options | 43 | — | |||
Written options | — | 30 | |||
Total derivative assets and liabilities in the Statements of Assets and Liabilities | $ 680 | $ 851 | |||
Derivatives not subject to a MNA or similar agreement | (522) | (400) | |||
Total assets and liabilities subject to a MNA | $ 158 | $ 451 |
Aviva Multi-Strategy Target Return Fund | ||||||||||
Counterparty | Derivative Assets Subject to a MNA by Counterparty | Derivatives Available for Offset | Non-Cash Collateral Received1 | Cash Collateral Received1 | Net Amount of Derivative Assets2 | |||||
BNP Paribas | $ 11 | $ (7) | $— | $ — | $ 4 | |||||
Citibank | 18 | (18) | — | — | — | |||||
Goldman Sachs & Co. | 13 | (13) | — | — | — | |||||
JPMorgan Chase Bank N.A. | 6 | (6) | — | — | — | |||||
Merrill Lynch | 31 | (31) | — | — | — | |||||
Societe Generale | 79 | (22) | — | (57) | — | |||||
Total | $158 | $(97) | $— | $(57) | $ 4 |
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Counterparty | Derivatives Liabilities Subject to a MNA by Counterparty | Derivatives Available for Offset | Non-cash Collateral Pledged3 | Cash Collateral Pledged3 | Net Amount of Derivative Liabilities4 | |||||
BNP Paribas | $ 7 | $ (7) | $— | $— | $ — | |||||
Citibank | 37 | (18) | — | — | 19 | |||||
Goldman Sachs & Co. | 185 | (13) | — | — | 172 | |||||
JPMorgan Chase Bank N.A. | 149 | (6) | — | — | 143 | |||||
Merrill Lynch | 51 | (31) | — | — | 20 | |||||
Societe Generale | 22 | (22) | — | — | — | |||||
Total | $451 | $(97) | $— | $— | $354 |
A. | Investment Adviser |
Virtus Alternative Investment Advisers, Inc. (“VAIA” or the “Adviser”), an indirect, wholly-owned subsidiary of Virtus Investment Partners, Inc. (“Virtus”), is the investment adviser to the Funds. The Adviser manages the Funds’ investment programs and general operations of the Funds, including oversight of the Funds’ subadvisers. | |
As compensation for its services to the Funds, the Adviser is entitled to a fee, which is calculated daily and paid monthly based upon the following annual rates as a percentage of the average daily net assets of each Fund. |
All Assets | 1st $1 Billion | $1 + Billion | 1st $5+ Billion | $5 + Billion | |||||
Aviva Multi-Strategy Target Return Fund* | —% | —% | —% | 1.30% | 1.25% | ||||
Duff & Phelps Select MLP and Energy Fund** | — | 0.90 | 0.85 | — | — | ||||
KAR Long/Short Equity Fund | — | 1.25 | 1.20 | — | — | ||||
*The Adviser has contractually agreed to waive a portion of the management fee so that such fee does not exceed 1.25% through February 28, 2021. | |||||||||
**Prior to February 28, 2020, the advisory fee for this Fund was 0.90% on all assets. |
B. | Subadvisers |
The subadvisers manage the investments of each Fund for which they are paid a fee by the Adviser. | |
The subadvisers and the Funds they serve as of the end of the period are as follows: Aviva Investors Americas LLC (“Aviva”), for Aviva Multi-Strategy Target Return Fund; Duff & Phelps Investment Management Co. (“Duff & Phelps”), an indirect wholly-owned subsidiary of Virtus, for Duff & Phelps Select MLP and Energy Fund; and Kayne Anderson Rudnick Investment Management, LLC (“KAR”), an indirect wholly-owned subsidiary of Virtus, for KAR Long/Short Equity Fund. | |
C. | Expense Limitations |
The Adviser has contractually agreed to limit each Fund’s annual total operating expenses, subject to the exceptions listed below, so that such expenses do not exceed, on an annualized basis, the following respective percentages of average daily net assets through February 28, 2021. Following the contractual period, the Adviser may discontinue these expense reimbursement arrangements at any time. The waivers and reimbursements are accrued daily and received monthly. |
Fund | Class A | Class C | Class I | Class R6 | ||||
Aviva Multi-Strategy Target Return Fund | 1.69 % | 2.44 % | 1.44 % | 1.38 % | ||||
Duff & Phelps Select MLP and Energy Fund | 1.40 | 2.15 | 1.15 | N/A | ||||
KAR Long/Short Equity Fund | 1.80 | 2.55 | 1.55 | 1.48 |
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D. | Expense Recapture |
Under certain conditions, the Adviser may recapture operating expenses reimbursed or fees waived under these arrangements within three years after the date on which such amounts were incurred or waived. A Fund must pay its ordinary operating expenses before the Adviser is entitled to any reimbursement and must remain in compliance with any applicable expense limitations or, if none, the expense limitation in effect at the time of the waiver or reimbursement. All or a portion of the following Adviser reimbursed expenses may be recaptured by the fiscal year ending: |
Expiration | ||||||||||
Fund | 2020 | 2021 | 2022 | 2023 | Total | |||||
Aviva Multi-Strategy Target Return Fund | ||||||||||
Class A | $ 7 | $ 7 | $ 7 | $ 4 | $ 25 | |||||
Class C | 6 | 5 | 4 | 2 | 17 | |||||
Class I | 206 | 208 | 176 | 89 | 679 | |||||
Class R6 | — (1) | — (1) | — (1) | — (1) | — (1) | |||||
Duff & Phelps Select MLP and Energy Fund | ||||||||||
Class A | 6 | 6 | 28 | 7 | 47 | |||||
Class C | 2 | 2 | 2 | 1 | 7 | |||||
Class I | 85 | 76 | 58 | 38 | 257 | |||||
KAR Long/Short Equity Fund | ||||||||||
Class A | — | — | 2 | — (1) | 2 | |||||
Class C | — | — | 2 | — (1) | 2 | |||||
Class I | — | — | 101 | 53 | 154 | |||||
Class R6 | — | — | 54 | 4 | 58 |
(1) | Amount is less than $500. |
E. | Distributor |
VP Distributors, LLC (“VP Distributors”), an indirect, wholly-owned subsidiary of Virtus, serves as the distributor of each Fund’s shares. VP Distributors has advised the Funds that for the six months ended April 30, 2020, there were less than $500 in commissions for Class A shares and less than $500 in CDSC for Class A shares and Class C shares, respectively. | |
In addition, each Fund pays VP Distributors 12b-1 fees under a 12b-1 Plan as a percentage of the average daily net assets of each respective class at the annual rates of 0.25% for Class A shares and 1.00% for Class C shares. Class I and Class R6 shares are not subject to a 12b-1 Plan. | |
Under certain circumstances, shares of certain Virtus Mutual Funds may be exchanged for shares of the same class of certain other Virtus Mutual Funds on the basis of the relative NAV per share at the time of the exchange. On exchanges with share classes that carry a CDSC, the CDSC schedule of the original shares purchased continues to apply. | |
F. | Administrator and Transfer Agent |
Virtus Fund Services, LLC, an indirect, wholly-owned subsidiary of Virtus, serves as the administrator and transfer agent to the Funds. | |
For the six months ended April 30, 2020, the Funds incurred administration fees totaling $39 which are included in the Statements of Operations within the line item “Administration and accounting fees.” The fees are calculated daily and paid monthly. | |
For the six months ended April 30, 2020, the Funds incurred transfer agent fees totaling $18 which are included in the Statements of Operations within the line item “Transfer agent fees and expenses.” The fees are calculated daily and paid monthly. | |
G. | Affiliated Shareholders |
At April 30, 2020, Virtus and its affiliates held shares of certain Funds, which may be redeemed at any time, that aggregated to the following: |
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Shares | Aggregate Net Asset Value | ||
Aviva Multi-Strategy Target Return Fund | |||
Class A | 10,106 | $ 97 | |
Class C | 10,058 | 95 | |
Class I | 1,902,815 | 18,362 | |
Class R6 | 10,470 | 101 | |
Duff & Phelps Select MLP and Energy Fund | |||
Class A | 10,601 | 60 | |
Class C | 10,431 | 59 | |
Class I | 856,521 | 4,797 |
H. | Trustee Compensation |
The Trust provides a deferred compensation plan for its Trustees who receive compensation from the Trust. Under the deferred compensation plan, Trustees may elect to defer all or a portion of their compensation. Amounts deferred are retained by the Trust, and then, to the extent permitted by the 1940 Act, in turn, may be invested in the shares of affiliated or unaffiliated mutual funds selected by the participating Trustees. Investments in such instruments are included in “Other assets” in the Statements of Assets and Liabilities at April 30, 2020. |
Purchases | Sales | ||
Aviva Multi-Strategy Target Return Fund | $12,054 | $11,442 | |
Duff & Phelps Select MLP And Energy Fund | 3,768 | 1,134 | |
KAR Long/Short Equity Fund | 39,718 | 13,968 |
Purchases | Sales | ||
Aviva Multi-Strategy Target Return Fund | $735 | $2,411 |
Aviva Multi-Strategy Target Return Fund | |||||||
Six Months Ended April 30, 2020 (Unaudited) | Year Ended October 31, 2019 | ||||||
SHARES | AMOUNT | SHARES | AMOUNT | ||||
Class A | |||||||
Shares sold and cross class conversions | 59 | $ 574 | 14 | $ 132 | |||
Reinvestment of distributions | — | — | 5 | 48 | |||
Shares repurchased and cross class conversions | (50) | (478) | (127) | (1,184) | |||
Net Increase / (Decrease) | 9 | $ 96 | (108) | $ (1,004) | |||
Class C | |||||||
Shares sold and cross class conversions | — (1) | $ 1 | 9 | $ 83 | |||
Reinvestment of distributions | — | — | 2 | 17 | |||
Shares repurchased and cross class conversions | (30) | (288) | (79) | (730) | |||
Net Increase / (Decrease) | (30) | $ (287) | (68) | $ (630) |
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Aviva Multi-Strategy Target Return Fund | |||||||
Six Months Ended April 30, 2020 (Unaudited) | Year Ended October 31, 2019 | ||||||
SHARES | AMOUNT | SHARES | AMOUNT | ||||
Class I | |||||||
Shares sold and cross class conversions | 532 | $ 5,259 | 487 | $ 4,626 | |||
Reinvestment of distributions | 2 | 24 | 85 | 757 | |||
Shares repurchased and cross class conversions | (645) | (6,249) | (4,783) | (44,907) | |||
Net Increase / (Decrease) | (111) | $ (966) | (4,211) | $ (39,524) | |||
Class R6 | |||||||
Shares sold and cross class conversions | 1 | $ 8 | 1 | $ 6 | |||
Reinvestment of distributions | — (1) | — | — (1) | — (1) | |||
Shares repurchased and cross class conversions | (—) | (2) | (1) | (6) | |||
Net Increase / (Decrease) | 1 | $ 6 | — (1) | $ —(1) |
(1) | Amount is less than $500 or 500 shares. |
Duff & Phelps Select MLP and Energy Fund | |||||||
Six Months Ended April 30, 2020 (Unaudited) | Year Ended October 31, 2019 | ||||||
SHARES | AMOUNT | SHARES | AMOUNT | ||||
Class A | |||||||
Shares sold and cross class conversions | 89 | $ 657 | 402 | $ 3,627 | |||
Reinvestment of distributions | 1 | 4 | 6 | 50 | |||
Shares repurchased and cross class conversions | (96) | (544) | (387) | (3,203) | |||
Net Increase / (Decrease) | (6) | $ 117 | 21 | $ 474 | |||
Class C | |||||||
Shares sold and cross class conversions | — (1) | $ —(1) | 6 | $ 51 | |||
Reinvestment of distributions | — (1) | — (1) | — (1) | 3 | |||
Shares repurchased and cross class conversions | (1) | (4) | (6) | (51) | |||
Net Increase / (Decrease) | (1) | $ (4) | — (1) | $ 3 | |||
Class I | |||||||
Shares sold and cross class conversions | 403 | $ 2,835 | 72 | $ 631 | |||
Reinvestment of distributions | 7 | 42 | 2 | 18 | |||
Shares repurchased and cross class conversions | (83) | (395) | (81) | (674) | |||
Net Increase / (Decrease) | 327 | $ 2,482 | (7) | $ (25) |
(1) | Amount is less than $500 or 500 shares. |
KAR Long/Short Equity Fund | |||||||
Six Months Ended April 30, 2020 (Unaudited) | From Inception December 06, 2018 to October 31, 2019 | ||||||
SHARES | AMOUNT | SHARES | AMOUNT | ||||
Class A | |||||||
Shares sold and cross class conversions | 29 | $ 380 | 11 | $ 107 | |||
Reinvestment of distributions | — (1) | — (1) | — | — | |||
Shares repurchased and cross class conversions | (13) | (171) | — | — | |||
Net Increase / (Decrease) | 16 | $ 209 | 11 | $ 107 |
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KAR Long/Short Equity Fund | |||||||
Six Months Ended April 30, 2020 (Unaudited) | From Inception December 06, 2018 to October 31, 2019 | ||||||
SHARES | AMOUNT | SHARES | AMOUNT | ||||
Class C | |||||||
Shares sold and cross class conversions | 44 | $ 574 | 11 | $ 109 | |||
Reinvestment of distributions | — (1) | — (1) | — | — | |||
Shares repurchased and cross class conversions | (26) | (296) | (—) | (—) | |||
Net Increase / (Decrease) | 18 | $ 278 | 11 | $ 109 | |||
Class I | |||||||
Shares sold and cross class conversions | 3,219 | $ 41,741 | 1,431 | $ 17,401 | |||
Reinvestment of distributions | 9 | 115 | — | — | |||
Shares repurchased and cross class conversions | (385) | (4,867) | (31) | (394) | |||
Net Increase / (Decrease) | 2,843 | $ 36,989 | 1,400 | $ 17,007 | |||
Class R6 | |||||||
Shares sold and cross class conversions | — | $ — | 270 | $ 2,700 | |||
Net Increase / (Decrease) | — | $ — | 270 | $ 2,700 |
(1) | Amount is less than $500 or 500 shares. |
% of Shares Outstanding | Number of Accounts | ||
Aviva Multi-Strategy Target Return Fund | 65% | 2 * | |
Duff & Phelps Select MLP and Energy Fund | 93 | 2 * | |
KAR Long/Short Equity Fund | 82 | 1 * |
* | Includes affiliated shareholder account(s). |
Fund | Sector | Percentage of Total Investments | ||
Duff & Phelps Select MLP and Energy Fund | Diversified (MLP) | 31% | ||
KAR Long/Short Equity Fund | Information Technology | 28 |
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Fund | Investment | Date of Acquisition | Cost | Value | Percentage of Net Assets | |||||
Aviva Multi-Strategy Target Return Fund | Safran SA | 2/16/2018 | $27 | $23 | 0.1% |
Fund | Interest Incurred on Borrowing | Average Amount of Borrowing | Weighted Average Interest Rate on Borrowing | Days Loan was Open | ||||
Duff & Phelps Select MLP and Energy Fund | $— (1) | $220 | 1.75% | 2 | ||||
KAR Long/Short Equity Fund | — (1) | 570 | 1.76 | 1 |
(1) | Amount is less than $500. |
Fund | Federal Tax Cost | Unrealized Appreciation | Unrealized (Depreciation) | Net Unrealized Appreciation (Depreciation) | ||||
Aviva Multi-Strategy Target Return Fund- securities and derivatives | $ 24,112 | $ 513 | $ (383) | $ 130 | ||||
Aviva Multi-Strategy Target Return Fund - Written Options | 5 | 20 | — | 20 | ||||
Duff & Phelps Select MLP and Energy Fund | 6,995 | 85 | (1,955) | (1,870) | ||||
KAR Long/Short Equity Fund | 57,968 | 3,611 | (2,365) | 1,246 | ||||
KAR Long/Short Equity Fund - Short Sales | 14,681 | 2,409 | (239) | 2,170 |
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No Expiration | Total | ||||||
Short-Term | Long-Term | Short-Term | Long-Term | ||||
Aviva Multi-Strategy Target Return Fund | $1,851 | $335 | $1,851 | $335 | |||
Duff & Phelps Select MLP and Energy Fund | 63 | 287 | 63 | 287 |
Late Year Ordinary Losses Deferred | Late Year Ordinary Losses Recognized | ||
Duff & Phelps Select MLP and Energy Fund | $119 | $ (57) |
Undistributed Ordinary Income | Undistributed Long-Term Capital Gains | ||
KAR Long/Short Equity Fund | $126 | $— |
Ordinary Income | Long-Term Capital Gains | Return of Capital | Total | ||||
Aviva Multi-Strategy Target Return Fund | |||||||
10/31/19 | $ 1,661 | $ — | $ — | $1,661 | |||
10/31/18 | 166 | — | — | 166 | |||
Duff & Phelps Select MLP and Energy Fund | |||||||
10/31/19 | 166 | — | 225 | 391 | |||
10/31/18 | 58 | 63 | 29 | 150 | |||
KAR Long/Short Equity Fund | |||||||
10/31/19 | — | — | — | — | |||
10/31/18 | — | — | — | — |
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Mutual Fund Services | 1-800-243-1574 |
Adviser Consulting Group | 1-800-243-4361 |
Website | Virtus.com |
The Securities and Exchange Commission has modified mailing regulations for semiannual and annual shareholder fund reports to allow mutual fund companies to send a single copy of these reports to shareholders who share the same mailing address. If you would like additional copies, please call Mutual Fund Services at 1-800-243-1574.
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please contact us at 1-800-243-1574, or Virtus.com.
8554 | 0606-20 |
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Item 2. | Code of Ethics. |
Response not required for semi-annual report.
Item 3. | Audit Committee Financial Expert. |
Response not required for semi-annual report.
Item 4. | Principal Accountant Fees and Services. |
Response not required for semi-annual report.
Item 5. | Audit Committee of Listed Registrants. |
Response not required for semi-annual report.
Item 6. | Investments. |
(a) | Schedule of Investments in securities of unaffiliated issuers as of the close of the reporting period 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.
Item 8. | Portfolio Managers of Closed-End Management Investment Companies. |
Not applicable.
Item 9. | Purchases of Equity Securities by Closed-End Management Investment Company and Affiliated Purchasers. |
Not applicable.
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Item 10. | Submission of Matters to a Vote of Security Holders. |
There have been no material changes to the procedures by which the shareholders may recommend nominees to the registrant’s board of trustees, where those changes were implemented after the registrant last provided disclosure in response to the requirements of Item 407(c)(2)(iv) of Regulation S-K (17 CFR 229.407) (as required by Item 22(b)(15) of Schedule 14A (17 CFR 240.14a-101)), or this Item.
Item 11. | Controls and Procedures. |
(a) | The registrant’s principal executive officer and principal financial officer have concluded that the registrant’s disclosure controls and procedures (as defined in Rule 30a-3(c) under the Investment Company Act of 1940 (the “1940 Act”)) are effective, based on an evaluation of those controls and procedures made as of a date within 90 days of the filing date of this report as required by Rule 30a-3(b) under the 1940 Act and Rule 13a-15(b) under the Exchange Act. |
(b) | There has been no change in the registrant’s internal control over financial reporting (as defined in Rule 30a-3(d) under the 1940 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.
Item 13. | Exhibits. |
(a)(1) | Not applicable | |
(a)(2) | Certifications pursuant to Rule 30a-2(a) under the 1940 Act and Section 302 of the Sarbanes-Oxley Act of 2002 are attached hereto. | |
(a)(3) | Not applicable. | |
(a)(4) | Not applicable. | |
(b) | Certifications pursuant to Rule 30a-2(b) under the 1940 Act and Section 906 of the Sarbanes-Oxley Act of 2002 are attached hereto. |
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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) Virtus Alternative Solutions Trust |
By (Signature and Title)* | /s/ George R. Aylward | |||||||
George R. Aylward, President | ||||||||
(principal executive officer) |
Date 7/06/2020
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/ George R. Aylward | |||||||
George R. Aylward, President | ||||||||
(principal executive officer) |
Date 7/06/2020
By (Signature and Title)* | /s/ W. Patrick Bradley | |||||||
W. Patrick Bradley, Executive Vice President, Chief Financial Officer and Treasurer | ||||||||
(principal financial and accounting officer) |
Date 7/06/2020
* | Print the name and title of each signing officer under his or her signature. |