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 811-23066
Northern Lights Fund Trust IV
(Exact name of registrant as specified in charter)
225 Pictoria Drive, Suite 450, Cincinnati, OH 45246
(Address of principal executive offices) (Zip code)
Wendy Wang, Ultimus Fund Solutions, LLC
4221 North 203rd Street, Suite 100, Elkhorn, NE 68022
(Name and address of agent for service)
Registrant's telephone number, including area code: 631-470-2612
Date of fiscal year end: 6/30
Date of reporting period: 12/31/23
Item 1. Reports to Stockholders.
Fulcrum Diversified Absolute Return Fund |
Super Institutional Class | FARYX |
Institutional Class | FARIX |
a series of Northern Lights Fund Trust IV |
Semi-Annual Report |
December 31, 2023 |
855-538-5278 |
www.fulcrumassetfunds.com |
fulcrumfunds@ultimusfundsolutions.com |
This report and the financial statements contained herein are submitted for the general information of shareholders and are not authorized for distribution to prospective investors unless preceded or accompanied by an effective prospectus. Nothing herein contained is to be considered an offer of sale or solicitation of an offer to buy shares of the Fulcrum Diversified Absolute Return Fund. Such offering is made only by prospectus, which includes details as to offering price and other material information. |
Distributed by Northern Lights Distributors, LLC. |
Member FINRA |
Market conditions/environment July 1, 2023 to December 31, 2023
The second half of the year began well for risk assets, as significant declines in developed markets’ inflation and strong US economic data boosted equity valuations in July. However, the improving market sentiment was short lived, as talk of higher-for-longer rates by the US Federal Reserve (the “Fed”) combined with a surge in energy prices, led to a sell-off in bonds primarily at the long-end of the curve, with US 10-year real yields hitting their highest since 2007. Amidst this backdrop, both global equities (-2.3%1) and bonds (-3.6%2) fell together, and the US dollar strengthened (+3.2%3).
Energy prices, which had been rising steadily through Q3 on signs of an increasingly tight global oil market, really accelerated at the beginning of September as Saudi Arabia and Russia announced coordinated extension of production cuts, finishing the quarter up (+18.0%4). In contrast, the climb in real interest rates throughout the quarter weighed on the attractiveness of precious metals, which declined (-3.8%5).
Elsewhere in the world, both the Bank of England and European Central Bank signaled that monetary policy was reaching sufficiently tight levels. Meanwhile, the Bank of Japan opted to keep its policy of yield curve control in place. China continued to see instability in its housing market. Whilst there were signs of a pick-up in activity and improving manufacturing surveys and retail sales improving through the quarter, equity markets also registered a second consecutive negative quarter (-4.1%6).
The downward pressure on markets continued into the start of the fourth quarter, now with the additional dynamic of increased political risk following the outbreak of conflict in the Middle East and an initial spike in the oil price. But November was the pivotal moment for market sentiment over the entire period, as the Fed’s preferred inflation measure – the core Personal Consumption Expenditure (PCE) index – posted its slowest pace of growth in over two years. This, combined with dovish guidance from Fed officials, led to a widespread perception of easier monetary policy going forward, both in the US and abroad.
Global equities benefited from the improvement in risk sentiment and came roaring back, recovering all their Q3-23 losses and finishing H2-23 firmly up (+7.2%). Bonds also registered a strong gain in H2-23 (+4.2%), having seen their sharpest rally in 40 years in November. This was all aided by the sharp fall in energy prices (-19.3% BCOM Energy BCOMEN Index) in the final quarter, driven by fears of weak oil demand and now possible oversupply; energy prices finished H2-23 down (-4.7%). Precious metals also surged in Q4-23 (+11.0%) amid the sharp fall in real interest rates, more than erasing earlier losses and finishing H2-23 in positive territory (+6.8%). The US dollar slumped (-4.6%), wiping out gains in H2-23.
1 | MSCI World Gross Total Return Local Index (Bloomberg Ticker: GDDLWI Index) |
2 | Bloomberg Global-Aggregate Total Return Index Unhedged USD (Bloomberg Ticker: LEGATRUU Index) |
3 | ICE US Dollar Index (Bloomberg Ticker: DXY Curncy) |
4 | Bloomberg Energy Sub-index (Bloomberg Ticker: BCOMEN Index) |
5 | S&P GSCI Precious Metals Index Total Return (Bloomberg Ticker: SPGSPMTR Index) |
6 | Hang Seng Index Total Return (Bloomberg Ticker : HSI 1 Index) |
1
Despite the resurgence in global risk appetite, Chinese economic activity remained subdued with limited stimulus measures, and saw further declines with their equity market finishing down in H2-23 (-7.6%).
Fund Performance for the period ended December 31, 2023
From July 1, 2023 to December 31, 2023, Fulcrum Diversified Absolute Return Institutional Class shares returned +2.87%.
After a challenging first half in 2023, where the Fund’s defensive posture in hindsight was held for too long, the second half was much stronger and driven by both the Fund’s discretionary macro strategy and dynamic asset allocation strategy. Diversifying strategies, which contributed in the first half of the year, detracted in the second half, similar to most trend following strategies as long established trends reversed sharply in the final two months of the year, notably in bonds.
Discretionary macro gains were broadly spread across fixed income, currencies, commodities, thematic equities, and volatility views. As the Fund carefully emerged from the first half drawdown at reduced risk levels, it started to increase risk in September and caught the key pivot in the final quarter as markets started pricing in a soft-landing scenario, amidst softening inflation, more dovish central banks and firm enough growth.
Dynamic asset allocation also participated in the recovery in risk assets and notably North American equities. Bonds were a smaller contributor as the Fund remains underweight, with the highly inverted yield curve dampening the attractiveness vis-à-vis cash, whilst commodities were a minor drag.
Concluding, we remain focused on building a portfolio that seeks to deliver returns in the broadest range of market environments, all with low correlation to traditional assets. This we believe will benefit allocators by seeking to provide a material real return above inflation while at the same time not adding to their equity and fixed income risks. Relying upon duration as the only diversifier in a portfolio might not work as well going forward as it has in previous decades, as central banks continue to balance their need to combat inflationary forces whilst promoting growth, all of which is exacerbated by growing global debt levels.
17840289-NLD-01302024
2
Fulcrum Diversified Absolute Return Fund
PORTFOLIO REVIEW (Unaudited)
December 31, 2023
The Fund’s performance figures* for the periods ended December 31, 2023, as compared to its benchmark:
Average Annual | |||||
Since Inception | |||||
Six Months | One Year | Three Year | Five Year | (7/31/15) | |
Fulcrum Diversified Absolute Return Fund Super Institutional Class | 2.94% | 0.79% | 2.42% | 4.76% | 2.55% |
Fulcrum Diversified Absolute Return Fund Institutional Class | 2.87% | 0.71% | 2.32% | 4.67% | 2.48% |
BofA Merrill Lynch 3-Month US Treasury Bill Index** | 2.71% | 5.04% | 2.17% | 1.89% | 1.49% |
* | The performance data quoted here represents past performance. Current performance may be lower or higher than the performance data quoted above. Past performance is no guarantee of future results. The investment return and principal value of an investment will fluctuate so that an investor’s shares, when redeemed, may be worth more or less than their original cost. The returns shown do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or on the redemption of Fund shares. Performance figures for periods greater than one year are annualized. Fulcrum Asset Management LLP (the “Advisor”) has contractually agreed to waive a portion or all of its management fees and pay Fund expenses (excluding (i) any front-end or contingent deferred loads; (ii) brokerage fees and commissions, (iii) acquired fund fees and expenses; (iv) fees and expenses associated with investments in other collective investment vehicles or derivative instruments (including for example option and swap fees and expenses); (v) borrowing costs (such as interest and dividend expense on securities sold short); (vi) taxes; and (vii) extraordinary expenses, such as litigation expenses (which may include indemnification of Fund officers and Trustees, contractual indemnification of Fund service providers (other than the Advisor))) in order to limit the annual fund operating expenses to 1.05% of the average daily net assets of each of the Super Institutional Class and Institutional Class shares. The returns would have been lower had the Advisor not waived its fees or reimbursed a portion of the Fund’s expenses. The Fund’s total annual fund operating expense ratios, gross of fee waivers or expense reimbursements are 1.30% and 1.40% for Super Institutional Class Shares and Institutional Class Shares, respectively, per the October 30, 2023 prospectus. For performance information current to the most recent month-end, please call toll-free 1-855-538-5278. |
** | The BofA Merrill Lynch 3-Month US Treasury Bill Index is comprised of a single issue purchased at the beginning of the month and held for a full month. At the end of the month that issue is sold and rolled in a newly selected issue. The issue selected at each month-end rebalancing is the outstanding Treasury Bill that matures closest to, but not beyond, three months from the rebalancing date. To qualify for selection, an issue must have settled on or before the month-end rebalancing date. Investors cannot invest directly in an index or benchmark. |
Summary of Holdings as of December 31, 2023
Asset Class | % of Net Assets | Country | % of Total Market Value | |||||||
U.S. Treasury Bills | 48.8 | % | United States | 93.9 | % | |||||
Common Stocks | 15.7 | % | Canada | 1.3 | % | |||||
Future Options Purchased | 0.5 | % | Japan | 0.6 | % | |||||
Currency Options Purchased | 0.4 | % | Great Britan | 0.5 | % | |||||
Binary Options Purchased | 0.4 | % | Spain | 0.4 | % | |||||
Exchange-Traded Equity Fund | 0.3 | % | Ireland | 0.4 | % | |||||
Correlation Options Purchased | 0.2 | % | China | 0.4 | % | |||||
Index Options Purchased^ | 0.0 | % | France | 0.3 | % | |||||
Equity Options Purchased^ | 0.0 | % | Germany | 0.3 | % | |||||
Other Assets and Liabilities - Net | 33.7 | % | Other | 1.9 | % | |||||
100.0 | % | Total | 100.0 | % |
Please refer to the Consolidated Schedule of Investments in this Semi-Annual Report for a listing of the Fund’s holdings. Derivative exposure is included in “Other Assets and Liabilities - Net.”
^ | Less than 0.005%. |
3
FULCRUM DIVERSIFIED ABSOLUTE RETURN FUND |
CONSOLIDATED SCHEDULE OF INVESTMENTS (Unaudited) |
December 31, 2023 |
Shares | Fair Value | |||||||
COMMON STOCKS — 15.7% | ||||||||
ADVERTISING & MARKETING - 0.0%(a) | ||||||||
47 | Omnicom Group, Inc. | $ | 4,066 | |||||
AEROSPACE & DEFENSE - 0.1% | ||||||||
31 | AeroVironment, Inc.(b) | 3,907 | ||||||
20 | Dassault Aviation S/A(c) | 3,957 | ||||||
1,513 | Saab A.B. (c) | 91,163 | ||||||
24 | Teledyne Technologies, Inc.(b) | 10,711 | ||||||
109,738 | ||||||||
APPAREL & TEXTILE PRODUCTS - 0.1% | ||||||||
22 | adidas A.G.(c) | 4,473 | ||||||
123 | Gildan Activewear, Inc. (c) | 4,068 | ||||||
38 | Hermes International(c) | 80,497 | ||||||
164 | LVMH Moet Hennessy Louis Vuitton S.E.(c) | 132,823 | ||||||
276 | NIKE, Inc., Class B | 29,965 | ||||||
251,826 | ||||||||
ASSET MANAGEMENT - 0.2% | ||||||||
1,774 | Apollo Global Management, Inc. | 165,319 | ||||||
121 | BlackRock, Inc. | 98,228 | ||||||
2,311 | EQT AB(c) | 65,314 | ||||||
51 | Groupe Bruxelles Lambert S/A (c) | 4,010 | ||||||
187 | Intermediate Capital Group PLC(c) | 4,006 | ||||||
336,877 | ||||||||
AUTOMOTIVE - 0.2% | ||||||||
1,187 | NGK Spark Plug Company Ltd.(c) | 28,196 | ||||||
322 | Rheinmetall A.G. (c) | 102,025 | ||||||
765 | Tesla, Inc.(b) | 190,087 | ||||||
320,308 | ||||||||
BANKING - 0.4% | ||||||||
41,243 | Banco Santander S/A(c) | 172,088 | ||||||
2,432 | Bank of America Corporation | 81,884 | ||||||
2,918 | Bank of Ireland Group PLC(c) | 26,474 | ||||||
99 | BNP Paribas S/A(c) | 6,841 | ||||||
975 | CaixaBank S/A (c) | 4,011 | ||||||
585 | Commonwealth Bank of Australia(c) | 44,577 |
See accompanying notes to consolidated financial statements.
4
FULCRUM DIVERSIFIED ABSOLUTE RETURN FUND |
CONSOLIDATED SCHEDULE OF INVESTMENTS (Unaudited) |
December 31, 2023 |
Shares | Fair Value | |||||||
COMMON STOCKS — 15.7% (Continued) | ||||||||
BANKING - 0.4% (Continued) | ||||||||
4,376 | HSBC Holdings PLC(c) | $ | 35,452 | |||||
3,536 | Intesa Sanpaolo SpA(c) | 10,320 | ||||||
1,857 | JPMorgan Chase & Company | 315,875 | ||||||
62 | KBC Group N.V.(c) | 4,019 | ||||||
48 | Macquarie Group Ltd. (c) | 6,008 | ||||||
2,546 | Mitsubishi UFJ Financial Group, Inc.(c) | 21,878 | ||||||
409 | Nordea Bank Abp(c) | 5,059 | ||||||
309 | Royal Bank of Canada | 31,251 | ||||||
405 | Toronto-Dominion Bank (The) (c) | 26,171 | ||||||
1,267 | Wells Fargo & Company | 62,362 | ||||||
854,270 | ||||||||
BEVERAGES - 0.2% | ||||||||
3,113 | Celsius Holdings, Inc.(b) | 169,721 | ||||||
3,452 | Monster Beverage Corporation(b) | 198,869 | ||||||
368,590 | ||||||||
BIOTECHNOLOGY & PHARMACEUTICALS - 0.7% | ||||||||
591 | AbbVie, Inc. | 91,587 | ||||||
177 | Amgen, Inc. | 50,980 | ||||||
869 | AstraZeneca PLC(c) | 117,428 | ||||||
131 | Bayer A.G.(c) | 4,864 | ||||||
721 | Bristol-Myers Squibb Company | 36,995 | ||||||
685 | CSL Ltd.(c) | 133,830 | ||||||
470 | Eli Lilly and Company | 273,972 | ||||||
931 | Johnson & Johnson | 145,925 | ||||||
848 | Merck & Company, Inc. | 92,449 | ||||||
2,219 | Novo Nordisk A/S(c) | 229,432 | ||||||
1,499 | Rhythm Pharmaceuticals, Inc.(b) | 68,909 | ||||||
374 | Sanofi(c) | 37,061 | ||||||
1,020 | Structure Therapeutics, Inc. - ADR(b) | 41,575 | ||||||
2,616 | Viking Therapeutics, Inc.(b) | 48,684 | ||||||
1,373,691 | ||||||||
CABLE & SATELLITE - 0.0%(a) | ||||||||
922 | Comcast Corporation, Class A | 40,430 |
See accompanying notes to consolidated financial statements.
5
FULCRUM DIVERSIFIED ABSOLUTE RETURN FUND |
CONSOLIDATED SCHEDULE OF INVESTMENTS (Unaudited) (Continued) |
December 31, 2023 |
Shares | Fair Value | |||||||
COMMON STOCKS — 15.7% (Continued) | ||||||||
CHEMICALS - 0.0%(a) | ||||||||
35 | Arkema S/A (c) | $ | 3,980 | |||||
48 | Chr Hansen Holding A/S(c) | 4,025 | ||||||
93 | Dow, Inc. | 5,100 | ||||||
122 | Sherwin-Williams Company (The) | 38,052 | ||||||
26 | Yara International ASA(c) | 924 | ||||||
52,081 | ||||||||
COMMERCIAL SUPPORT SERVICES - 0.2% | ||||||||
4,289 | Castellum A.B. (c) | 60,949 | ||||||
230 | Compass Group PLC(c) | 6,292 | ||||||
649 | Daiseki Company Ltd. (c) | 18,022 | ||||||
74 | Intertek Group PLC(c) | 4,006 | ||||||
1,830 | Recruit Holdings Company Ltd. (c) | 77,400 | ||||||
368 | Republic Services, Inc. | 60,687 | ||||||
657 | Waste Connections, Inc. (c) | 98,111 | ||||||
408 | Waste Management, Inc. | 73,073 | ||||||
398,540 | ||||||||
CONSTRUCTION MATERIALS - 0.1% | ||||||||
1,084 | Holcim Ltd.(c) | 85,088 | ||||||
1,089 | Kingspan Group PLC(c) | 94,257 | ||||||
179,345 | ||||||||
CONTAINERS & PACKAGING - 0.1% | ||||||||
724 | AptarGroup, Inc. | 89,501 | ||||||
4,711 | Billerud A.B. (c) | 47,838 | ||||||
137,339 | ||||||||
DATA CENTER REIT - 0.1% | ||||||||
129 | Equinix, Inc. | 103,895 | ||||||
DIVERSIFIED INDUSTRIALS - 0.1% | ||||||||
651 | Eaton Corporation PLC | 156,774 | ||||||
1,353 | Emerson Electric Company | 131,687 | ||||||
288,461 | ||||||||
E-COMMERCE DISCRETIONARY - 0.3% | ||||||||
4,086 | Amazon.com, Inc.(b) | 620,827 |
See accompanying notes to consolidated financial statements.
6
FULCRUM DIVERSIFIED ABSOLUTE RETURN FUND |
CONSOLIDATED SCHEDULE OF INVESTMENTS (Unaudited) (Continued) |
December 31, 2023 |
Shares | Fair Value | |||||||
COMMON STOCKS — 15.7% (Continued) | ||||||||
ELECTRIC UTILITIES - 0.3% | ||||||||
193 | American Electric Power Company, Inc. | $ | 15,675 | |||||
1,608 | Boralex, Inc. (c) | 40,874 | ||||||
336 | Edison International | 24,021 | ||||||
3,415 | EDP Renovaveis S/A (c) | 69,842 | ||||||
5,864 | Enel SpA(c) | 43,569 | ||||||
801 | Engie S/A(c) | 14,076 | ||||||
136 | Hydro One Ltd. (c) | 4,075 | ||||||
4,417 | Iberdrola S/A (c) | 57,882 | ||||||
1,571 | National Grid PLC(c) | 21,189 | ||||||
97 | PNM Resources, Inc. | 4,035 | ||||||
3,242 | RWE A.G. (c) | 147,391 | ||||||
559 | Verbund A.G. (c) | 51,870 | ||||||
494,499 | ||||||||
ELECTRICAL EQUIPMENT - 0.6% | ||||||||
1,242 | AMETEK, Inc. | 204,794 | ||||||
1,084 | Amphenol Corporation, Class A | 107,457 | ||||||
830 | Assa Abloy A.B., Class B(c) | 23,894 | ||||||
892 | Daikin Industries Ltd.(c) | 145,424 | ||||||
409 | Hubbell, Inc. | 134,532 | ||||||
565 | Nibe Industrier A.B. (c) | 3,967 | ||||||
23 | Novanta, Inc.(b) | 3,873 | ||||||
1,660 | nVent Electric PLC | 98,089 | ||||||
16 | Schindler Holding A.G. (c) | 4,001 | ||||||
826 | Schneider Electric S.E.(c) | 165,765 | ||||||
613 | Trane Technologies PLC | 149,511 | ||||||
2,866 | Vertiv Holdings Company | 137,654 | ||||||
1,178,961 | ||||||||
ENGINEERING & CONSTRUCTION - 0.1% | ||||||||
133 | AECOM | 12,293 | ||||||
165 | Arcosa, Inc. | 13,636 | ||||||
3,456 | Cellnex Telecom S/A (c) | 136,057 | ||||||
60 | Comfort Systems USA, Inc. | 12,340 | ||||||
234 | Construction Partners, Inc., Class A(b) | 10,184 | ||||||
392 | Fluor Corporation(b) | 15,355 |
See accompanying notes to consolidated financial statements.
7
FULCRUM DIVERSIFIED ABSOLUTE RETURN FUND |
CONSOLIDATED SCHEDULE OF INVESTMENTS (Unaudited) (Continued) |
December 31, 2023 |
Shares | Fair Value | |||||||
COMMON STOCKS — 15.7% (Continued) | ||||||||
ENGINEERING & CONSTRUCTION - 0.1% (Continued) | ||||||||
221 | Granite Construction, Inc. | $ | 11,240 | |||||
107 | Jacobs Solutions, Inc. | 13,889 | ||||||
240 | KBR, Inc. | 13,298 | ||||||
158 | Primoris Services Corporation | 5,247 | ||||||
70 | Quanta Services, Inc. | 15,106 | ||||||
189 | Sterling Infrastructure, Inc.(b) | 16,619 | ||||||
85 | Tetra Tech, Inc. | 14,189 | ||||||
289,453 | ||||||||
ENTERTAINMENT CONTENT - 0.1% | ||||||||
126 | Capcom Company Ltd. (c) | 4,072 | ||||||
80 | Konami Group Corporation(c) | 4,189 | ||||||
113 | Square Enix Holdings Company Ltd.(b) | 4,058 | ||||||
597 | Take-Two Interactive Software, Inc.(b) | 96,087 | ||||||
108,406 | ||||||||
FOOD - 0.5% | ||||||||
1,260 | Bakkafrost P/F(c) | 65,979 | ||||||
4,735 | BellRing Brands, Inc.(b) | 262,460 | ||||||
5,283 | Mowi ASA(c) | 94,641 | ||||||
2,183 | Nestle S/A(c) | 253,085 | ||||||
73 | Salmar ASA(c) | 4,090 | ||||||
5,552 | Simply Good Foods Company (The)(b) | 219,859 | ||||||
6,766 | Vital Farms, Inc.(b) | 106,159 | ||||||
1,006,273 | ||||||||
FORESTRY, PAPER & WOOD PRODUCTS - 0.0%(a) | ||||||||
1,074 | West Fraser Timber Company Ltd. (c) | 91,888 | ||||||
GAS & WATER UTILITIES - 0.0%(a) | ||||||||
30 | American Water Works Company, Inc. | 3,960 | ||||||
127 | Veolia Environnement S/A (c) | 4,004 | ||||||
7,964 | ||||||||
HEALTH CARE FACILITIES & SERVICES - 1.0% | ||||||||
4,107 | Cardinal Health, Inc. | 413,986 | ||||||
2,026 | Cencora, Inc. | 416,100 | ||||||
757 | Centene Corporation(b) | 56,177 |
See accompanying notes to consolidated financial statements.
8
FULCRUM DIVERSIFIED ABSOLUTE RETURN FUND |
CONSOLIDATED SCHEDULE OF INVESTMENTS (Unaudited) (Continued) |
December 31, 2023 |
Shares | Fair Value | |||||||
COMMON STOCKS — 15.7% (Continued) | ||||||||
HEALTH CARE FACILITIES & SERVICES - 1.0% (Continued) | ||||||||
228 | Cigna Group (The) | $ | 68,275 | |||||
911 | CVS Health Corporation | 71,933 | ||||||
162 | Elevance Health, Inc. | 76,393 | ||||||
136 | Humana, Inc. | 62,262 | ||||||
14 | Lonza Group A.G. (c) | 5,887 | ||||||
1,094 | McKesson Corporation | 506,499 | ||||||
11 | Molina Healthcare, Inc.(b) | 3,974 | ||||||
598 | UnitedHealth Group, Inc. | 314,829 | ||||||
1,996,315 | ||||||||
HOME CONSTRUCTION - 1.1% | ||||||||
2,321 | DR Horton, Inc. | 352,745 | ||||||
3,790 | KB Home | 236,723 | ||||||
1,123 | Lennar Corporation, Class A | 167,372 | ||||||
917 | LGI Homes, Inc.(b) | 122,108 | ||||||
47 | Masonite International Corporation(b) | 3,979 | ||||||
2,185 | MDC Holdings, Inc. | 120,721 | ||||||
544 | Meritage Homes Corporation | 94,765 | ||||||
39 | NVR, Inc.(b) | 273,018 | ||||||
2,350 | PulteGroup, Inc. | 242,567 | ||||||
3,503 | Taylor Morrison Home Corporation(b) | 186,885 | ||||||
1,699 | Toll Brothers, Inc. | 174,640 | ||||||
4,564 | Tri Pointe Homes, Inc.(b) | 161,566 | ||||||
2,137,089 | ||||||||
HOUSEHOLD PRODUCTS - 0.3% | ||||||||
1,489 | Church & Dwight Company, Inc. | 140,800 | ||||||
172 | Colgate-Palmolive Company | 13,710 | ||||||
50 | Estee Lauder Companies, Inc. (The), Class A | 7,313 | ||||||
1,729 | Procter & Gamble Company (The) | 253,367 | ||||||
315 | Reckitt Benckiser Group PLC(c) | 21,765 | ||||||
3,759 | Unicharm Corporation(c) | 135,925 | ||||||
572,880 | ||||||||
INDUSTRIAL REIT - 0.1% | ||||||||
859 | Prologis, Inc. | 114,505 |
See accompanying notes to consolidated financial statements.
9
FULCRUM DIVERSIFIED ABSOLUTE RETURN FUND |
CONSOLIDATED SCHEDULE OF INVESTMENTS (Unaudited) (Continued) |
December 31, 2023 |
Shares | Fair Value | |||||||
COMMON STOCKS — 15.7% (Continued) | ||||||||
INDUSTRIAL REIT - 0.1% (Continued) | ||||||||
130 | Warehouses De Pauw CVA | $ | 4,090 | |||||
118,595 | ||||||||
INDUSTRIAL SUPPORT SERVICES - 0.0%(a) | ||||||||
58 | Ashtead Group PLC(c) | 4,039 | ||||||
INFRASTRUCTURE REIT - 0.0%(a) | ||||||||
104 | American Tower Corporation, A | 22,452 | ||||||
INSTITUTIONAL FINANCIAL SERVICES - 0.1% | ||||||||
209 | CME Group, Inc. | 44,015 | ||||||
149 | Deutsche Boerse A.G.(c) | 30,678 | ||||||
756 | Interactive Brokers Group, Inc., Class A | 62,673 | ||||||
327 | London Stock Exchange Group PLC(c) | 38,660 | ||||||
277 | Morgan Stanley | 25,830 | ||||||
201,856 | ||||||||
INSURANCE - 0.5% | ||||||||
29 | Allstate Corporation (The) | 4,059 | ||||||
45 | Aon PLC, Class A | 13,096 | ||||||
125 | Arch Capital Group Ltd.(b) | 9,284 | ||||||
432 | Arthur J Gallagher & Company | 97,148 | ||||||
550 | Berkshire Hathaway, Inc., Class B(b) | 196,164 | ||||||
532 | Chubb Ltd. | 120,232 | ||||||
303 | Coface S/A (c) | 3,961 | ||||||
151 | Fairfax Financial Holdings Ltd. (c) | 139,323 | ||||||
1,221 | Hartford Financial Services Group, Inc. (The) | 98,144 | ||||||
164 | Marsh & McLennan Companies, Inc. | 31,073 | ||||||
104 | MS&AD Insurance Group Holdings, Inc.(c) | 4,091 | ||||||
195 | Progressive Corporation (The) | 31,060 | ||||||
138 | SCOR S.E.(c) | 4,031 | ||||||
6 | Swiss Life Holding A.G. (c) | 4,166 | ||||||
233 | Tokio Marine Holdings, Inc.(c) | 5,832 | ||||||
551 | Travelers Companies, Inc. (The) | 104,960 | ||||||
1,102 | Voya Financial, Inc. | 80,402 | ||||||
947,026 |
See accompanying notes to consolidated financial statements.
10
FULCRUM DIVERSIFIED ABSOLUTE RETURN FUND |
CONSOLIDATED SCHEDULE OF INVESTMENTS (Unaudited) (Continued) |
December 31, 2023 |
Shares | Fair Value | |||||||
COMMON STOCKS — 15.7% (Continued) | ||||||||
INTERNET MEDIA & SERVICES - 0.6% | ||||||||
4,576 | Adevinta ASA(b) | $ | 50,627 | |||||
531 | Airbnb, Inc., Class A(b) | 72,290 | ||||||
2,381 | Alphabet, Inc., Class A(b) | 332,603 | ||||||
2,135 | Alphabet, Inc., Class C(b) | 300,887 | ||||||
440 | Auto Trader Group PLC(c) | 4,046 | ||||||
731 | Meta Platforms, Inc., Class A(b) | 258,745 | ||||||
188 | Netflix, Inc.(b) | 91,533 | ||||||
33 | REA Group Ltd. (c) | 4,074 | ||||||
549 | Rightmove PLC(c) | 4,028 | ||||||
266 | Shopify, Inc., Class A(b) (c) | 20,710 | ||||||
21 | Spotify Technology S/A(b) | 3,946 | ||||||
2,061 | Uber Technologies, Inc.(b) | 126,896 | ||||||
1,270,385 | ||||||||
LEISURE FACILITIES & SERVICES - 0.2% | ||||||||
70 | Chipotle Mexican Grill, Inc.(b) | 160,087 | ||||||
241 | McDonald’s Corporation | 71,459 | ||||||
1,206 | Starbucks Corporation | 115,788 | ||||||
1,120 | TKO Group Holdings, Inc. | 91,370 | ||||||
438,704 | ||||||||
MACHINERY - 0.1% | ||||||||
1,735 | Atlas Copco A.B. (c) | 29,860 | ||||||
332 | Atlas Copco A.B. (c) | 4,919 | ||||||
770 | Crane Company | 90,968 | ||||||
1,296 | Ingersoll Rand, Inc. | 100,232 | ||||||
333 | TOMRA Systems ASA(c) | 4,046 | ||||||
230,025 | ||||||||
MEDICAL EQUIPMENT & DEVICES - 0.2% | ||||||||
1,208 | Boston Scientific Corporation(b) | 69,834 | ||||||
355 | Cochlear Ltd. | 72,265 | ||||||
1,021 | Edwards Lifesciences Corporation(b) | 77,851 | ||||||
1,153 | Hoya Corporation | 144,141 | ||||||
28 | Illumina, Inc.(b) | 3,899 | ||||||
241 | Insulet Corporation(b) | 52,292 |
See accompanying notes to consolidated financial statements.
11
FULCRUM DIVERSIFIED ABSOLUTE RETURN FUND |
CONSOLIDATED SCHEDULE OF INVESTMENTS (Unaudited) (Continued) |
December 31, 2023 |
Shares | Fair Value | |||||||
COMMON STOCKS — 15.7% (Continued) | ||||||||
MEDICAL EQUIPMENT & DEVICES - 0.2% (Continued) | ||||||||
34 | Mettler-Toledo International, Inc.(b) | $ | 41,241 | |||||
461,523 | ||||||||
METALS & MINING - 0.7% | ||||||||
23,087 | Denison Mines Corporation(b) (c) | 40,425 | ||||||
38,422 | Endeavour Silver Corporation(b) | 75,691 | ||||||
5,229 | Energy Fuels Inc(b) (c) | 37,492 | ||||||
14,870 | First Majestic Silver Corporation | 91,451 | ||||||
29,645 | Fortuna Silver Mines, Inc.(b) | 114,430 | ||||||
1,229 | Franco-Nevada Corporation | 136,185 | ||||||
170 | Glencore PLC(c) | 1,023 | ||||||
38,870 | Hecla Mining Company | 186,966 | ||||||
12,329 | MAG Silver Corporation(b) | 128,345 | ||||||
1,759 | Newmont Corporation | 72,805 | ||||||
10,562 | Pan American Silver Corporation | 172,477 | ||||||
646 | Rio Tinto Ltd.(c) | 59,730 | ||||||
1,020 | Rio Tinto PLC(c) | 75,964 | ||||||
32 | Royal Gold, Inc. | 3,871 | ||||||
35,010 | Silvercorp Metals, Inc. | 92,076 | ||||||
16,131 | SilverCrest Metals, Inc.(b) | 105,658 | ||||||
1,394,589 | ||||||||
MULTI ASSET CLASS REIT - 0.0%(a) | ||||||||
5,614 | Segro PLC(c) | 63,438 | ||||||
OIL & GAS PRODUCERS - 0.2% | ||||||||
3,987 | Antero Resources Corporation(b) | 90,425 | ||||||
1,415 | BP PLC(c) | 8,409 | ||||||
1,981 | CNX Resources Corporation(b) | 39,620 | ||||||
1,255 | Eni SpA(c) | 21,265 | ||||||
4,508 | Itochu Enex Company Ltd. (c) | 49,146 | ||||||
2,104 | Ovintiv, Inc. | 92,407 | ||||||
1,428 | Parkland Corporation(c) | 46,031 | ||||||
347,303 | ||||||||
OIL & GAS SERVICES & EQUIPMENT - 0.2% | ||||||||
9,748 | Aker Solutions ASA(c) | 40,318 |
See accompanying notes to consolidated financial statements.
12
FULCRUM DIVERSIFIED ABSOLUTE RETURN FUND |
CONSOLIDATED SCHEDULE OF INVESTMENTS (Unaudited) (Continued) |
December 31, 2023 |
Shares | Fair Value | |||||||
COMMON STOCKS — 15.7% (Continued) | ||||||||
OIL & GAS SERVICES & EQUIPMENT - 0.2% (Continued) | ||||||||
4,135 | Baker Hughes Company | $ | 141,334 | |||||
2,464 | Expro Group Holdings N.V.(b) | 39,227 | ||||||
3,324 | Schlumberger Ltd. | 172,981 | ||||||
393,860 | ||||||||
PUBLISHING & BROADCASTING - 0.0%(a) | ||||||||
3,538 | Future PLC(c) | 35,879 | ||||||
140 | Schibsted ASA(c) | 4,032 | ||||||
39,911 | ||||||||
RESIDENTIAL REIT - 0.0%(a) | ||||||||
21 | AvalonBay Communities, Inc. | 3,932 | ||||||
300 | UNITE Group PLC (The) | 3,993 | ||||||
7,925 | ||||||||
RETAIL - CONSUMER STAPLES - 0.9% | ||||||||
1,091 | Costco Wholesale Corporation | 720,148 | ||||||
4,285 | Kroger Company (The) | 195,867 | ||||||
42 | Loblaw Companies Ltd. (c) | 4,066 | ||||||
19,468 | Tesco PLC(c) | 72,096 | ||||||
5,622 | Walmart, Inc. | 886,309 | ||||||
1,878,486 | ||||||||
RETAIL - DISCRETIONARY - 0.3% | ||||||||
492 | Brunello Cucinelli SpA(c) | 48,125 | ||||||
515 | Home Depot, Inc. (The) | 178,473 | ||||||
43,413 | JD Sports Fashion PLC(c) | 91,842 | ||||||
419 | Lowe’s Companies, Inc. | 93,248 | ||||||
233 | Lululemon Athletica, Inc.(b) | 119,131 | ||||||
6,376 | Pets at Home Group PLC(c) | 25,864 | ||||||
1,231 | TJX Cos., Inc. (The) | 115,480 | ||||||
672,163 | ||||||||
RETAIL REIT - 0.0%(a) | ||||||||
92 | Spirit Realty Capital, Inc. | 4,019 | ||||||
SELF-STORAGE REIT - 0.0%(a) | ||||||||
3,759 | Big Yellow Group PLC | 58,558 |
See accompanying notes to consolidated financial statements.
13
FULCRUM DIVERSIFIED ABSOLUTE RETURN FUND |
CONSOLIDATED SCHEDULE OF INVESTMENTS (Unaudited) (Continued) |
December 31, 2023 |
Shares | Fair Value | |||||||
COMMON STOCKS — 15.7% (Continued) | ||||||||
SELF-STORAGE REIT - 0.0%(a) (Continued) | ||||||||
34 | Public Storage | $ | 10,370 | |||||
68,928 | ||||||||
SEMICONDUCTORS - 0.7% | ||||||||
657 | Applied Materials, Inc. | 106,480 | ||||||
338 | BE Semiconductor Industries N.V.(c) | 50,916 | ||||||
218 | Broadcom, Inc. | 243,342 | ||||||
258 | Infineon Technologies A.G.(c) | 10,767 | ||||||
126 | KLA Corporation | 73,244 | ||||||
143 | Lam Research Corporation | 112,006 | ||||||
403 | Microchip Technology, Inc. | 36,343 | ||||||
1,273 | Micron Technology, Inc. | 108,638 | ||||||
998 | NVIDIA Corporation | 494,229 | ||||||
429 | NXP Semiconductors N.V. | 98,533 | ||||||
440 | QUALCOMM, Inc. | 63,637 | ||||||
751 | Taiwan Semiconductor Manufacturing Company Ltd. - ADR | 78,104 | ||||||
1,476,239 | ||||||||
SOFTWARE - 2.4% | ||||||||
448 | Adobe, Inc.(b) | 267,277 | ||||||
580 | Akamai Technologies, Inc.(b) | 68,643 | ||||||
85 | Alteryx, Inc., Class A(b) | 4,009 | ||||||
338 | ANSYS, Inc.(b) | 122,653 | ||||||
371 | Autodesk, Inc.(b) | 90,331 | ||||||
303 | Cadence Design Systems, Inc.(b) | 82,528 | ||||||
386 | Cloudflare, Inc., Class A(b) | 32,138 | ||||||
285 | Crowdstrike Holdings, Inc., Class A(b) | 72,766 | ||||||
155 | Dassault Systemes S.E. (c) | 7,569 | ||||||
388 | Datadog, Inc., Class A(b) | 47,095 | ||||||
1,585 | DigitalOcean Holdings, Inc.(b) | 58,154 | ||||||
1,175 | Elastic NV(b) | 132,423 | ||||||
1,756 | Fortinet, Inc.(b) | 102,779 | ||||||
178 | HubSpot, Inc.(b) | 103,336 | ||||||
304 | Intuit, Inc. | 190,009 | ||||||
733 | Jamf Holding Corporation(b) | 13,238 | ||||||
2,684 | JFrog Ltd.(b) | 92,893 |
See accompanying notes to consolidated financial statements.
14
FULCRUM DIVERSIFIED ABSOLUTE RETURN FUND |
CONSOLIDATED SCHEDULE OF INVESTMENTS (Unaudited) (Continued) |
December 31, 2023 |
Shares | Fair Value | |||||||
COMMON STOCKS — 15.7% (Continued) | ||||||||
SOFTWARE - 2.4% (Continued) | ||||||||
3,039 | Microsoft Corporation | $ | 1,142,787 | |||||
186 | MongoDB, Inc.(b) | 76,046 | ||||||
626 | nCino, Inc.(b) | 21,052 | ||||||
44 | Okta, Inc.(b) | 3,983 | ||||||
2,476 | Oracle Corporation | 261,045 | ||||||
1,137 | Palo Alto Networks, Inc.(b) | 335,279 | ||||||
260 | Paycom Software, Inc. | 53,747 | ||||||
595 | Pegasystems, Inc. | 29,072 | ||||||
382 | PTC, Inc.(b) | 66,835 | ||||||
744 | Qualys, Inc.(b) | 146,032 | ||||||
891 | Rapid7, Inc.(b) | 50,876 | ||||||
24 | Roper Technologies, Inc. | 13,084 | ||||||
1,115 | Salesforce, Inc.(b) | 293,401 | ||||||
350 | ServiceNow, Inc.(b) | 247,272 | ||||||
654 | Smartsheet, Inc., Class A(b) | 31,274 | ||||||
572 | Snowflake, Inc.(b) | 113,828 | ||||||
1,662 | Tenable Holdings, Inc.(b) | 76,552 | ||||||
10 | Tyler Technologies, Inc.(b) | 4,181 | ||||||
683 | Varonis Systems, Inc.(b) | 30,926 | ||||||
472 | Veeva Systems, Inc., Class A(b) | 90,869 | ||||||
901 | Workday, Inc., Class A(b) | 248,730 | ||||||
4,824,712 | ||||||||
STEEL - 0.0%(a) | ||||||||
36 | ArcelorMittal S/A (c) | 1,020 | ||||||
TECHNOLOGY HARDWARE - 0.6% | ||||||||
5,455 | Apple, Inc. | 1,050,250 | ||||||
221 | Nintendo Company Ltd.(c) | 11,536 | ||||||
572 | Panasonic Holdings Corporation(c) | 5,666 | ||||||
333 | Sony Group Corporation(c) | 31,674 | ||||||
1,099,126 | ||||||||
TECHNOLOGY SERVICES - 0.6% | ||||||||
3 | Adyen N.V.(b) (c) | 3,864 | ||||||
1,638 | Amadeus IT Group S/A (c) | 117,326 |
See accompanying notes to consolidated financial statements.
15
FULCRUM DIVERSIFIED ABSOLUTE RETURN FUND |
CONSOLIDATED SCHEDULE OF INVESTMENTS (Unaudited) (Continued) |
December 31, 2023 |
Shares | Fair Value | |||||||
COMMON STOCKS — 15.7% (Continued) | ||||||||
TECHNOLOGY SERVICES - 0.6% (Continued) | ||||||||
46 | Amdocs Ltd. | $ | 4,043 | |||||
91 | Automatic Data Processing, Inc. | 21,200 | ||||||
32 | Booz Allen Hamilton Holding Corporation | 4,093 | ||||||
423 | Broadridge Financial Solutions, Inc. | 87,032 | ||||||
114 | Computacenter PLC(c) | 4,058 | ||||||
16 | Equifax, Inc. | 3,957 | ||||||
125 | Experian PLC(c) | 5,102 | ||||||
9 | FactSet Research Systems, Inc. | 4,293 | ||||||
982 | Fiserv, Inc.(b) | 130,449 | ||||||
136 | FleetCor Technologies, Inc.(b) | 38,435 | ||||||
420 | Mastercard, Inc., Class A | 179,134 | ||||||
59 | MSCI, Inc. | 33,373 | ||||||
1,195 | Netcompany Group A/S(b) (c) | 39,929 | ||||||
43 | Paychex, Inc. | 5,122 | ||||||
861 | PayPal Holdings, Inc.(b) | 52,874 | ||||||
1,016 | QinetiQ Group PLC(c) | 4,002 | ||||||
412 | RELX PLC(c) | 16,334 | ||||||
242 | S&P Global, Inc. | 106,606 | ||||||
232 | Softcat PLC(c) | 4,022 | ||||||
19 | Verisk Analytics, Inc. | 4,538 | ||||||
779 | Visa, Inc., Class A | 202,814 | ||||||
462 | WEX, Inc.(b) | 89,882 | ||||||
35 | Wolters Kluwer N.V. (c) | 4,973 | ||||||
1,167,455 | ||||||||
TELECOMMUNICATIONS - 0.0%(a) | ||||||||
228 | TELUS Corporation | 4,058 | ||||||
118 | T-Mobile US, Inc. | 18,919 | ||||||
941 | Verizon Communications, Inc. | 35,475 | ||||||
58,452 | ||||||||
TRANSPORTATION & LOGISTICS - 0.4% | ||||||||
1 | AP Moller - Maersk A/S - Series A(c) | 1,774 | ||||||
1,472 | Ardmore Shipping Corporation | 20,740 | ||||||
1,898 | Canadian Pacific Kansas City Ltd. (c) | 150,183 | ||||||
696 | CH Robinson Worldwide, Inc. | 60,127 |
See accompanying notes to consolidated financial statements.
16
FULCRUM DIVERSIFIED ABSOLUTE RETURN FUND |
CONSOLIDATED SCHEDULE OF INVESTMENTS (Unaudited) (Continued) |
December 31, 2023 |
Shares | Fair Value | |||||||||||
COMMON STOCKS — 15.7% (Continued) | ||||||||||||
TRANSPORTATION & LOGISTICS - 0.4% (Continued) | ||||||||||||
5,947 | DHT Holdings, Inc. | $ | 58,340 | |||||||||
532 | DSV A/S(c) | 93,410 | ||||||||||
4,655 | Euronav N.V. | 81,881 | ||||||||||
759 | Expeditors International of Washington, Inc. | 96,545 | ||||||||||
3,914 | Frontline PLC | 78,476 | ||||||||||
1,418 | International Seaways, Inc. | 64,491 | ||||||||||
12 | Kuehne + Nagel International A.G. (c) | 4,135 | ||||||||||
803 | Scorpio Tankers, Inc. | 48,822 | ||||||||||
1,306 | Teekay Tankers Ltd., Class A | 65,261 | ||||||||||
824,185 | ||||||||||||
WHOLESALE - CONSUMER STAPLES - 0.0%(a) | ||||||||||||
268 | ITOCHU Corporation(c) | 10,963 | ||||||||||
WHOLESALE - DISCRETIONARY - 0.0%(a) | ||||||||||||
779 | Toyota Tsusho Corporation(c) | 45,905 | ||||||||||
TOTAL COMMON STOCKS (Cost $29,105,647) | 31,397,296 | |||||||||||
�� | ||||||||||||
EXCHANGE-TRADED FUND — 0.3% | ||||||||||||
EQUITY - 0.3% | ||||||||||||
17,077 | iShares MSCI Brazil ETF (Cost $601,196) | 597,012 | ||||||||||
Principal | Coupon Rate | |||||||||||
Amount ($) | (%) | Maturity | ||||||||||
U.S. GOVERNMENT & AGENCIES — 48.8% | ||||||||||||
U.S. TREASURY BILLS — 48.8% | ||||||||||||
7,900,000 | United States Treasury Bill | 5.1000 | 02/08/24 | 7,857,216 | ||||||||
13,300,000 | United States Treasury Bill | 5.1200 | 02/15/24 | 13,214,805 | ||||||||
11,000,000 | United States Treasury Bill | 5.1700 | 02/20/24 | 10,921,114 | ||||||||
11,650,000 | United States Treasury Bill | 5.2000 | 02/29/24 | 11,551,193 | ||||||||
15,550,000 | United States Treasury Bill | 5.1700 | 03/14/24 | 15,388,638 |
See accompanying notes to consolidated financial statements.
17
FULCRUM DIVERSIFIED ABSOLUTE RETURN FUND |
CONSOLIDATED SCHEDULE OF INVESTMENTS (Unaudited) (Continued) |
December 31, 2023 |
Principal | Coupon Rate | |||||||||||
Amount ($) | (%) | Maturity | Fair Value | |||||||||
U.S. GOVERNMENT & AGENCIES — 48.8% (Continued) | ||||||||||||
U.S. TREASURY BILLS — 48.8% (Continued) | ||||||||||||
24,400,000 | United States Treasury Bill | 5.1900 | 03/21/24 | $ | 24,122,010 | |||||||
9,100,000 | United States Treasury Bill | 5.2500 | 04/18/24 | 8,959,564 | ||||||||
6,100,000 | United States Treasury Bill | 5.2400 | 04/25/24 | 6,000,065 | ||||||||
TOTAL U.S. GOVERNMENT & AGENCIES (Cost $97,992,768) | 98,014,604 |
Contracts | Broker/Counterparty | Expiration Date | Exercise Price | Notional Value | ||||||||||||||||
CURRENCY OPTIONS PURCHASED - 0.4% | ||||||||||||||||||||
CALL OPTIONS PURCHASED - 0.0%(a) | ||||||||||||||||||||
3,625,000 | AUDcUSDp 0.6550 EKO 0.6700 08/01/2024 | JPM | 01/08/2024 | $ | 0.66 | $ | 6,080 | 0 | ||||||||||||
3,129,000 | AUDcUSDp Digi 0.7950 16/09/2024 | JPM | 09/16/2024 | 0.80 | 52,202 | 65,345 | ||||||||||||||
2,643,000 | MXNcJPYp Digi 9.00 15/03/2024 | JPM | 03/15/2024 | 9.00 | 21,057 | 5,748 | ||||||||||||||
5,168,000 | USDcCNHp 7.45 24/04/2024 | JPM | 04/24/2024 | 7.45 | 34,253 | 7,172 | ||||||||||||||
3,265,000 | USDcINRp 84.8975 08/01/2024 | JPM | 01/08/2024 | 84.90 | 9,005 | 91 | ||||||||||||||
10,499,000 | USDcTWDp 33.00 08/04/2024 | JPM | 04/08/2024 | 33.00 | 56,726 | 7,321 | ||||||||||||||
TOTAL CALL OPTIONS PURCHASED (Cost - $179,314) | 85,677 | |||||||||||||||||||
PUT OPTIONS PURCHASED - 0.4% | ||||||||||||||||||||
4,180,000 | EURpCHFc 0.9000 15/04/2024 | JPM | 04/15/2024 | 0.90 | 23,691 | 23,604 | ||||||||||||||
130,000 | EURpJPYc Digi 150.00 26/01/2024 | JPM | 01/26/2024 | 150.00 | 15,435 | 15,317 | ||||||||||||||
3,160,000 | EURpUSDc Digi 1.00 29/05/2024 | JPM | 05/29/2024 | 1.00 | 98,761 | 62,084 | ||||||||||||||
166,000 | EURpUSDc Digi 1.0100 08/02/2024 | JPM | 02/08/2024 | 1.01 | 24,560 | 156 | ||||||||||||||
196,000 | EURpUSDc Digi 1.0150 01/02/2024 | JPM | 02/01/2024 | 1.02 | 28,154 | 120 | ||||||||||||||
284,000 | EURpUSDc Digi 1.0500 20/03/2024 | JPM | 03/20/2024 | 1.05 | 22,856 | 16,101 | ||||||||||||||
1,578,000 | EURpUSDc Digi 1.0500 29/04/2024 | JPM | 04/29/2024 | 1.05 | 171,719 | 133,331 | ||||||||||||||
381,000 | USDpBRLc Digi 4.7200 11/01/2024 | JPM | 01/11/2024 | 4.72 | 36,843 | 34,323 | ||||||||||||||
3,265,000 | USDpINRc 82.5510 08/01/2024 | JPM | 01/08/2024 | 82.55 | 10,846 | 862 | ||||||||||||||
4,449,000 | USDpJPYc 139 EKO 134.55 25/01/2024 | JPM | 01/25/2024 | 139.00 | 11,954 | 7,439 | ||||||||||||||
4,791,000 | USDpJPYc 141.00 RKO 136.25 22/01/2024 | JPM | 01/22/2024 | 141.00 | 11,019 | 14,895 | ||||||||||||||
5,737,000 | USDpJPYc 142.50 RKO 137.50 12/01/2024 | JPM | 01/12/2024 | 142.50 | 10,900 | 36,890 | ||||||||||||||
4,789,000 | USDpJPYc 143.50 RKO 138.75 22/01/2024 | JPM | 01/22/2024 | 143.50 | 11,278 | 16,270 | ||||||||||||||
283,000 | USDpJPYc Digi 133 07/03/2024 | JPM | 03/07/2024 | 133.00 | 28,158 | 35,785 | ||||||||||||||
94,000 | USDpJPYc Digi 137.00 12/01/2024 | JPM | 01/12/2024 | 137.00 | 10,011 | 8,067 | ||||||||||||||
134,000 | USDpJPYc Digi 137.50 29/02/2024 | JPM | 02/29/2024 | 137.50 | 14,149 | 39,946 | ||||||||||||||
730,000 | USDpJPYc iOT 110 (11/01/24) WDKO 140/152 2/12/2026 | JPM | 12/02/2026 | 110.00 | 88,841 | 115,473 | ||||||||||||||
633,000 | USDpJPYc iOT 110 02/12/2026 | JPM | 12/02/2026 | 110.00 | 118,870 | 118,100 | ||||||||||||||
6,092,000 | USDpKRWc 1281 EKO 1251 23/01/2024 | JPM | 01/23/2024 | 1,281.80 | 11,514 | 8,359 | ||||||||||||||
7,000,000 | USDpMXNc 17.00 EKO 16.48 25/01/2024 | JPM | 01/25/2024 | 17.00 | 28,175 | 26,977 | ||||||||||||||
4,968,000 | USDpMXNc 17.0700 RKO 16.6500 16/01/2024 | JPM | 01/16/2024 | 17.07 | 6,607 | 15,738 | ||||||||||||||
129,000 | USDpTRYc Digi 30 08/11/2024 | JPM | 11/08/2024 | 30.00 | 7,740 | 7,136 | ||||||||||||||
5,777,000 | USDpZARc 17.90 ERKO 17.45 16/02/2024 | JPM | 02/16/2024 | 17.90 | 10,312 | 3,316 | ||||||||||||||
1,753,000 | USDpZARc 18.20 EKO 17.50 08/03/2024 | JPM | 03/08/2024 | 18.20 | 4,575 | 2,476 |
See accompanying notes to consolidated financial statements.
18
FULCRUM DIVERSIFIED ABSOLUTE RETURN FUND |
CONSOLIDATED SCHEDULE OF INVESTMENTS (Unaudited) (Continued) |
December 31, 2023 |
Contracts | Broker/Counterparty | Expiration Date | Exercise Price | Notional Value | Fair Value | |||||||||||||||
CURRENCY OPTIONS PURCHASED - 0.4% (Continued) | ||||||||||||||||||||
PUT OPTIONS PURCHASED - 0.4% (Continued) | ||||||||||||||||||||
1,888,000 | USDpZARc 18.20 ERKO 17.50 08/02/2024 | JPM | 02/08/2024 | $ | 18.20 | $ | 4,739 | $ | 4,571 | |||||||||||
1,213,000 | XAUpUSDc iOT 1250 01/10/2024 | JPM | 10/01/2024 | 1,250.00 | 21,228 | 3,155 | ||||||||||||||
TOTAL PUT OPTIONS PURCHASED (Cost - $825,667) | 750,491 | |||||||||||||||||||
TOTAL CURRENCY OPTIONS PURCHASED (Cost - $1,004,981) | 836,168 | |||||||||||||||||||
OTC DUAL BINARY OPTIONS PURCHASED - 0.4% | ||||||||||||||||||||
PUT OPTIONS PURCHASED - 0.4% | ||||||||||||||||||||
453,000 | DEDZ4 > 152 and SX5E < 5375 | MS | 12/20/2024 | 152.00 | 91,419 | 253,798 | ||||||||||||||
247,000 | GBPUSD < 1.2136 and SPX > 5067.25 | MS | 09/20/2024 | 1.00 | 15,980 | 12,613 | ||||||||||||||
519,000 | GBPUSD < 1.20 and BPISDS05 < 4.153 | MS | 03/11/2024 | 1.00 | 51,299 | 24,467 | ||||||||||||||
847,000 | USDJPY < 145.704 and NKY > 33710.44 | MS | 02/09/2024 | 146.00 | 68,607 | 325,488 | ||||||||||||||
1,613,000 | SPX < 4130.20 and USDJPY < 142.09 | GS | 01/19/2024 | 4,130.20 | 88,715 | 3,779 | ||||||||||||||
590,000 | SPX < 4143.14 and US30YRSOFR < 3.7690% | CIT | 03/15/2024 | 4,143.14 | 47,200 | 17,269 | ||||||||||||||
708,000 | SPX < 4143.14 and US30YRSOFR < 3.780% | CIT | 02/16/2024 | 4,143.14 | 49,560 | 8,751 | ||||||||||||||
853,000 | SPX < 4228.67 and US30YRSOFR < 3.875% | MS | 01/19/2024 | 4,228.67 | 72,505 | 2,806 | ||||||||||||||
209,000 | SX5E < 5000.00 and DEDZ > 160.00 | MS | 12/20/2024 | 5,000.00 | 55,852 | 59,100 | ||||||||||||||
TOTAL BINARY OPTIONS PURCHASED (Cost - $541,138) | 708,071 | |||||||||||||||||||
CORRELATION OPTIONS PURCHASED - 0.2%(d) | ||||||||||||||||||||
PUT OPTIONS PURCHASED - 0.2%(d) | ||||||||||||||||||||
26,000 | EURMXN GBPMXN Correlation P100 09 Apr 2024 | CIT | 04/08/2024 | 100.00 | 308,409 | 263,133 | ||||||||||||||
23,000 | USDZAR CADZAR Correlation P100 14 May 2024 | MS | 05/14/2024 | 100.00 | 209,300 | 154,137 | ||||||||||||||
TOTAL CORRELATION OPTIONS PURCHASED (Cost - $517,709) | 417,270 | |||||||||||||||||||
INDEX OPTIONS PURCHASED - 0.0% (a)(e) | ||||||||||||||||||||
CALL OPTIONS PURCHASED - 0.0%(a)(e) | ||||||||||||||||||||
7 | Nikkei 225(f) (Cost - $9,508) | MS | 01/12/2024 | 34,000.00 | 234,249,190 | 7,448 | ||||||||||||||
PUT OPTIONS PURCHASED - 0.0%(a)(e) | ||||||||||||||||||||
168 | EURO STOXX 50(f) (Cost - $38,747) | MS | 01/19/2024 | 4,400.00 | 7,596,372 | 26,337 | ||||||||||||||
TOTAL INDEX OPTIONS PURCHASED (Cost - $48,255) | 33,785 |
See accompanying notes to consolidated financial statements.
19
FULCRUM DIVERSIFIED ABSOLUTE RETURN FUND |
CONSOLIDATED SCHEDULE OF INVESTMENTS (Unaudited) (Continued) |
December 31, 2023 |
Contracts | Broker/Counterparty | Expiration Date | Exercise Price | Notional Value | Fair Value | |||||||||||||||
EQUITY OPTIONS PURCHASED - 0.0% (a)(g) | ||||||||||||||||||||
CALL OPTIONS PURCHASED - 0.0%(a)(g) | ||||||||||||||||||||
932 | iShares MSCI Brazil ETF (Cost - $17,708) | MS | 01/19/2024 | $ | 37.00 | $ | 3,258,272 | $ | 19,572 | |||||||||||
TOTAL EQUITY OPTIONS PURCHASED (Cost - $17,708) | 19,572 | |||||||||||||||||||
FUTURE OPTIONS PURCHASED - 0.5%(h) | ||||||||||||||||||||
CALL OPTIONS PURCHASED - 0.5%(h) | ||||||||||||||||||||
134 | 3 Month SOFR | MS | 12/13/2024 | 96.00 | 32,250,450 | 218,588 | ||||||||||||||
126 | 3 Month SOFR | MS | 12/13/2024 | 97.00 | 30,325,050 | 87,413 | ||||||||||||||
74 | 3 Month SOFR | MS | 03/15/2024 | 95.00 | 17,577,775 | 24,513 | ||||||||||||||
34 | CRUDE OIL(f) | MS | 01/26/2024 | 95.00 | 2,619,360 | 4,420 | ||||||||||||||
157 | EURIBOR 3M | MS | 12/16/2024 | 97.75 | 38,347,250 | 165,744 | ||||||||||||||
58 | GOLD(f) | MS | 01/25/2024 | 2,100.00 | 475,600 | 111,360 | ||||||||||||||
41 | S&P Emini | MS | 01/19/2024 | 4,700.00 | 9,881,000 | 272,649 | ||||||||||||||
49 | SX5E DIVIDEND | MS | 12/20/2024 | 135.00 | 839,769 | 107,813 | ||||||||||||||
TOTAL CALL OPTIONS PURCHASED (Cost - $642,899) | 992,500 | |||||||||||||||||||
PUT OPTIONS PURCHASED - 0.0%(a)(h) | ||||||||||||||||||||
74 | 3 Month SOFR | MS | 03/15/2024 | 94.38 | 17,577,775 | 463 | ||||||||||||||
25 | CRUDE OIL | MS | 01/26/2024 | 70.00 | 1,926,000 | 15,750 | ||||||||||||||
120 | S&P Emini | MS | 01/19/2024 | 4,430.00 | 28,920,000 | 13,200 | ||||||||||||||
10 | S&P Emini | MS | 01/19/2024 | 4,650.00 | 2,410,000 | 4,150 | ||||||||||||||
39 | S&P500 EMINI | MS | 01/31/2024 | 4,650.00 | 9,399,000 | 34,613 | ||||||||||||||
TOTAL PUT OPTIONS PURCHASED (Cost - $266,875) | 68,176 | |||||||||||||||||||
TOTAL FUTURE OPTIONS PURCHASED (Cost - $909,774) | 1,060,676 | |||||||||||||||||||
TOTAL INVESTMENTS - 66.3% (Cost $130,739,176) | $ | 133,084,454 | ||||||||||||||||||
CALL OPTIONS WRITTEN - (0.1)% (Proceeds - $183,573) | (280,397 | ) | ||||||||||||||||||
PUT OPTIONS WRITTEN - (0.1)% (Proceeds - $211,291) | (146,174 | ) | ||||||||||||||||||
OTHER ASSETS IN EXCESS OF LIABILITIES- 33.9% | 68,175,870 | |||||||||||||||||||
NET ASSETS - 100.0% | $ | 200,833,753 | ||||||||||||||||||
Contracts | Broker/Counterparty | Expiration Date | Exercise Price | Notional Value | Fair Value | |||||||||||||||
WRITTEN FUTURE OPTIONS - (0.1)%(h) | ||||||||||||||||||||
CALL OPTIONS WRITTEN- (0.1)% (h) | ||||||||||||||||||||
34 | CRUDE OIL(f) | MS | 01/26/2024 | $ | 100.00 | $ | 2,619,360 | $ | 3,060 | |||||||||||
41 | S&P Emini | MS | 01/19/2024 | 4,800.00 | 9,881,000 | 118,388 | ||||||||||||||
41 | S&P Emini | MS | 01/19/2024 | 4,820.00 | 9,881,000 | 95,325 | ||||||||||||||
TOTAL CALL OPTIONS WRITTEN (Proceeds - $72,330) | 216,773 |
See accompanying notes to consolidated financial statements.
20
FULCRUM DIVERSIFIED ABSOLUTE RETURN FUND |
CONSOLIDATED SCHEDULE OF INVESTMENTS (Unaudited) (Continued) |
December 31, 2023 |
Contracts(e) | Counterparty | Expiration Date | Exercise Price | Notional Value | Fair Value | |||||||||||||||
PUT OPTIONS WRITTEN - (0.1)%(h) | ||||||||||||||||||||
25 | CRUDE OIL(f) | MS | 01/26/2024 | $ | 65.00 | $ | 1,926,000 | $ | 5,500 | |||||||||||
120 | S&P Emini | MS | 01/19/2024 | 4,200.00 | 28,920,000 | 7,500 | ||||||||||||||
10 | S&P Emini | MS | 01/19/2024 | 4,400.00 | 2,410,000 | 1,000 | ||||||||||||||
39 | S&P500 EMINI | MS | 01/31/2024 | 4,400.00 | 9,399,000 | 8,287 | ||||||||||||||
49 | SX5E DIVIDEND | MS | 12/20/2024 | 90.00 | 839,769 | 541 | ||||||||||||||
TOTAL PUT OPTIONS WRITTEN (Proceeds - $108,591) | 22,828 | |||||||||||||||||||
TOTAL FUTURE OPTIONS WRITTEN (Proceeds - $180,921) | 239,601 | |||||||||||||||||||
WRITTEN INDEX OPTIONS - (0.1)% (e) | ||||||||||||||||||||
CALL OPTIONS WRITTEN- 0.0%(a)(e) | ||||||||||||||||||||
410 | Chicago Board Options Exchange VIX US | MS | 01/17/2024 | 15.50 | 510,450 | 25,010 | ||||||||||||||
410 | Chicago Board Options Exchange VIX US | MS | 01/17/2024 | 17.00 | 510,450 | 17,220 | ||||||||||||||
410 | Chicago Board Options Exchange VIX US | MS | 01/17/2024 | 19.00 | 510,450 | 12,300 | ||||||||||||||
410 | Chicago Board Options Exchange VIX US | MS | 01/17/2024 | 23.00 | 510,450 | 8,200 | ||||||||||||||
6 | Nikkei 225(f) | MS | 01/12/2024 | 35,000.00 | 200,785,020 | 894 | ||||||||||||||
TOTAL CALL OPTIONS WRITTEN (Proceeds - $111,243) | 63,624 | |||||||||||||||||||
PUT OPTIONS WRITTEN - (0.1)%(e) | ||||||||||||||||||||
410 | Chicago Board Options Exchange VIX US | MS | 01/17/2024 | 12.50 | 510,450 | 7,380 | ||||||||||||||
410 | Chicago Board Options Exchange VIX US | MS | 01/17/2024 | 13.50 | 510,450 | 24,600 | ||||||||||||||
410 | Chicago Board Options Exchange VIX US | MS | 01/17/2024 | 14.50 | 510,450 | 50,840 | ||||||||||||||
397 | Chicago Board Options Exchange VIX US | MS | 01/17/2024 | 14.00 | 494,265 | 35,333 | ||||||||||||||
168 | EURO STOXX(f) | MS | 01/19/2024 | 4,175.00 | 7,596,382 | 5,193 | ||||||||||||||
TOTAL PUT OPTIONS WRITTEN (Proceeds - $102,700) | 123,346 | |||||||||||||||||||
TOTAL INDEX OPTIONS WRITTEN (Proceeds - $213,943) | $ | 186,970 |
OPEN FUTURES CONTRACTS | ||||||||||||
Number of Contracts | Open Long Futures Contracts | Expiration | Notional Amount(i) | Value and Unrealized Appreciation (Depreciation) | ||||||||
2 | Carbon Emissions Future(f) | 12/16/2024 | $ | 177,456 | $ | 3,593 | ||||||
56 | CBOT 10 Year US Treasury Note | 03/19/2024 | 6,321,875 | 120,594 | ||||||||
443 | CBOT 5 Year US Treasury Note | 03/28/2024 | 48,186,634 | 735,347 | ||||||||
38 | CBOT Corn Future(f) | 03/14/2024 | 895,375 | (26,263 | ) | |||||||
3 | CBOT Soybean Future(f) | 03/14/2024 | 194,700 | (6,210 | ) | |||||||
29 | CBOT Soybean Meal Future(f) | 03/14/2024 | 1,119,400 | (43,850 | ) | |||||||
85 | CME Australian Dollar Currency Future | 03/18/2024 | 5,805,925 | 77,670 | ||||||||
2 | CME E-Mini NASDAQ 100 Index Future | 03/15/2024 | 680,940 | 7,618 | ||||||||
99 | CME E-Mini Standard & Poor’s 500 Index Futures | 03/15/2024 | 23,859,000 | 313,894 | ||||||||
40 | CME Japanese Yen Currency Future | 03/18/2024 | 3,588,000 | 19,609 | ||||||||
16 | CME Lean Hogs Future(f) | 02/14/2024 | 435,040 | (37,835 | ) | |||||||
17 | CME Live Cattle Future(f) | 02/29/2024 | 1,145,800 | (86,280 | ) | |||||||
51 | CME Mexican Peso Currency Future | 03/18/2024 | 1,485,120 | 34,193 |
See accompanying notes to consolidated financial statements.
21
FULCRUM DIVERSIFIED ABSOLUTE RETURN FUND |
CONSOLIDATED SCHEDULE OF INVESTMENTS (Unaudited) (Continued) |
December 31, 2023 |
OPEN FUTURES CONTRACTS (Continued)
Number of Contracts | Open Long Futures Contracts | Expiration | Notional Amount(i) | Value and Unrealized Appreciation (Depreciation) | ||||||||
8 | CME Swiss Franc Currency Future | 03/18/2024 | $ | 1,198,000 | $ | 36,638 | ||||||
1 | COMEX Copper Future(f) | 03/26/2024 | 97,263 | 588 | ||||||||
82 | COMEX Gold 100 Troy Ounces Future(f) | 02/27/2024 | 16,988,760 | 232,818 | ||||||||
20 | COMEX Silver Future(f) | 03/26/2024 | 2,408,600 | (11,821 | ) | |||||||
3 | E-mini Dow Jones Industrial Average Index Futures | 03/15/2024 | 570,180 | 8,115 | ||||||||
42 | Eurex 10 Year Euro BUND Future | 03/07/2024 | 6,362,597 | 202,921 | ||||||||
41 | Eurex 5 Year Euro BOBL Future | 03/07/2024 | 5,399,073 | 66,386 | ||||||||
240 | Eurex Dow Jones EURO STOXX 50 Dividend Future | 12/19/2025 | 4,016,781 | 305,239 | ||||||||
9 | Eurex Stoxx Europe 600 Futures | 03/15/2024 | 238,364 | 1,955 | ||||||||
16 | Euronext CAC 40 Index Future | 01/19/2024 | 1,334,511 | (4,218 | ) | |||||||
14 | EUX Short term Euro-BTP Futures | 03/07/2024 | 1,648,377 | 3,334 | ||||||||
10 | French Government Bond Futures | 03/07/2024 | 1,451,866 | 26,862 | ||||||||
41 | FTSE 100 Index Future | 03/15/2024 | 4,054,109 | 89,789 | ||||||||
5 | FTSE/MIB Index Future | 03/15/2024 | 842,377 | (243 | ) | |||||||
24 | ICE Gas Oil Future(f) | 02/12/2024 | 1,781,401 | (56,748 | ) | |||||||
5 | ICE Natural Gas Future(f) | 01/30/2024 | 149,191 | (7,123 | ) | |||||||
2 | KFE 10 Year Treasury Bond Future | 03/19/2024 | 178,286 | 617 | ||||||||
1 | KFE 3 Year Treasury Bond Future | 03/19/2024 | 81,363 | 92 | ||||||||
3 | KFE KOSPI 200 Index Future | 03/14/2024 | 209,949 | 7,418 | ||||||||
2 | LME Lead Future(f) | 02/19/2024 | 103,125 | (3,300 | ) | |||||||
3 | LME Primary Aluminum Future(f) | 02/19/2024 | 177,675 | 4,717 | ||||||||
2 | LME Zinc Future(f) | 02/19/2024 | 132,975 | 5,132 | ||||||||
35 | Long Gilt Future | 03/26/2024 | 4,580,077 | (7,219 | ) | |||||||
7 | MEFF Madrid IBEX 35 Index Future | 01/19/2024 | 779,459 | (2,976 | ) | |||||||
19 | Mini-DAX Futures | 03/15/2024 | 1,773,830 | (8,539 | ) | |||||||
7 | Montreal Exchange S&P/TSX 60 Index Future | 03/14/2024 | 1,342,340 | 29,114 | ||||||||
9 | NYBOT CSC C Coffee Future(f) | 03/18/2024 | 635,513 | 40,782 | ||||||||
28 | NYBOT CSC Cocoa Future(f) | 03/13/2024 | 1,174,880 | 54,855 | ||||||||
13 | NYMEX NY Harbor ULSD Futures(f) | 01/31/2024 | 1,380,779 | (61,022 | ) | |||||||
27 | NYMEX Platinum Future(f) | 04/26/2024 | 1,362,420 | 22,720 | ||||||||
30 | OML Stockholm OMXS30 Index Future | 01/19/2024 | 714,369 | 11,573 | ||||||||
134 | OSE Nikkei 225 mini Future | 03/07/2024 | 3,179,274 | 60,712 | ||||||||
20 | Robusta Coffee Future 10-Tonne(f) | 03/22/2024 | 568,200 | 69,160 | ||||||||
53 | SFE 10 Year Australian Bond Future | 03/15/2024 | 4,214,342 | 104,758 | ||||||||
7 | SFE S&P ASX Share Price Index 200 Future | 03/21/2024 | 904,699 | 16,274 | ||||||||
104 | SGX Asiaclear TSI Iron Ore CFR China 62% FE Fines(f) | 02/29/2024 | 1,442,896 | (11,543 | ) | |||||||
55 | TSE TOPIX (Tokyo Price Index) Future | 03/07/2024 | 9,230,060 | 94,078 | ||||||||
5 | TTF Natural Gas Base Load Monthly Futures(f) | 01/30/2024 | 124,286 | (5,647 | ) | |||||||
17 | WCE Canola Future(f) | 03/14/2024 | 167,669 | (5,019 | ) | |||||||
4 | White Sugar Future(f) | 02/14/2024 | 119,240 | (8,760 | ) | |||||||
TOTAL LONG FUTURES CONTRACTS | $ | 2,414,549 |
See accompanying notes to consolidated financial statements.
22
FULCRUM DIVERSIFIED ABSOLUTE RETURN FUND |
CONSOLIDATED SCHEDULE OF INVESTMENTS (Unaudited) (Continued) |
December 31, 2023 |
OPEN FUTURES CONTRACTS (Continued)
Number of Contracts | Open Short Futures Contracts | Expiration | Notional Amount(i) | Value and Unrealized Appreciation (Depreciation) | ||||||||
24 | CBOE Volatility Index Future | 01/17/2024 | $ | 337,229 | $ | 771 | ||||||
68 | CBOE Volatility Index Future | 02/14/2024 | 1,040,087 | (1,567 | ) | |||||||
46 | CBOT 2 Year US Treasury Note Future | 03/28/2024 | 9,472,047 | (53,800 | ) | |||||||
3 | CBOT Soybean Oil Future(f) | 03/14/2024 | 86,724 | 1,605 | ||||||||
40 | CME British Pound Currency Future | 03/18/2024 | 3,187,750 | (12,007 | ) | |||||||
15 | CME Canadian Dollar Currency Future | 03/19/2024 | 1,134,375 | (17,475 | ) | |||||||
32 | CME E-mini Russell 2000 Index Futures | 03/15/2024 | 2,559,625 | (20,385 | ) | |||||||
240 | CME Euro Foreign Exchange Currency Future | 03/18/2024 | 33,225,001 | (341,794 | ) | |||||||
9 | CME Feeder Cattle Future(f) | 03/28/2024 | 1,003,950 | (29,148 | ) | |||||||
17 | CME New Zealand Dollar Currency Future | 03/18/2024 | 1,074,825 | (16,759 | ) | |||||||
183 | Eurex 2 Year Euro SCHATZ Future | 03/07/2024 | 21,525,431 | (27,669 | ) | |||||||
61 | Eurex EURO STOXX 50 Future | 03/15/2024 | 3,059,428 | 19,143 | ||||||||
713 | EURO STOXX Banks Index Dividend Futures | 12/19/2025 | 3,215,506 | (456,844 | ) | |||||||
26 | Euro-BTP Italian Bond Futures | 03/07/2024 | 3,420,071 | (72,732 | ) | |||||||
93 | Euronext Milling Wheat Future(f) | 03/11/2024 | 1,142,222 | 14,657 | ||||||||
45 | Financial Times Stock | 03/15/2024 | 2,282,900 | (121,079 | ) | |||||||
33 | FVSA index - Mini-Futures on VSTOXX | 01/17/2024 | 54,101 | 778 | ||||||||
7 | HKG Hang Seng China Enterprises Index Future | 01/30/2024 | 259,792 | (7,005 | ) | |||||||
2 | HKG Hang Seng Index Future | 01/30/2024 | 219,401 | (3,482 | ) | |||||||
65 | ICE Brent Crude Oil Future(f) | 01/31/2024 | 5,007,600 | 213,359 | ||||||||
35 | ICE US MSCI Emerging Markets EM Index Futures | 03/15/2024 | 1,808,975 | (36,186 | ) | |||||||
1 | LME Nickel Future(f) | 02/19/2024 | 99,123 | 279 | ||||||||
17 | MGE Red Wheat Future(f) | 03/14/2024 | 614,975 | 4,521 | ||||||||
29 | Montreal Exchange 10 Year Canadian Bond Future | 03/19/2024 | 2,717,963 | (4,501 | ) | |||||||
15 | NYBOT CSC Number 11 World Sugar Future(f) | 02/29/2024 | 345,744 | 53,215 | ||||||||
2 | NYBOT CTN Number 2 Cotton Future(f) | 03/06/2024 | 81,000 | (685 | ) | |||||||
14 | NYMEX Henry Hub Natural Gas Futures(f) | 01/29/2024 | 351,961 | 1,133 | ||||||||
3 | NYMEX Reformulated Gasoline Blendstock for Oxygen(f) | 01/31/2024 | 265,394 | 5,760 | ||||||||
3 | SAFEX FTSE/JSE Top 40 Index Future | 03/20/2024 | 117,090 | (3,342 | ) | |||||||
64 | SFE 3 Year Australian Bond Future | 03/15/2024 | 4,661,086 | (42,541 | ) | |||||||
9 | SGX MSCI Singapore Index Future | 01/30/2024 | 196,210 | (9,049 | ) | |||||||
12 | TSE Japanese 10 Year Bond Futures | 03/13/2024 | 12,487,286 | (107,298 | ) | |||||||
7 | Ultra 10-Year US Treasury Note Futures | 03/19/2024 | 826,109 | (25,953 | ) | |||||||
26 | Ultra U.S. Treasury Bond Futures | 03/19/2024 | 3,473,438 | (165,101 | ) | |||||||
TOTAL SHORT FUTURES CONTRACTS | $ | (1,265,136 | ) | |||||||||
TOTAL OPEN FUTURES CONTRACTS | $ | 1,153,369 |
See accompanying notes to consolidated financial statements.
23
FULCRUM DIVERSIFIED ABSOLUTE RETURN FUND |
CONSOLIDATED SCHEDULE OF INVESTMENTS (Unaudited) (Continued) |
December 31, 2023 |
Unrealized Appreciation/ | ||||||||||||||||
Foreign Currency | Settlement Date | Counterparty | Local Currency | U.S. Dollar Value | (Depreciation) | |||||||||||
To Buy: | ||||||||||||||||
British Pound | 01/02/2024 | JPM | 36,809 | $ | 46,924 | $ | (2 | ) | ||||||||
Canadian Dollar | 01/02/2024 | JPM | 89,324 | 67,416 | (162 | ) | ||||||||||
Euro | 01/02/2024 | JPM | 205,630 | 227,015 | (932 | ) | ||||||||||
Norwegian Krone | 01/02/2024 | JPM | 420,800 | 41,419 | (47 | ) | ||||||||||
Swedish Krona | 01/02/2024 | JPM | 1,106,379 | 109,716 | (1,044 | ) | ||||||||||
Japanese Yen | 01/04/2024 | MS | 16,243,080 | 115,230 | 311 | |||||||||||
Chinese Yuan | 01/31/2024 | JPM | 21,632,764 | 3,048,672 | 20,672 | |||||||||||
Czech Koruna | 01/31/2024 | JPM | 39,798,391 | 1,777,978 | 1,715 | |||||||||||
Hungarian Forints | 01/31/2024 | JPM | 1,359,301,045 | 3,902,617 | 28,913 | |||||||||||
Mexican Peso | 01/31/2024 | JPM | 210,142,009 | 12,312,902 | 192,528 | |||||||||||
Norwegian Krone | 01/31/2024 | JPM | 14,942,667 | 1,471,878 | 35,652 | |||||||||||
Polish Zloty | 01/31/2024 | JPM | 44,713,897 | 11,360,622 | 151,489 | |||||||||||
Singapore Dollar | 01/31/2024 | JPM | 1,657,334 | 1,257,615 | 14,787 | |||||||||||
South African Rand | 01/31/2024 | JPM | 66,201,776 | 3,609,972 | 78,493 | |||||||||||
Swedish Krona | 01/31/2024 | JPM | 27,798,530 | 2,760,057 | 54,885 | |||||||||||
Swiss Franc | 01/31/2024 | JPM | 730,635 | 871,397 | 31,811 | |||||||||||
Brazilian Real | 03/20/2024 | JPM | 15,096,986 | 3,087,634 | 62,343 | |||||||||||
Chilean Peso | 03/20/2024 | JPM | 453,446,383 | 512,982 | 2,427 | |||||||||||
Columbian Peso | 03/20/2024 | JPM | 4,220,235,170 | 1,072,712 | 34,327 | |||||||||||
Indian Rupee | 03/20/2024 | JPM | 140,190,271 | 1,678,708 | (3,196 | ) | ||||||||||
Indonesia Rupiah | 03/20/2024 | JPM | 9,652,526,758 | 626,835 | 6,835 | |||||||||||
Philippine Peso | 03/20/2024 | JPM | 59,228,658 | 1,069,617 | 3,874 | |||||||||||
South Korean Won | 03/20/2024 | JPM | 1,397,870,206 | 1,082,146 | 7,146 | |||||||||||
Taiwanese Dollar | 03/20/2024 | JPM | 47,698,603 | 1,579,405 | 25,291 | |||||||||||
Thailand Baht | 03/20/2024 | JPM | 20,438,028 | 597,823 | 5,823 | |||||||||||
$ | 54,289,292 | $ | 753,939 | |||||||||||||
To Sell: | ||||||||||||||||
Australian Dollar | 01/02/2024 | JPM | 408,453 | $ | 278,389 | $ | 162 | |||||||||
British Pound | 01/02/2024 | JPM | 153,190 | 195,288 | (143 | ) | ||||||||||
Canadian Dollar | 01/02/2024 | JPM | 149,083 | 112,518 | 469 | |||||||||||
Danish Krone | 01/02/2024 | JPM | 519,295 | 76,912 | 349 | |||||||||||
Euro | 01/02/2024 | JPM | 345,321 | 381,233 | 1,111 | |||||||||||
Norwegian Krone | 01/02/2024 | JPM | 800,903 | 78,832 | 206 | |||||||||||
Swedish Krona | 01/02/2024 | JPM | 629,323 | 62,407 | 666 | |||||||||||
Swiss Franc | 01/03/2024 | JPM | 96,454 | 114,680 | 251 | |||||||||||
Japanese Yen | 01/04/2024 | JPM | 128,844,300 | 914,035 | (5,245 | ) | ||||||||||
Chinese Yuan | 01/31/2024 | JPM | 39,608,974 | 5,582,031 | (18,426 | ) | ||||||||||
Czech Koruna | 01/31/2024 | JPM | 39,798,390 | 1,777,979 | (7,979 | ) | ||||||||||
Hungarian Forints | 01/31/2024 | JPM | 882,407,954 | 2,533,436 | (4,176 | ) | ||||||||||
Mexican Peso | 01/31/2024 | JPM | 137,140,372 | 8,035,501 | (166,737 | ) | ||||||||||
Norwegian Krone | 01/31/2024 | JPM | 22,634,026 | 2,229,491 | (108,404 | ) | ||||||||||
Polish Zloty | 01/31/2024 | JPM | 37,038,393 | 9,410,477 | (137,556 | ) | ||||||||||
Singapore Dollar | 01/31/2024 | JPM | 2,664,694 | 2,022,020 | (19,627 | ) | ||||||||||
South African Rand | 01/31/2024 | JPM | 56,353,476 | 3,072,945 | (27,764 | ) | ||||||||||
South African Rand | 01/31/2024 | JPM | 1,708,508 | 93,165 | (165 | ) | ||||||||||
Swedish Krona | 01/31/2024 | JPM | 1,094,949 | 108,716 | (293 | ) |
See accompanying notes to consolidated financial statements.
24
FULCRUM DIVERSIFIED ABSOLUTE RETURN FUND |
CONSOLIDATED SCHEDULE OF INVESTMENTS (Unaudited) (Continued) |
December 31, 2023 |
Foreign Currency | Settlement Date | Counterparty | Local Currency | U.S. Dollar Value | Appreciation/ (Depreciation) | |||||||||||
To Sell (Continued): | ||||||||||||||||
Swiss Franc | 01/31/2024 | JPM | 235,661 | $ | 281,064 | $ | (205 | ) | ||||||||
Brazilian Real | 03/20/2024 | JPM | 681,187 | 139,315 | (591 | ) | ||||||||||
Chilean Peso | 03/20/2024 | JPM | 431,813,977 | 488,510 | (1,871 | ) | ||||||||||
Indian Rupee | 03/20/2024 | JPM | 30,287,272 | 362,674 | 326 | |||||||||||
Indonesia Rupiah | 03/20/2024 | JPM | 14,452,085,044 | 938,518 | (13,056 | ) | ||||||||||
Philippine Peso | 03/20/2024 | JPM | 18,128,229 | 327,378 | (1,231 | ) | ||||||||||
South Korean Won | 03/20/2024 | JPM | 2,338,137,325 | 1,810,044 | (1,508 | ) | ||||||||||
Taiwanese Dollar | 03/20/2024 | JPM | 30,176,850 | 999,222 | (25,502 | ) | ||||||||||
Thailand Baht | 03/20/2024 | JPM | 58,393,852 | 1,708,052 | (42,011 | ) | ||||||||||
$ | 44,134,832 | $ | (578,950 | ) | ||||||||||||
Total | $ | 174,989 |
CREDIT DEFAULT SWAP AGREEMENTS
Description | Counterparty | Fixed Deal (Pay)Rate | Maturity Date | Notional Value | Fair Value | Amortized Upfront Payments Paid | Unrealized Appreciation | |||||||||||||||
CDX.EM SERIES 40^ | JPM | 1.00% | 12/20/2028 | $ | (2,600,000 | ) | $ | (74,367 | ) | (118,584 | ) | $ | 44,217 | |||||||||
CDX.NA.IG SERIES 41^ | JPM | 1.00% | 12/20/2028 | (3,800,000 | ) | 74,976 | 49,361 | 25,615 | ||||||||||||||
ITRAXX EUROPE SERIES 40^ | JPM | 1.00% | 12/20/2028 | (2,600,000 | ) | 56,708 | 31,507 | 25,201 | ||||||||||||||
TOTAL | $ | 95,033 |
^ | Sell Protection. |
DISPERSION SWAP CONTRACTS*
Unrealized | ||||||||||||||||
Description | Counterparty | Receive | Pay | Maturity Date | Notional Value | Appreciation/(Depreciation) | ||||||||||
SPX Index | MER | Stock Basket Volatility | Index Volatility | 01/17/2025 | $ | 20,000 | $ | 19,425 | ||||||||
SPX Index | BAR | Stock Basket Volatility | Index Volatility | 01/17/2025 | 20,000 | (1,785 | ) | |||||||||
SPX Index | HSBC | Stock Basket Volatility | Index Volatility | 01/17/2025 | 20,000 | (431 | ) | |||||||||
SPX Index | UBS | Stock Basket Volatility | Index Volatility | 01/17/2025 | 20,000 | (17,201 | ) | |||||||||
SPX Index | UBS | Stock Basket Volatility | Index Volatility | 01/17/2025 | 25,000 | 3,399 | ||||||||||
SX5E Index | MS | Stock Basket Volatility | Index Volatility | 12/20/2024 | 10,000 | (2,913 | ) | |||||||||
SX5E Index | MS | Stock Basket Volatility | Index Volatility | 12/20/2024 | 10,000 | (3,828 | ) | |||||||||
TOTAL | $ | (3,334 | ) |
* | Pays annually. |
See accompanying notes to consolidated financial statements.
25
FULCRUM DIVERSIFIED ABSOLUTE RETURN FUND |
CONSOLIDATED SCHEDULE OF INVESTMENTS (Unaudited) (Continued) |
December 31, 2023 |
INTEREST RATE SWAPS^
Amortized Upfront | Unrealized | |||||||||||||||||||||
Payments | Appreciation/ | |||||||||||||||||||||
Rate Paid | Rate Received | Payment Frequency | Maturity Date | Notional Value | Fair Value | Paid/(Received) | (Depreciation) | |||||||||||||||
0.323 | JPY -TONAR | Annually | 12/6/2025 | $ | (4,247,268,840 | ) | $ | (7,564 | ) | $ | 17,560 | $ | (25,124 | ) | ||||||||
PLN – 6m WIBOR | 4.393 | Semi-annually | 3/20/2029 | 6,476,300 | 4,970 | 18,481 | (13,511 | ) | ||||||||||||||
3.874 | ILS - TELBOR | Quarterly | 3/20/2034 | (3,600,000 | ) | (15,088 | ) | 152 | (15,240 | ) | ||||||||||||
GBP - SONIA | 4.482 | Annually | 3/20/2026 | 5,083,100 | 85,690 | 1,271 | 84,419 | |||||||||||||||
PLN – 6m WIBOR | 4.589 | Semi-annually | 3/20/2026 | 34,051,100 | (22,889 | ) | 26,344 | (49,233 | ) | |||||||||||||
4.893 | CLP-TNA | Semi-annually | 3/20/2034 | (1,200,000,000 | ) | (5,159 | ) | (503 | ) | (4,656 | ) | |||||||||||
INR - MIBOR | 6.416 | Semi-annually | 3/20/2029 | 152,185,600 | 21,632 | 18,518 | 3,114 | |||||||||||||||
1.483 | JPY - TIBOR | Quarterly | 3/20/2029 | (72,000,000 | ) | (18,913 | ) | 531 | (19,444 | ) | ||||||||||||
2.428 | THB - THOR | Quarterly | 3/20/2029 | (84,000,000 | ) | (15,198 | ) | 1,098 | (16,296 | ) | ||||||||||||
0.535 | JPY -TONAR | Annually | 3/21/2029 | (514,752,100 | ) | (7,359 | ) | 177 | (7,536 | ) | ||||||||||||
JPY - TIBOR | 1.46 | Annually | 3/21/2054 | 179,365,397 | (6,834 | ) | 8,016 | (14,850 | ) | |||||||||||||
0.264 | JPY -TONAR | Annually | 3/23/2026 | (2,449,913,600 | ) | (28,221 | ) | (9,800 | ) | (18,421 | ) | |||||||||||
0.264 | JPY -TONAR | Annually | 3/23/2026 | (2,185,674,200 | ) | (7,691 | ) | 112 | (7,803 | ) | ||||||||||||
1.457 | JPY - TIBOR | Annually | 3/21/2064 | (80,000,000 | ) | 4,029 | 45 | 3,984 | ||||||||||||||
NZD - BKBM | 5.024 | Quarterly | 3/20/2026 | 27,610,400 | 190,829 | 42,703 | 148,126 | |||||||||||||||
JPY - TIBOR | 2.43 | Quarterly | 3/20/2029 | 91,819,600 | 87,980 | 5,695 | 82,285 | |||||||||||||||
NZD - BKBM | 4.593 | Semi-annually | 3/20/2029 | 7,296,700 | 120,961 | 2,184 | 118,777 | |||||||||||||||
CHF - SARON | 1.512 | Annually | 6/21/2024 | 20,510,900 | (170 | ) | — | (170 | ) | |||||||||||||
CHF - SARON | 1.0827 | Annually | 3/20/2026 | 2,682,200 | 1,485 | — | 1,485 | |||||||||||||||
EUR - ESTR | 2.3832 | Annually | 3/20/2026 | 19,956,200 | 26,677 | — | 26,677 | |||||||||||||||
USD – 6m Bills | 3.77 | Annually | 12/19/2025 | 37,429,600 | 15,810 | (53,433 | ) | 37,623 | ||||||||||||||
4.07 | USD – 6m Bills | Semi-annually | 3/20/2025 | (36,328,700 | ) | 35,357 | 59,293 | (23,936 | ) | |||||||||||||
NOK - NIBOR | 3.3038 | Semi-annually | 3/20/2029 | 19,501,400 | (4,560 | ) | 343 | (4,903 | ) | |||||||||||||
TOTAL | $ | 285,367 |
^ | Counterparty is J.P. Morgan Investment Bank. |
TOTAL RETURN SWAPS*
Unrealized Appreciation/ | ||||||||||||
Description | Counterparty | Notional Value | Variable Rate | Maturity Date | (Depreciation) | |||||||
ADNOC Drilling Co. | MS | 69,344 | Pay SOFR + 1.15% | 11/13/2024 | $ | 4,767 | ||||||
Air China Ltd. | JPM | 369,332 | Receive HONIA – 0.35% | 9/10/2024 | (2,044 | ) | ||||||
Archer Daniels Midland Co. | JPM | 62,064 | Receive OBFR – 0.02% | 11/21/2030 | (1,041 | ) | ||||||
Bloomberg Commodity ex-Agriculture and Livestock Capped Index | JPM | 1,209,153 | Pay Performance | 3/9/2051 | (9,912 | ) | ||||||
BCIIACTM1 | BAR | 2,265,702 | Receive SOFR – 0.26% | 7/21/2025 | (14,090 | ) | ||||||
BCIICAPG2 | BAR | 740,941 | Receive SOFR – 0.02% | 8/9/2024 | (15,878 | ) | ||||||
BCIIDISC3 | BAR | 1,174,690 | Receive SOFR – 0.025% | 7/6/2024 | (13,939 | ) | ||||||
BCIIFFOD4 | BAR | 2,156,898 | Receive SOFR – 0.03% | 4/3/2024 | (38,399 | ) | ||||||
BCIIJPBK5 | BAR | 1,172,131 | Pay SOFR + 0.20% | 12/6/2024 | 1,160 | |||||||
BCIIPRIV6 | BAR | 3,094,891 | Pay SOFR + 0.25% | 4/28/2024 | 52,439 | |||||||
BCIIWMAH7 | BAR | 449,064 | Pay SOFR + 0.20% | 12/6/2024 | 9,302 | |||||||
Bunge Global Ltd. | JPM | 59,220 | Receive OBFR – 0.02% | 11/21/2030 | 248 | |||||||
CF Industries Holdings, Inc. | JPM | 55,961 | Receive OBFR – 0.02% | 11/21/2030 | 311 | |||||||
CGFCAWIN8 | CIT | 2,330,093 | Pay OBFR + 0.38% | 8/9/2024 | 97,995 | |||||||
CGFCBVRG9 | CIT | 1,177,342 | Receive OBFR -0.25% | 10/10/2030 | (31,082 | ) | ||||||
CGFCGROY10 | CIT | 201,290 | Pay OBFR + 0.35% | 9/18/2024 | 5,396 | |||||||
CGFCITDS11 | CIT | 1,965,088 | Receive OBFR – 0.35% | 7/24/2024 | (104,306 | ) |
See accompanying notes to consolidated financial statements.
26
FULCRUM DIVERSIFIED ABSOLUTE RETURN FUND |
CONSOLIDATED SCHEDULE OF INVESTMENTS (Unaudited) (Continued) |
December 31, 2023 |
TOTAL RETURN SWAPS* (Continued)
Unrealized Appreciation/ | ||||||||||||
Description | Counterparty | Notional Value | Variable Rate | Maturity Date | (Depreciation) | |||||||
CGFCJPBK12 | CIT | 179,579,397 | Pay TONAR + 0.10% | 8/27/2024 | $ | (87,857 | ) | |||||
CGFCREIT13 | CIT | 214,052 | Pay ESTR + 0.05% | 12/10/2030 | 7,311 | |||||||
CGFCWHEH14 | CIT | 1,290,374 | Receive OBFR – 0.25% | 7/25/2024 | (57,374 | ) | ||||||
CGFCWMAH15 | CIT | 1,635,133 | Pay OBFR | 11/10/2030 | 109,982 | |||||||
CGFOOILP16 | CIT | 2,114,095 | Receive OBFR – 0.15% | 7/9/2024 | (51,315 | ) | ||||||
CGNAECOM17 | CIT | 10,413 | Receive OBFR – 4.05% | 3/10/2025 | 8 | |||||||
China Eastern Airlines Corp., Ltd. | JPM | 90,219 | Receive HONIA – 4.25% | 9/10/2024 | (261 | ) | ||||||
Corteva, Inc. | JPM | 37,312 | Receive OBFR – 0.02% | 11/21/2030 | (444 | ) | ||||||
CPFL Energia SA | MS | 70,346 | Pay 1DBRL + 0.50% | 12/7/2024 | 216 | |||||||
CS Wind Corp. | MS | 34,859 | Receive SOFR – 2.375% | 8/30/2024 | (3,737 | ) | ||||||
Doosan Fuel Cell Co., Ltd. | MS | 16,585 | Receive SOFR – 3.688% | 8/30/2024 | (470 | ) | ||||||
EVA Airways Corp. | JPM | 30,815 | Receive OBFR – 4.375% | 9/10/2024 | (916 | ) | ||||||
FMC Corp. | JPM | 32,416 | Receive OBFR – 0.02% | 11/21/2030 | (753 | ) | ||||||
GSGLPHRE18 | GS | 2,614,879 | Receive SOFR – 0.05% | 2/13/2026 | 31,106 | |||||||
GSMBATDM19 | GS | 2,490,808 | Pay SOFR + 1.15% | 12/12/2025 | (1,872 | ) | ||||||
GSMBFINH20 | GS | 1,351,387 | Receive SOFR -0.04% | 9/19/2024 | (19,493 | ) | ||||||
GSMBHLUX21 | GS | 387,876 | Receive SOFR – 0.04% | 9/21/2030 | 2,161 | |||||||
GSMBLITH22 | GS | 384,771 | Receive SOFR – 1.35% | 9/21/2030 | (14,500 | ) | ||||||
GSMBLUXE23 | GS | 601,515 | Pay SOFR + 0.40% | 8/3/2024 | (7,626 | ) | ||||||
Hanwha Solutions Corp. | MS | 52,757 | Receive Performance | 8/30/2024 | (6,777 | ) | ||||||
Hanwha Ocean Co., Ltd. | MS | 34,823 | Receive SOFR – 0.25% | 11/23/2024 | (2,673 | ) | ||||||
HD Korea Shipbuilding | MS | 38,662 | Pay SOFR + 0.75% | 11/23/2024 | 2,403 | |||||||
Hyundai Mipo Dockyard Co., Ltd. | MS | 36,172 | Pay SOFR + 0.75% | 11/23/2024 | 1,295 | |||||||
JBS S/A | JPM | 1,474,330 | Receive 1DBRL – 4.00% | 6/5/2024 | (12,605 | ) | ||||||
JPFCITSV24 | JPM | 620,787 | Receive SOFR – 0.03% | 2/28/2024 | (4,374 | ) | ||||||
JPFUMEDA25 | JPM | 447,956 | Pay OBFR + 0.40% | 1/10/2024 | (3,316 | ) | ||||||
JPFUOMED26 | JPM | 1,863,427 | Receive OBFR – 0.05% | 3/13/2024 | 51,083 | |||||||
JPFURU127 | JPM | 1 | Pay OBFR | 3/30/2025 | (1 | ) | ||||||
JPFUSHP228 | JPM | 342,381 | Receive OBFR – 1.47% | 6/21/2025 | 3,513 | |||||||
JPFUSOEC29 | JPM | 529,786 | Receive OBFR – 0.75% | 3/15/2024 | (19,809 | ) | ||||||
JPTAOBRL30 | JPM | 2,659,623 | Pay 1DBRL + 0.50% | 6/21/2024 | 4,309 | |||||||
M8EUSC31 | JPM | 96,737 | Receive ESTR – 0.06% | 5/11/2024 | (684 | ) | ||||||
Mosaic Co. (The) | JPM | 29,718 | Receive OBFR – 0.02% | 11/21/2030 | 533 | |||||||
MSFDRUS32 | MS | 36,502,287 | N/A | 7/3/2025 | 142,393 | |||||||
Neoenergia S/A | MS | 64,883 | Pay 1DBRL + 0.50% | 12/7/2024 | 551 | |||||||
Nutrien Ltd. | JPM | 42,000 | Receive OBFR – 0.02% | 11/21/2030 | (74 | ) | ||||||
Qatar Gas Transport Co., Ltd. | MS | 31,163 | Pay SOFR + 1.15% | 6/25/2024 | 2,503 | |||||||
Samsung Heavy Industries Co., Ltd. | MS | 35,439 | Pay SOFR + 0.75% | 11/23/2024 | (1,009 | ) | ||||||
Sao Martinho S/A | MS | 64,452 | Pay 1DBRL + 1.50% | 9/20/2030 | 262 | |||||||
Tyson Foods, Inc. | JPM | 28,620 | Receive OBFR – 0.02% | 11/21/2030 | (1,117 | ) | ||||||
United Renewable Energy Co., Ltd. | MS | 5,126 | Receive SOFR – 4.063% | 8/30/2024 | (92 | ) | ||||||
TOTAL | $ | 1,407 |
* | No upfront premiums paid on the Total Return Swaps. Each swap pays monthly. |
See accompanying notes to consolidated financial statements.
27
FULCRUM DIVERSIFIED ABSOLUTE RETURN FUND |
CONSOLIDATED SCHEDULE OF INVESTMENTS (Unaudited) (Continued) |
December 31, 2023 |
Definitions
ADR | - American Depositary Receipt |
A/S | - Anonim Sirketi |
ETF | - Exchange-Traded Fund |
Ltd | - Limited Company |
MSCI | - Morgan Stanley Capital International |
N.V. | - Naamioze Vennootschap |
PLC | - Public Limited Company |
REIT | - Real Estate Investment Trust |
S/A | - Société Anonyme |
Counterparty Definitions
BAR | Barclays |
CIT | Citigroup |
GS | Goldman Sachs |
HSBC | HSBC Securities |
JPM | JP Morgan |
MER | Merrill Lynch |
MS | Morgan Stanley |
UBS | UBS |
(a) | Percentage rounds to less than 0.1%. |
(b) | Non-income producing security. |
(c) | Foreign issued security. |
(d) | Correlation swap option – option gives the right to the Fund to short correlation swap. |
(e) | Each option contract allows the holder of the option to purchase or sell 10 shares of the underlying index. |
(f) | All or a portion of this investment is a holding of the Fulcrum Absolute Return Fund CFC. |
(g) | Each option contract allows the holder of the option to purchase or sell 100 shares of the underlying security. |
(h) | Each futures option contract is equivalent to one futures contract. |
(i) | The amounts shown are the underlying reference notional amounts to stock exchange indices and equities upon which the fair value of the futures contracts held by the Fund are based. Notional values do not represent the current fair value of, and are not necessarily indicative of the future cash flows of the Fund’s futures contracts. Further, the underlying price changes in relation to the variables specified by the notional values affects the fair value of these derivative financial instruments. The notional values as set forth within this schedule do not purport to represent economic value at risk to the Fund. |
See accompanying notes to consolidated financial statements.
28
FULCRUM DIVERSIFIED ABSOLUTE RETURN FUND |
CONSOLIDATED SCHEDULE OF INVESTMENTS (Unaudited) (Continued) |
December 31, 2023 |
1 | BCIIACTM is a custom basket of investment management stocks. The components of the basket as of December 31, 2023 are shown on the following pages. |
2 | BCIICAPG is a custom basket of electrification stocks. |
3 | BCIIDISC is a custom basket of U.S. housing stocks. |
4 | BCIIFFOD is a custom basket of consumer trends sector stocks. The components of the basket as of December 31, 2023 are shown on the following pages. |
5 | BCIIJPBK is a custom basket of Japanese bank stocks. |
6 | BCIIPRIV is a custom basket of global financial stocks. The components of the basket as of December 31, 2023 are shown on the following pages. |
7 | BCIIWMAH is a custom basket of chemical industry stocks. |
8 | CGFCAWIN is a custom basket of technology stocks. The components of the basket as of December 31, 2023 are shown on the following pages. |
9 | CGFCBVRG is a custom basket of consumer trends and short processed food stocks. |
10 | CGFCGROY is a custom basket of commodities stocks. |
11 | CGFCITDS is a custom basket of technology stocks. |
12 | CGFCJPBK is a custom basket of global financial and bank stocks. The components of the basket as of December 31, 2023 are shown on the following pages. |
13 | CGFCREIT is a custom basket of real estate investment stocks. |
14 | CGFCWHEH is a custom basket of healthcare stocks. |
15 | CGFCWMAH is a custom basket of U.S. housing and cyclical sector stocks. |
16 | CGFOOILP is a custom basket of U.S. housing and cyclical sector stocks. The components of the basket as of December 31, 2023 are shown on the following pages. |
17 | CGNAECOM is a custom basket of consumer trends stocks. |
18 | GSGLPHRE is a custom basket of retail company stocks. The components of the basket as of December 31, 2023 are shown on the following pages. |
19 | GSMBATDM is a custom basket of retail company stocks. The components of the basket as of December 31, 2023 are shown on the following pages. |
20 | GSMBFINH is a custom basket of global financial stocks. |
21 | GSMBHLUX is a custom basket of retail company stocks. |
22 | GSMBLITH is a custom basket of auto company stocks. |
23 | GSMBLUXE is a custom basket of retail company stocks. |
24 | JPFCITSV is a custom basket of information technology stocks. |
25 | JPFUMEDA is a custom basket of media company stocks. |
26 | JPFUOMED is a custom basket of media company stocks. |
27 | JPFURU1 I is a custom basket of metal and coal stocks. |
28 | JPFUSHP2 is a custom basket of containership company stocks. |
29 | JPFUSOEC is a custom basket of Chinese company stocks. |
30 | JPTAOBRL is a custom basket of Brazilian company stocks. The components of the basket as of December 31, 2023 are shown on the following pages. |
31 | M8EUSC – MSCI Europe Small Cap Index |
32 | MSFDRUS I – The components of the basket as of December 31, 2023 are shown on the following pages. |
See accompanying notes to consolidated financial statements.
29
FULCRUM DIVERSIFIED ABSOLUTE RETURN FUND |
CONSOLIDATED SCHEDULE OF INVESTMENTS (Unaudited) |
December 31, 2023 |
The following table represents the individual positions and related values of underlying securities of the BCIIACTM Index Total Return Swap with Barclays.
Name | Quantity | Value | Weight | |||||||||
Invesco Ltd. | (15,980 | ) | $ | (277,110 | ) | 12.28 | % | |||||
Franklin Resources, Inc . | (8,922 | ) | (260,711 | ) | 11.55 | % | ||||||
T Rowe Price Group, Inc. | (2,374 | ) | (253,501 | ) | 11.23 | % | ||||||
Janus Henderson Group PLC | (8,422 | ) | (249,208 | ) | 11.04 | % | ||||||
Abrdn PLC | (85,977 | ) | (199,966 | ) | 8.86 | % | ||||||
Artisan Partners Asset | (4,310 | ) | (191,087 | ) | 8.46 | % | ||||||
Schroders PLC | (19,321 | ) | (106,491 | ) | 4.72 | % | ||||||
Affiliated Managers Group | (602 | ) | (90,627 | ) | 4.01 | % | ||||||
Alliancebernstein Holding Lp | (2,782 | ) | (89,618 | ) | 3.97 | % | ||||||
Amundi S/A | (1,311 | ) | (88,369 | ) | 3.91 | % | ||||||
Federated Hermes, Inc. | (2,341 | ) | (77,618 | ) | 3.44 | % | ||||||
Nasdaq, Inc. | (1,081 | ) | (59,875 | ) | 2.65 | % | ||||||
Stepstone Group, Inc. Class A | (1,565 | ) | (45,840 | ) | 2.03 | % | ||||||
Virtu Financial, Inc. Class A | (2,230 | ) | (45,526 | ) | 2.02 | % | ||||||
Virtus Investment Partners | (203 | ) | (44,176 | ) | 1.96 | % | ||||||
LGM Financial, Inc. | (1,627 | ) | (43,113 | ) | 1.91 | % | ||||||
Victory Capital Holding - A | (1,245 | ) | (42,506 | ) | 1.88 | % | ||||||
Anima Holding Spa | (7,630 | ) | (33,020 | ) | 1.46 | % | ||||||
Bridgepoint Group | (6,712 | ) | (23,889 | ) | 1.06 | % | ||||||
DWS Group GMBH & Co. KGAA | (584 | ) | (21,847 | ) | 0.97 | % | ||||||
Ashmore Group PLC | (5,007 | ) | (13,412 | ) | 0.59 | % | ||||||
$ | (2,257,510 | ) | 100.00 | % |
The following table represents the individual positions and related values of underlying securities of the BCIIFFOD Index Total Return Swap with Barclays.
Name | Quantity | Value | Weight | |||||||||
Danone | (1,654 | ) | $ | (105,258 | ) | 4.52 | % | |||||
Keurig Dr Pepper, Inc. | (2,953 | ) | (95,687 | ) | 4.11 | % | ||||||
Unilever PLC | (1,864 | ) | (88,756 | ) | 3.81 | % | ||||||
Kellogg Co. | (1,582 | ) | (85,321 | ) | 3.67 | % | ||||||
Campbell Soup Co. | (1,922 | ) | (84,128 | ) | 3.62 | % | ||||||
Kraft Heinz Co. (The) | (2,252 | ) | (82,663 | ) | 3.55 | % | ||||||
Treehouse Foods, Inc. | (1,993 | ) | (82,508 | ) | 3.55 | % | ||||||
Hershey Co. (The) | (450 | ) | (82,054 | ) | 3.53 | % | ||||||
Conagra Brands, Inc. | (2,758 | ) | (81,331 | ) | 3.50 | % | ||||||
Jm Smucker Co. (The) | (646 | ) | (80,056 | ) | 3.44 | % | ||||||
Post Holdings, Inc. | (886 | ) | (78,140 | ) | 3.36 | % | ||||||
General Mills, Inc. | (1,176 | ) | (78,013 | ) | 3.35 | % | ||||||
Mccormick & Co. | (1,144 | ) | (77,441 | ) | 3.33 | % | ||||||
Coca-Cola Co. (The) | (1,256 | ) | (74,110 | ) | 3.19 | % | ||||||
Nestle S/A | (654 | ) | (73,992 | ) | 3.18 | % | ||||||
Reckitt Benckiser Group PLC | (1,039 | ) | (71,254 | ) | 3.06 | % | ||||||
Pepsico, Inc. | (412 | ) | (69,523 | ) | 2.99 | % | ||||||
Dollar Tree, Inc. | (521 | ) | (67,963 | ) | 2.92 | % | ||||||
Constellation Brands, Inc. - A | (279 | ) | (66,628 | ) | 2.86 | % | ||||||
Tootsie Roll Inds. | (1,980 | ) | (66,302 | ) | 2.85 | % | ||||||
J & J Snack Foods Corp. | (385 | ) | (64,889 | ) | 2.79 | % | ||||||
Utz Brands, Inc. | (4,058 | ) | (62,327 | ) | 2.68 | % | ||||||
Lamb Weston Holdings, Inc. | (577 | ) | (61,838 | ) | 2.66 | % | ||||||
Mondelez International, Inc. - A | (869 | ) | (61,769 | ) | 2.65 | % | ||||||
Hormel Foods Corp. | (1,892 | ) | (59,810 | ) | 2.57 | % | ||||||
Flowers Foods, Inc. | (2,468 | ) | (54,881 | ) | 2.36 | % | ||||||
Colgate-Palmolive Co. | (663 | ) | (51,739 | ) | 2.22 | % | ||||||
Sysco Corp. | (695 | ) | (50,612 | ) | 2.18 | % | ||||||
Tate & Lyle PLC | (5,919 | ) | (48,360 | ) | 2.08 | % | ||||||
JDE Peet’s N.V. | (1,646 | ) | (44,362 | ) | 1.91 | % | ||||||
Saputo, Inc. | (2,148 | ) | (42,053 | ) | 1.81 | % | ||||||
Lancaster Colony Corp. | (198 | ) | (33,101 | ) | 1.42 | % | ||||||
Orkla Asa | (4,355 | ) | (32,637 | ) | 1.40 | % | ||||||
Hain Celestial Group, Inc. | (2,732 | ) | (28,798 | ) | 1.24 | % | ||||||
WK Kellogg Co. | (2,018 | ) | (24,464 | ) | 1.05 | % | ||||||
B&G Foods, Inc. | (1,306 | ) | (13,880 | ) | 0.60 | % | ||||||
$ | (2,326,648 | ) | 100.00 | % |
See accompanying notes to consolidated financial statements.
30
FULCRUM DIVERSIFIED ABSOLUTE RETURN FUND |
CONSOLIDATED SCHEDULE OF INVESTMENTS (Unaudited)(Continued) |
December 31, 2023 |
The following table represents the individual positions and related values of underlying securities of the BCIIPRIV Index Total Return Swap with Barclays.
Name | Quantity | Value | Weight | |||||||||
Apollo Global Management, Inc. | 6,240 | $ | 587,028 | 17.18 | % | |||||||
Ares Management Corp. - A | 4,774 | 560,897 | 16.41 | % | ||||||||
3I Group PLC | 16,734 | 503,262 | 14.73 | % | ||||||||
Blue Owl Capital, Inc. | 23,775 | 342,123 | 10.01 | % | ||||||||
Hamilton Lane, Inc. Class A | 2,496 | 274,663 | 8.04 | % | ||||||||
Partners Group Holding AG | 192 | 267,808 | 7.84 | % | ||||||||
Intermediate Capital Group | 10,310 | 220,684 | 6.46 | % | ||||||||
Blackstone, Inc. | 1,748 | 220,158 | 6.44 | % | ||||||||
EQT AB | 6,538 | 178,804 | 5.23 | % | ||||||||
Carlyle Group, Inc. (The) | 3,858 | 161,247 | 4.72 | % | ||||||||
P10 Inc. - A | 3,443 | 35,015 | 1.02 | % | ||||||||
GCM Grosvenor, Inc. - Class A | 3,629 | 32,303 | 0.95 | % | ||||||||
Bridge Investment Group Holdings - A | 2,628 | 23,130 | 0.68 | % | ||||||||
Brederode | 96 | 10,218 | 0.30 | % | ||||||||
$ | 3,417,340 | 100.00 | % |
The following table represents the individual positions and related values of underlying securities of the CGFCAWIN Index Total Return Swap with Citigroup.
Name | Quantity | Value | Weight | |||||||||
Vertiv Holdings Co. | 5,249 | $ | 248,782 | 11.61 | % | |||||||
Nvidia Corp. | 406 | 201,703 | 9.41 | % | ||||||||
Broadcom, Inc. | 164 | 185,982 | 8.68 | % | ||||||||
Sk Hynix, Inc. | 1,733 | 184,491 | 8.61 | % | ||||||||
Disco Corp. | 799 | 180,623 | 8.43 | % | ||||||||
Super Micro Computer, Inc. | 516 | 164,902 | 7.70 | % | ||||||||
Wiwynn Corp. | 2,683 | 147,312 | 6.88 | % | ||||||||
Synopsys, Inc. | 265 | 146,853 | 6.85 | % | ||||||||
Arista Networks, Inc. | 540 | 127,915 | 5.97 | % | ||||||||
Alchip Technologies Ltd. | 1,125 | 119,666 | 5.59 | % | ||||||||
Nvent Electric PLC | 1,923 | 111,110 | 5.19 | % | ||||||||
Be Semiconductor Industries | 720 | 106,761 | 4.98 | % | ||||||||
Gold Circuit Electronics Ltd. | 14,772 | 100,984 | 4.71 | % | ||||||||
Faraday Technology Corp. | 7,517 | 87,312 | 4.08 | % | ||||||||
ASM Pacific Technology | 2,893 | 27,964 | 1.31 | % | ||||||||
$ | 2,142,360 | 100.00 | % |
The following table represents the individual positions and related values of underlying securities of the CGFCAWIN Index Total Return Swap with Citigroup.
Name | Quantity | Value | Weight | |||||||||
Mitsubishi Ufj Financial Group | 14,753 | $ | 123,825 | 10.68 | % | |||||||
Chiba Bank Ltd. (The) | 13,150 | 96,788 | 8.35 | % | ||||||||
Concordia Financial Group Ltd. | 20,863 | 95,741 | 8.26 | % | ||||||||
Mizuho Financial Group, Inc. | 5,755 | 95,091 | 8.20 | % | ||||||||
Resona Holdings, Inc. | 18,733 | 94,222 | 8.13 | % | ||||||||
Sumitomo Mitsui Financial Group | 2,027 | 94,213 | 8.13 | % | ||||||||
Sumitomo Mitsui Trust Holding | 2,472 | 90,571 | 7.81 | % | ||||||||
Fukuoka Financial Group, Inc. | 3,056 | 69,853 | 6.03 | % | ||||||||
Mebuki Financial Group, Inc. | 20,384 | 62,269 | 5.37 | % | ||||||||
Yamaguchi Financial Group, Inc. | 6,200 | 55,060 | 4.75 | % | ||||||||
Shizuoka Financial Group, Inc. | 6,746 | 54,260 | 4.68 | % | ||||||||
77 Bank Ltd. (The) | 2,090 | 50,397 | 4.35 | % | ||||||||
Kyushu Financial Group, Inc. | 7,518 | 40,878 | 3.53 | % | ||||||||
Hirogin Holdings, Inc. | 5,812 | 36,459 | 3.14 | % | ||||||||
Nishi-Nippon Financial Holdings | 2,324 | 25,594 | 2.21 | % | ||||||||
Shiga Bank Ltd. (The) | 879 | 21,226 | 1.83 | % | ||||||||
Gunma Bank Ltd. (The) | 2,930 | 14,268 | 1.23 | % | ||||||||
Aozora Bank Ltd. | 617 | 13,386 | 1.15 | % | ||||||||
Hachijuni Bank Ltd. (The) | 2,369 | 12,971 | 1.12 | % | ||||||||
Seven Bank Ltd. | 5,925 | 12,252 | 1.06 | % | ||||||||
$ | 1,159,324 | 100.00 | % |
See accompanying notes to consolidated financial statements.
31
FULCRUM DIVERSIFIED ABSOLUTE RETURN FUND |
CONSOLIDATED SCHEDULE OF INVESTMENTS (Unaudited)(Continued) |
December 31, 2023 |
The following table represents the individual positions and related values of underlying securities of the CGFOOILP Index Total Return Swap with Citigroup.
Name | Quantity | Value | Weight | |||||||||
Matador Resources Co. | (1,516 | ) | $ | (87,356 | ) | 3.98 | % | |||||
Magnolia Oil & Gas Corp. - A | (3,944 | ) | (85,311 | ) | 3.89 | % | ||||||
Equinor Asa | (2,523 | ) | (80,425 | ) | 3.66 | % | ||||||
EOG Resources, Inc. | (661 | ) | (80,342 | ) | 3.66 | % | ||||||
Marathon Oil Corp. | (3,228 | ) | (79,321 | ) | 3.61 | % | ||||||
Occidental Petroleum Corp. | (1,332 | ) | (78,559 | ) | 3.58 | % | ||||||
Conocophillips | (670 | ) | (77,032 | ) | 3.51 | % | ||||||
Diamondback Energy, Inc. | (457 | ) | (71,114 | ) | 3.24 | % | ||||||
Apa Corp. | (1,927 | ) | (68,700 | ) | 3.13 | % | ||||||
Var Energi Asa | (21,779 | ) | (68,413 | ) | 3.12 | % | ||||||
Chord Energy Corp. | (360 | ) | (59,893 | ) | 2.73 | % | ||||||
Santos Ltd. | (11,343 | ) | (58,030 | ) | 2.64 | % | ||||||
Matador Resources Co. | (1,001 | ) | (57,690 | ) | 2.63 | % | ||||||
Northern Oil And Gas, Inc. | (1,511 | ) | (56,902 | ) | 2.59 | % | ||||||
Magnolia Oil & Gas Corp. - A | (2,605 | ) | (56,339 | ) | 2.57 | % | ||||||
Equinor Asa | (1,666 | ) | (53,112 | ) | 2.42 | % | ||||||
EOG Resources, Inc. | (436 | ) | (53,057 | ) | 2.42 | % | ||||||
Woodside Energy Group Ltd. | (2,577 | ) | (52,689 | ) | 2.40 | % | ||||||
Marathon Oil Corp. | (2,132 | ) | (52,384 | ) | 2.39 | % | ||||||
Sm Energy Co. | (1,365 | ) | (52,376 | ) | 2.39 | % | ||||||
Occidental Petroleum Corp. | (880 | ) | (51,880 | ) | 2.36 | % | ||||||
Conocophillips | (443 | ) | (50,872 | ) | 2.32 | % | ||||||
Devon Energy Corp. | (1,123 | ) | (50,811 | ) | 2.31 | % | ||||||
Permian Resources Corp. | (3,642 | ) | (48,958 | ) | 2.23 | % | ||||||
Diamondback Energy, Inc. | (302 | ) | (46,964 | ) | 2.14 | % | ||||||
Murphy Oil Corp. | (1,087 | ) | (46,604 | ) | 2.12 | % | ||||||
Apa Corp. | (1,273 | ) | (45,369 | ) | 2.07 | % | ||||||
Var Energi Asa | (14,383 | ) | (45,180 | ) | 2.06 | % | ||||||
Chord Energy Corp. | (238 | ) | (39,553 | ) | 1.80 | % | ||||||
Santos Ltd. | (7,491 | ) | (38,323 | ) | 1.75 | % | ||||||
Northern Oil And Gas, Inc. | (998 | ) | (37,578 | ) | 1.71 | % | ||||||
Talos Energy, Inc. | (2,532 | ) | (36,005 | ) | 1.64 | % | ||||||
Woodside Energy Group Ltd. | (1,702 | ) | (34,796 | ) | 1.58 | % | ||||||
Sm Energy Co. | (902 | ) | (34,589 | ) | 1.58 | % | ||||||
Kosmos Energy Ltd. | (5,084 | ) | (33,760 | ) | 1.54 | % | ||||||
Devon Energy Corp. | (742 | ) | (33,556 | ) | 1.53 | % | ||||||
Permian Resources Corp. | (2,405 | ) | (32,332 | ) | 1.47 | % | ||||||
Callon Petroleum Co. | (900 | ) | (30,869 | ) | 1.41 | % | ||||||
Murphy Oil Corp. | (718 | ) | (30,777 | ) | 1.40 | % | ||||||
Talos Energy, Inc. | (1,672 | ) | (23,778 | ) | 1.08 | % | ||||||
Kosmos Energy Ltd. | (3,357 | ) | (22,295 | ) | 1.02 | % | ||||||
Callon Petroleum Co. | (594 | ) | (20,386 | ) | 0.93 | % | ||||||
Aker Bp Asa | (651 | ) | (18,721 | ) | 0.85 | % | ||||||
Aker Bp Asa | (430 | ) | (12,363 | ) | 0.56 | % | ||||||
$ | (2,195,364 | ) | 100.00 | % |
The following table represents the individual positions and related values of underlying securities of the GSGLPHRE Index Total Return Swap with Goldman Sachs.
Name | Quantity | Value | Weight | |||||||||
Gap Inc. (The) | (7,829 | ) | $ | (164,179 | ) | 6.07 | % | |||||
Hennes & Mauritz AB-B Shares | (8,666 | ) | (153,799 | ) | 5.69 | % | ||||||
Zalando Se | (5,378 | ) | (131,578 | ) | 4.87 | % | ||||||
Bath & Body Works, Inc. | (2,921 | ) | (121,075 | ) | 4.48 | % | ||||||
Kingfisher Plc | (39,502 | ) | (119,401 | ) | 4.42 | % | ||||||
Carter’s, Inc. | (1,598 | ) | (118,920 | ) | 4.40 | % | ||||||
Newell Brands, Inc. | (13,283 | ) | (113,369 | ) | 4.19 | % | ||||||
Ebay, Inc. | (2,624 | ) | (111,578 | ) | 4.13 | % | ||||||
Macy’s, Inc. | (5,413 | ) | (108,578 | ) | 4.02 | % | ||||||
Victoria’S Secret & Co. | (4,246 | ) | (107,009 | ) | 3.96 | % | ||||||
VF Corp. | (5,509 | ) | (101,142 | ) | 3.74 | % | ||||||
Kohls Corp. | (3,475 | ) | (99,382 | ) | 3.68 | % | ||||||
Marks & Spencer Group PLC | (29,404 | ) | (97,283 | ) | 3.60 | % |
See accompanying notes to consolidated financial statements.
32
FULCRUM DIVERSIFIED ABSOLUTE RETURN FUND |
CONSOLIDATED SCHEDULE OF INVESTMENTS (Unaudited)(Continued) |
December 31, 2023 |
Name | Quantity | Value | Weight | |||||||||
Foot Locker, Inc. | (3,169 | ) | $ | (93,588 | ) | 3.46 | % | |||||
Next PLC | (861 | ) | (88,082 | ) | 3.26 | % | ||||||
Estee Lauder Companies - Class A | (602 | ) | (86,023 | ) | 3.18 | % | ||||||
American Eagle Outfitters | (3,906 | ) | (78,558 | ) | 2.91 | % | ||||||
Canada Goose Holdings, Inc. | (6,461 | ) | (77,271 | ) | 2.86 | % | ||||||
Buckle, Inc. (The) | (1,588 | ) | (70,886 | ) | 2.62 | % | ||||||
Wolverine World Wide, Inc. | (7,105 | ) | (66,643 | ) | 2.47 | % | ||||||
Hanesbrands, Inc. | (15,953 | ) | (63,814 | ) | 2.36 | % | ||||||
Kinnevik Ab - B | (5,982 | ) | (63,615 | ) | 2.35 | % | ||||||
Tapestry, Inc. | (1,704 | ) | (61,090 | ) | 2.26 | % | ||||||
Steven Madden Ltd. | (1,431 | ) | (60,732 | ) | 2.25 | % | ||||||
Nordstrom, Inc. | (3,148 | ) | (57,178 | ) | 2.12 | % | ||||||
Oxford Industries, Inc. | (534 | ) | (53,639 | ) | 1.98 | % | ||||||
Sally Beauty Holdings, Inc. | (3,239 | ) | (41,297 | ) | 1.53 | % | ||||||
Chico’s Fashion, Inc. | (5,364 | ) | (40,551 | ) | 1.50 | % | ||||||
Boohoo Group PLC | (70,998 | ) | (35,961 | ) | 1.33 | % | ||||||
Asos PLC | (6,626 | ) | (34,778 | ) | 1.29 | % | ||||||
Revolve Group, Inc. | (1,754 | ) | (31,447 | ) | 1.16 | % | ||||||
Dillards, Inc. Class A | (70 | ) | (27,209 | ) | 1.01 | % | ||||||
Wayfair, Inc. Class A | (245 | ) | (15,405 | ) | 0.57 | % | ||||||
FNAC Darty S/A | (290 | ) | (8,244 | ) | 0.30 | % | ||||||
$ | (2,703,304 | ) | 100.00 | % |
The following table represents the individual positions and related values of underlying securities of the GSMBATDM Index Total Return Swap with Goldman Sachs.
Name | Quantity | Value | Weight | |||||||||
Lululemon Athletica, Inc. | 945 | $ | 473,700 | 17.88 | % | |||||||
Mercadolibre, Inc. | 144 | 233,462 | 8.81 | % | ||||||||
Industria De Diseno Textil | 5,189 | 217,615 | 8.21 | % | ||||||||
TJX Companies, Inc. | 2,334 | 209,557 | 7.91 | % | ||||||||
O’Reilly Automotive, Inc. | 198 | 189,701 | 7.16 | % | ||||||||
Associated British Foods PLC | 6,308 | 188,134 | 7.10 | % | ||||||||
Asics Corp. | 5,410 | 172,179 | 6.50 | % | ||||||||
Essilorluxottica | 803 | 161,062 | 6.08 | % | ||||||||
Elf Beauty, Inc. | 921 | 136,082 | 5.14 | % | ||||||||
Ross Stores, Inc. | 964 | 130,144 | 4.91 | % | ||||||||
Beiersdorf Ag | 825 | 120,952 | 4.56 | % | ||||||||
Ulta Beauty, Inc. | 242 | 118,412 | 4.47 | % | ||||||||
Deckers Outdoor Corp. | 152 | 107,336 | 4.05 | % | ||||||||
Autozone, Inc. | 40 | 104,727 | 3.95 | % | ||||||||
Five Below | 456 | 86,826 | 3.28 | % | ||||||||
$ | 2,649,889 | 100.00 | % |
The following table represents the individual positions and related values of underlying securities of the JPTAOBRL Index Total Return Swap with JPMorgan.
Name | Quantity | Value | Weight | |||||||||
Vale SA | 6,900 | $ | 104,412 | 19.25 | % | |||||||
Petrobras - Petroleo Bras | 9,884 | 72,232 | 13.31 | % | ||||||||
Banco Do Brasil S/A | 5,344 | 59,553 | 10.98 | % | ||||||||
Itau Unibanco Holding | 6,818 | 45,725 | 8.43 | % | ||||||||
Banco Bradesco S/A | 11,983 | 42,880 | 7.90 | % | ||||||||
JBS S/A | 5,998 | 28,962 | 5.34 | % | ||||||||
Itausa S/A | 12,146 | 25,113 | 4.63 | % | ||||||||
Ambev S/A | 8,227 | 24,407 | 4.50 | % | ||||||||
B3 Sa-Brasil Bolsa Balcao | 8,054 | 24,205 | 4.46 | % | ||||||||
Gerdau S/A | 4,278 | 20,536 | 3.79 | % | ||||||||
Telefonica Brasil S/A | 1,362 | 14,975 | 2.76 | % | ||||||||
Ultrapar Participacoes S/A | 2,830 | 14,829 | 2.73 | % | ||||||||
Centrais Eletricas Brasilier | 1,263 | 10,699 | 1.97 | % | ||||||||
Banco Bradesco S/A | 3,245 | 10,301 | 1.90 | % | ||||||||
CIA Energetica Minas | 4,012 | 9,424 | 1.74 | % | ||||||||
Bb Seguridade Participacoes | 1,328 | 8,805 | 1.62 | % | ||||||||
Bradespar S/A | 1,546 | 7,755 | 1.43 | % |
See accompanying notes to consolidated financial statements.
33
FULCRUM DIVERSIFIED ABSOLUTE RETURN FUND |
CONSOLIDATED SCHEDULE OF INVESTMENTS (Unaudited)(Continued) |
December 31, 2023 |
Name | Quantity | Value | Weight | |||||||||
BRF S/A | 2,184 | $ | 6,186 | 1.14 | % | |||||||
Klabin S/A | 1,375 | 5,906 | 1.09 | % | ||||||||
XP, Inc. | 157 | 4,092 | 0.75 | % | ||||||||
Cielo S/A | 1,645 | 1,519 | 0.28 | % | ||||||||
$ | 542,516 | 100.00 | % |
The following table represents the top 50 individual positions and related values, on an absolute basis, of underlying securities of the MSFDRUS I Index Total Return Swap with Morgan Stanley.
Name | Quantity | Value | Weight | |||||||||
Novo Nordisk A/S - B | 9,269 | $ | 920,798 | 4.55 | % | |||||||
Eli Lilly & Co. | 1,508 | 874,278 | 4.32 | % | ||||||||
Pinduoduo, Inc. ADR | 4,226 | 627,181 | 3.10 | % | ||||||||
Totalenergies SE | 7,008 | 477,235 | 2.36 | % | ||||||||
Equinix, Inc. | 550 | 443,157 | 2.19 | % | ||||||||
Archer-Daniels-Midland Co. | (5,600 | ) | (405,104 | ) | -2.00 | % | ||||||
Bunge Global S/A | (3,744 | ) | (388,365 | ) | -1.92 | % | ||||||
Mowi Asa | 21,277 | 375,904 | 1.86 | % | ||||||||
Shell PLC | 10,876 | 354,165 | 1.75 | % | ||||||||
Berkeley Group Holdings (The) | 5,870 | 349,262 | 1.72 | % | ||||||||
CF Industries Holdings, Inc. | (4,486 | ) | (346,319 | ) | -1.71 | % | ||||||
Weston (George) Ltd. | 2,795 | 327,511 | 1.62 | % | ||||||||
Chevron Corp. | 2,155 | 322,560 | 1.59 | % | ||||||||
BP PLC | 53,996 | 317,654 | 1.57 | % | ||||||||
Vulcan Materials Co. | 1,416 | 315,343 | 1.56 | % | ||||||||
Martin Marietta Materials | 602 | 295,215 | 1.46 | % | ||||||||
CRH PLC | 4,411 | 293,188 | 1.45 | % | ||||||||
Exxon Mobil Corp. | 2,860 | 290,719 | 1.44 | % | ||||||||
Salmar Asa | 5,284 | 288,726 | 1.43 | % | ||||||||
Yara International Asa | (7,987 | ) | (280,601 | ) | -1.39 | % | ||||||
Repsol S/A | 18,883 | 279,971 | 1.38 | % | ||||||||
Cheniere Energy, Inc. | 1,522 | 264,402 | 1.31 | % | ||||||||
Eagle Materials, Inc. | 1,300 | 264,303 | 1.31 | % | ||||||||
Nutrien Ltd. | (4,744 | ) | (260,635 | ) | -1.29 | % | ||||||
Smartsheet, Inc. - Class A | 5,384 | 250,464 | 1.24 | % | ||||||||
Monday.Com Ltd. | 1,260 | 248,258 | 1.23 | % | ||||||||
Alkami Technology, Inc. | 10,542 | 247,210 | 1.22 | % | ||||||||
Corteva, Inc. | (5,052 | ) | (238,353 | ) | -1.18 | % | ||||||
Republic Services, Inc. | 1,450 | 237,177 | 1.17 | % | ||||||||
Holcim Ltd. | 3,112 | 236,991 | 1.17 | % | ||||||||
Transdigm Group, Inc. | 237 | 234,604 | 1.16 | % | ||||||||
Airbus Se | 1,526 | 231,971 | 1.15 | % | ||||||||
Uipath, Inc. - Class A | 8,951 | 229,862 | 1.14 | % | ||||||||
Okta, Inc. | 2,667 | 224,961 | 1.11 | % | ||||||||
Waste Connections, Inc. | 1,511 | 222,844 | 1.10 | % | ||||||||
Clean Harbors, Inc. | 1,235 | 218,299 | 1.08 | % | ||||||||
Klepierre | (8,091 | ) | (215,888 | ) | -1.07 | % | ||||||
Elastic NV | 1,830 | 208,638 | 1.03 | % | ||||||||
Rheinmetall AG | 666 | 206,074 | 1.02 | % | ||||||||
Waste Management, Inc. | 1,142 | 202,853 | 1.00 | % | ||||||||
Biem.L.Fdlkk Garment Co. Ltd. - A | 43,526 | 197,270 | 0.97 | % | ||||||||
FMC Corp. | (3,343 | ) | (196,869 | ) | -0.97 | % | ||||||
Castellum AB | 14,044 | 196,231 | 0.97 | % | ||||||||
Nutanix, Inc. - A | 4,167 | 195,974 | 0.97 | % | ||||||||
Koninklijke Ahold Delhaize N | 6,785 | 194,528 | 0.96 | % | ||||||||
Mosaic Co. (The) | (5,235 | ) | (193,695 | ) | -0.96 | % | ||||||
Taylor Wimpey PLC | 105,187 | 190,816 | 0.94 | % | ||||||||
Q2 Holdings, Inc. | 4,362 | 186,737 | 0.92 | % | ||||||||
Unibail-Rodamco-Westfield | (2,526 | ) | (184,294 | ) | -0.91 | % | ||||||
Tyson Foods, Inc. - Class A | (3,547 | ) | (183,415 | ) | -0.91 | % | ||||||
Other Underlying Index Components* | (193,289 | ) | 11,100,628 | 54.82 | % | |||||||
$ | 20,250,424 | 100.00 | % |
* | Largest 50 underlying components by market value at December 31, 2023. |
See accompanying notes to consolidated financial statements.
34
Fulcrum Diversified Absolute Return Fund |
CONSOLIDATED STATEMENT OF ASSETS AND LIABILITIES (Unaudited) |
December 31, 2023 |
ASSETS | ||||
Investment securities: | ||||
At cost | $ | 130,739,176 | ||
At fair value | $ | 133,084,454 | ||
Cash and cash equivalents | 13,358,274 | |||
Cash collateral for derivative instruments | 23,441,883 | |||
Cash on deposit with broker | 26,291,431 | |||
Foreign cash (Cost - $208,983) | 221,703 | |||
Receivable for securities sold | 7,136,302 | |||
Unrealized appreciation from swap contracts | 1,155,594 | |||
Net unrealized appreciation of futures contracts | 1,153,369 | |||
Receivable for swaps | 1,028,093 | |||
Premiums paid for swaps | 293,583 | |||
Receivable for fund shares sold | 195,607 | |||
Net unrealized appreciation from forward foreign currency contracts | 174,989 | |||
Dividends and interest receivable | 49,024 | |||
Prepaid expenses and other assets | 62,230 | |||
TOTAL ASSETS | 207,646,536 | |||
LIABILITIES | ||||
Options written, at fair value (Premiums received $394,864) | 426,571 | |||
Unrealized depreciation on swap contracts | 777,121 | |||
Payable for investments purchased | 4,980,350 | |||
Investment advisory fees payable | 242,927 | |||
Premiums received from swaps | 172,890 | |||
Payable for fund shares redeemed | 95,928 | |||
Payable to related parties | 56,374 | |||
Audit and tax fees payable | 26,649 | |||
Shareholder services fees - Class I | 25,715 | |||
Trustees fees payable | 5,409 | |||
Accrued expenses and other liabilities | 2,849 | |||
TOTAL LIABILITIES | 6,812,783 | |||
NET ASSETS | $ | 200,833,753 | ||
Composition of Net Assets: | ||||
Paid in capital | $ | 204,101,839 | ||
Accumulated deficit | (3,268,086 | ) | ||
NET ASSETS | $ | 200,833,753 |
See accompanying notes to consolidated financial statements.
35
Fulcrum Diversified Absolute Return Fund |
CONSOLIDATED STATEMENT OF ASSETS AND LIABILITIES (Unaudited)(Continued) |
December 31, 2023 |
Net Asset Value Per Share: | ||||
Super Institutional Class Shares: | ||||
Net Assets | $ | 124,175,662 | ||
Shares of beneficial interest outstanding ($0 par value, unlimited shares authorized) | 13,665,577 | |||
Net asset value (Net Assets ÷ Shares Outstanding), offering price and redemption price per share | $ | 9.09 | ||
Institutional Class Shares: | ||||
Net Assets | $ | 76,658,091 | ||
Shares of beneficial interest outstanding ($0 par value, unlimited shares authorized) | 8,471,044 | |||
Net asset value (Net Assets ÷ Shares Outstanding), offering price and redemption price per share | $ | 9.05 |
See accompanying notes to consolidated financial statements.
36
Fulcrum Diversified Absolute Return Fund |
CONSOLIDATED STATEMENT OF OPERATIONS (Unaudited) |
For the Six Months Ended December 31, 2023 |
INVESTMENT INCOME | ||||
Dividends | $ | 295,931 | ||
Interest | 3,391,206 | |||
Less: Foreign withholding taxes | (7,181 | ) | ||
TOTAL INVESTMENT INCOME | 3,679,956 | |||
EXPENSES | ||||
Investment advisory fees | 1,004,667 | |||
Shareholder Services fees | ||||
Institutional Class | 39,365 | |||
Administrative services fees | 116,761 | |||
Transfer agent fees | 41,135 | |||
Custodian fees | 40,154 | |||
Audit and tax fees | 35,140 | |||
Legal fees | 10,773 | |||
Compliance officer fees | 9,673 | |||
Registration fees | 6,418 | |||
Printing and postage expenses | 5,156 | |||
Trustees fees and expenses | 4,845 | |||
Insurance expense | 2,559 | |||
Other expenses | 2,582 | |||
TOTAL EXPENSES | 1,319,228 | |||
Less: Fees waived by the Advisor | (108,558 | ) | ||
NET EXPENSES | 1,210,670 | |||
NET INVESTMENT INCOME | 2,469,286 | |||
REALIZED AND UNREALIZED GAIN/(LOSS) ON INVESTMENTS | ||||
Net realized gain/(loss) from: | ||||
Investment transactions | (732,014 | ) | ||
Swap contracts | 86,584 | |||
Options written | 2,182,387 | |||
Futures contracts | (115,959 | ) | ||
Forward foreign currency exchange contracts | (1,899,132 | ) | ||
Foreign currency transactions | (38,879 | ) | ||
(517,013 | ) | |||
Net change in unrealized appreciation/(depreciation) of: | ||||
Investments | 1,930,110 | |||
Swap contracts | 1,051,169 | |||
Options written | (268,473 | ) | ||
Futures contracts | 1,570,306 | |||
Forward foreign currency exchange contracts | 4,038 | |||
Foreign currency translations | 73,351 | |||
4,360,501 | ||||
NET REALIZED AND UNREALIZED GAIN ON INVESTMENTS | 3,843,488 | |||
NET INCREASE IN NET ASSETS RESULTING FROM OPERATIONS | $ | 6,312,774 |
See accompanying notes to consolidated financial statements.
37
Fulcrum Diversified Absolute Return Fund |
CONSOLIDATED STATEMENTS OF CHANGES IN NET ASSETS |
Six Months Ended | Year Ended | |||||||
December 31, 2023 | June 30, | |||||||
(Unaudited) | 2023 | |||||||
FROM OPERATIONS | ||||||||
Net investment income | $ | 2,469,286 | $ | 3,038,698 | ||||
Net realized gain/(loss) from investment transactions, options written, swap contracts, futures contracts and foreign currency transactions | (517,013 | ) | (9,497,042 | ) | ||||
Net change in unrealized appreciation/(depreciation) of investments options written, swap contracts, futures contracts and foreign currency translations | 4,360,501 | 709,067 | ||||||
Net increase/(decrease) in net assets resulting from operations | 6,312,774 | (5,749,277 | ) | |||||
DISTRIBUTIONS TO SHAREHOLDERS | ||||||||
Institutional Class | (796,424 | ) | (1,207,965 | ) | ||||
Super Institutional Class | (1,100,901 | ) | (1,481,328 | ) | ||||
Decrease in net assets from distributions to shareholders | (1,897,325 | ) | (2,689,293 | ) | ||||
CAPITAL TRANSACTIONS | ||||||||
Proceeds from shares sold: | ||||||||
Institutional Class | 20,902,411 | 124,559,992 | ||||||
Super Institutional Class | 1,299,117 | 86,789,475 | ||||||
Net asset value of shares issued in reinvestment of distributions: | ||||||||
Institutional Class | 629,699 | 823,455 | ||||||
Super Institutional Class | 1,095,611 | 1,464,262 | ||||||
Payments for shares redeemed: | ||||||||
Institutional Class | (47,152,620 | ) | (95,253,840 | ) | ||||
Super Institutional Class | (7,479,423 | ) | (41,803,143 | ) | ||||
Net increase/(decrease) in net assets from shares of beneficial interest | (30,705,205 | ) | 76,580,201 | |||||
TOTAL INCREASE/(DECREASE) IN NET ASSETS | (26,289,756 | ) | 68,141,631 | |||||
NET ASSETS | ||||||||
Beginning of Year/Period | 227,123,509 | 158,981,878 | ||||||
End of Year/Period | $ | 200,833,753 | $ | 227,123,509 |
See accompanying notes to consolidated financial statements.
38
Fulcrum Diversified Absolute Return Fund |
CONSOLIDATED STATEMENTS OF CHANGES IN NET ASSETS (Continued) |
Six Months Ended | Year Ended | |||||||
December 31, 2023 | June 30, | |||||||
(Unaudited) | 2023 | |||||||
SHARE ACTIVITY | ||||||||
Institutional Class: | ||||||||
Shares Sold | 2,341,803 | 13,663,860 | ||||||
Shares Reinvested | 70,753 | 91,495 | ||||||
Shares Redeemed | (5,274,387 | ) | (10,435,319 | ) | ||||
Net increase/(decrease) in shares of beneficial interest outstanding | (2,861,831 | ) | 3,320,036 | |||||
Super Institutional Class: | ||||||||
Shares Sold | 144,711 | 9,453,937 | ||||||
Shares Reinvested | 122,552 | 161,976 | ||||||
Shares Redeemed | (835,100 | ) | (4,680,071 | ) | ||||
Net increase/(decrease) in shares of beneficial interest outstanding | (567,837 | ) | 4,935,842 |
See accompanying notes to consolidated financial statements.
39
Fulcrum Diversified Absolute Return Fund |
CONSOLIDATED FINANCIAL HIGHLIGHTS |
Per Share Data and Ratios for a Share of Beneficial Interest Outstanding Throughout Each Year/Period
Institutional Class | ||||||||||||||||||||||||
Six Months Ended | Year Ended | Year Ended | Year Ended | Year Ended | Year Ended | |||||||||||||||||||
December 31, 2023 | June 30 | June 30 | June 30 | June 30 | June 30 | |||||||||||||||||||
(Unaudited) | 2023 | 2022 | 2021 | 2020 | 2019 | |||||||||||||||||||
Net asset value, beginning of year/period | $ | 8.86 | $ | 9.17 | $ | 10.01 | $ | 9.76 | $ | 8.99 | $ | 9.69 | ||||||||||||
Activity from investment operations: | ||||||||||||||||||||||||
Net investment income/(loss) (1) | 0.10 | 0.12 | (0.06 | ) | (0.10 | ) | (0.00 | ) | (0.03 | ) | ||||||||||||||
Net realized and unrealized gain/(loss) on investments | 0.16 | (0.31 | ) | 0.03 | 1.08 | 0.77 | 0.10 | |||||||||||||||||
Total from investment operations | 0.26 | (0.19 | ) | (0.03 | ) | 0.98 | 0.77 | 0.07 | ||||||||||||||||
Less distributions from: | ||||||||||||||||||||||||
Net investment income | (0.07 | ) | — | (0.81 | ) | (0.41 | ) | — | (0.77 | ) | ||||||||||||||
Net realized gains | — | (0.12 | ) | — | (0.32 | ) | — | — | ||||||||||||||||
Total distributions | (0.07 | ) | (0.12 | ) | (0.81 | ) | (0.73 | ) | — | (0.77 | ) | |||||||||||||
Net asset value, end of year/period | $ | 9.05 | $ | 8.86 | (2) | $ | 9.17 | $ | 10.01 | $ | 9.76 | $ | 8.99 | |||||||||||
Total return (3) | 2.87 | % (2)(9) | -2.13 | % (2) | -0.09 | % | 10.58 | % | 8.57 | % | 1.09 | % | ||||||||||||
Net assets, at end of year/period (000s) | $ | 76,658 | $ | 100,426 | $ | 73,478 | $ | 1,990 | $ | 1,340 | $ | 2,743 | ||||||||||||
Ratios including the income and expenses of FDFC | ||||||||||||||||||||||||
Ratio of gross expenses to average net assets (4)(5) | 1.23 | % (8) | 1.40 | % | 1.41 | % | 1.32 | % | 1.19 | % | 1.24 | % | ||||||||||||
Ratio of net expenses to average net assets (6) | 1.13 | % (8) | 1.20 | % | 1.13 | % | 1.11 | % | 1.09 | % | 1.13 | % | ||||||||||||
Ratio of net investment income/(loss) to average net assets (7) | 2.20 | % (8) | 1.34 | % | -0.65 | % | -0.98 | % | -0.01 | % | -0.35 | % | ||||||||||||
Portfolio Turnover Rate | 190 | % (9) | 84 | % | 129 | % | 140 | % | 88 | % | 81 | % |
(1) | Per share amounts calculated using the average shares method, which more appropriately presents the per share data for the year/period. |
(2) | Includes adjustments made in accordance with generally accepted accounting principles. |
(3) | Total returns shown exclude the effect of applicable sales charges and redemption fees. Had the advisor not waived its fees or reimbursed a portion of the Fund’s expenses, the returns would have been lower. |
(4) | Represents the ratio of expenses to average net assets absent fee waivers and/or expense reimbursements by the advisor. |
(5) | Ratio of gross expenses to average net assets excluding interest and brokerage expenses | 1.23 | % (8) | 1.33 | % | 1.41 | % | 1.26 | % | 1.18 | % | 1.23 | % | ||||||||||||
(6) | Ratio of net expenses to average net assets excluding interest and brokerage expenses | 1.13 | % (8) | 1.14 | % | 1.13 | % | 1.05 | % | 1.08 | % | 1.12 | % | ||||||||||||
(7) | Ratio of net investment income/(loss) to average net assets excluding interest and brokerage expenses | 2.20 | % (8) | 1.40 | % | -0.64 | % | -0.93 | % | 0.00 | % | -0.34 | % |
(8) | Annualized. |
(9) | Not annualized. |
See accompanying notes to consolidated financial statements.
40
Fulcrum Diversified Absolute Return Fund |
CONSOLIDATED FINANCIAL HIGHLIGHTS |
Per Share Data and Ratios for a Share of Beneficial Interest Outstanding Throughout Each Year/Period
Super Institutional Class | ||||||||||||||||||||||||
Six Months Ended | Year Ended | Year Ended | Year Ended | Year Ended | Year Ended | |||||||||||||||||||
December 31, 2023 | June 30 | June 30 | June 30 | June 30 | June 30 | |||||||||||||||||||
(Unaudited) | 2023 | 2022 | 2021 | 2020 | 2019 | |||||||||||||||||||
Net asset value, beginning of year/period | $ | 8.90 | $ | 9.20 | $ | 10.03 | $ | 9.78 | $ | 9.00 | $ | 9.69 | ||||||||||||
Activity from investment operations: | ||||||||||||||||||||||||
Net investment income/(loss) (1) | 0.10 | 0.14 | (0.08 | ) | (0.10 | ) | 0.02 | (0.02 | ) | |||||||||||||||
Net realized and unrealized gain/(loss) on investments | 0.17 | (0.32 | ) | 0.06 | 1.08 | 0.76 | 0.10 | |||||||||||||||||
Total from investment operations | 0.27 | (0.18 | ) | (0.02 | ) | 0.98 | 0.78 | 0.08 | ||||||||||||||||
Less distributions from: | ||||||||||||||||||||||||
Net investment income | (0.08 | ) | — | (0.81 | ) | (0.41 | ) | (0.00 | ) | (0.77 | ) | |||||||||||||
Net realized gains | — | (0.12 | ) | — | (0.32 | ) | — | — | ||||||||||||||||
Total distributions | (0.08 | ) | (0.12 | ) | (0.81 | ) | (0.73 | ) | (0.00 | ) | (0.77 | ) | ||||||||||||
Net asset value, end of year/period | $ | 9.09 | $ | 8.90 | (2) | $ | 9.20 | $ | 10.03 | $ | 9.78 | $ | 9.00 | |||||||||||
Total return (3) | 2.94 | % (2)(9) | -2.01 | % (2) | 0.02 | % | 10.60 | % | 8.69 | % | 1.21 | % | ||||||||||||
Net assets, at end of year/period (000s) | $ | 124,176 | $ | 126,697 | $ | 85,504 | $ | 108,011 | $ | 167,280 | $ | 183,278 | ||||||||||||
Ratios including the income and expenses of FDFC | ||||||||||||||||||||||||
Ratio of gross expenses to average net assets (4)(5) | 1.15 | % (8) | 1.30 | % | 1.37 | % | 1.29 | % | 1.16 | % | 1.17 | % | ||||||||||||
Ratio of net expenses to average net assets (6) | 1.05 | % (8) | 1.10 | % | 1.08 | % | 1.10 | % | 1.06 | % | 1.06 | % | ||||||||||||
Ratio of net investment income/(loss) to average net assets (7) | 2.22 | % (8) | 1.55 | % | -0.85 | % | -0.97 | % | 0.17 | % | -0.24 | % | ||||||||||||
Portfolio Turnover Rate | 190 | % (9) | 84 | % | 129 | % | 140 | % | 88 | % | 81 | % |
(1) | Per share amounts calculated using the average shares method, which more appropriately presents the per share data for the year/period. |
(2) | Includes adjustments made in accordance with generally accepted accounting principles. |
(3) | Total returns shown exclude the effect of applicable sales charges and redemption fees. Had the advisor not waived its fees or reimbursed a portion of the Fund’s expenses, the returns would have been lower. |
(4) | Represents the ratio of expenses to average net assets absent fee waivers and/or expense reimbursements by the advisor. |
(5) | Ratio of gross expenses to average net assets excluding interest and brokerage expenses | 1.15 | % (9) | 1.24 | % | 1.33 | % | 1.24 | % | 1.15 | % | 1.16 | % | ||||||||||||
(6) | Ratio of net expenses to average net assets excluding interest and brokerage expenses | 1.05 | % (9) | 1.05 | % | 1.04 | % | 1.05 | % | 1.05 | % | 1.05 | % | ||||||||||||
(7) | Ratio of net investment income/(loss) to average net assets excluding interest and brokerage expenses | 2.22 | % (9) | 1.61 | % | -0.82 | % | -0.93 | % | 0.18 | % | -0.23 | % |
(8) | Annualized. |
(9) | Not annualized. |
See accompanying notes to consolidated financial statements.
41
Fulcrum Diversified Absolute Return Fund |
NOTES TO CONSOLIDATED FINANCIAL STATEMENTS (Unaudited) |
December 31, 2023 |
1. | ORGANIZATION |
The Fulcrum Diversified Absolute Return Fund (the “Fund”) is a diversified series of Northern Lights Fund Trust IV (the “Trust”), a trust organized under the laws of the State of Delaware on June 2, 2015, and registered under the Investment Company Act of 1940, as amended (the “1940 Act”), as an open-end management investment company. Prior to March 13, 2023, the Fund was a series of Trust for Advised Portfolios (the “Predecessor Fund”). The Fund seeks to achieve long-term absolute returns. The investment objective of the Fund is non-fundamental and may be changed without shareholder approval.
The Fund currently offers Super Institutional Class shares and Institutional Class shares at net asset value, both of which commenced operations on July 31, 2015. Each class represents an interest in the same assets of the Fund and classes are identical except for differences in their ongoing service and distribution charges. Institutional Class is subject to a shareholders servicing fee up to 0.10%. All classes of shares have equal voting privileges except that each class has exclusive voting rights with respect to its service and/or distribution plans. The Fund’s income, expenses (other than class specific distribution fees) and realized and unrealized gains and losses are allocated proportionately each day based upon the relative net assets of each class.
The Predecessor Fund was reorganized on March 10, 2023, from a series of Trust for Advised Portfolios, a Delaware statutory trust, to a series of Northern Lights Fund Trust IV, also a Delaware statutory trust. As a series of Northern Lights Fund Trust IV, the Fund is a continuation of the identically-named predecessor fund managed by Fulcrum Asset Management LLP that was a series of Trust for Advised Portfolios. The Fund and the Predecessor Fund have the same investment objective, principal investment strategies and portfolio manager.
2. | SIGNIFICANT ACCOUNTING POLICIES |
The following is a summary of significant accounting policies followed by the Fund in preparation of its consolidated financial statements. The policies are in conformity with accounting principles generally accepted in the United States of America (“GAAP”). The preparation of the consolidated financial statements requires management to make estimates and assumptions that affect the reported amounts of assets and liabilities and disclosure of contingent assets and liabilities at the date of the consolidated financial statements and the reported amounts of income and expenses for the period. Actual results could differ from those estimates. The Fund is an investment company and accordingly follows the investment company accounting and reporting guidance of the Financial Accounting Standards Board (“FASB”) Accounting Standards Codification Topic 946 “Financial Services – Investment Companies,” including Accounting Standards Update 2013-08.
Security Valuation – The Fund records its investments at fair value. Fair value is defined as the price that would be received to sell an asset or paid to transfer a liability in an orderly transaction between market participants at the measurement date. Securities, including common/preferred stocks and exchange traded funds, listed on an exchange are valued at the last reported sale price at the close of the regular trading session of the exchange on the business day the value is being determined, or in the case of securities listed on NASDAQ at the NASDAQ Official Closing Price (“NOCP”). In the absence of a sale, such securities shall be valued at the mean between the current bid and ask prices on the primary exchange on the day of valuation. Investments in swap contracts are reported at fair value based on the underlying equity securities held within the swap or daily price reporting- from the swap counterparty. The independent pricing -service does not distinguish between smaller sized bond positions known as “odd lots” and larger institutional sized bond positions known as “round lots”. The Fund may fair value a particular bond if the adviser does not believe that the round lot value provided by the independent pricing service reflects fair value of the Fund’s holding. Short-term debt obligations having 60 days or less remaining until maturity, at time of purchase, may be valued at amortized cost.
42
Fulcrum Diversified Absolute Return Fund
NOTES TO CONSOLIDATED FINANCIAL STATEMENTS (Unaudited)(Continued)
December 31, 2023
Futures contracts and options on futures contracts that are actively traded on commodity exchanges are fair valued based on quoted prices from the applicable exchange, and to the extent valuation adjustments are not applied to futures contracts, they are categorized as Level 1. To the extent that valuation adjustments are observable and timely, the fair values of futures contracts would be categorized as Level 2; otherwise the fair values would be categorized as Level 3.
Forward foreign currency exchange contracts are fair valued using the mean between broker-dealer bid and ask quotations, and forward foreign currency exchange rates gathered from leading market makers. To the extent that these inputs are observable and timely, the fair values of forward foreign currency contracts would be categorized as Level 2; otherwise the fair values would be categorized as Level 3.
Options contracts listed on a securities exchange or board of trade for which market quotations are readily available shall be valued at the last quoted sales price or, in the absence of a sale, at the mean between the current bid and ask prices on the day of valuation. Option contracts not listed on a securities exchange or board of trade for which over-the-counter market quotations are readily available shall be valued at the mean between the current bid and ask prices on the day of valuation. Index options shall be valued at the mean between the current bid and ask prices on the day of valuation.
Over-the-counter derivatives are valued by an independent pricing service using a series of techniques, including simulation pricing models. The pricing models use various inputs that are observed from actively quoted markets such as issuer details, indices, spreads, interest rates, curves, implied volatility and exchange rates. When prices are determined by the pricing agent, positions are classified as Level 2 of the fair value hierarchy.
The Fund may hold investments, such as private investments, interests in commodity pools, other non-traded securities or temporarily illiquid investments, for which market quotations are not readily available or are determined to be unreliable. These securities are valued using the “fair value” procedures approved by the Board. The Board has designated the advisor as its valuation designee (the “Valuation Designee”) to execute these procedures. The Board may also enlist third party consultants such as a valuation specialist at a public accounting firm, valuation consultant or financial officer of a security issuer on an as-needed basis to assist the Valuation Designee in determining a security- specific fair value. The Board is responsible for reviewing and approving fair value methodologies utilized by the Valuation Designee, approval of which shall be based upon whether the Valuation Designee followed the valuation procedures established by the Board.
Fair Valuation Process – Applicable investments are valued by the Valuation Designee pursuant to valuation procedures established by the Board. For example, fair value determinations are required for the following securities: (i) securities for which market quotations are insufficient or not readily available on a particular business day (including securities for which there is a short and temporary lapse in the provision of a price by the regular pricing source); (ii) securities for which, in the judgment of the Valuation Designee, the prices or values available do not represent the fair value of the instrument; factors which may cause the Valuation Designee to make such a judgment include, but are not limited to, the following: only a bid price or an asked price is available; the spread between bid and asked prices is substantial; the frequency of sales; the thinness of the market; the size of reported trades; and actions of the securities markets, such as the suspension or limitation of trading; (iii) securities determined to be illiquid; and (iv) securities with respect to which an event that affects the value thereof has occurred (a “significant event”) since the closing prices were established on the principal exchange on which they are traded, but prior to the Fund’s calculation of its net asset value. Specifically, interests in commodity pools or managed futures pools are valued on a daily basis by reference to the closing market prices of each futures contract or other asset held by a pool, as adjusted for pool expenses. Restricted or illiquid investments, such as private investments or non-traded securities are valued based upon the current bid for the security from two or more independent dealers or other parties reasonably familiar with
43
Fulcrum Diversified Absolute Return Fund
NOTES TO CONSOLIDATED FINANCIAL STATEMENTS (Unaudited)(Continued)
December 31, 2023
the facts and circumstances of the security (who should take into consideration all relevant factors as may be appropriate under the circumstances). If a current bid from such independent dealers or other independent parties is unavailable, the Valuation Designee shall determine the fair value of such security using the following factors: (i) the type of security; (ii) the cost at date of purchase; (iii) the size and nature of the Fund’s holdings; (iv) the discount from market value of unrestricted securities of the same class at the time of purchase and subsequent thereto; (v) information as to any transactions or offers with respect to the security; (vi) the nature and duration of restrictions on disposition of the security and the existence of any registration rights; (vii) how the yield of the security compares to similar securities of companies of similar or equal creditworthiness; (viii) the level of recent trades of similar or comparable securities; (ix) the liquidity characteristics of the security; (x) current market conditions; and (xi) the market value of any securities into which the security is convertible or exchangeable.
The Fund utilizes various methods to measure the fair value of all of its investments on a recurring basis. GAAP establishes a hierarchy that prioritizes inputs to valuation methods. The three levels of input are:
Level 1 – Unadjusted quoted prices in active markets for identical assets and liabilities that the Fund has 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 in an inactive market, prices for similar instruments, interest rates, prepayment speeds, credit risk, yield curves, default rates and similar data.
Level 3 – Unobservable inputs for the asset or liability, to the extent relevant observable inputs are not available, representing the Fund’s own assumptions about the assumptions a market participant would use in valuing the asset or liability, and would be based on the best information available.
The availability of observable inputs can vary from security to security and is affected by a wide variety of factors, including, for example, the type of security, whether the security is new and not yet established in the marketplace, the liquidity of markets, and other characteristics particular to the security. To the extent that valuation is based on models or inputs that are less observable or unobservable in the market, the determination of fair value requires more judgment. Accordingly, the degree of judgment exercised in determining fair value is greatest for instruments categorized in Level 3.
The inputs used to measure fair value may fall into different levels of the fair value hierarchy. In such cases, for disclosure purposes, the level in the fair value hierarchy within which the fair value measurement falls in its entirety, is determined based on the lowest level input that is significant to the fair value measurement in its entirety.
44
Fulcrum Diversified Absolute Return Fund
NOTES TO CONSOLIDATED FINANCIAL STATEMENTS (Unaudited)(Continued)
December 31, 2023
The inputs or methodology used for valuing securities are not necessarily an indication of the risk associated with investing in those securities. The following tables summarize the inputs used as of December 31, 2023 for the Fund’s assets and liabilities measured at fair value:
Assets | Level 1 | Level 2 | Level 3 | Total | ||||||||||||
U.S. Treasury Bills | $ | — | $ | 98,014,604 | $ | — | $ | 98,014,604 | ||||||||
Common Stocks | 31,397,296 | — | — | 31,397,296 | ||||||||||||
Future Options Purchased | 1,060,676 | — | — | 1,060,676 | ||||||||||||
Currency Options Purchased | — | 836,168 | — | 836,168 | ||||||||||||
OTC Dual Binary Options Purchased | — | 708,071 | — | 708,071 | ||||||||||||
Exchange-Traded Fund | 597,012 | — | — | 597,012 | ||||||||||||
Correlation Options Purchased | — | 417,270 | — | 417,270 | ||||||||||||
Index Options Purchased | 33,785 | — | — | 33,785 | ||||||||||||
Equity Options Purchased | 19,572 | — | — | 19,572 | ||||||||||||
Total | $ | 33,108,341 | $ | 99,976,113 | $ | — | $ | 133,084,454 | ||||||||
Other Financial Instruments | Level 1 | Level 2 | Level 3 | Total | ||||||||||||
Futures Contracts | $ | 1,153,369 | $ | — | $ | — | $ | 1,153,369 | ||||||||
Interest Rate Swap Contracts | — | 285,367 | — | 285,367 | ||||||||||||
Forward Exchange Contracts | — | 174,989 | — | 174,989 | ||||||||||||
Credit Default Swaps | — | 95,033 | — | 95,033 | ||||||||||||
Total Return Swap Contracts | — | 1,407 | — | 1,407 | ||||||||||||
Total | $ | 1,153,369 | $ | 556,796 | $ | — | $ | 1,710,165 | ||||||||
Liabilities | ||||||||||||||||
Other Financial Instruments | Level 1 | Level 2 | Level 3 | Total | ||||||||||||
Index Options Written | $ | 239,601 | $ | — | $ | — | $ | 239,601 | ||||||||
Futures Options Written | 186,970 | — | — | 186,970 | ||||||||||||
Dispersion Swap Contracts | — | 3,334 | — | 3,334 | ||||||||||||
Total | $ | 426,571 | $ | 3,334 | $ | — | $ | 429,905 |
The Fund did not hold any level 3 securities during the period.
45
Fulcrum Diversified Absolute Return Fund
NOTES TO CONSOLIDATED FINANCIAL STATEMENTS (Unaudited)(Continued)
December 31, 2023
Consolidation of Subsidiaries – The consolidated financial statements of the Fund include Fulcrum Diversified Absolute Return Cayman Fund (“FDFC”), a wholly owned and controlled subsidiary. All inter-company accounts and transactions have been eliminated in consolidation.
The Fund may invest up to 25% of its total assets in a controlled foreign corporation (“CFC”), which acts as an investment vehicle in order to effect certain investments consistent with the Fund’s investment objectives and policies.
A summary of the Fund’s investments in FDFC is as follows:
% of the Fund’s | ||
FDFC Net Assets at | Total Net Assets at | |
December 31, 2023 | December 31, 2023 | |
FDFC | $ 11,991,983 | 6.0% |
For tax purposes, FDFC is an exempted Cayman investment company. FDFC has received an undertaking from the Government of the Cayman Islands exempting it from all local income, profits, and capital gains taxes. No such taxes are levied in the Cayman Islands at the present time. For U.S. income tax purposes, FDFC is a CFC and as such is not subject to U.S. income tax. However, as a wholly-owned CFC, FDFC’s net income and capital gain, to the extent of its earnings and profits, will be included each year in the Fund’s investment company taxable income.
Commodities Risk – Exposure to the commodities markets may subject the Fund to greater volatility than investments in traditional securities. The value of commodity-linked derivative investments may be affected by changes in overall market movements, commodity index volatility, changes in interest rates, or sectors affecting a particular industry or commodity, such as drought, floods, weather, embargoes, tariffs and international economic, political and regulatory developments.
Counterparty Risk – Many derivative contracts are privately negotiated in the over-the-counter market. Fund transactions involving a counterparty are subject to the risk that the counterparty or a third party will not fulfill its obligation to the Fund. Counterparty risk may arise because of the counterparty’s financial condition (i.e., financial difficulties, bankruptcy, or insolvency), market activities and developments, or other reasons, whether foreseen or not. A counterparty’s inability to fulfill its obligation may result in significant financial loss to the Fund.
Credit Default Index Swaps Risk – Credit defaults swaps (“CDS”) are typically two-party financial contracts that transfer credit exposure between the two parties. The use of CDS involves investment techniques and risks different from those associated with ordinary portfolio security transactions, such as potentially heightened counterparty, concentration and exposure risks.
Currency Risk – The risk that changes in currency exchange rates will negatively affect securities denominated in, and/or receiving revenues in, foreign currencies. The liquidity and trading value of foreign currencies could be affected by global economic factors, such as inflation, interest rate levels, and trade balances among countries, as well as the actions of sovereign governments and central banks. Adverse changes in currency exchange rates (relative to the U.S. dollar) may erode or reverse any potential gains from the Fund’s investments in securities denominated in a foreign currency or may widen existing losses. The Fund’s net currency positions may expose it to risks independent of its securities positions.
46
Fulcrum Diversified Absolute Return Fund
NOTES TO CONSOLIDATED FINANCIAL STATEMENTS (Unaudited)(Continued)
December 31, 2023
Currency Swaps Risk – Currency swaps are subject to market risk, counterparty risk, and the risk of imperfect correlation between profit or loss on the currency swap and the underlying currency exchange rate. In the event of the insolvency of the counterparty, the Fund may sustain losses or be unable to liquidate the swap position.
Derivatives Risk – A small investment in derivatives could have a potentially large impact on the Fund’s performance. The use of derivatives involves risks different from, or possibly greater than, the risks associated with investing directly in the underlying assets. Derivatives can be highly volatile, illiquid and difficult to value, and there is a risk that changes in the value of a derivative held by the Fund will not correlate with the Fund’s other investments. Gains or losses from speculative positions in a derivative may be much greater than the derivative’s original cost and potential losses may be substantial.
Emerging Market Risk – The Fund intends to have exposure to emerging markets. Emerging markets are riskier than more developed markets because they tend to develop unevenly and may never fully develop. In addition, investments in securities and instruments traded in emerging markets, or that provide exposure to such securities or markets, can involve additional risks relating to political, economic, or regulatory conditions not associated with investments in U.S. securities and instruments. For example, emerging markets may be subject to greater market volatility, lower trading volume and liquidity, greater social, political and economic uncertainty, governmental controls on foreign investments and limitations on repatriation of invested capital, lower disclosure, corporate governance, auditing and financial reporting standards, fewer protections of property rights, restrictions on the transfer of securities or currency, and settlement and trading practices that differ from those in U.S. markets.
Equity Index Swaps Risk – Equity swaps are subject to liquidity risk because the liquidity of equity swaps is based on the liquidity of the underlying instrument, and are subject to the risk that the counterparty to the equity swap may be unable to or unwilling to make payments or otherwise honor its financial obligations under the terms of the contract.
Options Risk – There are risks associated with the sale of call and put options. As the seller (writer) of a call option, the Fund assumes the risk of a decline in the market price of the underlying security below the purchase price of the underlying security less the premium received, and gives up the opportunity for gain on the underlying security above the exercise option price. As a seller (writer) of a put option, the Fund will lose money if the value of the security falls below the strike price.
Subsidiary Risk – By investing in FDFC, the Fund is indirectly exposed to the risks associated with FDFC’s investments. The commodity-related instruments held by FDFC are generally similar to those that are permitted to be held by the Fund and are subject to the same risks that apply to similar investments if held directly by the Fund (see “Commodities Risk” above). There can be no assurance that the investment objective of FDFC will be achieved. FDFC is not registered under the 1940 Act, and, unless otherwise noted in the Fund’s prospectus, is not subject to all the investor protections of the 1940 Act. However, the Fund wholly owns FDFC, and the Fund and FDFC are both managed by the advisor, making it unlikely that FDFC will take action contrary to the interests of the Fund and its shareholders. The Board has oversight responsibility for the investment activities of the Fund, including its investment in FDFC, and the Fund’s role as sole shareholder of FDFC. To the extent applicable to the investment activities of FDFC, FDFC will be subject to the same investment restrictions and limitations, and follow the same compliance policies and procedures, as the Fund.
Security Transactions and Related Income – Security transactions are accounted for on a trade date basis. Interest income is recognized on an accrual basis. Discounts are accreted and premiums are amortized on securities purchased over the lives of the respective securities. Dividend income is recorded on the ex-dividend date. Realized gains or losses from sales of securities are determined by comparing the identified cost of the security lot sold with the net sales proceeds. Foreign withholding taxes and foreign capital gains taxes, if any, have been provided for in accordance with the Fund’s understanding of the applicable tax rules and regulations.
47
Fulcrum Diversified Absolute Return Fund
NOTES TO CONSOLIDATED FINANCIAL STATEMENTS (Unaudited)(Continued)
December 31, 2023
Dividends and Distributions to Shareholders – Dividends from net investment income, if any, are declared and paid semi-annually. Distributable net realized capital gains, if any, are declared and distributed annually. Dividends from net investment income and distributions from net realized gains are determined in accordance with federal income tax regulations, which may differ from GAAP. These “book/tax” differences are considered either temporary (i.e., deferred losses, capital loss carry forwards) or permanent in nature. To the extent these differences are permanent in nature, such amounts are reclassified within the composition of net assets based on their federal tax-basis treatment; temporary differences do not require reclassification. Dividends and distributions to shareholders are recorded on the ex-dividend date.
Expenses – Expenses of the Trust that are directly identifiable to a specific fund are charged to that fund. Expenses, which are not readily identifiable to a specific fund, are allocated in such a manner as deemed equitable (as determined by the Board), taking into consideration the nature and type of expense and the relative sizes of the fund in the Trust.
Cash and Cash Equivalents – Cash and cash equivalents include cash and overnight investments in interest-bearing demand deposits with a financial institution with original maturities of three months or less. The Fund maintains deposits with a financial institution in an amount that is in excess of federally insured limits.
Restricted Cash and Deposits with Brokers – At December 31, 2023, the Fund held restricted cash in connection with investments in certain derivative securities. Restricted cash is held in a segregated account with the Fund’s custodian and/or counterparty broker and is reflected in the Consolidated Statement of Assets and Liabilities as cash collateral for derivative instruments. On December 31, 2023, the Fund had pledged the following amounts as collateral for open currency contracts, options, futures and swap contracts:
Counterparty | Amounts Pledged(1) | Deposits with Brokers | ||||||
Barclays | $ | — | $ | 1,370,341 | ||||
Citibank, N.A. | 2,051,803 | (105,341 | ) | |||||
Goldman Sachs | 1,390,000 | — | ||||||
JPMorgan Chase | 2,150,080 | 2,492,702 | ||||||
Merrill Lynch | — | 1,371,313 | ||||||
Morgan Stanley | 17,850,000 | 21,166,372 | ||||||
Total | $ | 23,441,883 | $ | 26,295,387 |
(1) | Excludes non-pledged cash or collateral held by the broker. |
Federal Income Taxes – The Fund intends to continue to comply with the requirements of the Internal Revenue Code applicable to regulated investment companies and to distribute all of its taxable income to its shareholders. Therefore, no provision for federal income tax is required. The Fund recognizes the tax benefits of uncertain tax positions only where the position is “more likely than not” to be sustained assuming examination by tax authorities. Management has analyzed the Fund’s tax positions and has concluded that no liability should be recorded related to uncertain tax positions taken on returns filed for open tax years (2020 – 2022) or expected to be taken on the Fund’s 2023 return. The Fund identifies its major tax jurisdictions as U.S. federal, Ohio and foreign jurisdictions where the Fund makes significant investments; however, the Fund is not aware of any tax positions for which it is reasonably possible that the total amounts of unrecognized tax benefits will change materially in the next twelve months.
48
Fulcrum Diversified Absolute Return Fund
NOTES TO CONSOLIDATED FINANCIAL STATEMENTS (Unaudited)(Continued)
December 31, 2023
The Fund invests in certain derivative instruments, as detailed below, to meet its investment objectives. Derivatives are financial contracts whose value depends upon, or is derived from, the value of an underlying asset, reference rate, or index, and may relate to equity securities, fixed income securities, interest rates, commodities, or currency exchange rates and related indexes. The Fund may also use these derivatives to modify or hedge the Fund’s exposure to a particular investment market related risk, as well as to manage the volatility of the Fund. Additionally, the Fund may use derivatives to manage cash. By investing in derivatives, the Fund attempts to achieve the economic equivalence it would achieve if it were to invest directly in the underlying security. Derivatives may involve various risks, including the potential inability of the counterparty to fulfill its obligation under the terms of the contract, the potential for an illiquid secondary market (making it difficult for the Fund to sell at favorable prices) and the potential for market movements which may expose the Fund to gains or losses in excess of the amount shown in the Consolidated Statement of Assets and Liabilities.
Specific types of derivative instruments used by the Fund for the six months ended December 31, 2023, include purchased option; written options; forward currency and futures contracts; and interest rate, credit default and total return swaps. All open derivative positions are listed on the Consolidated Schedule of Investments.
Foreign Currency – The accounting records of the Fund are maintained in U.S. dollars. Investment securities and other assets and liabilities denominated in a foreign currency and income receipts and expense payments are translated into U.S. dollars using the prevailing exchange rate at the London market close. Purchases and sales of securities are translated into U.S. dollars at the contractual currency rates established at the approximate time of the trade. Net realized gains and losses on foreign currency transactions represent net gains and losses from currency realized between the trade and settlement dates on securities transactions, gains and losses on the purchase and sale of foreign currencies and the difference between income accrued versus income received. The effects of changes in foreign currency exchange rates on investments in securities are included with the net realized and unrealized gain or loss on investment securities.
Forward Foreign Currency Contracts – As foreign securities are purchased and sold, the Fund may enter into forward foreign currency contracts in order to hedge against foreign currency exchange rate risks. The market value of the contracts fluctuate with changes in currency exchange rates. The contract is marked-to-market daily and the change in market value is recorded by the Fund as an unrealized gain or loss. As foreign securities are sold, a portion of the contract is generally closed and the Fund records a realized 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.
A fund investing in forward foreign currency contracts is exposed to risk if the value of the currency changes unfavorably, if the counterparties to the contracts are unable to meet the terms of their contracts or if the fund is unable to enter into a closing position.
Forward foreign currency contracts outstanding as of December 31, 2023 are reflected in the Consolidated Schedule of Investments.
Futures – The Fund is subject to equity price risk in the normal course of pursuing its investment objectives. To manage equity price risk, the Fund may enter into futures contracts. Upon entering a futures contract with a broker, the Fund deposits a “cash deposit” with the broker as recorded in the accompanying Consolidated Statements of Assets and Liabilities. Futures contracts are marked-to-market daily and subsequent daily payments (variation margin) are made or received by a fund depending on the daily fluctuations in the value of the futures contracts and are recorded as unrealized appreciation or (depreciation). This receivable and/or payable, if any, is included in daily variation margin on futures contracts in the Consolidated Statement of Assets and Liabilities. When a contract is closed, the Fund recognizes a realized gain or loss. Futures contracts have
49
Fulcrum Diversified Absolute Return Fund
NOTES TO CONSOLIDATED FINANCIAL STATEMENTS (Unaudited)(Continued)
December 31, 2023
market risks, including the risk that the change in the value of the contract may not correlate with changes in the value of the underlying securities. With futures contracts, there is minimal counterparty credit risk to the Fund since futures are exchange traded and the exchange’s clearinghouse, as counterparty to all exchange traded futures, guarantees the futures against default. Futures contracts outstanding at year end are listed after the Fund’s Consolidated Schedule of Investments.
Option Transactions – When the Fund writes a call option, an amount equal to the premium received is included in the Consolidated Statement of Assets and Liabilities as a liability. The amount of the liability is subsequently marked-to-market to reflect the current market value of the option. If an option expires on its stipulated expiration date or if the Fund enters into a closing purchase transaction, a gain or loss is realized. If a written call option is exercised, a gain or loss is realized for the sale of the underlying security and the proceeds from the sale are increased by the premium originally received. As writer of an option, the Fund has no control over whether the option will be exercised and, as a result, retains the market risk of an unfavorable change in the price of the security underlying the written option.
The Fund may purchase put and call options. A call option on a security is a contract that gives the holder of the option, in return for a premium, the right, but not the obligation, to buy from the writer of the option the security underlying the option at a specified exercise or “strike” price by or before the contract’s expiration. Put options are purchased to hedge against a decline in the value of securities held in the Fund’s portfolio. If such a decline occurs, the put options will permit the Fund to sell the securities underlying such options at the exercise price, or to close out the options at a profit. The premium paid for a put or call option plus any transaction costs will reduce the benefit, if any, realized by the Fund upon exercise of the option, and, unless the price of the underlying security rises or declines sufficiently, the option may expire worthless to the Fund. In addition, in the event that the price of the security in connection with which an option was purchased moves in a direction favorable to the Fund, the benefits realized by the Fund as a result of such favorable movement will be reduced by the amount of the premium paid for the option and related transaction costs. Written and purchased options are non- income producing securities. With purchased options, there is minimal counterparty risk to the Fund since these options are exchange traded and the exchange’s clearinghouse, as counterparty to all exchange traded options, guarantees against a possible default. Securities held as collateral for options is reported on the Consolidated Schedule of Investments.
Swap Agreements – The Fund is subject to equity price risk, interest rate risk, credit risk, currency risk, volatility risk, counterparty risk and/or commodity risk in the normal course of pursuing its investment objective. The Fund may enter into various swap transactions for investment purposes or to manage interest rate, equity, foreign exchange (currency), or credit risk. These would be two-party contracts entered into primarily to exchange the returns (or differentials in rates of returns) earned or realized on particular pre-determined investments or instruments.
The gross returns to be exchanged or “swapped” between parties are calculated with respect to a notional amount, i.e., the return on or increase in value of a particular dollar amount invested at a particular interest rate, in a particular foreign currency, or in a “basket” of securities representing a particular index or market segment. Changes in the value of swap agreements are recognized as unrealized gains or losses in the Consolidated Statement of Operations by “marking to market” on a daily basis to reflect the value of the swap agreement at the end of each day as reported by the swap counterparty. Realized gains and losses from the decrease in notional value of the swap are recognized on the trade date. A liquidation payment received or made at the termination of the swap agreement is recorded as a realized gain or loss on the Consolidated Statement of Operations.
Entering into these agreements involves, to varying degrees, lack of liquidity and elements of credit, market, and
50
Fulcrum Diversified Absolute Return Fund
NOTES TO CONSOLIDATED FINANCIAL STATEMENTS (Unaudited)(Continued)
December 31, 2023
counterparty risk in excess of amounts recognized on the Consolidated Statement of Assets and Liabilities. The Fund’s maximum risk of loss from counterparty credit risk is the discounted net value of the cash flows to be received from the counterparty over the contract’s remaining life, to the extent that amount is positive. In order to maintain prudent risk exposure to the counterparty, the advisor will reduce exposure to the counterparty whenever that exposure exceeds 5% of the net assets of the Fund for a period of one week or such lesser time as the advisor may determine. If the advisor determines that the counterparty presents an imprudent risk, the swap may be terminated in its entirety.
Interest Rate Swaps – The Fund may enter into interest rate swaps. The two parties to the swap exchange the right to receive floating interest payments versus fixed interest payments. The value of an interest rate swap will change based on the spread between the rates.
Credit Default Swaps – The Fund enters into credit default swap agreements, credit default index swap agreements and similar agreements as a protection “seller” or as a “buyer” of credit protection. The credit default swap agreement or similar instruments may have as reference obligations one or more securities that are not held by the Fund. The protection “buyer” in a credit default swap agreement is generally obligated to pay the protection “seller” a periodic stream of payments over the term of the agreement, provided generally that no credit event on a reference obligation has occurred. In addition, at the inception of the agreement, the protection “buyer” may receive or be obligated to pay an additional up-front amount depending on the current market value of the contract. If a credit event occurs, an auction process is used to determine the “recovery value” of the contract. The seller then must pay the buyer the “par value” (full notional value) of the swap contract minus the “recovery value” as determined by the auction process. For credit default index swaps, the settlement payment for a constituent’s credit event is scaled down to the weighting in the index.
As a seller of protection, the Fund generally receives a fixed rate of income throughout the term of the swap provided that there is no credit event. In addition, at the inception of the agreement, the Fund may receive or be obligated to pay an additional up- front amount depending on the current market value of the contract. If a credit event occurs, the Fund will be generally obligated to pay the buyer the “par value” (full notional value) of the swap contract minus the “recovery value” as determined by the auction process. Credit default swaps could result in losses if the Adviser does not correctly evaluate the creditworthiness of the underlying instrument on which the credit default swap is based. Additionally, if the Fund is a seller of a credit default swap and a credit event occurs, the Fund could suffer significant losses.
Changes in the value of swaps are recorded as unrealized appreciation (depreciation). Unrealized gains are reported as an asset and unrealized losses are reported as a liability. The change in value of swaps, including accruals of interest to be paid or received is reported as unrealized gains or losses. Gains or losses are realized upon termination of the contracts. Payments received or paid at the beginning of the agreement are reflected as such on the Statements of Assets and Liabilities and may be referred to as premiums paid for swap contacts. The risk of loss on a swap contract may exceed the amount recorded as an asset or liability on the Consolidated Statement of Assets and Liabilities. The notional amount of a swap contract is the reference amount pursuant to which the counterparties make payments. Risks associated with swap contracts include changes in the returns of underlying instruments, failure of the counterparties to perform under a contract’s terms and the possible lack of liquidity with respect to the contracts.
51
Fulcrum Diversified Absolute Return Fund
NOTES TO CONSOLIDATED FINANCIAL STATEMENTS (Unaudited)(Continued)
December 31, 2023
For the six months ended December 31, 2023, the net change in unrealized appreciation on swap contracts was $1,051,169. For the six months ended December 31, 2023, the Fund had a realized gain of $86,584 on swap contracts.
Offsetting of Financial Assets and Derivative Assets
The following table presents the Fund’s asset and liability derivatives available for offset under a master netting arrangement along with collateral pledged for these contracts as of December 31, 2023.
Gross Amounts Not Offset in the Consolidated Statement of Assets & Liabilities | ||||||||||||||||||||||||
Description | Gross Amounts of Recognized Assets and (Liabilities) | Gross Amounts Offset in the Consolidated Statement of Assets and Liabilities | Net Amount of Assets Present in the Consolidated Statement of Assets and Liabilities | Offsetting Derivative Position | Cash Collateral Pledged(1) | Total | ||||||||||||||||||
Purchased Options | ||||||||||||||||||||||||
Citigroup | $ | 289,153 | $ | — | $ | 289,153 | $ | — | $ | — | $ | 289,153 | ||||||||||||
Goldman Sachs | 3,779 | — | 3,779 | — | — | 3,779 | ||||||||||||||||||
JPMorgan Chase | 836,168 | — | 836,168 | — | — | 836,168 | ||||||||||||||||||
Morgan Stanley | 1,946,442 | — | 1,946,442 | (186,970 | ) | — | 1,759,472 | |||||||||||||||||
Futures Contracts (2) | ||||||||||||||||||||||||
JPMorgan Chase | 8,128 | — | 8,128 | — | — | 8,128 | ||||||||||||||||||
Morgan Stanley | 3,116,258 | (1,971,017 | ) | 1,145,241 | — | — | 1,145,241 | |||||||||||||||||
Forward Contracts | ||||||||||||||||||||||||
JPMorgan Chase | 762,862 | — | 762,862 | (587,873 | ) | — | 174,989 | |||||||||||||||||
Swap Contracts | ||||||||||||||||||||||||
Barclays | 62,901 | — | 62,901 | (62,901 | ) | — | — | |||||||||||||||||
Citigroup | 220,692 | — | 220,692 | (220,692 | ) | — | — | |||||||||||||||||
Goldman Sachs | 33,267 | — | 33,267 | (33,267 | ) | — | — | |||||||||||||||||
JPMorgan Chase | 661,520 | — | 661,520 | (278,474 | ) | — | 383,046 | |||||||||||||||||
Merrill Lynch | 19,425 | — | 19,425 | — | — | 19,425 | ||||||||||||||||||
Morgan Stanley | 154,390 | — | 154,390 | (21,499 | ) | — | 132,891 | |||||||||||||||||
UBS | 3,399 | — | 3,399 | (3,399 | ) | — | — | |||||||||||||||||
Total | $ | 8,118,384 | $ | (1,971,017 | ) | $ | 6,147,367 | $ | (1,395,075 | ) | $ | — | $ | 4,752,292 |
52
Fulcrum Diversified Absolute Return Fund
NOTES TO CONSOLIDATED FINANCIAL STATEMENTS (Unaudited)(Continued)
December 31, 2023
Gross Amounts Not Offset in the Consolidated Statement of Assets & Liabilities | ||||||||||||||||||||||||
Description | Gross Amounts of Recognized Assets and (Liabilities) | Gross Amounts Offset in the Consolidated Statement of Assets and Liabilities | Net Amount of Assets Present in the Consolidated Statement of Assets and Liabilities | Offsetting Derivative Position | Cash Collateral Pledged(1) | Total | ||||||||||||||||||
Written Options | ||||||||||||||||||||||||
Morgan Stanley | $ | (186,970 | ) | $ | — | $ | (186,970 | ) | $ | 186,970 | $ | — | $ | — | ||||||||||
Futures Contracts (2) | ||||||||||||||||||||||||
JPMorgan Chase | — | — | — | — | — | — | ||||||||||||||||||
Morgan Stanley | (1,971,017 | ) | 1,971,017 | — | — | — | — | |||||||||||||||||
Forward Contracts | ||||||||||||||||||||||||
JPMorgan Chase | (587,873 | ) | — | (587,873 | ) | 587,873 | — | — | ||||||||||||||||
Swap Contracts | ||||||||||||||||||||||||
Barclays | (84,091 | ) | — | (84,091 | ) | 62,901 | — | (21,190 | ) | |||||||||||||||
Citigroup | (331,934 | ) | — | (331,934 | ) | 220,692 | — | (111,242 | ) | |||||||||||||||
Goldman Sachs | (43,491 | ) | — | (43,491 | ) | 33,267 | — | (10,224 | ) | |||||||||||||||
HSBC | (431 | ) | — | (431 | ) | — | — | (431 | ) | |||||||||||||||
JPMorgan Chase | (278,474 | ) | — | (278,474 | ) | 278,474 | — | — | ||||||||||||||||
Morgan Stanley | (21,499 | ) | — | (21,499 | ) | 21,499 | — | — | ||||||||||||||||
UBS | (17,201 | ) | — | (17,201 | ) | 3,399 | — | (13,802 | ) | |||||||||||||||
Total | $ | (3,522,981 | ) | $ | 1,971,017 | $ | (1,551,964 | ) | $ | 1,395,075 | $ | — | $ | (156,889 | ) |
(1) | Over-collateralization of total financial instruments or cash is not shown. |
(2) | Reflects the cumulative unrealized appreciation (depreciation) of futures contracts as shown in the Consolidated Schedule of Investments. |
53
Fulcrum Diversified Absolute Return Fund
NOTES TO CONSOLIDATED FINANCIAL STATEMENTS (Unaudited)(Continued)
December 31, 2023
Impact of Derivatives on the Consolidated Statement of Assets and Liabilities and Consolidated Statement of Operations
The following is a summary of the location of derivative investments on the Fund’s Consolidated Statement of Assets and Liabilities as of December 31, 2023:
Location on the Consolidated Statement of Assets and Liabilities | |
Derivatives Investment Type | Asset/Liability Derivatives |
Equity/Interest Rate/ | Fair Value of Investments |
Credit/Currency/Commodity/Volatility | Options Written, at Fair Value |
Net unrealized appreciation/(depreciation) from swap contracts | |
Net unrealized appreciation/(depreciation of futures contracts | |
Net unrealized appreciation/(depreciation) of forward foreign currency exchange contracts |
The following table sets forth the fair value of the Fund’s derivative contracts by primary risk exposure as of December 31, 2023:
Asset Derivatives Investment Fair Value | ||||||||||||||||||||||||
Total as of | ||||||||||||||||||||||||
Equity | Interest Rate | Credit | Currency | Commodity | December 31, 2023 | |||||||||||||||||||
Swap Contracts | $ | 554,071 | $ | 506,490 | $ | 95,033 | $ | — | $ | — | $ | 1,155,594 | ||||||||||||
Futures Contracts | 966,473 | 1,260,909 | — | 168,110 | 728,894 | 3,124,386 | ||||||||||||||||||
Forward Foreign Currency Contracts | — | — | — | 174,989 | — | 174,989 | ||||||||||||||||||
Options Purchased^ | 1,137,285 | — | — | 1,616,007 | 322,250 | 3,075,542 | ||||||||||||||||||
$ | 2,657,829 | $ | 1,767,399 | $ | 95,033 | $ | 1,959,106 | $ | 1,051,144 | $ | 7,530,511 | |||||||||||||
Liability Derivatives Investment Fair Value | ||||||||||||||||||||||||
Total as of | ||||||||||||||||||||||||
Equity | Interest Rate | Credit | Currency | Commodity | December 31, 2023 | |||||||||||||||||||
Swap Contracts | $ | 555,998 | $ | 221,123 | $ | — | $ | — | $ | — | $ | 777,121 | ||||||||||||
Futures Contracts | 674,915 | 506,812 | — | 388,033 | 401,258 | 1,971,018 | ||||||||||||||||||
Options Written | 418,011 | — | — | — | 8,560 | 426,571 | ||||||||||||||||||
$ | 1,648,924 | $ | 727,935 | $ | — | $ | 388,033 | $ | 409,818 | $ | 3,174,710 |
^ | Included with fair value of investments. |
The following is a summary of the location of derivative investments on the Fund’s Consolidated Statement of Operations for the six months ended December 31, 2023:
Derivative Investment Type | Location of Net Realized and Unrealized Gain/(Loss) on Derivatives |
Equity/Interest Rate/ Credit/Currency/Commodity/Volatility | Net realized gain/(loss) and change in net unrealized appreciation/(depreciation) of: Investments, Swap Contracts, Futures Contracts, Forward Foreign Currency Contracts and Options Written |
54
Fulcrum Diversified Absolute Return Fund
NOTES TO CONSOLIDATED FINANCIAL STATEMENTS (Unaudited)(Continued)
December 31, 2023
The following is a summary of the Fund’s realized and unrealized gain/(loss) on derivative investments recognized in the Consolidated Statement of Operations categorized by primary risk exposure for the six months ended December 31, 2023:
Realized Gain/(Loss) | ||||||||||||||||||||||||
Total as of | ||||||||||||||||||||||||
Equity | Interest Rate | Credit | Currency | Commodity | December 31, 2023 | |||||||||||||||||||
Swap Contracts* | $ | (519,788 | ) | $ | 562,046 | $ | 8,807 | $ | — | $ | — | $ | 51,065 | |||||||||||
Futures Contracts | 1,888,210 | (816,711 | ) | — | (418,770 | ) | (646,717 | ) | 6,012 | |||||||||||||||
Forward Foreign Currency | ||||||||||||||||||||||||
Contracts | — | — | — | (1,899,132 | ) | — | (1,899,132 | ) | ||||||||||||||||
Options Purchased^ | (1,718,103 | ) | — | — | (979,903 | ) | 58,045 | (2,639,961 | ) | |||||||||||||||
Options Written | 1,044,589 | — | — | 177,761 | 960,037 | 2,182,387 | ||||||||||||||||||
$ | 694,908 | $ | (254,665 | ) | $ | 8,807 | $ | (3,120,044 | ) | $ | 371,365 | $ | (2,299,629 | ) | ||||||||||
Change in Unrealized Appreciation/(Depreciation) | ||||||||||||||||||||||||
Total as of | ||||||||||||||||||||||||
Equity | Interest Rate | Credit | Currency | Commodity | December 31, 2023 | |||||||||||||||||||
Swap Contracts | $ | 163,678 | $ | 827,757 | $ | 59,734 | $ | — | $ | — | $ | 1,051,169 | ||||||||||||
Futures Contracts | (378,291 | ) | 917,652 | — | 463,628 | 567,317 | 1,570,306 | |||||||||||||||||
Forward Foreign Currency | ||||||||||||||||||||||||
Contracts | — | — | — | (250,423 | ) | — | (250,423 | ) | ||||||||||||||||
Options Purchased^ | 106,118 | — | — | (42,571 | ) | (27,571 | ) | 35,976 | ||||||||||||||||
Options Written | (63,226 | ) | — | — | — | 31,520 | (31,706 | ) | ||||||||||||||||
$ | (171,721 | ) | $ | 1,745,409 | $ | 59,734 | $ | 170,634 | $ | 571,266 | $ | 2,375,322 |
* | Excludes income earned on swap contracts. |
^ | Included with realized loss on investment transactions and change in unrealized appreciation/(depreciation) of investments. |
The notional value of the derivative instruments outstanding as of December 31, 2023 as disclosed in the Consolidated Portfolio of Investments and the amounts of realized and changes in unrealized gains and losses on derivative instruments during the period as disclosed above and within the Consolidated Statement of Operations serve as indicators of the volume of derivative activity for the Fund.
Indemnification – The Trust indemnifies its officers and Trustees for certain liabilities that may arise from the performance of their duties to the Trust. Additionally, in the normal course of business, the Fund enters into contracts that contain a variety of representations and warranties and which provide general indemnities. The Fund’s maximum exposure under these arrangements is unknown, as this would involve future claims that may be made against the Fund that have not yet occurred. However, based on experience, the risk of loss due to these warranties and indemnities appears to be remote.
3. | INVESTMENT TRANSACTIONS |
For the six months ended December 31, 2023, cost of purchases and proceeds from sales of portfolio securities, other than short-term investments and U.S. Government securities amounted to $59,679,625 and $59,091,956, respectively.
4. | INVESTMENT ADVISORY AGREEMENT AND TRANSACTIONS WITH RELATED PARTIES |
Fulcrum Asset Management LLP serves as the Fund’s investment advisor. Pursuant to an investment advisory agreement with the Fund, the Advisor, under the oversight of the Board, directs the daily operations of the Fund and supervises the performance of administrative and professional services provided by others. As compensation for its services and the related expenses borne by the Advisor, the Fund pays the Advisor a management fee, calculated and accrued daily and paid monthly, at an annual rate of 0.90% of the Fund’s average
55
Fulcrum Diversified Absolute Return Fund
NOTES TO CONSOLIDATED FINANCIAL STATEMENTS (Unaudited)(Continued)
December 31, 2023
daily net assets. For the year ended June 30, 2023, the Advisor earned $1,004,667 in advisory fees. As of December 31, 2023, the Fund had a payable for advisory fees of $242,927.
Pursuant to a written contract (the “Waiver Agreement”), the Advisor has contractually agreed, at least until April 30, 2024, to waive a portion or all of its management fees and pay Fund expenses (excluding shareholder servicing fees, any front end or contingent deferred loads; brokerage fees and commissions; acquired fund fees and expenses (“AFFE”); fees and expenses associated with investment in other collective investment vehicles or derivative instruments (including for example option and swap fees and expenses); borrowing costs (such as interest and dividend expense on securities sold short); taxes; extraordinary expenses, such as litigation expenses (which may include indemnification of Fund officers and Trustees, contractual indemnification of Fund service providers (other than the Adviser)) in order to limit the annual fund operating expenses to 1.05% of the average daily net assets of each of the Super Institutional Class and Institutional Class shares (the “Expense Limitation”).
If the Advisor waives any fee or reimburses any expense pursuant to the Waiver Agreement, and the Fund’s operating expenses are subsequently less than the Expense Limitation, the Advisor shall be entitled to reimbursement by the Fund for such waived fees or reimbursed expenses provided that such reimbursement does not cause the Fund’s expenses to exceed the Expense Limitation that was in place at the time of the original expense waiver. If Fund operating expenses attributable to Super Institutional Class shares or Institutional Class shares subsequently exceed the Expense Limitation, the reimbursements shall be suspended. For the six months ended December 31, 2023, the Advisor waived $108,558 of fees which are subject to recapture by the Advisor.
As of June 30, 2023, the Advisor has waived fees that can be recouped up to three years from the date incurred before expiring as summarized below:
June 30, 2024 | June 30, 2025 | June 30, 2026 |
$244,854 | $323,321 | $402,825 |
As of June 30, 2023, $181,991 in waived fees have expired unrecouped.
The distributor of the Fund is Northern Lights Distributors, LLC (“NLD” or the “Distributor”) . The Board has adopted, on behalf of the Fund, the Trust’s Master Distribution and Shareholder Servicing Plan (the “Plan”), as amended, pursuant to Rule 12b-1 under the 1940 Act. For the six months ended December 31, 2023, the Fund did not pay distribution related charges pursuant to the Plan.
In addition, certain affiliates of the Distributor provide services to the Fund as follows:
Ultimus Fund Solutions, LLC (“UFS”), an affiliate of the Distributor, provides administration, fund accounting, and transfer agent services to the Trust. Pursuant to separate servicing agreements with UFS, the Fund pays UFS customary fees for providing administration, fund accounting and transfer agency services to the Fund. Certain officers of the Trust are also officers of UFS, and are not paid any fees directly by the Fund for serving in such capacities.
56
Fulcrum Diversified Absolute Return Fund
NOTES TO CONSOLIDATED FINANCIAL STATEMENTS (Unaudited)(Continued)
December 31, 2023
Northern Lights Compliance Services, LLC (“NLCS”), an affiliate of UFS and the Distributor, provides a Chief Compliance Officer to the Trust, as well as related compliance services, pursuant to a consulting agreement between NLCS and the Trust. Under the terms of such agreement, NLCS receives customary fees from the Fund.
BluGiant, LLC (“BluGiant”), an affiliate of UFS and the Distributor, provides EDGAR conversion and filing services as well as print management services for the Fund on an ad-hoc basis. For the provision of these services, Blu Giant receives customary fees from the Fund.
Prior to March 13, 2023, U.S. Bancorp Fund Services, LLC doing business as U.S. Bank Global Fund Services served as the Fund’s Administrator, fund accountant and transfer agent. U.S. Bank Global Fund Services was an affiliate of the Predecessor Fund, as certain officers and trustees of the Predecessor Fund were also officers of U.S. Bank Global Fund Services. Such individuals were not paid any fees directly by the Predecessor Fund for serving in such capacities.
In addition, the Fund’s Custodian, U.S. Bank NA is affiliated with U.S. Bank Global Fund Services.
5. | AGGREGATE UNREALIZED APPRECIATION AND DEPRECIATION – TAX BASIS |
The identified cost of investments in securities owned by the Fund for federal income tax purposes, and its respective gross unrealized appreciation and depreciation at December 31, 2023, were as follows:
Cost for Federal Tax purposes | $ | 130,287,786 | ||
Unrealized Appreciation | $ | 3,730,474 | ||
Unrealized Depreciation | (1,360,378 | ) | ||
Tax Net Unrealized Appreciation | $ | 2,370,096 | ||
6. | DISTRIBUTIONS TO SHAREHOLDERS AND TAX COMPONENTS OF CAPITAL |
The tax character of distributions paid during the following fiscal years was as follows:
Fiscal Year Ended | Fiscal Year Ended | |||||||
June 30, 2023 | June 30, 2022 | |||||||
Ordinary Income | $ | 1,243,543 | $ | 7,513,243 | ||||
Long-Term Capital Gain | 1,445,750 | 250 | ||||||
Return of Capital | — | — | ||||||
$ | 2,689,293 | $ | 7,513,493 |
57
Fulcrum Diversified Absolute Return Fund
NOTES TO CONSOLIDATED FINANCIAL STATEMENTS (Unaudited)(Continued)
December 31, 2023
As of June 30, 2023, the components of accumulated earnings/ (deficit) on a tax basis were as follows:
Undistributed | Undistributed | Post October Loss | Capital Loss | Other | Unrealized | Total | |||||||||||||||||||
Ordinary | Long-Term | and | Carry | Book/Tax | Appreciation/ | Distributable Earnings/ | |||||||||||||||||||
Income | Gains | Late Year Loss | Forwards | Differences | (Depreciation) | (Accumulated Deficit) | |||||||||||||||||||
$ | — | $ | — | $ | (8,125,558 | ) | $ | — | $ | — | $ | 442,023 | $ | (7,683,535) |
The difference between book basis and tax basis undistributed net investment loss, accumulated net realized loss and unrealized appreciation from investments is primarily attributable to the tax deferral of losses on wash sales, tax adjustment for unsettled short positions and the mark-to-market on open futures, passive foreign investment companies, forward contracts and swaps. The unrealized appreciation (depreciation) in the table above includes unrealized foreign currency gains (losses) of $(42,615).
Late year losses incurred after December 31 within the fiscal year are deemed to arise on the first business day of the following fiscal year for tax purposes. The Fund incurred and elected to defer such late year losses of $1,637,425.
Capital losses incurred after October 31 within the fiscal year are deemed to arise on the first business day of the following fiscal year for tax purposes. The Fund incurred and elected to defer such capital losses of $6,488,133.
Permanent book and tax differences, primarily attributable to tax adjustments for the Fund’s wholly owned subsidiary, resulted in reclassifications for the Fund for the fiscal year ended June 30, 2023, as follows:
Paid | ||||||
In | Accumulated | |||||
Capital | Deficit | |||||
$ | (3,201,197 | ) | $ | 3,201,197 |
7. | REGULATORY UPDATES |
On January 24, 2023, the SEC adopted rule and form amendments to require mutual funds and ETFs to transmit concise and visually engaging streamlined annual and semi- annual reports to shareholders that highlight key information. Other information, including financial statements, will not appear in a streamlined shareholder report but must be available online, delivered free of charge upon request, and filed on a semi-annual basis on Form N-CSR. The rule and form amendments have a compliance date of July 24, 2024. At this time, management is evaluating the impact of these amendments on the shareholder reports for the Fund.
8. | SUBSEQUENT EVENTS |
Subsequent events after the date of the Consolidated Statement of Assets and Liabilities have been evaluated through the date the consolidated financial statements were issued. Management has determined that no events or transactions occurred requiring adjustment or disclosure in the consolidated financial statements.
58
Fulcrum Diversified Absolute Return Fund
EXPENSE EXAMPLE (Unaudited)
December 31, 2023
As a shareholder of the Fund, you incur ongoing costs, including management fees; shareholder service fees and other Fund expenses. This example is intended to help you understand your ongoing costs (in dollars) of investing in the Fund and to compare these costs with the ongoing costs of investing in other mutual funds.
The example is based on an investment of $ 1,000 invested at the beginning of the period and held for the entire period from July 1, 2023 through December 31, 2023.
Actual Expenses
The “Actual” table below provides information about actual account values and actual expenses. You may use the information below, together with the amount you invested, to estimate the expenses that you paid over the period. Simply divide your account value by $1,000 (for example, an $ 8,600 account value divided by $ 1,000 = 8.6), then multiply the result by the number in the table under the heading entitled “Expenses Paid During Period” to estimate the expenses you paid on your account during this period.
Hypothetical Example for Comparison Purposes
The “Hypothetical” table below provides information about hypothetical account values and hypothetical expenses based on the Fund’s actual expense ratio and an assumed rate of return of 5% per year before expenses, which is not the Fund’s actual return. The hypothetical account values and expenses may not be used to estimate the actual ending account balances or expenses you paid for the period. You may use this information to compare this 5% hypothetical example with the 5% hypothetical examples that appear in the shareholder reports of other funds.
Please note that the expenses shown in the table are meant to highlight your ongoing costs only and do not reflect any transactional costs, such as sales charges (loads), or redemption fees. Therefore, the table is useful in comparing ongoing costs only, and will not help you determine the relative total costs of owning different funds. In addition, if these transactional costs were included, your costs would have been higher.
Ending | ||||||||
Beginning | Account | Expenses Paid | Annualized | |||||
Account Value | Value | During Period* | Expense | |||||
Actual | 7-1-23 | 12-31-23 | 7/1/23 – 12/31/23 | Ratio | ||||
Super Institutional Class | $1,000.00 | $1,029.40 | $5.37 | 1.05% | ||||
Institutional Class | 1,000.00 | 1,028.70 | 5.78 | 1.13% | ||||
Ending | ||||||||
Beginning | Account | Expenses Paid | Annualized | |||||
Hypothetical | Account Value | Value | During Period* | Expense | ||||
(5% return before expenses) | 7-1-23 | 12-31-23 | 7/1/23 – 12/31/23 | Ratio | ||||
Super Institutional Class | $1,000.00 | $1,019.91 | $5.35 | 1.05% | ||||
Institutional Class | 1,000.00 | 1,019.51 | 5.75 | 1.13% |
* | Expenses are equal to the average account value over the period, multiplied by the Fund’s annualized expense ratio, multiplied by the number of days in the period (184) divided by the number of days in the fiscal year (366). |
59
PRIVACY NOTICE
Northern Lights Fund Trust IV
Rev. April 2021
FACTS | WHAT DOES NORTHERN LIGHTS FUND TRUST IV DO WITH YOUR PERSONAL INFORMATION? |
Why? | Financial companies choose how they share your personal information. Federal law gives consumers the right to limit some, but not all sharing. Federal law also requires us to tell you how we collect, share, and protect your personal information. Please read this notice carefully to understand what we do. |
What? | The types of personal information we collect and share depends on the product or service that you have with us. This information can include:
● Social Security number and wire transfer instructions
● account transactions and transaction history
● investment experience and purchase history
When you are no longer our customer, we continue to share your information as described in this notice. |
How? | All financial companies need to share customers’ personal information to run their everyday business. In the section below, we list the reasons financial companies can share their customers’ personal information; the reasons Northern Lights Fund Trust IV chooses to share; and whether you can limit this sharing. |
Reasons we can share your personal information: | Does Northern Lights Fund Trust IV share information? | Can you limit this sharing? |
For our everyday business purposes - such as to process your transactions, maintain your account(s), respond to court orders and legal investigations, or report to credit bureaus. | YES | NO |
For our marketing purposes - to offer our products and services to you. | NO | We don’t share |
For joint marketing with other financial companies. | NO | We don’t share |
For our affiliates’ everyday business purposes - information about your transactions and records. | NO | We don’t share |
For our affiliates’ everyday business purposes - information about your credit worthiness. | NO | We don’t share |
For nonaffiliates to market to you | NO | We don’t share |
QUESTIONS? | Call 1-631-490-4300 |
60
PRIVACY NOTICE
Northern Lights Fund Trust iv
Page 2 |
What we do: | |
How does Northern Lights Fund Trust IV protect my personal information? | To protect your personal information from unauthorized access and use, we use security measures that comply with federal law. These measures include computer safeguards and secured files and buildings.
Our service providers are held accountable for adhering to strict policies and procedures to prevent any misuse of your nonpublic personal information. |
How does Northern Lights Fund Trust IV collect my personal information? | We collect your personal information, for example, when you ● open an account or deposit money
● direct us to buy securities or direct us to sell your securities
● seek advice about your investments
We also collect your personal information from others, such as credit bureaus, affiliates, or other companies. |
Why can’t I limit all sharing? | Federal law gives you the right to limit only: ● sharing for affiliates’ everyday business purposes – information about your creditworthiness.
● affiliates from using your information to market to you.
● sharing for nonaffiliates to market to you.
State laws and individual companies may give you additional rights to limit sharing. |
Definitions | |
Affiliates | Companies related by common ownership or control. They can be financial and nonfinancial companies.
● Northern Lights Fund Trust IV has no affiliates. |
Nonaffiliates | Companies not related by common ownership or control. They can be financial and nonfinancial companies.
● Northern Lights Fund Trust IV does not share with nonaffiliates so they can market to you. |
Joint marketing | A formal agreement between nonaffiliated financial companies that together market financial products or services to you.
● Northern Lights Fund Trust IV does not jointly market. |
61
PROXY VOTING POLICY
Information regarding how the Fund voted proxies relating to portfolio securities for the most recent twelve month period ended June 30 as well as a description of the policies and procedures that the Fund uses to determine how to vote proxies is available without charge, upon request, by calling 1-855-538-5278 or by referring to the Securities and Exchange Commission’s (“SEC”) website at http://www.sec.gov.
PORTFOLIO HOLDINGS
The Fund files its complete schedule of portfolio holdings with the SEC for the first and third quarters of each fiscal year on as an exhibit to its reports on Form N-PORT, within sixty days after the end of the period. Form N-PORT reports are available on the SEC’s website at http://www.sec.gov The information on Form N-PORT is available without charge, upon request, by calling 1-855-538-5278.
INVESTMENT ADVISOR
Fulcrum Asset Management LLP
Marble Arch House
66 Seymour Street
London W1H 5BT
United Kingdom
ADMINISTRATOR
Ultimus Fund Solutions, LLC
225 Pictoria Drive, Suite 450
Cincinnati, OH 45246
Fulcrum-SAR-23
(a) Include a copy of the report transmitted to stockholders pursuant to Rule 30e-1 under the Act (17 CFR 270.30e-1).
(b) Include a copy of each notice transmitted to stockholders in reliance on Rule 30e-3 under the Act (17 CFR 270.30e-3) that contains disclosures specified by paragraph (c)(3) of that rule. Not applicable.
Item 2. Code of Ethics. Not applicable.
Item 3. Audit Committee Financial Expert. Not applicable.
Item 4. Principal Accountant Fees and Services. Not applicable.
Item 5. Audit Committee of Listed Companies. Not applicable to open-end investment companies.
Item 6. Schedule of Investments. Schedule of investments in securities of unaffiliated issuers is included under Item 1.
Item 7. Disclosure of Proxy Voting Policies and Procedures for Closed-End Funds. Not applicable to open-end investment companies.
Item 8. Portfolio Managers of Closed-End Management Investment Companies. Not applicable to open-end investment companies.
Item 9. Purchases of Equity Securities by Closed-End Funds. Not applicable to open-end investment companies.
Item 10. Submission of Matters to a Vote of Security Holders. None
Item 11. Controls and Procedures.
(a) Based on an evaluation of the Registrant’s disclosure controls and procedures as of a date within 90 days of filing date of this Form N-CSR, the principal executive officer and principal financial officer of the Registrant have concluded that the disclosure controls and procedures of the Registrant are reasonably designed to ensure that the information required in filings on Form N-CSR is recorded, processed, summarized, and reported by the filing date, including that information required to be disclosed is accumulated and communicated to the Registrant’s management, including the Registrant’s principal executive officer and principal financial officer, as appropriate to allow timely decisions regarding required disclosure.
(b) There were no significant changes in the Registrant’s internal control over financial reporting that occurred during the period covered by this report that have materially affected, or are reasonably likely to materially affect, the Registrant’s internal control over financial reporting.
Item 12. Disclosure of Securities Lending Activities for Closed-End Management Investment Companies. Not applicable.
Item 13. Exhibits.
(a)(1) Not applicable.
(a)(3) Not applicable for open-end investment companies.
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) Northern Lights Fund Trust IV
By (Signature and Title)
/s/ Wendy Wang
Wendy Wang, Principal Executive Officer/President
Date 3/7/24
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/ Wendy Wang
Wendy Wang, Principal Executive Officer/President
Date 3/7/24
By (Signature and Title)
/s/ Sam Singh
Sam Singh, Principal Financial Officer/Treasurer
Date 3/7/24