M3Sixty Funds Trust |
Cognios Large Cap Value Fund |
Schedule of Investments |
March 31, 2020 (Unaudited) |
|
| Shares |
|
| Fair Value |
| ||
COMMON STOCK - 151.84% (b) |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Basic Materials - 0.60% |
|
|
|
|
|
|
|
|
Linde PLC (b) |
|
| 676 |
|
| $ | 116,948 |
|
|
|
|
|
|
|
|
|
|
Communications - 6.81% |
|
|
|
|
|
|
|
|
AT&T, Inc. (b) |
|
| 13,900 |
|
|
| 405,185 |
|
CenturyLink, Inc. (b) |
|
| 15,311 |
|
|
| 144,842 |
|
Facebook, Inc. - Class A (a) (b) |
|
| 745 |
|
|
| 124,266 |
|
Juniper Networks, Inc. (b) |
|
| 3,835 |
|
|
| 73,402 |
|
Motorola Solutions, Inc. (b) |
|
| 1,140 |
|
|
| 151,529 |
|
Omnicom Group, Inc. (b) |
|
| 6,153 |
|
|
| 337,800 |
|
Verizon Communications, Inc. (b) |
|
| 1,720 |
|
|
| 92,416 |
|
|
|
|
|
|
|
| 1,329,440 |
|
Consumer, Cyclical - 33.05% |
|
|
|
|
|
|
|
|
Alaska Air Group, Inc. (b) |
|
| 5,990 |
|
|
| 170,535 |
|
AutoZone, Inc. (a) (b) |
|
| 391 |
|
|
| 330,786 |
|
Capri Holdings Ltd. (a) (b) |
|
| 9,895 |
|
|
| 106,767 |
|
Copart, Inc. (a) (b) |
|
| 3,242 |
|
|
| 222,142 |
|
Costco Wholesale Corp. (b) |
|
| 330 |
|
|
| 94,093 |
|
Darden Restaurants, Inc. (b) |
|
| 4,117 |
|
|
| 224,212 |
|
Dollar General Corp. (b) |
|
| 3,510 |
|
|
| 530,045 |
|
Dollar Tree, Inc. (a) (b) |
|
| 3,517 |
|
|
| 258,394 |
|
Foot Locker, Inc. (b) |
|
| 3,359 |
|
|
| 74,066 |
|
Gap, Inc. (b) |
|
| 23,313 |
|
|
| 164,124 |
|
Hanesbrands, Inc. (b) |
|
| 7,341 |
|
|
| 57,774 |
|
Kohl’s Corp. (b) |
|
| 1,213 |
|
|
| 17,698 |
|
L Brands, Inc. (b) |
|
| 20,292 |
|
|
| 234,576 |
|
Macy’s, Inc. (b) |
|
| 24,040 |
|
|
| 118,036 |
|
McDonald’s Corp. (b) |
|
| 2,364 |
|
|
| 390,887 |
|
NIKE, Inc. - Class B (b) |
|
| 3,433 |
|
|
| 284,046 |
|
Nordstrom, Inc.(b) |
|
| 12,585 |
|
|
| 193,054 |
|
NVR, Inc. (b) |
|
| 45 |
|
|
| 115,610 |
|
O’Reilly Automotive, Inc. (a) (b) |
|
| 684 |
|
|
| 205,918 |
|
PulteGroup, Inc. (b) |
|
| 14,286 |
|
|
| 318,864 |
|
Ralph Lauren Corp. (b) |
|
| 1,657 |
|
|
| 110,737 |
|
Ross Stores, Inc. (b) |
|
| 1,591 |
|
|
| 138,369 |
|
Starbucks Corp. (b) |
|
| 6,025 |
|
|
| 396,083 |
|
Tapestry, Inc. (b) |
|
| 5,926 |
|
|
| 76,742 |
|
Target Corp. (b) |
|
| 4,237 |
|
|
| 393,914 |
|
TJX Cos., Inc. (b) |
|
| 8,556 |
|
|
| 409,062 |
|
Walgreens Boots Alliance, Inc. (b) |
|
| 1,727 |
|
|
| 79,010 |
|
Walmart, Inc. (b) |
|
| 4,373 |
|
|
| 496,860 |
|
Yum! Brands, Inc. (b) |
|
| 3,514 |
|
|
| 240,814 |
|
|
|
|
|
|
|
| 6,453,218 |
|
M3Sixty Funds Trust |
Cognios Large Cap Value Fund |
Schedule of Investments |
March 31, 2020 (Unaudited) |
|
| Shares |
|
| Fair Value |
| ||
| COMMON STOCK - 151.84% (b) | ||||||||
Consumer, Non-cyclical - 59.26% |
|
|
|
|
|
|
|
|
ABIOMED, Inc. (b) |
|
| 1,006 |
|
|
| 146,031 |
|
Altria Group, Inc. (b) |
|
| 10,062 |
|
|
| 389,098 |
|
Bristol-Myers Squibb Co. (b) |
|
| 7,273 |
|
|
| 405,397 |
|
Campbell Soup Co. (b) |
|
| 11,628 |
|
|
| 536,748 |
|
Centene Corp. (b) |
|
| 1,763 |
|
|
| 104,740 |
|
Church & Dwight Co., Inc. (b) |
|
| 6,653 |
|
|
| 426,990 |
|
Cigna Corp. (b) |
|
| 546 |
|
|
| 96,740 |
|
Clorox Co. (b) |
|
| 3,077 |
|
|
| 533,090 |
|
Colgate-Palmolive Co. (b) |
|
| 6,896 |
|
|
| 457,619 |
|
Conagra Brands, Inc. (b) |
|
| 17,633 |
|
|
| 517,352 |
|
Constellation Brands, Inc. - Class A (b) |
|
| 2,490 |
|
|
| 356,966 |
|
Cooper Cos., Inc. (b) |
|
| 292 |
|
|
| 80,496 |
|
CVS Health Corp. (b) |
|
| 1,239 |
|
|
| 73,510 |
|
Estee Lauder Cos., Inc. (b) |
|
| 865 |
|
|
| 137,829 |
|
General Mills, Inc. (b) |
|
| 9,588 |
|
|
| 505,959 |
|
H&R Block, Inc. (b) |
|
| 18,937 |
|
|
| 266,633 |
|
HCA Healthcare, Inc. (b) |
|
| 2,896 |
|
|
| 260,206 |
|
Hershey Co. (b) |
|
| 3,646 |
|
|
| 483,095 |
|
Hormel Foods Corp. (b) |
|
| 11,444 |
|
|
| 533,748 |
|
Johnson & Johnson (b) |
|
| 3,494 |
|
|
| 458,168 |
|
Kellogg Co. (b) |
|
| 8,133 |
|
|
| 487,899 |
|
Kimberly-Clark Corp. (b) |
|
| 3,680 |
|
|
| 470,562 |
|
Kroger Co. (b) |
|
| 10,598 |
|
|
| 319,212 |
|
Lamb Weston Holdings, Inc. (b) |
|
| 6,359 |
|
|
| 363,099 |
|
McCormick & Co., Inc. (b) |
|
| 3,098 |
|
|
| 437,469 |
|
Molson Coors Brewing Co. - Class B (b) |
|
| 8,080 |
|
|
| 315,201 |
|
PepsiCo, Inc. (b) |
|
| 3,007 |
|
|
| 361,141 |
|
Procter & Gamble Co. (b) |
|
| 4,323 |
|
|
| 475,530 |
|
Quest Diagnostics, Inc. (b) |
|
| 2,693 |
|
|
| 216,248 |
|
Sysco Corp. (b) |
|
| 6,661 |
|
|
| 303,941 |
|
Tyson Foods, Inc. - Class A (b) |
|
| 6,636 |
|
|
| 384,025 |
|
UnitedHealth Group, Inc. (b) |
|
| 1,445 |
|
|
| 360,354 |
|
Verisk Analytics, Inc. (b) |
|
| 2,202 |
|
|
| 306,915 |
|
|
|
|
|
|
|
| 11,572,011 |
|
Energy - 1.60% |
|
|
|
|
|
|
|
|
Cabot Oil & Gas Corp. (b) |
|
| 15,594 |
|
|
| 268,061 |
|
Occidental Petroleum Corp. (b) |
|
| 3,875 |
|
|
| 44,872 |
|
|
|
|
|
|
|
| 312,933 |
|
Financials - 24.56% |
|
|
|
|
|
|
|
|
Aflac, Inc. (b) |
|
| 9,327 |
|
|
| 319,356 |
|
Allstate Corp. (b) |
|
| 825 |
|
|
| 75,677 |
|
Aon PLC (b) |
|
| 880 |
|
|
| 145,235 |
|
M3Sixty Funds Trust |
Cognios Large Cap Value Fund |
Schedule of Investments |
March 31, 2020 (Unaudited) |
|
| Shares |
|
| Fair Value |
| ||
| COMMON STOCK - 151.84% (b) | ||||||||
Arthur J. Gallagher & Co. (b) |
|
| 2,952 |
|
|
| 240,618 |
|
Assurant, Inc. (b) |
|
| 1,135 |
|
|
| 118,142 |
|
Berkshire Hathaway, Inc.- Class B (a) (b) |
|
| 1,262 |
|
|
| 230,731 |
|
Cboe Global Markets, Inc. (b) |
|
| 4,347 |
|
|
| 387,970 |
|
Cincinnati Financial Corp. (b) |
|
| 1,374 |
|
|
| 103,668 |
|
CME Group, Inc. (b) |
|
| 1,076 |
|
|
| 186,051 |
|
Everest Re Group Ltd. (b) |
|
| 497 |
|
|
| 95,633 |
|
Hartford Financial Services Group, Inc. (b) |
|
| 6,500 |
|
|
| 229,060 |
|
Intercontinental Exchange, Inc. (b) |
|
| 5,590 |
|
|
| 451,392 |
|
Loews Corp. (b) |
|
| 2,293 |
|
|
| 79,865 |
|
Marsh & McLennan Cos, Inc. (b) |
|
| 2,686 |
|
|
| 232,232 |
|
Nasdaq, Inc. (b) |
|
| 4,869 |
|
|
| 462,312 |
|
Progressive Corp. (b) |
|
| 6,349 |
|
|
| 468,810 |
|
Public Storage (b) |
|
| 2,144 |
|
|
| 425,820 |
|
Western Union Co. (b) |
|
| 11,896 |
|
|
| 215,674 |
|
Willis Towers Watson PLC (b) |
|
| 1,929 |
|
|
| 327,641 |
|
|
|
|
|
|
|
| 4,795,887 |
|
Industrials - 10.11% |
|
|
|
|
|
|
|
|
Amcor PLC (b) |
|
| 8,826 |
|
|
| 71,667 |
|
Ball Corp. (b) |
|
| 2,213 |
|
|
| 143,093 |
|
CH Robinson Worldwide, Inc. (b) |
|
| 5,682 |
|
|
| 376,148 |
|
Expeditors International of Washington, Inc. (b) |
|
| 1,091 |
|
|
| 72,792 |
|
Northrop Grumman Corp. (b) |
|
| 1,231 |
|
|
| 372,439 |
|
Raytheon Co. (b) |
|
| 861 |
|
|
| 112,920 |
|
Republic Services, Inc. (b) |
|
| 5,632 |
|
|
| 422,738 |
|
United Technologies Corp. (b) |
|
| 1 |
|
|
| 94 |
|
Waste Management, Inc. (b) |
|
| 4,332 |
|
|
| 400,970 |
|
|
|
|
|
|
|
| 1,972,861 |
|
Technology - 11.61% |
|
|
|
|
|
|
|
|
Activision Blizzard, Inc. (b) |
|
| 5,135 |
|
|
| 305,430 |
|
Akamai Technologies, Inc. (a) (b) |
|
| 5,942 |
|
|
| 543,634 |
|
Broadcom, Inc. (b) |
|
| 694 |
|
|
| 164,547 |
|
Fidelity National Information Services, Inc. (b) |
|
| 786 |
|
|
| 95,609 |
|
Fiserv, Inc. (a) (b) |
|
| 2,368 |
|
|
| 224,936 |
|
Fortinet, Inc. (a) (b) |
|
| 1,531 |
|
|
| 154,891 |
|
Intel Corp. (b) |
|
| 4,978 |
|
|
| 269,409 |
|
Paychex, Inc. (b) |
|
| 2,305 |
|
|
| 145,031 |
|
Skyworks Solutions, Inc. (b) |
|
| 1,004 |
|
|
| 89,738 |
|
Take-Two Interactive Software, Inc. (a) (b) |
|
| 2,313 |
|
|
| 274,345 |
|
|
|
|
|
|
|
| 2,267,570 |
|
Utilities - 4.24% |
|
|
|
|
|
|
|
|
American Electric Power Co., Inc. (b) |
|
| 2,449 |
|
|
| 195,871 |
|
CMS Energy Corp. (b) |
|
| 2,089 |
|
|
| 122,729 |
|
M3Sixty Funds Trust |
Cognios Large Cap Value Fund |
Schedule of Investments |
March 31, 2020 (Unaudited) |
|
| Shares |
|
| Fair Value |
| ||
| COMMON STOCK - 151.84% (b) | ||||||||
DTE Energy Co. (b) |
|
| 1,651 |
|
|
| 156,795 |
|
Exelon Corp. (b) |
|
| 1,770 |
|
|
| 65,154 |
|
NRG Energy, Inc. (b) |
|
| 4,748 |
|
|
| 129,430 |
|
PPL Corp. (b) |
|
| 6,402 |
|
|
| 158,001 |
|
|
|
|
|
|
|
| 827,980 |
|
|
|
|
|
|
|
|
|
|
TOTAL COMMON STOCK (Cost $35,364,582) |
|
|
|
|
|
| 29,648,848 |
|
|
|
|
|
|
|
|
|
|
TOTAL INVESTMENTS (Cost $35,364,582) - 151.84% |
|
|
|
|
| $ | 29,648,848 |
|
LIABILITIES IN EXCESS OF OTHER ASSETS, NET - (51.84%) |
|
|
|
|
|
| (10,122,241 | ) |
NET ASSETS - 100% |
|
|
|
|
| $ | 19,526,607 |
|
Percentages are stated as a percent of net assets. |
|
(a) Non-income producing security |
(b) All or a portion of the security is segregated as collateral for line of credit borrowings. |
|
The following abbreviations are used in this portfolio: |
Ltd. - Limited |
PLC - Public Limited Company |
M3Sixty Funds Trust |
Cognios Market Neutral Large Cap Fund |
Schedules of Investments |
March 31, 2020 (Unaudited) |
|
| Shares |
|
| Fair Value |
| ||
COMMON STOCK - 102.33% |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Communications - 3.81% |
|
|
|
|
|
|
|
|
AT&T, Inc. (b) |
|
| 17,799 |
|
| $ | 518,841 |
|
Motorola Solutions, Inc. (b) |
|
| 3,706 |
|
|
| 492,602 |
|
Omnicom Group, Inc. (b) |
|
| 9,696 |
|
|
| 532,310 |
|
|
|
|
|
|
|
| 1,543,753 |
|
Consumer, Cyclical - 23.10% |
|
|
|
|
|
|
|
|
AutoZone, Inc. (a) (b) |
|
| 655 |
|
|
| 554,130 |
|
Darden Restaurants, Inc. (b) |
|
| 7,485 |
|
|
| 407,633 |
|
Dollar General Corp. (b) |
|
| 4,191 |
|
|
| 632,883 |
|
Dollar Tree, Inc. (a) (b) |
|
| 8,446 |
|
|
| 620,528 |
|
Gap, Inc. (b) |
|
| 48,280 |
|
|
| 339,891 |
|
L Brands, Inc. (b) |
|
| 27,933 |
|
|
| 322,906 |
|
Macy’s, Inc. (b) |
|
| 55,484 |
|
|
| 272,426 |
|
McDonald’s Corp. (b) |
|
| 3,316 |
|
|
| 548,301 |
|
Nordstrom, Inc. (b) |
|
| 21,500 |
|
|
| 329,810 |
|
NVR, Inc. (b) |
|
| 171 |
|
|
| 439,318 |
|
O’Reilly Automotive, Inc. (a) (b) |
|
| 1,817 |
|
|
| 547,008 |
|
PulteGroup, Inc. (b) |
|
| 15,327 |
|
|
| 342,099 |
|
Ross Stores, Inc. (b) |
|
| 6,289 |
|
|
| 546,954 |
|
Starbucks Corp. (b) |
|
| 8,688 |
|
|
| 571,149 |
|
Target Corp. (b) |
|
| 6,219 |
|
|
| 578,180 |
|
TJX Cos., Inc. (b) |
|
| 10,972 |
|
|
| 524,571 |
|
Walgreens Boots Alliance, Inc. (b) |
|
| 13,927 |
|
|
| 637,160 |
|
Walmart, Inc. (b) |
|
| 5,755 |
|
|
| 653,883 |
|
Yum! Brands, Inc. (b) |
|
| 7,317 |
|
|
| 501,434 |
|
|
|
|
|
|
|
| 9,370,264 |
|
Consumer, Non-cyclical - 40.45% |
|
|
|
|
|
|
|
|
AbbVie, Inc. (b) |
|
| 7,416 |
|
|
| 565,025 |
|
ABIOMED, Inc. (a) (b) |
|
| 4,400 |
|
|
| 638,704 |
|
Altria Group, Inc. (b) |
|
| 15,505 |
|
|
| 599,578 |
|
Biogen, Inc. (b) |
|
| 2,063 |
|
|
| 652,692 |
|
Bristol-Myers Squibb Co. (b) |
|
| 11,001 |
|
|
| 613,196 |
|
Campbell Soup Co. (b) |
|
| 12,561 |
|
|
| 579,816 |
|
Church & Dwight Co., Inc. (b) |
|
| 8,918 |
|
|
| 572,357 |
|
Cigna Corp. (a) (b) |
|
| 3,292 |
|
|
| 583,277 |
|
Clorox Co. (b) |
|
| 3,854 |
|
|
| 667,706 |
|
Colgate-Palmolive Co. (b) |
|
| 9,118 |
|
|
| 605,070 |
|
Constellation Brands, Inc. - Class A (b) |
|
| 3,660 |
|
|
| 524,698 |
|
General Mills, Inc. (b) |
|
| 12,477 |
|
|
| 658,411 |
|
H&R Block, Inc. (b) |
|
| 31,574 |
|
|
| 444,562 |
|
Hershey Co. (b) |
|
| 4,200 |
|
|
| 556,500 |
|
M3Sixty Funds Trust |
Cognios Market Neutral Large Cap Fund |
Schedules of Investments |
March 31, 2020 (Unaudited) |
|
| Shares |
|
| Fair Value |
| ||
COMMON STOCK - 102.33% |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Hormel Foods Corp. (b) |
|
| 15,188 |
|
|
| 708,368 |
|
Humana, Inc. (b) |
|
| 1,808 |
|
|
| 567,748 |
|
Johnson & Johnson (b) |
|
| 4,759 |
|
|
| 624,048 |
|
Kellogg Co. (b) |
|
| 10,498 |
|
|
| 629,775 |
|
Kimberly-Clark Corp. (b) |
|
| 4,624 |
|
|
| 591,271 |
|
Lamb Weston Holdings, Inc. (b) |
|
| 7,704 |
|
|
| 439,898 |
|
McCormick & Co., Inc. (b) |
|
| 4,380 |
|
|
| 618,500 |
|
Molson Coors Brewing Co. - Class B (b) |
|
| 13,138 |
|
|
| 512,513 |
|
PepsiCo, Inc. (b) |
|
| 4,830 |
|
|
| 580,083 |
|
Procter & Gamble Co. (b) |
|
| 5,533 |
|
|
| 608,630 |
|
Regeneron Pharmaceuticals, Inc. (b) |
|
| 1,358 |
|
|
| 663,098 |
|
Sysco Corp. (b) |
|
| 9,654 |
|
|
| 440,512 |
|
Tyson Foods, Inc. - Class A (b) |
|
| 9,887 |
|
|
| 572,161 |
|
UnitedHealth Group, Inc. (b) |
|
| 2,359 |
|
|
| 588,287 |
|
|
|
|
|
|
|
| 16,406,484 |
|
Energy - 1.91% |
|
|
|
|
|
|
|
|
Cabot Oil & Gas Corp. (b) |
|
| 45,088 |
|
|
| 775,063 |
|
|
|
|
|
|
|
|
|
|
Financials - 17.31% |
|
|
|
|
|
|
|
|
Aflac, Inc. (b) |
|
| 15,790 |
|
|
| 540,650 |
|
Arthur J Gallagher & Co. (b) |
|
| 6,495 |
|
|
| 529,407 |
|
Berkshire Hathaway, Inc. (a) (b) |
|
| 3,176 |
|
|
| 580,668 |
|
Cincinnati Financial Corp. (b) |
|
| 6,594 |
|
|
| 497,517 |
|
Everest Re Group Ltd. (b) |
|
| 2,557 |
|
|
| 492,018 |
|
Hartford Financial Services Group, Inc. (b) |
|
| 12,803 |
|
|
| 451,178 |
|
Intercontinental Exchange, Inc. (b) |
|
| 6,816 |
|
|
| 550,392 |
|
Marsh & McLennan Cos., Inc. (b) |
|
| 6,225 |
|
|
| 538,213 |
|
Nasdaq, Inc. (b) |
|
| 5,906 |
|
|
| 560,775 |
|
Progressive Corp. (b) |
|
| 8,348 |
|
|
| 616,416 |
|
Public Storage (b) |
|
| 2,946 |
|
|
| 585,105 |
|
Western Union Co. (b) |
|
| 28,486 |
|
|
| 516,451 |
|
Willis Towers Watson PLC (b) |
|
| 3,298 |
|
|
| 560,165 |
|
|
|
|
|
|
|
| 7,018,955 |
|
Industrials - 7.17% |
|
|
|
|
|
|
|
|
CH Robinson Worldwide, Inc. (b) |
|
| 9,689 |
|
|
| 641,412 |
|
Expeditors International of Washington, Inc. (b) |
|
| 9,348 |
|
|
| 623,699 |
|
Northrop Grumman Corp. (b) |
|
| 1,966 |
|
|
| 594,813 |
|
Republic Services, Inc. (b) |
|
| 7,009 |
|
|
| 526,096 |
|
Waste Management, Inc. (b) |
|
| 5,624 |
|
|
| 520,557 |
|
|
|
|
|
|
|
| 2,906,577 |
|
Technology - 5.89% |
|
|
|
|
|
|
|
|
Activision Blizzard, Inc. (b) |
|
| 10,825 |
|
|
| 643,871 |
|
Akamai Technologies, Inc. (a) (b) |
|
| 7,170 |
|
|
| 655,983 |
|
Broadcom, Inc. (b) |
|
| 2,388 |
|
|
| 566,195 |
|
Paychex, Inc. (b) |
|
| 8,340 |
|
|
| 524,753 |
|
|
|
|
|
|
|
| 2,390,802 |
|
M3Sixty Funds Trust |
Cognios Market Neutral Large Cap Fund |
Schedules of Investments |
March 31, 2020 (Unaudited) |
|
| Shares |
|
| Fair Value |
| ||
COMMON STOCK - 102.33% |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Utilities - 2.69% |
|
|
|
|
|
|
|
|
NiSource, Inc. (b) |
|
| 22,558 |
|
|
| 563,273 |
|
NRG Energy, Inc. (b) |
|
| 19,418 |
|
|
| 529,335 |
|
|
|
|
|
|
|
| 1,092,608 |
|
|
|
|
|
|
|
|
|
|
TOTAL COMMON STOCK (Cost $48,135,112) |
|
|
|
|
|
| 41,504,506 |
|
|
|
|
|
|
|
|
|
|
SHORT-TERM INVESTMENTS - 2.66% |
|
|
|
|
|
|
|
|
BlackRock Liquidity Funds T-Fund Portfolio - Retail Class, 0.00% (c) |
|
| 1,080,365 |
|
|
| 1,080,365 |
|
|
|
|
|
|
|
|
|
|
TOTAL SHORT-TERM INVESTMENTS (Cost $1,080,365) |
|
|
|
|
|
| 1,080,365 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
TOTAL INVESTMENTS (Cost $49,215,477) - 104.99% |
|
|
|
|
| $ | 42,584,871 |
|
SECURITIES SOLD SHORT (Proceeds $39,932,408) - (86.14%) |
|
|
|
|
|
| (34,937,590 | ) |
OTHER ASSETS IN EXCESS OF LIABILITES, NET - 81.15% |
|
|
|
|
|
| 32,912,834 |
|
NET ASSETS - 100% |
|
|
|
|
| $ | 40,560,115 |
|
Percentages are stated as a percent of net assets.
(a) Non-income producing security
(b) All or a portion of the security is segregated as collateral for securities sold short.
(c) Rate shown represents the 7-day effective yield at March 31, 2020, is subject to change and resets daily.
The following abbreviations are used in this portfolio:
Ltd. - Limited
PLC - Public Limited Company
The accompanying notes are an integral part of these financial statements.
M3Sixty Funds Trust |
Cognios Market Neutral Large Cap Fund |
Schedules of Invesments: Securities Sold Short |
March 31, 2020 (Unaudited) |
|
| Shares |
|
| Fair Value |
| ||
COMMON STOCK - 86.14% |
|
|
|
|
|
| ||
|
|
|
|
|
|
|
|
|
Basic Materials - 4.09% |
|
|
|
|
|
|
|
|
Air Products & Chemicals, Inc. |
|
| 1,249 |
|
| $ | 249,313 |
|
CF Industries Holdings, Inc. |
|
| 7,684 |
|
|
| 209,005 |
|
DuPont de Nemours, Inc. |
|
| 6,704 |
|
|
| 228,606 |
|
Ecolab, Inc. |
|
| 1,445 |
|
|
| 225,174 |
|
International Flavors & Fragrances, Inc. |
|
| 2,300 |
|
|
| 234,784 |
|
Linde PLC |
|
| 1,463 |
|
|
| 253,099 |
|
Newmont Mining Corp. |
|
| 5,703 |
|
|
| 258,232 |
|
|
|
|
|
|
|
| 1,658,213 |
|
Communications - 3.63% |
|
|
|
|
|
|
|
|
Charter Communications, Inc. |
|
| 565 |
|
|
| 246,515 |
|
Comcast Corp. - Class A |
|
| 6,997 |
|
|
| 240,557 |
|
T-Mobile US, Inc. |
|
| 3,175 |
|
|
| 266,382 |
|
Twitter, Inc. |
|
| 8,158 |
|
|
| 200,360 |
|
Verizon Communications, Inc. |
|
| 5,074 |
|
|
| 272,626 |
|
Walt Disney Co. |
|
| 2,529 |
|
|
| 244,301 |
|
|
|
|
|
|
|
| 1,470,741 |
|
Consumer, Cyclical - 4.12% |
|
|
|
|
|
|
|
|
Advance Auto Parts, Inc. |
|
| 2,245 |
|
|
| 209,503 |
|
CarMax, Inc. |
|
| 3,334 |
|
|
| 179,469 |
|
Chipotle Mexican Grill, Inc. |
|
| 391 |
|
|
| 255,870 |
|
DR Horton, Inc. |
|
| 5,034 |
|
|
| 171,156 |
|
Genuine Parts Co. |
|
| 3,346 |
|
|
| 225,286 |
|
Lennar Corp. |
|
| 4,425 |
|
|
| 169,035 |
|
NIKE, Inc. |
|
| 3,188 |
|
|
| 263,775 |
|
Under Armour, Inc. - Class A |
|
| 21,530 |
|
|
| 198,291 |
|
|
|
|
|
|
|
| 1,672,385 |
|
Consumer, Non-cyclical - 25.80% |
|
|
|
|
|
|
|
|
Anthem, Inc. |
|
| 1,021 |
|
|
| 231,808 |
|
Automatic Data Processing, Inc. |
|
| 1,805 |
|
|
| 246,707 |
|
Boston Scientific Corp. |
|
| 7,793 |
|
|
| 254,286 |
|
Brown-Forman Corp. - Class B |
|
| 4,658 |
|
|
| 258,566 |
|
Centene Corp. |
|
| 4,726 |
|
|
| 280,772 |
|
Coca-Cola Co. |
|
| 5,016 |
|
|
| 221,958 |
|
Cooper Cos., Inc. |
|
| 892 |
|
|
| 245,898 |
|
Coty, Inc. |
|
| 32,404 |
|
|
| 167,205 |
|
Danaher Corp. |
|
| 1,917 |
|
|
| 265,332 |
|
DENTSPLY SIRONA, Inc. |
|
| 6,351 |
|
|
| 246,609 |
|
Edwards Lifesciences Corp. |
|
| 1,361 |
|
|
| 256,712 |
|
Eli Lilly & Co. |
|
| 2,085 |
|
|
| 289,231 |
|
Estee Lauder Cos., Inc. |
|
| 1,532 |
|
|
| 244,109 |
|
Global Payments, Inc. |
|
| 1,528 |
|
|
| 220,383 |
|
Henry Schein, Inc. |
|
| 4,885 |
|
|
| 246,790 |
|
Hologic, Inc. |
|
| 6,005 |
|
|
| 210,775 |
|
IDEXX Laboratories, Inc. |
|
| 1,127 |
|
|
| 273,004 |
|
IHS Markit Ltd. |
|
| 3,955 |
|
|
| 237,300 |
|
Illumina, Inc. |
|
| 1,046 |
|
|
| 285,684 |
|
Intuitive Surgical, Inc. |
|
| 506 |
|
|
| 250,576 |
|
IQVIA Holdings, Inc. |
|
| 2,042 |
|
|
| 220,250 |
|
JM Smucker Co. |
|
| 2,625 |
|
|
| 291,375 |
|
Kraft Heinz Co. |
|
| 11,087 |
|
|
| 274,292 |
|
Kroger Co. |
|
| 8,938 |
|
|
| 269,213 |
|
MarketAxess Holdings, Inc. |
|
| 775 |
|
|
| 257,742 |
|
Medtronic PLC |
|
| 2,882 |
|
|
| 259,899 |
|
Merck & Co., Inc. |
|
| 3,558 |
|
|
| 273,753 |
|
Mondelez International, Inc. - Class A |
|
| 5,097 |
|
|
| 255,258 |
|
Monster Beverage Corp. |
|
| 4,234 |
|
|
| 238,205 |
|
M3Sixty Funds Trust |
Cognios Market Neutral Large Cap Fund |
Schedules of Invesments: Securities Sold Short |
March 31, 2020 (Unaudited) |
|
| Shares |
|
| Fair Value |
| ||
COMMON STOCK - 86.14% |
|
|
|
|
|
| ||
|
|
|
|
|
|
|
|
|
PayPal Holdings, Inc. |
|
| 2,539 |
|
|
| 243,084 |
|
Pfizer, Inc. |
|
| 8,138 |
|
|
| 265,624 |
|
Quanta Services, Inc. |
|
| 7,337 |
|
|
| 232,803 |
|
ResMed, Inc. |
|
| 1,691 |
|
|
| 249,067 |
|
Rollins, Inc. |
|
| 7,211 |
|
|
| 260,606 |
|
S&P Global, Inc. |
|
| 1,013 |
|
|
| 248,236 |
|
STERIS PLC |
|
| 1,792 |
|
|
| 250,826 |
|
Stryker Corp. |
|
| 1,517 |
|
|
| 252,565 |
|
Teleflex, Inc. |
|
| 846 |
|
|
| 247,760 |
|
Varian Medical Systems, Inc. |
|
| 2,268 |
|
|
| 232,833 |
|
Verisk Analytics, Inc. |
|
| 1,744 |
|
|
| 243,079 |
|
Zimmer Biomet Holdings, Inc. |
|
| 2,194 |
|
|
| 221,770 |
|
Zoetis, Inc. |
|
| 2,059 |
|
|
| 242,324 |
|
|
|
|
|
|
|
| 10,464,269 |
|
Energy - 2.06% |
|
|
|
|
|
|
|
|
Chevron Corp. |
|
| 2,986 |
|
|
| 216,366 |
|
Exxon Mobil Corp. |
|
| 5,792 |
|
|
| 219,922 |
|
Kinder Morgan, Inc. |
|
| 14,541 |
|
|
| 202,411 |
|
Occidental Petroleum Corp. |
|
| 9,037 |
|
|
| 104,648 |
|
ONEOK, Inc. |
|
| 4,164 |
|
|
| 90,817 |
|
|
|
|
|
|
|
| 834,164 |
|
Financials - 19.95% |
|
|
|
|
|
|
|
|
Alexandria Real Estate Equities, Inc. |
|
| 1,801 |
|
|
| 246,845 |
|
American Express Co. |
|
| 2,602 |
|
|
| 222,757 |
|
American Tower Corp. |
|
| 1,165 |
|
|
| 253,679 |
|
Aon PLC |
|
| 1,321 |
|
|
| 218,018 |
|
Apartment Investment & Management Co. |
|
| 5,749 |
|
|
| 202,077 |
|
Assurant, Inc. |
|
| 2,367 |
|
|
| 246,381 |
|
AvalonBay Communities, Inc. |
|
| 1,346 |
|
|
| 198,091 |
|
Boston Properties, Inc. |
|
| 2,120 |
|
|
| 195,528 |
|
Cboe Global Markets, Inc. |
|
| 2,460 |
|
|
| 219,555 |
|
Chubb Ltd. |
|
| 1,974 |
|
|
| 220,476 |
|
CME Group, Inc. |
|
| 1,314 |
|
|
| 227,204 |
|
Crown Castle International Corp. |
|
| 1,783 |
|
|
| 257,465 |
|
Digital Realty Trust, Inc. |
|
| 2,175 |
|
|
| 302,129 |
|
Duke Realty Corp. |
|
| 8,256 |
|
|
| 267,329 |
|
Equinix, Inc. |
|
| 462 |
|
|
| 288,551 |
|
Equity Residential |
|
| 3,614 |
|
|
| 223,020 |
|
Essex Property Trust, Inc. |
|
| 967 |
|
|
| 212,972 |
|
Extra Space Storage, Inc. |
|
| 2,644 |
|
|
| 253,189 |
|
Federal Realty Investment Trust |
|
| 2,413 |
|
|
| 180,034 |
|
First Republic Bank |
|
| 2,873 |
|
|
| 236,390 |
|
Healthpeak Properties, Inc. |
|
| 8,448 |
|
|
| 201,485 |
|
Iron Mountain, Inc. |
|
| 9,010 |
|
|
| 214,438 |
|
Kimco Realty Corp. |
|
| 16,116 |
|
|
| 155,842 |
|
Loews Corp. |
|
| 6,206 |
|
|
| 216,155 |
|
Mastercard, Inc. - Class A |
|
| 979 |
|
|
| 236,487 |
|
Mid-America Apartment Communities, Inc. |
|
| 2,011 |
|
|
| 207,193 |
|
Prologis, Inc. |
|
| 3,165 |
|
|
| 254,371 |
|
Realty Income Corp. |
|
| 3,745 |
|
|
| 186,726 |
|
Regency Centers Corp. |
|
| 4,775 |
|
|
| 183,503 |
|
SBA Communications Corp. |
|
| 959 |
|
|
| 258,901 |
|
M3Sixty Funds Trust |
Cognios Market Neutral Large Cap Fund |
Schedules of Invesments: Securities Sold Short |
March 31, 2020 (Unaudited) |
|
| Shares |
|
| Fair Value |
| ||
COMMON STOCK - 86.14% |
|
|
|
|
|
| ||
|
|
|
|
|
|
|
|
|
Simon Property Group, Inc. |
|
| 2,398 |
|
|
| 131,554 |
|
Travelers Cos., Inc. |
|
| 2,252 |
|
|
| 223,736 |
|
UDR, Inc. |
|
| 5,942 |
|
|
| 217,121 |
|
Ventas, Inc. |
|
| 5,519 |
|
|
| 147,909 |
|
Vornado Realty Trust |
|
| 5,291 |
|
|
| 191,587 |
|
Welltower, Inc. |
|
| 3,706 |
|
|
| 169,661 |
|
WR Berkley Corp. |
|
| 4,300 |
|
|
| 224,331 |
|
|
|
|
|
|
|
| 8,092,690 |
|
Industrials - 6.88% |
|
|
|
|
|
|
|
|
Amcor PLC |
|
| 30,363 |
|
|
| 246,548 |
|
Ball Corp. |
|
| 3,764 |
|
|
| 243,380 |
|
Deere & Co. |
|
| 1,802 |
|
|
| 248,964 |
|
Jacobs Engineering Group, Inc. |
|
| 2,906 |
|
|
| 230,359 |
|
Johnson Controls International PLC |
|
| 7,431 |
|
|
| 200,340 |
|
Kansas City Southern |
|
| 1,867 |
|
|
| 237,445 |
|
Keysight Technologies, Inc. |
|
| 2,974 |
|
|
| 248,864 |
|
L3Harris Technologies, Inc. |
|
| 1,395 |
|
|
| 251,267 |
|
Martin Marietta Materials, Inc. |
|
| 1,183 |
|
|
| 223,859 |
|
Roper Technologies, Inc. |
|
| 799 |
|
|
| 249,136 |
|
TransDigm Group, Inc. |
|
| 525 |
|
|
| 168,100 |
|
Vulcan Materials Co. |
|
| 2,228 |
|
|
| 240,780 |
|
|
|
|
|
|
|
| 2,789,042 |
|
Technology - 5.01% |
|
|
|
|
|
|
|
|
Adobe, Inc. |
|
| 811 |
|
|
| 258,093 |
|
Broadridge Financial Solutions, Inc. |
|
| 2,810 |
|
|
| 266,472 |
|
Fidelity National Information Services, Inc. |
|
| 1,976 |
|
|
| 240,361 |
|
Fiserv, Inc. |
|
| 2,619 |
|
|
| 248,779 |
|
Intuit, Inc. |
|
| 1,014 |
|
|
| 233,220 |
|
Jack Henry & Associates, Inc. |
|
| 1,762 |
|
|
| 273,533 |
|
MSCI, Inc. |
|
| 936 |
|
|
| 270,467 |
|
salesforce.com, Inc. |
|
| 1,680 |
|
|
| 241,886 |
|
|
|
|
|
|
|
| 2,032,811 |
|
Utilities - 14.60% |
|
|
|
|
|
|
|
|
Alliant Energy Corp. |
|
| 5,059 |
|
|
| 244,299 |
|
Ameren Corp. |
|
| 3,371 |
|
|
| 245,510 |
|
American Electric Power Co., Inc. |
|
| 2,925 |
|
|
| 233,941 |
|
American Water Works Co., Inc. |
|
| 2,092 |
|
|
| 250,120 |
|
Atmos Energy Corp. |
|
| 2,614 |
|
|
| 259,387 |
|
CenterPoint Energy, Inc. |
|
| 12,573 |
|
|
| 194,253 |
|
CMS Energy Corp. |
|
| 4,265 |
|
|
| 250,569 |
|
Consolidated Edison, Inc. |
|
| 3,325 |
|
|
| 259,350 |
|
Dominion Energy, Inc. |
|
| 3,305 |
|
|
| 238,588 |
|
DTE Energy Co. |
|
| 2,502 |
|
|
| 237,615 |
|
Duke Energy Corp. |
|
| 2,892 |
|
|
| 233,905 |
|
Edison International |
|
| 4,133 |
|
|
| 226,447 |
|
Entergy Corp. |
|
| 2,288 |
|
|
| 215,003 |
|
Evergy, Inc. |
|
| 4,032 |
|
|
| 221,962 |
|
Eversource Energy |
|
| 2,971 |
|
|
| 232,362 |
|
Exelon Corp. |
|
| 6,344 |
|
|
| 233,523 |
|
FirstEnergy Corp. |
|
| 6,073 |
|
|
| 243,345 |
|
NextEra Energy, Inc. |
|
| 1,050 |
|
|
| 252,651 |
|
Pinnacle West Capital Corp. |
|
| 2,935 |
|
|
| 222,444 |
|
M3Sixty Funds Trust |
Cognios Market Neutral Large Cap Fund |
Schedules of Invesments: Securities Sold Short |
March 31, 2020 (Unaudited) |
|
| Shares |
|
| Fair Value |
| ||
COMMON STOCK - 86.14% |
|
|
|
|
|
| ||
|
|
|
|
|
|
|
|
|
PPL Corp. |
|
| 9,210 |
|
|
| 227,303 |
|
Public Service Enterprise Group, Inc. |
|
| 5,326 |
|
|
| 239,191 |
|
Sempra Energy |
|
| 2,030 |
|
|
| 229,370 |
|
Southern Co. |
|
| 4,274 |
|
|
| 231,394 |
|
WEC Energy Group, Inc. |
|
| 2,802 |
|
|
| 246,940 |
|
Xcel Energy, Inc. |
|
| 4,209 |
|
|
| 253,803 |
|
|
|
|
|
|
|
| 5,923,275 |
|
|
|
|
|
|
|
|
|
|
TOTAL COMMON STOCK (Proceeds $39,932,408) |
|
|
|
|
|
| 34,937,590 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
TOTAL SECURITIES SOLD SHORT (Proceeds $39,932,408) |
|
|
|
|
| $ | 34,937,590 |
|
Percentages are stated as a percent of net assets.
(a) Non-income producing security
The following abbreviations are used in this portfolio:
Ltd. - Limited
PLC - Public Limited Company
The accompanying notes are an integral part of these financial statements.
M3Sixty Funds Trust |
|
|
|
|
F/m Investments Large Cap Focused Fund |
| |||
Schedule of Investments |
|
|
|
|
March 31, 2020 (Unaudited) |
|
|
|
|
|
| Shares |
|
| Fair Value |
| ||
COMMON STOCK - 98.19% |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Communications - 14.03% |
|
|
|
|
|
|
|
|
Alphabet, Inc. - Class A (a) |
|
| 943 |
|
| $ | 1,095,719 |
|
Amazon.com, Inc. (a) |
|
| 1,465 |
|
|
| 2,856,340 |
|
AT&T, Inc. |
|
| 30,991 |
|
|
| 903,388 |
|
Charter Communications, Inc. |
|
| 1,943 |
|
|
| 847,750 |
|
|
|
|
|
|
|
| 5,703,197 |
|
Consumer, Cyclical - 6.06% |
|
|
|
|
|
|
|
|
NIKE, Inc. |
|
| 9,993 |
|
|
| 826,821 |
|
Tesla, Inc. |
|
| 1,381 |
|
|
| 723,644 |
|
TJX Cos., Inc. |
|
| 19,059 |
|
|
| 911,211 |
|
|
|
|
|
|
|
| 2,461,676 |
|
Consumer, Non-cyclical - 17.67% |
|
|
|
|
|
|
|
|
Avery Dennison Corp. |
|
| 5,020 |
|
|
| 511,387 |
|
Boston Scientific Corp. |
|
| 23,270 |
|
|
| 759,300 |
|
Coca-Cola Co. |
|
| 19,426 |
|
|
| 859,601 |
|
Exact Sciences Corp. (a) |
|
| 18,102 |
|
|
| 1,049,916 |
|
Intuitive Surgical, Inc. |
|
| 1,859 |
|
|
| 920,595 |
|
Medtronic PLC |
|
| 7,730 |
|
|
| 697,091 |
|
Procter & Gamble Co. |
|
| 11,628 |
|
|
| 1,279,080 |
|
Thermo Fisher Scientific, Inc. |
|
| 3,894 |
|
|
| 1,104,338 |
|
|
|
|
|
|
|
| 7,181,308 |
|
Financials - 3.36% |
|
|
|
|
|
|
|
|
Goldman Sachs Group, Inc. |
|
| 4,905 |
|
|
| 758,264 |
|
Morgan Stanley |
|
| 17,879 |
|
|
| 607,886 |
|
|
|
|
|
|
|
| 1,366,150 |
|
Industrials - 6.43% |
|
|
|
|
|
|
|
|
Keysight Technologies, Inc. (a) |
|
| 11,400 |
|
|
| 953,952 |
|
Lockheed Martin Corp. |
|
| 2,082 |
|
|
| 705,694 |
|
TransDigm Group, Inc. |
|
| 2,981 |
|
|
| 954,486 |
|
|
|
|
|
|
|
| 2,614,132 |
|
Technology - 50.64% |
|
|
|
|
|
|
|
|
Adobe, Inc. (a) |
|
| 5,167 |
|
|
| 1,644,346 |
|
Advanced Micro Devices, Inc. (a) |
|
| 59,006 |
|
|
| 2,683,593 |
|
Apple, Inc. |
|
| 13,161 |
|
|
| 3,346,711 |
|
DocuSign, Inc. |
|
| 15,031 |
|
|
| 1,388,864 |
|
Fiserv, Inc. (a) |
|
| 9,491 |
|
|
| 901,550 |
|
Lam Research Corp. |
|
| 2,817 |
|
|
| 676,080 |
|
Micron Technology, Inc. |
|
| 22,281 |
|
|
| 937,139 |
|
Microsoft Corp. |
|
| 25,040 |
|
|
| 3,949,058 |
|
NVIDIA Corp. |
|
| 5,240 |
|
|
| 1,381,264 |
|
RingCentral, Inc. |
|
| 9,403 |
|
|
| 1,992,590 |
|
Splunk, Inc. (a) |
|
| 13,303 |
|
|
| 1,679,238 |
|
|
|
|
|
|
|
| 20,580,433 |
|
|
|
|
|
|
|
|
|
|
TOTAL COMMON STOCK (Cost $38,489,456) |
|
|
|
|
|
| 39,906,896 |
|
|
|
|
|
|
|
|
|
|
TOTAL INVESTMENTS (Cost $38,489,456) - 98.19% |
|
|
|
|
| $ | 39,906,896 |
|
OTHER ASSETS IN EXCESS OF LIABILITIES, NET - 1.81% |
|
|
|
|
|
| 736,358 |
|
NET ASSETS - 100% |
|
|
|
|
| $ | 40,643,254 |
|
Percentages are stated as a percent of net assets.
(a) Non-income producing security
The following abbreviations are used in this portfolio:
ADR - American Depositary Receipt
PLC - Public Limited Company
The accompanying notes are an integral part of these financial statements.
M3Sixty Funds Trust
Notes to the Schedules of Investments
March 31, 2020 (Unaudited)
The following is a summary of the significant accounting policies followed by the Cognios Large Cap Value Fund (the “Value Fund”), the Cognios Market Neutral Large Cap Fund (the “Market Neutral Fund”) and the F/m Investments Large Cap Focused Fund (the “Focused Fund”) (formerly, the Cognios Large Cap Growth Fund) and, (collectively, the “Funds”) in the preparation of their financial statements. The policies are in conformity with accounting principles generally accepted in the United States of America (“GAAP”). The Funds are investment companies that follow the accounting and reporting guidance of Accounting Standards Codification Topic 946 applicable to investment companies. Each Fund is a series of the M3Sixty Funds Trust.
Processes and Structure
The Funds’ Board of Trustees has adopted guidelines for valuing securities and other derivative instruments including in circumstances in which market quotes are not readily available, and has delegated authority to the Adviser to apply those guidelines in determining fair value prices, subject to review by the Board of Trustees.
Hierarchy of Fair Value Inputs
The Funds utilize various methods to measure the fair value of most of their investments on a recurring basis. GAAP establishes a hierarchy that prioritizes inputs to valuation techniques used to measure fair value. The three levels of inputs are as follows:
● | Level 1 – Unadjusted quoted prices in active markets for identical assets or liabilities that the Funds have the ability to access. |
● | Level 2 – Observable inputs other than quoted prices included in Level 1 that are observable for the asset or liability either directly or indirectly. These inputs may include quoted prices for the identical instrument on an inactive market, prices for similar instruments, interest rates, prepayment speeds, credit risk, yield curves, default rates, and similar data. |
● | Level 3 – Unobservable inputs for the asset or liability to the extent that relevant observable inputs are not available, representing the Funds’ own assumptions about the assumptions that a market participant would use in valuing the asset or liability, and that would be based on the best information available. |
The availability of observable inputs can vary from security to security and is affected by a wide variety of factors, including, for example, the type of security, whether the security is new and not yet established in the marketplace, the liquidity of markets, and other characteristics particular to the security. To the extent that valuation is based on models or inputs that are less observable or unobservable in the market, the determination of fair value requires more judgment. Accordingly, the degree of judgment exercised in determining fair value is greatest for instruments categorized in Level 3.
The inputs used to measure fair value may fall into different levels of the fair value hierarchy. In such cases, for disclosure purposes, the level in the fair value hierarchy within which the fair value measurement falls in its entirety is determined based on the lowest level input that is significant to the fair value measurement in its entirety.
Fair Value Measurements
A description of the valuation techniques applied to the Funds’ major categories of assets and liabilities measured at fair value on a recurring basis follows.
Equity securities (common stock) – Securities traded on a national securities exchange (or reported on the NASDAQ national market) are stated at the last reported sales price on the day of valuation. To the extent these securities are actively traded, and valuation adjustments are not applied, they are categorized in Level 1 of the fair value hierarchy. Certain foreign securities may be fair valued using a pricing service that considers the correlation of the trading patterns of the foreign security to the intraday trading in the U.S. markets for investments such as American Depositary Receipts, financial futures, Exchange Traded Funds, and the movement of the certain indexes of securities based on a statistical analysis of the historical relationship and that are categorized in Level 2. Preferred stock and other equities traded on inactive markets or valued by reference to similar instruments are also categorized in Level 2.
Money market funds – Money market funds are valued at their net asset value of $1.00 per share and are categorized as Level 1.
M3Sixty Funds Trust
Notes to the Schedules of Investments
March 31, 2020 (Unaudited)
The following table summarizes the inputs used to value the Funds’ assets and liabilities measured at fair value as of March 31, 2020:
Categories (a) |
|
| Level 1 |
|
|
| Level 2 |
|
|
| Level 3 |
|
|
| Total |
|
Value Fund: |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Common Stock (b) |
| $ | 29,648,848 |
|
|
| — |
|
|
| — |
|
| $ | 29,648,848 |
|
Total Investments in Securities |
| $ | 29,648,848 |
|
|
| — |
|
|
| — |
|
| $ | 29,648,848 |
|
Market Neutral Fund: Assets: |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Common Stock (b) |
| $ | 41,504,506 |
|
|
| — |
|
|
| — |
|
| $ | 41,504,506 |
|
Short-Term Investments |
|
| 1,080,365 |
|
|
| — |
|
|
| — |
|
|
| 1,080,365 |
|
Total Investments in Securities |
| $ | 42,584,871 |
|
|
| — |
|
|
| — |
|
| $ | 42,584,871 |
|
Liabilities: |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Common Stock (b) |
| $ | 34,937,590 |
|
|
| — |
|
|
| — |
|
| $ | 34,937,590 |
|
Total Securities Sold Short (b) |
| $ | 34,937,590 |
|
|
| — |
|
|
| — |
|
| $ | 34,937,590 |
|
Focused Fund: |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Common Stock (b) |
| $ | 39,906,896 |
|
|
| — |
|
|
| — |
|
| $ | 39,906,896 |
|
Total Investments in Securities |
| $ | 39,906,896 |
|
|
| — |
|
|
| — |
|
| $ | 39,906,896 |
|
(a) As of and during the nine month period ended March 31, 2020, the Funds held no securities that were considered to be “Level 3” securities (those valued using significant unobservable inputs). Therefore, a reconciliation of assets in which significant unobservable inputs (Level 3) were used in determining fair value is not applicable.
(b) All common stock held in the Funds are Level 1 securities. For a detailed break-out of common stock by industry, please refer to the Schedules of Investments.
The Funds recognize transfers, if any, between fair value hierarchy levels at the reporting period end. There were no transfers between levels during the nine month period ended March 31, 2020.
Non-Diversified Funds
The Focused Fund is a non-diversified Fund. Non-diversified Funds may or may not have a diversified portfolio of investments at any given time, and may have large amounts of assets invested in a very small number of companies, industries or securities. Such lack of diversification substantially increases market risks and the risk of loss associated with an investment in the Focused Fund, because the value of each security will have a greater impact on the Focused Fund’s performance and the value of each shareholder’s investment. When the value of a security in a non-diversified fund falls, it may have a greater impact on the Focused Fund than it would have in a diversified fund.
Short Sales
The Market Neutral Fund may make short sales of securities consistent with its strategies. A short sale is a transaction in which the Fund sells a security it does not own in anticipation that the market price of that security will decline.
When the Market Neutral Fund makes a short sale, it must borrow the security sold short and deliver a security equal in value to the security sold short to the broker-dealer through which it made the short sale as collateral for its obligation to deliver the security upon conclusion of the sale. The Market Neutral Fund may have to pay a fee to borrow particular securities and is often obligated to pay over any accrued interest and dividends on such borrowed securities.
If the price of the security sold short increases between the time of the short sale and the time that the Market Neutral Fund replaces the borrowed security, the Market Neutral Fund will incur a loss; conversely, if the price declines, the Market Neutral Fund will realize a capital gain. Any gain will be decreased, and any loss increased, by the transaction costs described above. The successful use of short selling may be adversely affected by imperfect correlation between movements in the price of the security sold short and the securities being hedged.
M3Sixty Funds Trust
Notes to the Schedules of Investments
March 31, 2020 (Unaudited)
To the extent that the Market Neutral Fund engages in short sales, it will provide collateral to the broker-dealer and (except in the case of short sales “against the box”) will maintain additional asset coverage in the form of segregated or “earmarked” assets that the Adviser determines to be liquid in accordance with procedures established by the Board and that is equal to the current market value of the securities sold short until the Market Neutral Fund replaces the borrowed security. A short sale is “against the box” to the extent that the Market Neutral Fund contemporaneously owns, or has the right to obtain at no added cost, securities identical to those sold short. The Market Neutral Fund may engage in short selling to the extent permitted by the federal securities laws and rules and interpretations thereunder. To the extent the Market Neutral Fund engages in short selling in foreign (non-U.S.) jurisdictions, the Market Neutral Fund will do so to the extent permitted by the laws and regulations of such jurisdiction.
Tax Matters
For U.S. Federal income tax purposes, the cost of securities owned, gross appreciation, gross depreciation, and net unrealized appreciation/(depreciation) of investments at March 31, 2020 were as follows:
Fund |
| Tax Cost |
|
| Gross Unrealized Appreciation |
|
| Gross Unrealized Depreciation |
|
| Net Unrealized |
| ||||
Value Fund |
| $ | 35,556,920 |
|
| $ | 1,273,398 |
|
| $ | (7,181,470 | ) |
| $ | (5,908,072 | ) |
Market Neutral Fund |
|
| 12,464,339 |
|
| $ | 8,308,330 |
|
| $ | (13,125,388 | ) |
|
| $ (4,817,058 | ) |
Focused Fund |
|
| 38,554,221 |
|
|
| 5,056,205 |
|
|
| (3,703,530 | ) |
|
| 1,352,675 |
|
The difference between book basis unrealized appreciation and tax-basis unrealized appreciation for the Funds is attributable primarily to the tax deferral of losses on wash sales and the tax treatment of the cost of securities received as in-kind subscriptions.
