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 811-23611
James Alpha Funds Trust
(Exact name of registrant as specified in charter)
515 Madison Avenue, 24th Floor, New York, NY 10022
(Address of principal executive offices) (Zip code)
Emile R. Molineaux, Gemini Fund Services, LLC
80 Arkay Drive, Suite 110, Hauppauge, NY 11788
(Name and address of agent for service)
Registrant's telephone number, including area code: 623-266-4567
Date of fiscal year end: 11/30
Date of reporting period: 11/30/21
Amended to update trust name.
Item 1. Reports to Stockholders.
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| JAMES ALPHA FUNDS TRUST |
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| CLASS A, C, I AND R6 SHARES |
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| ANNUAL REPORT |
| NOVEMBER 30, 2021 |
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| THIS REPORT IS AUTHORIZED FOR DISTRIBUTION ONLY TO SHAREHOLDERS AND TO OTHERS WHO HAVE RECEIVED A COPY OF THE PROSPECTUS. |
James Alpha Funds Trust d/b/a Easterly Funds Trust
ANNUAL REPORT TO SHAREHOLDERS
January 26, 2022
Dear Shareholder:
We are pleased to provide you with this annual report on the investment strategies and performance of the funds in the James Alpha Funds Trust d/b/a Easterly Funds Trust (the “Trust”). This report covers the twelve months from December 1, 2020 through November 30, 2021.
We believe that successful investing requires discipline and patience. Try to stay focused on your long-term investment goals. Don’t let short-term stock and bond market fluctuations or investment manias change your long-term investment strategy. In our opinion, the Easterly Funds are managed by some of the world’s leading institutional investment advisory firms. It is our belief that combining the strength of the Trust’s performance with a well-designed asset allocation plan can help you to achieve your long-term investment goals.
ECONOMIC OVERVIEW
As measured by Real Gross Domestic Product (GDP), the value of the production of goods and services in the United States increased by an annualized growth rate (AGR) of 4.9% during the third quarter of 2021, a significant growth rate driven by technical ‘base effects’ from Q3 2020. The primary driver of strong performance in the markets in the past 12 months has been the continued recovery in the post-Covid world. Successful vaccination programs, continued support from both monetary and fiscal sources, and consumers who are ready to spend have all supported a robust recovery. New Home Sales were down from their cycle high (around 1 million) to an annualized 744 thousand units in November 2021, still far above average from the past decade. The auto industry suffered a massive decline in sales during the first half of 2020, experienced a cycle high in April 2021 (where an annualized 18.5 million auto sales occurred; a five year high), but has been on a decline each month since. The unemployment rate declined from 14.7% in April 2020 to 4.2% in November 2021. The unemployment claims is an important leading indicator in our work, specifically the 4-week sum of weekly Initial Claims data. That number has dropped to 879 thousand from a pandemic peak of over 21 million claims. For perspective, the historic average from 1967 to present is about 1.5 million. The overall economy in 2021 could be characterized as a ‘boom’ economy, with expanding equity valuations, rising interest rates, and shortages of good and services across the economy driven by robust consumer demand and lingering supply chain issues that have been morphing since the beginning of the pandemic. This market has been largely controlled by the Federal Reserve, who have signaled their commitment to support economic demand through extremely easy monetary policy and continued massive liquidity injections. The Fed’s language around inflation in the past year has meaningfully changed from an absolute target to an inflation averaging target where they have let inflation run hot (above target) in order to achieve a long-term average of their target of 2%. The Fed continues to sustain historic emergency measures even with the strong economic backdrop.
Monetary Policy: The Federal Reserve has remained extraordinarily accommodative since the beginning of the pandemic, but with falling unemployment, strong demand, and persistently high inflation, the tone at the Fed has begun to shift towards reining in their emergency measures. In its most recent FOMC statement, the Committee stated that they “should be prepared to adjust the pace of asset purchases and raise the target range of the federal funds rate sooner than participants currently anticipated if inflation continued to run higher than levels consistent with the Committee’s objectives”. They also said they would “not hesitate to take appropriate actions to address inflation pressures that posed risks to its longer-run price stability and employment objectives”. This constitutes a major pivot as the median forecast now shows balance sheet tapering finishing in March 2022 (previous forecast was for summer of 2022). In
terms of the benchmark Fed Funds rate, the Committee’s updated projection (i.e., the Dot Plot) signaled that rate hikes may come sooner than expected with the median forecast showing one rate hike in 2022 and three more hikes in 2023. Market participants / traders are pricing in three rate hikes over the next twelve months.
Interest Rates: Treasury yields bottomed in August 2020 and have generally increased ever since, although the rise has been volatile. In the twelve months since the end of November 2020, the yield curve has steepened with the 5-year treasury rate moving from 0.36% to 1.16%, the 10-year rate going from 0.84% to 1.44%, and the 30-year rate going from 1.57% to 1.79%. Ultra-short-term rates are largely unchanged; however, there has been a sizeable tick up in the 2-year rate (from 0.15% to 0.57%). With the Fed setting the stage for tapering their asset purchases (and raising the Fed Funds rate soon thereafter), we believe the environment is supportive of rates and yields will remain steady to higher over the next 12 months.
Equity Valuations: Equity markets have rebounded strongly off the pandemic lows with the S&P 500 up 27.9% since the end of November 2020. During 2021, the S&P 500 achieved a new record high close on 67 separate trading sessions with a maximum drawdown of only 5.2%. Depending on the metric, valuations range anywhere from fairly valued to strongly overvalued. As an example, Warren Buffett’s favorite indicator is the ratio of total equity market cap to GDP (termed “the Buffett Indicator”) is near a record high level of 202% with the previous record high of 143% set in March 2000, indicating the market is strongly overvalued. However, the S&P 500 is currently trading at a forward P/E ratio of approximately 22.2 times, which is only modestly above its 30-year average of 21.2 times.
Inflation: Inflation, as measured by the consumer price index (CPI) was up 6.81% y-o-y in November 2021, a rate not seen since the early 1980’s. For the last year and a half, the Fed’s objective has been to run the economy hot through ultra-easy monetary policy with the intention of spurring inflation above their target to achieve a long-term average of 2%. Inflation data has come in much higher than forecast throughout 2021, which the Fed has called ‘transitory’ due to shortages and supply chain issues. Recently, they have stopped using the term ‘transitory’ with Powell now calling inflation pressures ‘frustrating’, a possible signal of future monetary tightening if inflation persists above forecast into next year.
COMPARING THE FUND PERFORMANCE TO BENCHMARKS
When reviewing the performance of the funds against their benchmarks, it is important to note that the Trust is designed to help investors to implement an asset allocation strategy to meet their individual needs as well as select individual investments within each asset category among the myriad of choices available. Each Easterly Fund was formed to represent an asset class, and each portfolio’s institutional money manager was selected based on their experience managing money within that class.
Therefore, we believe that Easterly Funds may be able to help investors to properly implement their asset allocation decisions and keep their investments within the risk parameters that they establish with their investment consultants. We feel that without the intended asset class consistency of the Easterly Funds, even the most carefully crafted allocation strategy could be negated. Furthermore, we believe the benchmarks do not necessarily provide precise standards against which to measure the portfolios, in that the characteristics of the benchmarks can vary widely at different points in time from the Easterly Funds (e.g., characteristics such as: average market capitalizations, price-to-earnings and price-to-book ratios, bond quality ratings and maturities, etc.). In addition, the benchmarks can potentially have a survivor bias built into them (i.e., the performance of only funds that are still in existence may remain part of the benchmark’s performance while funds that do not exist anymore may be removed from the benchmark’s performance).
ELECTRONIC DELIVERY AVAILABLE
This report can be delivered to you electronically. Electronic delivery can help simplify your record keeping. With electronic delivery, you’ll receive an email with a link to your James Alpha Funds Trust quarterly statement, daily confirmations and/or semi-annual and annual reports each time one is available. You have the ability to choose which items you want delivered electronically. Choose one item or all items. It’s up to you. Please call our Customer Service Department toll-free at (833) 999-2636 for instructions on how to establish electronic delivery.
Investors should consider the investment objectives, risks, charges and expenses of the Easterly Funds carefully. This and other information about the Easterly Funds is contained in your prospectus, which should be read carefully. To obtain an additional copy of the prospectus, please call 888.814.8180. Past performance is not indicative of future results. Investments in stocks, bonds and mutual funds are not guaranteed and the principal value and investment return can fluctuate. Consequently, investors may receive back less than invested.
The S&P 500 is an unmanaged, capitalization-weighted index. It is not possible to invest directly in the S&P 500.
The security holdings discussed may not be representative of the Funds’ current or future investments. Fund holdings are subject to change and should not be considered to be investment advice. Any statements not of a factual nature constitute opinions which are subject to change without notice. Information contained herein was obtained from recognized statistical services and other sources believed to be reliable and we therefore cannot make any representation as to its completeness or accuracy. The Easterly Funds are distributed by Ultimus Fund Distributors, LLC, member FINRA/SIPC.
14360851-UFD-01272022
Easterly EHS Fund
PORTFOLIO REVIEW (Unaudited)
November 30, 2021
The Fund’s performance figures* for each of the periods ended November 30, 2021, compared to its benchmarks:
| | | Annualized | Annualized |
| | 1 Year Return | 3 Year Return | Since Inception* |
| Class I | 11.81% | 11.73% | 9.20% |
| Class R6 | 12.18% | 12.07% | 9.43% |
| HFRI Equity Hedge Total Index(a) | 16.13% | 12.26% | 8.79% |
Performance data quoted above is historical. Past performance does not guarantee future results and current performance may be lower or higher than the performance data quoted. The investment return and principal value of an investment will fluctuate, so that shares when redeemed, may be worth more or less than their original cost. For more performance numbers current to the most recent month-end please call (800) 807-FUND. The total operating expense ratio as stated in the fee table to the Portfolio’s prospectus dated March 22, 2021, is 4.96% and 4.53% for the I and R6 Classes, respectively.
| (a) | HFRI Equity Hedge Total Index: Investment Managers who maintain positions both long and short in primarily equity and equity derivative securities. A wide variety of investment processes can be employed to arrive at an investment decision, including both quantitative and fundamental techniques; strategies can be broadly diversified or narrowly focused on specific sectors and can range broadly in terms of levels of net exposure, leverage employed, holding period, concentrations of market capitalizations and valuation ranges of typical portfolios. EH managers would typically maintain at least 50% exposure to, and may in some cases be entirely invested in, equities, both long and short. The returns for the Index have been calculated from July 31, 2017. |
| * | Inception date is August 18, 2017. |
A HYPOTHETICAL COMPARISON OF THE GROWTH OF $1,000,000 INVESTED IN THE
EASTERLY EHS FUND VS. BENCHMARKS
| Top 10 Holdings by Industry | | % of Net Assets | |
| Equity | | | 63.5 | % |
| Fixed Income | | | 25.3 | % |
| Commodity | | | 0.6 | % |
| Specialty | | | 0.1 | % |
| Other/Cash & Equivalents | | | 10.5 | % |
| | | | 100.0 | % |
Please refer to the Portfolio of Investments for a more detailed breakdown of the Fund’s assets.
Easterly Total Hedge Portfolio
PORTFOLIO REVIEW (Unaudited)
November 30, 2021
The Fund’s performance figures* for each of the periods ended November 30, 2021, compared to its benchmarks:
| | | Annualized | Annualized |
| | 1 Year Return | 3 Year Return | Since Inception* |
| Class I | 8.51% | 8.14% | 5.98% |
| Class R6 | 9.01% | 8.49% | 6.24% |
| HRFI Fund Weighted Composite Index(a) | 13.72% | 9.38% | 6.86% |
Performance data quoted above is historical. Past performance does not guarantee future results and current performance may be lower or higher than the performance data quoted. The investment return and principal value of an investment will fluctuate, so that shares when redeemed, may be worth more or less than their original cost. For more performance numbers current to the most recent month-end please call (800) 807-FUND. The total operating expense ratio as stated in the fee table to the Portfolio’s prospectus dated March 22, 2021, is 2.69% and 2.69% for the I and R6 Classes, respectively.
| (a) | The HFRI Fund Weighted Composite Index is a global, equal-weighted index of appx. 1,900 single-manager funds that report to HFR Database. Constituent funds report monthly net of all fees performance in US Dollar and have a minimum of $50 Million under management or a twelve (12) month track record of active performance. The HFRI Fund Weighted Composite Index does not include Funds of Hedge Funds. |
| * | Inception date is June 30, 2017. |
A HYPOTHETICAL COMPARISON OF THE GROWTH OF $1,000,000 INVESTED IN THE
EASTERLY TOTAL HEDGE PORTFOLIO VS. BENCHMARKS
| Top 10 Holdings by Industry | | % of Net Assets | |
| Fixed Income | | | 44.9 | % |
| Equity | | | 34.1 | % |
| Alternative | | | 9.4 | % |
| Commodity | | | 1.9 | % |
| Mixed Allocation | | | 0.7 | % |
| Specialty | | | 0.2 | % |
| Other/Cash & Equivalents | | | 8.8 | % |
| | | | 100.0 | % |
Please refer to the Portfolio of Investments for a more detailed breakdown of the Fund’s assets.
Easterly Structured Credit Value Fund
PORTFOLIO REVIEW (Unaudited)
November 30, 2021
The Fund’s performance figures* for each of the periods ended November 30, 2021, compared to its benchmarks:
| | | | Annualized |
| | 1 Year Return | 3 Year Return | Since Inception* |
| Class A | 5.44% | 9.17% | 8.89% |
| Class A With Load | -0.60% | 7.03% | 6.94% |
| Class C | 4.71% | 7.82% | 7.66% |
| Class I | 5.74% | 8.78% | 8.50% |
| Class R6 | 6.16% | 9.19% | 8.91% |
| Bloomberg Barclays US Aggregate Bond Index(a) | -1.15% | 5.52% | 4.76% |
Performance data quoted above is historical. Past performance does not guarantee future results and current performance may be lower or higher than the performance data quoted. The investment return and principal value of an investment will fluctuate, so that shares when redeemed, may be worth more or less than their original cost. For more performance numbers current to the most recent month-end please call (800) 807-FUND. The total operating expense ratio as stated in the fee table to the Portfolio’s prospectus dated March 22, 2021, is 1.80%, 2.60%, 1.58%%, and 1.59% for the A, C, I and R6 Classes, respectively.
| (a) | The Barclays Aggregate Bond Index is an unmanaged index which represents the U.S. investmen-grade fixed-rate bond market (including government and corporate securities, mortgage pass-through securities and asset-backed securities). Investors cannot invest directly in an index or benchmark. |
| * | Inception date is August 21, 2018. |
A HYPOTHETICAL COMPARISON OF THE GROWTH OF $1,000,000 INVESTED IN THE
EASTERLY STRUCTURED CREDIT VALUE FUND VS. BENCHMARKS
| Top 10 Holdings by Industry | | % of Net Assets | |
| Collateralized Mortgage Obligations | | | 28.8 | % |
| Non Agency CMBS | | | 16.2 | % |
| CLO | | | 7.4 | % |
| CDO | | | 5.7 | % |
| Banking | | | 5.3 | % |
| Institutional Financial Services | | | 5.2 | % |
| Specialty Finance | | | 4.5 | % |
| U.S. Treasury Bills | | | 4.4 | % |
| Home Equity | | | 3.5 | % |
| Residential Mortgage | | | 2.5 | % |
| Other/Cash & Equivalents | | | 16.5 | % |
| | | | 100.0 | % |
Please refer to the Portfolio of Investments for a more detailed breakdown of the Fund’s assets.
EASTERLY EHS FUND
SCHEDULE OF INVESTMENTS
November 30, 2021
| Shares | | | | | Fair Value | |
| | | | | EXCHANGE-TRADED FUNDS — 66.9% | | | | |
| | | | | COMMODITY - 0.6% | | | | |
| | 68 | | | KraneShares Global Carbon Strategy ETF(a) | | $ | 3,252 | |
| | 27 | | | SPDR Gold Shares(a) | | | 4,468 | |
| | | | | | | | 7,720 | |
| | | | | EQUITY - 63.5% | | | | |
| | 50 | | | Alerian MLP ETF | | | 1,584 | |
| | 335 | | | ALPS Medical Breakthroughs ETF(a) | | | 14,372 | |
| | 125 | | | Columbia India Consumer ETF | | | 6,999 | |
| | 8 | | | Consumer Discretionary Select Sector SPDR Fund | | | 1,636 | |
| | 640 | | | ETFMG Travel Tech ETF | | | 15,040 | |
| | 10 | | | First Trust Dow Jones Internet Index Fund(a) | | | 2,298 | |
| | 576 | | | First Trust Financial AlphaDEX Fund | | | 25,955 | |
| | 150 | | | First Trust MultiCap Growth AlphaDEX Fund | | | 18,498 | |
| | 250 | | | First Trust Small Cap Growth AlphaDEX Fund | | | 18,365 | |
| | 17 | | | Global X MSCI China Consumer Discretionary ETF | | | 480 | |
| | 144 | | | Global X MSCI Nigeria ETF | | | 1,460 | |
| | 228 | | | Goldman Sachs Hedge Industry VIP ETF | | | 23,041 | |
| | 593 | | | Invesco S&P 500 Equal Weight ETF, N | | | 91,078 | |
| | 56 | | | Invesco S&P 500 Pure Value ETF | | | 4,272 | |
| | 1,139 | | | Invesco S&P SmallCap Energy ETF | | | 8,053 | |
| | 64 | | | Invesco S&P SmallCap Health Care ETF(a) | | | 11,037 | |
| | 42 | | | Invesco S&P SmallCap Information Technology ETF | | | 6,139 | |
| | 12 | | | Invesco S&P SmallCap Utilities & Communication | | | 772 | |
| | 31 | | | Invesco Water Resources ETF | | | 1,778 | |
| | 176 | | | iShares Biotechnology ETF | | | 27,142 | |
| | 50 | | | iShares China Large-Cap ETF | | | 1,910 | |
| | 20 | | | iShares Expanded Tech-Software Sector ETF(a) | | | 8,298 | |
| | 169 | | | iShares Latin America 40 ETF | | | 4,021 | |
| | 165 | | | iShares Micro-Cap ETF | | | 23,072 | |
| | 77 | | | iShares MSCI Brazil ETF | | | 2,232 | |
| | 40 | | | iShares MSCI China Small-Cap ETF | | | 2,071 | |
| | 15 | | | iShares MSCI EAFE ETF, EQUITY | | | 1,153 | |
| | 27 | | | iShares MSCI Emerging Markets ETF, EQUITY | | | 1,319 | |
| | 166 | | | iShares MSCI Emerging Markets Small-Cap ETF | | | 9,930 | |
| | 444 | | | iShares MSCI Frontier and Sele | | | 15,216 | |
See accompanying notes to financial statements.
EASTERLY EHS FUND
SCHEDULE OF INVESTMENTS (Continued)
November 30, 2021
| Shares | | | | | Fair Value | |
| | | | | EXCHANGE-TRADED FUNDS — 66.9% (Continued) | | | | |
| | | | | EQUITY - 63.5% (Continued) | | | | |
| | 476 | | | iShares MSCI India Small-Cap ETF | | $ | 28,231 | |
| | 53 | | | iShares MSCI Indonesia ETF | | | 1,236 | |
| | 47 | | | iShares MSCI Ireland ETF | | | 2,463 | |
| | 107 | | | iShares MSCI Japan ETF | | | 7,097 | |
| | 19 | | | iShares MSCI Japan Small-Cap ETF | | | 1,417 | |
| | 6 | | | iShares MSCI South Africa ETF | | | 269 | |
| | 43 | | | iShares MSCI Taiwan ETF | | | 2,782 | |
| | 20 | | | iShares MSCI Thailand ETF | | | 1,457 | |
| | 652 | | | iShares MSCI UAE ETF | | | 10,810 | |
| | 158 | | | iShares MSCI United Kingdom Small-Cap ETF | | | 7,056 | |
| | 81 | | | iShares Russell 1000 Growth ETF | | | 24,290 | |
| | 88 | | | iShares Russell 1000 Value ETF | | | 13,963 | |
| | 162 | | | iShares Russell 2000 ETF, EQUITY | | | 35,343 | |
| | 51 | | | iShares Russell 2000 Growth ETF | | | 14,897 | |
| | 327 | | | iShares Russell 2000 Value ETF | | | 52,473 | |
| | 73 | | | iShares Russell Mid-Cap Growth ETF | | | 8,388 | |
| | 300 | | | iShares Russell Mid-Cap Value ETF | | | 34,679 | |
| | 15 | | | iShares U.S. Financial Services ETF | | | 2,820 | |
| | 19 | | | iShares U.S. Healthcare Providers ETF | | | 4,946 | |
| | 21 | | | iShares US Financials ETF | | | 1,774 | |
| | 9 | | | iShares US Pharmaceuticals ETF | | | 1,685 | |
| | 203 | | | KraneShares CSI China Internet ETF | | | 8,942 | |
| | 61 | | | Materials Select Sector SPDR Fund | | | 5,164 | |
| | 72 | | | SPDR FactSet Innovative Technology ETF | | | 14,668 | |
| | 41 | | | SPDR S&P 500 ETF Trust | | | 18,678 | |
| | 321 | | | SPDR S&P Emerging Asia Pacific ETF | | | 39,629 | |
| | 2 | | | SPDR S&P Oil & Gas Exploration & Production ETF | | | 195 | |
| | 43 | | | SPDR S&P Regional Banking ETF | | | 3,002 | |
| | 862 | | | VanEck Africa Index ETF | | | 17,382 | |
| | 407 | | | VanEck Brazil Small-Cap ETF | | | 6,502 | |
| | 167 | | | VanEck Egypt Index ETF | | | 4,359 | |
| | 21 | | | VanEck Israel ETF | | | 1,009 | |
| | 365 | | | VanEck Russia ETF | | | 10,322 | |
| | 122 | | | VanEck Russia Small-Cap ETF | | | 4,335 | |
See accompanying notes to financial statements.
EASTERLY EHS FUND
SCHEDULE OF INVESTMENTS (Continued)
November 30, 2021
| Shares | | | | | Fair Value | |
| | | | | EXCHANGE-TRADED FUNDS — 66.9% (Continued) | | | | |
| | | | | EQUITY - 63.5% (Continued) | | | | |
| | 9 | | | VanEck Semiconductor ETF | | $ | 2,744 | |
| | 446 | | | VanEck Vectors ChinaAMC SME-Ch | | | 24,222 | |
| | 453 | | | VanEck Vietnam ETF | | | 9,400 | |
| | 401 | | | Vanguard FTSE Emerging Markets ETF | | | 19,725 | |
| | 140 | | | Vanguard Total World Stock ETF | | | 14,598 | |
| | 72 | | | WisdomTree Emerging Markets SmallCap Dividend Fund | | | 3,694 | |
| | 244 | | | WisdomTree Japan Hedged SmallCap Equity Fund | | | 10,180 | |
| | 435 | | | Xtrackers Harvest CSI 300 China A-Shares ETF | | | 16,739 | |
| | 28 | | | Xtrackers Harvest CSI 500 China A-Shares ETF | | | 1,155 | |
| | 76 | | | Xtrackers MSCI All China Equity ETF | | | 3,034 | |
| | | | | | | | 846,975 | |
| | | | | FIXED INCOME - 2.7% | | | | |
| | 300 | | | Invesco Financial Preferred ETF | | | 5,514 | |
| | 366 | | | SPDR Bloomberg Convertible Securities ETF | | | 30,726 | |
| | | | | | | | 36,240 | |
| | | | | SPECIALTY - 0.1% | | | | |
| | 15 | | | ProShares Short VIX Short-Term Futures ETF(a) | | | 806 | |
| | | | | | | | | |
| | | | | TOTAL EXCHANGE-TRADED FUNDS (Cost $915,447) | | | 891,741 | |
| | | | | | | | | |
| | | | | EXCHANGE-TRADED NOTES — 0.0% | | | | |
| | | | | SPECIALTY - 0.0% | | | | |
| | 11 | | | iPath Series B S&P 500 VIX Short-Term Futures ETN(a) | | | 280 | |
| | | | | | | | | |
| | | | | TOTAL EXCHANGE-TRADED NOTES (Cost $223) | | | 280 | |
| | | | | | | | | |
| | | | | OPEN END FUNDS — 22.6% | | | | |
| | | | | FIXED INCOME - 22.6% | | | | |
| | 26,962 | | | Easterly Structured Credit Value Fund, Class R6(b) | | | 300,628 | |
| | | | | | | | | |
| | | | | TOTAL OPEN END FUNDS (Cost $301,699) | | | 300,628 | |
See accompanying notes to financial statements.
EASTERLY EHS FUND
SCHEDULE OF INVESTMENTS (Continued)
November 30, 2021
| | | | | TOTAL INVESTMENTS - 89.5% (Cost $1,217,369) | | $ | 1,192,649 | |
| | | | | OTHER ASSETS IN EXCESS OF LIABILITIES - 10.5% | | | 139,520 | |
| | | | | NET ASSETS - 100.0% | | $ | 1,332,169 | |
| EAFE | - Europe, Australasia and Far East |
| | |
| ETF | - Exchange-Traded Fund |
| | |
| MSCI | - Morgan Stanley Capital International |
| | |
| SPDR | - Standard & Poor’s Depositary Receipt |
| | | | | | | | | | | | | Unrealized | |
| Foreign Currency | | Settlement Date | | Counterparty | | Local Currency | | | U.S. Dollar Value | | | Appreciation/(Depreciation) | |
| To Buy: | | | | | | | | | | | | | | | | |
| Mexican Peso | | 12/22/2021 | | Brown Brothers Harriman | | | 47,206 | | | $ | 2,187 | | | $ | (79 | ) |
| | | | | | | | | | | $ | 2,187 | | | $ | (79 | ) |
| | | | | | | | | | | | | | | | | |
| To Sell: | | | | | | | | | | | | | | | | |
| Australian Dollar | | 12/22/2021 | | Brown Brothers Harriman | | | 3,694 | | | $ | 2,620 | | | $ | 68 | |
| British Pound | | 12/22/2021 | | Brown Brothers Harriman | | | 19,434 | | | | 25,726 | | | | 433 | |
| Canadian Dollar | | 12/22/2021 | | Brown Brothers Harriman | | | 6,320 | | | | 4,928 | | | | 97 | |
| Euro | | 12/22/2021 | | Brown Brothers Harriman | | | 15,177 | | | | 17,100 | | | | 71 | |
| Japanese Yen | | 12/22/2021 | | Brown Brothers Harriman | | | 3,036,234 | | | | 26,754 | | | | (227 | ) |
| | | | | | | | | | | $ | 77,128 | | | $ | 442 | |
| | | | | | | | | | | | | | | | | |
| Total | | | | | | | | | | | | | | $ | 363 | |
| (a) | Non-income producing security. |
See accompanying notes to financial statements.
EASTERLY TOTAL HEDGE PORTFOLIO
SCHEDULE OF INVESTMENTS
November 30, 2021
| Shares | | | | | Fair Value | |
| | | | | EXCHANGE-TRADED FUNDS — 70.6% | | | | |
| | | | | ALTERNATIVE - 4.0% | | | | |
| | 146 | | | AlphaClone Alternative Alpha ETF | | $ | 11,984 | |
| | 10,988 | | | iM DBi Managed Futures Strategy ETF | | | 311,839 | |
| | 6,048 | | | IQ Merger Arbitrage ETF | | | 195,471 | |
| | 24,103 | | | ProShares Merger ETF | | | 995,016 | |
| | | | | | | | 1,514,310 | |
| | | | | COMMODITY - 1.9% | | | | |
| | 120 | | | Invesco DB Agriculture Fund(a) | | | 2,323 | |
| | 162 | | | Invesco Optimum Yield Diversified Commodity | | | 3,284 | |
| | 104 | | | iShares GSCI Commodity Dynamic | | | 3,547 | |
| | 22,464 | | | iShares S&P GSCI Commodity Indexed Trust(a) | | | 358,525 | |
| | 843 | | | KraneShares Global Carbon Strategy ETF(a) | | | 40,321 | |
| | 1,131 | | | ProShares UltraShort Bloomberg Crude Oil(a) | | | 18,922 | |
| | 462 | | | SPDR Gold Shares(a) | | | 76,461 | |
| | 4,623 | | | United States Commodity Index Fund(a) | | | 187,278 | |
| | 2,783 | | | United States Natural Gas Fund, L.P.(a) | | | 41,968 | |
| | | | | | | | 732,629 | |
| | | | | EQUITY - 34.1% | | | | |
| | 17 | | | AdvisorShares STAR Global Buy-Write ETF | | | 685 | |
| | 5,024 | | | Alerian MLP ETF | | | 159,160 | |
| | 82 | | | ARK Innovation ETF | | | 8,667 | |
| | 1 | | | CI Active Utility & Infrastructure ETF | | | 10 | |
| | 1,697 | | | Columbia India Consumer ETF | | | 95,015 | |
| | 48 | | | Consumer Discretionary Select Sector SPDR Fund | | | 9,813 | |
| | 1,042 | | | Core Alternative ETF | | | 30,594 | |
| | 142 | | | Direxion NASDAQ-100 Equal Weighted Index Shares | | | 12,198 | |
| | 2,475 | | | Energy Select Sector SPDR Fund | | | 135,110 | |
| | 8,955 | | | ETFMG Travel Tech ETF | | | 210,443 | |
| | 139 | | | First Trust Dow Jones Internet Index Fund(a) | | | 31,945 | |
| | 9,365 | | | First Trust Financial AlphaDEX Fund | | | 421,987 | |
| | 2,096 | | | First Trust MultiCap Growth AlphaDEX Fund | | | 258,479 | |
| | 3,497 | | | First Trust Small Cap Growth AlphaDEX Fund | | | 256,890 | |
| | 890 | | | Global SuperDividend US ETF | | | 17,693 | |
| | 202 | | | Global X MSCI Argentina ETF | | | 5,874 | |
| | 213 | | | Global X MSCI China Consumer Discretionary ETF | | | 6,015 | |
See accompanying notes to financial statements.
EASTERLY TOTAL HEDGE PORTFOLIO
SCHEDULE OF INVESTMENTS (Continued)
November 30, 2021
| Shares | | | | | Fair Value | |
| | | | | EXCHANGE-TRADED FUNDS — 70.6% (Continued) | | | | |
| | | | | EQUITY - 34.1% (Continued) | | | | |
| | 2,014 | | | Global X MSCI Nigeria ETF | | $ | 20,422 | |
| | 6,743 | | | Global X SuperDividend ETF | | | 82,332 | |
| | 3,279 | | | Goldman Sachs Hedge Industry VIP ETF | | | 331,364 | |
| | 59 | | | Invesco DWA Consumer Cyclicals Momentum ETF | | | 5,599 | |
| | 191 | | | Invesco DWA Energy Momentum ETF | | | 5,856 | |
| | 1,178 | | | Invesco DWA Financial Momentum ETF | | | 64,401 | |
| | 683 | | | Invesco KBW High Dividend Yield Financial ETF | | | 13,701 | |
| | 427 | | | Invesco KBW Property & Casualty ETF | | | 31,871 | |
| | 786 | | | Invesco S&P 500 Pure Value ETF | | | 59,956 | |
| | 24,210 | | | Invesco S&P SmallCap Energy ETF | | | 171,165 | |
| | 123 | | | Invesco S&P SmallCap Financials ETF | | | 7,186 | |
| | 902 | | | Invesco S&P SmallCap Health Care ETF(a) | | | 155,550 | |
| | 633 | | | Invesco S&P SmallCap Information Technology ETF | | | 92,526 | |
| | 102 | | | Invesco S&P SmallCap Utilities & Communication | | | 6,559 | |
| | 456 | | | Invesco Water Resources ETF | | | 26,147 | |
| | 262 | | | IQ US Real Estate Small Cap ETF | | | 6,659 | |
| | 2,583 | | | iShares Biotechnology ETF | | | 398,350 | |
| | 748 | | | iShares China Large-Cap ETF | | | 28,566 | |
| | 367 | | | iShares EURO STOXX Mid UCITS ETF | | | 28,560 | |
| | 218 | | | iShares Expanded Tech-Software Sector ETF(a) | | | 90,448 | |
| | 128 | | | iShares Exponential Technologies ETF | | | 8,294 | |
| | 6 | | | iShares Global Financials ETF | | | 466 | |
| | 206 | | | iShares Global Materials ETF | | | 17,901 | |
| | 78 | | | iShares Global Timber & Forestry ETF | | | 6,586 | |
| | 2,462 | | | iShares Latin America 40 ETF | | | 58,571 | |
| | 2,655 | | | iShares Micro-Cap ETF | | | 371,249 | |
| | 461 | | | iShares Mortgage Real Estate ETF | | | 16,287 | |
| | 770 | | | iShares MSCI All Country Asia ex Japan ETF | | | 64,133 | |
| | 1,371 | | | iShares MSCI Australia ETF | | | 33,535 | |
| | 1,208 | | | iShares MSCI Brazil ETF | | | 35,020 | |
| | 287 | | | iShares MSCI Chile ETF | | | 7,261 | |
| | 1,164 | | | iShares MSCI China Small-Cap ETF | | | 60,255 | |
| | 337 | | | iShares MSCI EAFE ETF, EQUITY | | | 25,895 | |
| | 388 | | | iShares MSCI Emerging Markets ETF, EQUITY | | | 18,950 | |
See accompanying notes to financial statements.
EASTERLY TOTAL HEDGE PORTFOLIO
SCHEDULE OF INVESTMENTS (Continued)
November 30, 2021
| Shares | | | | | Fair Value | |
| | | | | EXCHANGE-TRADED FUNDS — 70.6% (Continued) | | | | |
| | | | | EQUITY - 34.1% (Continued) | | | | |
| | 2,325 | | | iShares MSCI Emerging Markets Small-Cap ETF | | $ | 139,082 | |
| | 6,469 | | | iShares MSCI Frontier and Sele | | | 221,693 | |
| | 1,832 | | | iShares MSCI Global Multifactor ETF | | | 68,608 | |
| | 1,035 | | | iShares MSCI Hong Kong ETF | | | 24,105 | |
| | 6,657 | | | iShares MSCI India Small-Cap ETF | | | 394,827 | |
| | 735 | | | iShares MSCI Indonesia ETF | | | 17,140 | |
| | 674 | | | iShares MSCI Ireland ETF | | | 35,326 | |
| | 4,636 | | | iShares MSCI Japan ETF | | | 307,506 | |
| | 1,789 | | | iShares MSCI Japan Small-Cap ETF | | | 133,380 | |
| | 79 | | | iShares MSCI South Africa ETF | | | 3,546 | |
| | 606 | | | iShares MSCI Taiwan ETF | | | 39,202 | |
| | 238 | | | iShares MSCI Thailand ETF | | | 17,343 | |
| | 9,130 | | | iShares MSCI UAE ETF | | | 151,375 | |
| | 3 | | | iShares MSCI United Kingdom ETF | | | 96 | |
| | 2,770 | | | iShares MSCI United Kingdom Small-Cap ETF | | | 123,708 | |
| | 1,136 | | | iShares Russell 1000 Growth ETF | | | 340,664 | |
| | 1,237 | | | iShares Russell 1000 Value ETF | | | 196,275 | |
| | 3,511 | | | iShares Russell 2000 ETF, EQUITY | | | 765,995 | |
| | 832 | | | iShares Russell 2000 Growth ETF | | | 243,019 | |
| | 6,623 | | | iShares Russell 2000 Value ETF | | | 1,062,793 | |
| | 1,090 | | | iShares Russell Mid-Cap Growth ETF | | | 125,252 | |
| | 5,095 | | | iShares Russell Mid-Cap Value ETF | | | 588,982 | |
| | 734 | | | iShares S&P Mid-Cap 400 Growth ETF | | | 60,269 | |
| | 803 | | | iShares S&P/TSX Capped Materials Index ETF | | | 11,036 | |
| | 5 | | | iShares S&P/TSX Global Gold Index ETF | | | 70 | |
| | 1,329 | | | iShares STOXX Europe 600 Banks UCITS ETF DE | | | 20,524 | |
| | 56 | | | iShares STOXX Europe 600 Basic Resources UCITS ETF | | | 3,537 | |
| | 137 | | | iShares STOXX Europe 600 Insurance UCITS ETF DE | | | 4,705 | |
| | 54 | | | iShares STOXX Europe 600 Utilities UCITS ETF DE | | | 2,339 | |
| | 216 | | | iShares U.S. Financial Services ETF | | | 40,612 | |
| | 266 | | | iShares U.S. Healthcare Providers ETF | | | 69,240 | |
| | 85 | | | iShares U.S. Medical Devices ETF | | | 5,251 | |
| | 57 | | | iShares US Consumer Discretionary ETF | | | 4,726 | |
| | 300 | | | iShares US Financials ETF | | | 25,344 | |
See accompanying notes to financial statements.
EASTERLY TOTAL HEDGE PORTFOLIO
SCHEDULE OF INVESTMENTS (Continued)
November 30, 2021
| Shares | | | | | Fair Value | |
| | | | | EXCHANGE-TRADED FUNDS — 70.6% (Continued) | | | | |
| | | | | EQUITY - 34.1% (Continued) | | | | |
| | 3,183 | | | KraneShares CSI China Internet ETF | | $ | 140,211 | |
| | 850 | | | Materials Select Sector SPDR Fund | | | 71,953 | |
| | 55 | | | SPDR Dow Jones Global Real Estate ETF | | | 2,934 | |
| | 1,008 | | | SPDR FactSet Innovative Technology ETF | | | 205,350 | |
| | 145 | | | SPDR S&P 500 ETF Trust | | | 66,056 | |
| | 4,450 | | | SPDR S&P Emerging Asia Pacific ETF | | | 549,386 | |
| | 1,188 | | | SPDR S&P Insurance ETF | | | 45,382 | |
| | 200 | | | SPDR S&P Metals & Mining ETF | | | 8,236 | |
| | 27 | | | SPDR S&P Oil & Gas Exploration & Production ETF | | | 2,630 | |
| | 610 | | | SPDR S&P Regional Banking ETF | | | 42,584 | |
| | 31 | | | SPDR S&P Retail ETF | | | 2,912 | |
| | 12,400 | | | VanEck Africa Index ETF | | | 250,046 | |
| | 5,691 | | | VanEck Brazil Small-Cap ETF | | | 90,913 | |
| | 2,340 | | | VanEck Egypt Index ETF | | | 61,074 | |
| | 194 | | | VanEck Israel ETF | | | 9,321 | |
| | 608 | | | VanEck Mortgage REIT Income ETF | | | 11,053 | |
| | 2 | | | VanEck Rare Earth/Strategic Metals ETF | | | 246 | |
| | 9,430 | | | VanEck Russia ETF | | | 266,680 | |
| | 1,630 | | | VanEck Russia Small-Cap ETF | | | 57,914 | |
| | 6,246 | | | VanEck Vectors ChinaAMC SME-Ch | | | 339,220 | |
| | 6,345 | | | VanEck Vietnam ETF | | | 131,659 | |
| | 6,395 | | | Vanguard FTSE Emerging Markets ETF | | | 314,570 | |
| | 238 | | | Vanguard Real Estate ETF | | | 25,404 | |
| | 2,014 | | | Vanguard Total World Stock ETF | | | 210,000 | |
| | 962 | | | WisdomTree Emerging Markets SmallCap Dividend Fund | | | 49,351 | |
| | 854 | | | WisdomTree International SmallCap Dividend Fund | | | 60,198 | |
| | 4,448 | | | WisdomTree Japan Hedged SmallCap Equity Fund | | | 185,584 | |
| | 6,154 | | | Xtrackers Harvest CSI 300 China A-Shares ETF | | | 236,806 | |
| | 761 | | | Xtrackers Harvest CSI 500 China A-Shares ETF | | | 31,391 | |
| | 1,173 | | | Xtrackers MSCI All China Equity ETF | | | 46,820 | |
| | | | | | | | 12,775,653 | |
| | | | | FIXED INCOME - 29.8% | | | | |
| | 3 | | | Direxion Daily 20 Year Plus Treasury Bull 3x | | | 91 | |
| | 39 | | | First Trust Emerging Markets Local Currency Bond | | | 1,207 | |
See accompanying notes to financial statements.
EASTERLY TOTAL HEDGE PORTFOLIO
SCHEDULE OF INVESTMENTS (Continued)
November 30, 2021
| Shares | | | | | Fair Value | |
| | | | | EXCHANGE-TRADED FUNDS — 70.6% (Continued) | | | | |
| | | | | FIXED INCOME - 29.8% (Continued) | | | | |
| | 3,182 | | | First Trust Municipal High Income ETF | | $ | 178,319 | |
| | 53,250 | | | First Trust Senior Loan ETF | | | 2,528,844 | |
| | 1,670 | | | Global X SuperIncome Preferred ETF | | | 19,405 | |
| | 44,458 | | | High Yield ETF | | | 1,399,093 | |
| | 4,619 | | | Highland/iBoxx Senior Loan ETF | | | 73,188 | |
| | 5,118 | | | Invesco Financial Preferred ETF | | | 94,069 | |
| | 36,544 | | | Invesco Global Short Term High Yield Bond ETF | | | 781,676 | |
| | 997 | | | Invesco Senior Loan ETF | | | 21,735 | |
| | 2,929 | | | Invesco Variable Rate Preferred ETF | | | 75,041 | |
| | 759 | | | iShares 7-10 Year Treasury Bond ETF | | | 87,892 | |
| | 16,007 | | | iShares Barclays USD Asia High Yield Bond Index | | | 139,101 | |
| | 24 | | | iShares CMBS ETF | | | 1,288 | |
| | 122 | | | iShares Convertible Bond ETF | | | 11,855 | |
| | 16 | | | iShares Core U.S. Aggregate Bond ETF | | | 1,836 | |
| | 403 | | | iShares Floating Rate Bond ETF | | | 20,444 | |
| | 5,256 | | | iShares iBoxx High Yield Corporate Bond ETF | | | 450,124 | |
| | 2,360 | | | iShares JP Morgan EM Corporate Bond ETF | | | 120,030 | |
| | 1,906 | | | iShares JPMorgan USD Emerging Markets Bond ETF | | | 204,838 | |
| | 1,071 | | | iShares MBS ETF | | | 115,207 | |
| | 315 | | | iShares National Muni Bond ETF | | | 36,735 | |
| | 738 | | | iShares Preferred & Income Securities ETF | | | 28,347 | |
| | 1,757 | | | PIMCO Enhanced Short Maturity Active ETF | | | 178,669 | |
| | 21,233 | | | SPDR Blackstone Senior Loan ET | | | 963,129 | |
| | 6,050 | | | SPDR Bloomberg Barclays Euro High Yield Bond UCITS | | | 385,902 | |
| | 8,945 | | | SPDR Bloomberg Convertible Securities ETF | | | 750,933 | |
| | 170 | | | SPDR Bloomberg High Yield Bond ETF | | | 18,161 | |
| | 19,426 | | | SPDR Doubleline Total Return Tactical ETF | | | 930,700 | |
| | 22,053 | | | VanEck Emerging Markets High Yield Bond ETF | | | 490,459 | |
| | 14,365 | | | VanEck Fallen Angel High Yield Bond ETF | | | 465,713 | |
| | 8,800 | | | VanEck International High Yield Bond ETF | | | 210,408 | |
| | 535 | | | Vanguard Mortgage-Backed Securities ETF | | | 28,376 | |
| | 4,463 | | | Vanguard Total International Bond Index Fund, ETF SHARES | | | 255,417 | |
| | 3,384 | | | WisdomTree Emerging Markets Local Debt Fund | | | 100,743 | |
See accompanying notes to financial statements.
EASTERLY TOTAL HEDGE PORTFOLIO
SCHEDULE OF INVESTMENTS (Continued)
November 30, 2021
| Shares | | | | | Fair Value | |
| | | | | EXCHANGE-TRADED FUNDS — 70.6% (Continued) | | | | |
| | | | | FIXED INCOME - 29.8% (Continued) | | | | |
| | 1,251 | | | WisdomTree Interest Rate Hedged High Yield Bond | | $ | 27,272 | |
| | | | | | | | 11,196,247 | |
| | | | | MIXED ALLOCATION - 0.7% | | | | |
| | 3,714 | | | iShares Morningstar Multi-Asset Income ETF | | | 88,282 | |
| | 945 | | | SPDR SSgA Income Allocation ETF | | | 33,110 | |
| | 5,091 | | | SPDR SSgA Multi-Asset Real Return ETF | | | 145,093 | |
| | | | | | | | 266,485 | |
| | | | | SPECIALTY - 0.1% | | | | |
| | 1,197 | | | Invesco DB US Dollar Index Bullish Fund(a) | | | 30,763 | |
| | 198 | | | ProShares Short VIX Short-Term Futures ETF(a) | | | 10,644 | |
| | | | | | | | 41,407 | |
| | | | | | | | | |
| | | | | TOTAL EXCHANGE-TRADED FUNDS (Cost $27,290,191) | | | 26,526,731 | |
| | | | | | | | | |
| | | | | EXCHANGE-TRADED NOTES — 0.1% | | | | |
| | | | | COMMODITY - 0.0% | | | | |
| | 68 | | | iPath Series B Bloomberg Coffee Subindex Total(a) | | | 4,284 | |
| | 61 | | | iPath Series B Bloomberg Grains Subindex Total(a) | | | 3,891 | |
| | | | | | | | 8,175 | |
| | | | | SPECIALTY - 0.1% | | | | |
| | 585 | | | iPath Series B S&P 500 VIX Short-Term Futures ETN(a) | | | 14,894 | |
| | | | | | | | | |
| | | | | TOTAL EXCHANGE-TRADED NOTES (Cost $22,622) | | | 23,069 | |
| | | | | | | | | |
| | | | | OPEN END FUNDS — 20.5% | | | | |
| | | | | ALTERNATIVE - 5.4% | | | | |
| | 119,446 | | | Easterly Hedged Equity Fund, Class R6(b) | | | 1,396,321 | |
| | 60,875 | | | Kellner Merger Fund, Institutional Class | | | 639,186 | |
| | 624 | | | Merger Fund (The), Class V | | | 10,807 | |
| | | | | | | | 2,046,314 | |
See accompanying notes to financial statements.
EASTERLY TOTAL HEDGE PORTFOLIO
SCHEDULE OF INVESTMENTS (Continued)
November 30, 2021
| Shares | | | | | Fair Value | |
| | | | | OPEN END FUNDS — 20.5% (Continued) | | | | |
| | | | | FIXED INCOME - 15.1% | | | | |
| | 508,773 | | | Easterly Structured Credit Value Fund, Class R6(b) | | $ | 5,672,814 | |
| | | | | | | | | |
| | | | | TOTAL OPEN END FUNDS (Cost $7,691,989) | | | 7,719,128 | |
| Contracts | | | | | Broker/Counterparty | | Expiration Date | | Exercise Price | | | Notional Value | | | Fair Value | |
| | | | | INDEX OPTIONS PURCHASED - 0.1% | | | | | | | | | | | | | | | | |
| | | | | PUT OPTIONS PURCHASED - 0.1% | | | | | | | | | | | | | | | | |
| | 1,467 | | | S&P 500 Index (European Style) | | GS | | 12/01/2021 | | $ | 4,588.90 | | | $ | 6,731,920 | | | $ | 39,829 | |
| | | | | TOTAL PUT OPTIONS PURCHASED (Cost - $9,088) | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | | | | | |
| | | | | TOTAL INVESTMENTS - 91.3% (Cost $35,013,890) | | | | | | | | | | | | | | $ | 34,308,757 | |
| | | | | PUT OPTIONS WRITTEN - (0.1)% (Proceeds - $9,088) | | | | | | | | | | | | | | | (37,194 | ) |
| | | | | OTHER ASSETS IN EXCESS OF LIABILITIES- 8.8% | | | | | | | | | | | | | | | 3,325,724 | |
| | | | | NET ASSETS - 100.0% | | | | | | | | | | | | | | $ | 37,597,287 | |
| | | | | | | | | | | | | | | | | | | | | |
| Contracts | | | | | Counterparty | | Expiration Date | | Exercise Price | | | Notional Value | | | Fair Value | |
| | | | | WRITTEN INDEX OPTIONS - (0.1)% | | | | | | | | | | | | | | | | |
| | | | | PUT OPTIONS WRITTEN - (0.1)% | | | | | | | | | | | | | | | | |
| | 1,141 | | | S&P 500 Index (European Style) | | GS | | 12/01/2021 | | $ | 4,479.25 | | | $ | 5,110,824 | | | $ | 3,395 | |
| | 1,842 | | | S&P 500 Index (European Style) | | GS | | 12/01/2021 | | | 4,567.91 | | | | 8,414,090 | | | | 33,799 | |
| | | | | TOTAL PUT OPTIONS WRITTEN (Proceeds - $9,088) | | | | | | | | | | | | | | | 37,194 | |
| | | | | | | | | | | | | Unrealized | |
| Foreign Currency | | Settlement Date | | Counterparty | | Local Currency | | | U.S. Dollar Value | | | Appreciation/(Depreciation) | |
| To Sell: | | | | | | | | | | | | | | | | |
| Australian Dollar | | 12/22/2021 | | Brown Brothers Harriman | | | 123,512 | | | $ | 87,605 | | | $ | 2,280 | |
| British Pound | | 12/22/2021 | | Brown Brothers Harriman | | | 326,616 | | | | 432,355 | | | | 7,280 | |
| Canadian Dollar | | 12/22/2021 | | Brown Brothers Harriman | | | 123,093 | | | | 95,987 | | | | 1,877 | |
| Euro | | 12/22/2021 | | Brown Brothers Harriman | | | 296,208 | | | | 333,732 | | | | 1,392 | |
| Japanese Yen | | 12/22/2021 | | Brown Brothers Harriman | | | 83,412,858 | | | | 734,992 | | | | (6,223 | ) |
| Mexican Peso | | 12/22/2021 | | Brown Brothers Harriman | | | 287,412 | | | | 13,315 | | | | 482 | |
| Swiss Franc | | 12/22/2021 | | Brown Brothers Harriman | | | 2,792 | | | | 3,020 | | | | (15 | ) |
| | | | | | | | | | | $ | 1,701,006 | | | $ | 7,073 | |
| | | | | | | | | | | | | | | | | |
| Total | | | | | | | | | | | | | | $ | 7,073 | |
See accompanying notes to financial statements.
EASTERLY TOTAL HEDGE PORTFOLIO
SCHEDULE OF INVESTMENTS (Continued)
November 30, 2021
| GS | Goldman Sachs |
| | |
| EAFE | - Europe, Australasia and Far East |
| | |
| ETF | - Exchange-Traded Fund |
| | |
| LP | - Limited Partnership |
| | |
| MSCI | - Morgan Stanley Capital International |
| | |
| REIT | - Real Estate Investment Trust |
| | |
| SPDR | - Standard & Poor’s Depositary Receipt |
| (a) | Non-income producing security. |
See accompanying notes to financial statements.
| EASTERLY TOTAL HEDGE PORTFOLIO |
| SCHEDULE OF INVESTMENTS (Continued) |
| November 30, 2021 |
| TOTAL RETURN SWAP - 0.0% |
| |
| | | | | | | | | | | | | | | | | Unrealized | |
| | | | | | | | | | | | | | | | | Appreciation/ | |
| Notional Amount | | | Reference Entity | | Shares | | | Counterparty | | Maturity Date | | Pay/Receive Fixed Rate | | Variable Rate | | (Depreciation) | |
| | 205,619 | | | S&P 500 Equal Weighted Index | | | 33 | | | Goldman Sachs | | 5/20/2022 | | Pay | | 0.1196 | | $ | — | |
| | 1,439,329 | | | S&P 500 Equal Weighted Index | | | 231 | | | Goldman Sachs | | 5/20/2022 | | Pay | | 0.1196 | | $ | — | |
| | | | | | | | | | | | | | | | | | | $ | — | |
| | | Unrealized | |
| | | Appreciation/ | |
| TOTAL RETURN SWAP - 0.0% | | (Depreciation) | |
| | | | |
| The Deutsche Bank Total Return Swap provides exposure to the daily, total returns of the Easterly Index, a proprietary index of the London Branch of Deutsche Bank AG. The number of shares is 56,900 and requires the fund to pay interest at the rate of 0.38% on the Notional Value outstanding. The Easterly Index features a basket of commodity trading advisor (“CTA”) programs selected by Easterly Funds, LLC from an approved list of third-party managers offered through Deutsche Bank AG on its DB Select platform. The Easterly Index comprises a diversified collection of strategy and style types, including trend following, short-term trading, discretionary, global macro, and sector specialists. According to the terms of the swap, Easterly Funds, LLC can modify the Easterly Index as frequently as daily, on a T+1 basis, by adjusting the notional value of the Easterly Index, or by adding, deleting, or re-weighting the constituent CTA programs. The swap became effective on August 2, 2018, and expires on July 30, 2024. (Notional Value $6,337,613) | | $ | 7,365 | |
| | | $ | 7,365 | |
| TOTAL RETURN SWAP - (0.0)% | | | | |
| The Goldman Sachs Calls-vs-Calls US Series 2 Total Return Strategy is designed to extract dislocated call premiums from S&P 500 constituents; the strategy sells call options on a daily basis across top 100 constituents of the SPX where the term structure is most inverted. The stocks are picked with constraints on leverage, beta towards SPX and tracking error. The strategy also purchases an ATM call option on SPX to mitigate market risk. The number of shares is 7,713 and requires the fund to pay interest at the rate of 0.20% on the Notional Value outstanding. The swap became effective on May 28, 2021 and expires on February 4, 2022. (Notional Value $927,470) | | $ | — | |
| | | $ | — | |
| TOTAL RETURN SWAP - (0.0)% | | | | |
| | | | | |
| The Goldman Sachs i-Select III Series 88 Excess Return Strategy (“GS i-Select”) is a synthetic rules-based proprietary strategy created by Goldman Sachs International as strategy sponsor. The GS i- Select Index includes strategies of the GS Risk Premia Universe that were selected by Easterly . The GS i-Select Index is actively managed by Easterly . The Index features 15 Portfolio Constituents that Easterly Funds, LLC determines the daily waiting of each constituent within the GS i-Select Index. The GS i-Select Index is comprised a diversified collection of strategy and style types, including equity, interest rates, FX, commodities, and credit based strategies such as imbalance, volatility carry, carry, momentum, low beta, and quality. According to the terms of the GS i-Select Index, Easterly Funds, LLC can modify the GS i-Select Index as frequently as daily, by adjusting the notional value of the GS i-Select Index, or by adding, deleting, or re-weighting the constituent Indexes in the GS i-Select Index. The number of shares is 18,117 and requires the fund to pay interest at the rate of 0.25% on the Notional Value outstanding. The swap became effective on May 28, 2021 and expires on February 9, 2022. (Notional Value $1,805,563) | | $ | — | |
| | | $ | — | |
| TOTAL RETURN SWAP - (0.0)% | | | | |
| | | | | |
| The Goldman Sachs Intraday Momentum ES Series 1 Excess Return Strategy aims to capture intraday trend risk premium on the S&P 500. There is empirical evidence that the returns in the earlier part of the day tend to continue in the same direction in the subsequent part of the day, across several markets, including equities. The strategy attempts to monetize this historical tendency for intraday trends from the previous close to extend unto the following close: 1) Every day after the open, the strategy buys futures if markets are rising since the previous close; conversely, it sells futures if markets are falling since previous close. 2) The strategy monitors market moves every 30-minutes to reactively modify its positioning if a new trend appears. 3) All positions are exited at the close. The number of shares is 8,295 and requires the fund to pay interest at the rate of 0.20% on the Notional Value outstanding. The swap became effective on August 2, 2021 and expires on February 4, 2022. (Notional Value $941,817) | | $ | (1,285 | ) |
| | | $ | (1,285 | ) |
| | | | | |
| TOTAL RETURN SWAP - 0.1% | | | | |
| | | | | |
| Goldman Sachs Long Gamma US Series 10 Excess Return Strategy attempts to provide protection in tail scenarios through a levered position in delta-hedged put options. The strategy buys 12m 10- delta S&P Put options and delta-hedges them to attempt to neutralize the inherent short market exposure in typical markets. The strategy takes a long position in volatility and is best-positioned for left-tail events with very high realized volatility. The number of shares is 8,739 and requires the fund to pay interest at the rate of 0.20% on the Notional Value outstanding. The swap became effective on August 2, 2021 and expires on February 4, 2022. (Notional Value $1,228,811) | | $ | 20,616 | |
| | | $ | 20,616 | |
| TOTAL RETURN SWAP - 0.1% | | | | |
| | | | | |
| The Goldman Sachs Systematic Skew US Series 1D Total Return Strategy is designed to capture the spot-volatility covariance risk premium in equity markets, while minimizing exposure to volatility risk. The strategy sells 3m 15d puts and buys 3m 40d calls (delta and gamma hedged) that target a constant exposure to skew, with performance driven by Vanna. The strategy also buys 5d tail puts for added risk management. The number of shares is 6,979 and requires the fund to pay interest at the rate of 0.20% on the Notional Value outstanding. The swap became effective on August 30, 2021 and expires on February 4, 2022. (Notional Value $995,792) | | $ | — | |
| | | $ | — | |
EASTERLY TOTAL HEDGE PORTFOLIO
SCHEDULE OF INVESTMENTS (Continued)
November 30, 2021
Easterly Deutsche Bank Swap Top 50 Holdings
FUTURES CONTRACTS*
| | | | | | | | | | | | | | Unrealized | | | Percentage of Total | |
| Number of | | | | | | | Notional Value at | | | | | | Appreciation/ | | | Return Swap | |
| Contracts | | | Open Long Future Contracts | | Counterparty | | November 30, 2021 | | | Expiration | | | (Depreciation) | | | Unrealized Gain/Loss | |
| | 5 | | | 3 month Euro (EURIBOR) | | Deutsche Bank | | | 1,333,710 | | | | 12/18/2023 | | | $ | (1,936 | ) | | | (26.29 | )% |
| | 1 | | | 10 Year Italian Bond | | Deutsche Bank | | | 173,250 | | | | 12/8/2021 | | | | 2,624 | | | | 35.63 | % |
| | 1 | | | 10 Year Japanese Government Bond | | Deutsche Bank | | | 824,747 | | | | 12/13/2021 | | | | 805 | | | | 10.93 | % |
| | 2 | | | 30 Year US Treasury Bonds | | Deutsche Bank | | | 269,188 | | | | 3/22/2022 | | | | 2,255 | | | | 30.62 | % |
| | 1 | | | DAX Index Future | | Deutsche Bank | | | 266,196 | | | | 12/17/2021 | | | | (311 | ) | | | (4.22 | )% |
| | 48 | | | DJ EURO STOXX Banks Future | | Deutsche Bank | | | 256,557 | | | | 12/17/2021 | | | | (2,547 | ) | | | (34.58 | )% |
| | 2 | | | E-Mini Nasdaq-100 | | Deutsche Bank | | | 674,319 | | | | 12/17/2021 | | | | 3,917 | | | | 53.18 | % |
| | 5 | | | EURO STOXX 50 Index Future | | Deutsche Bank | | | 223,319 | | | | 12/17/2021 | | | | (7,040 | ) | | | (95.59 | )% |
| | 2 | | | Euro-BUND | | Deutsche Bank | | | 378,749 | | | | 12/8/2021 | | | | 871 | | | | 11.83 | % |
| | 2 | | | FTSE 100 Index Future | | Deutsche Bank | | | 194,766 | | | | 12/17/2021 | | | | (838 | ) | | | (11.38 | )% |
| | 1 | | | S&P Canada 60 Index Future | | Deutsche Bank | | | 195,539 | | | | 12/16/2021 | | | | 2,023 | | | | 27.47 | % |
| | 5 | | | S&P CNX Nifty Index Future | | Deutsche Bank | | | 163,823 | | | | 12/30/2021 | | | | (4,349 | ) | | | (59.05 | )% |
| | 1 | | | Ultra Long-Term T Bond | | Deutsche Bank | | | 191,947 | | | | 3/22/2022 | | | | 6,796 | | | | 92.27 | % |
| | | | | | | | | | | | | | | | | | 2,270 | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | | Unrealized | | | | Percentage of Total | |
| | Number of | | | | | | | | Notional Value at | | | | | | | | Appreciation/ | | | | Return Swap | |
| | Contracts | | | Open Short Future Contracts | | Counterparty | | | November 30, 2021 | | | | Expiration | | | | (Depreciation) | | | | Unrealized Gain | |
| | (10 | ) | | 2 Year Euro-Schatz | | Deutsche Bank | | | 1,268,198 | | | | 12/8/2021 | | | | (4,733 | ) | | | (64.26 | )% |
| | (2 | ) | | 2 Year Euro-Schatz | | Deutsche Bank | | | 207,154 | | | | 3/8/2022 | | | | 63 | | | | 0.86 | % |
| | (1 | ) | | 2 Year US Treasury Notes | | Deutsche Bank | | | 280,355 | | | | 3/31/2022 | | | | (231 | ) | | | (3.14 | )% |
| | (2 | ) | | 3 Month SONIA Index Futures | | Deutsche Bank | | | 529,402 | | | | 12/19/2023 | | | | (136 | ) | | | (1.85 | )% |
| | (2 | ) | | 3 Month Sterling | | Deutsche Bank | | | 250,345 | | | | 9/20/2023 | | | | (249 | ) | | | (3.38 | )% |
| | (2 | ) | | 3 Month Sterling | | Deutsche Bank | | | 250,599 | | | | 9/18/2024 | | | | (516 | ) | | | (7.01 | )% |
| | (11 | ) | | 3 Year Australian Treasury Bond | | Deutsche Bank | | | 921,354 | | | | 12/15/2021 | | | | 10,108 | | | | 137.24 | % |
| | (5 | ) | | 5 Year US Treasury Notes | | Deutsche Bank | | | 612,394 | | | | 3/31/2022 | | | | (1,146 | ) | | | (15.56 | )% |
| | (4 | ) | | 10 Year US Treasury Notes | | Deutsche Bank | | | 473,665 | | | | 3/22/2022 | | | | (742 | ) | | | (10.07 | )% |
| | (3 | ) | | AUD/USD | | Deutsche Bank | | | 179,159 | | | | 12/13/2021 | | | | 2,119 | | | | 28.77 | % |
| | (3 | ) | | CAD/USD | | Deutsche Bank | | | 233,519 | | | | 12/14/2021 | | | | 1,494 | | | | 20.29 | % |
| | (5 | ) | | EUR/USD | | Deutsche Bank | | | 647,046 | | | | 12/13/2021 | | | | 3,942 | | | | 53.52 | % |
| | (1 | ) | | Eurodollar | | Deutsche Bank | | | 212,216 | | | | 9/19/2022 | | | | (247 | ) | | | (3.35 | )% |
| | (2 | ) | | Eurodollar | | Deutsche Bank | | | 458,945 | | | | 9/18/2023 | | | | (997 | ) | | | (13.54 | )% |
| | (1 | ) | | Eurodollar | | Deutsche Bank | | | 212,596 | | | | 3/18/2024 | | | | (201 | ) | | | (2.73 | )% |
| | (2 | ) | | Eurodollar | | Deutsche Bank | | | 564,199 | | | | 6/17/2024 | | | | 2,002 | | | | 27.18 | % |
| | (1 | ) | | Eurodollar | | Deutsche Bank | | | 224,925 | | | | 9/16/2024 | | | | (441 | ) | | | (5.99 | )% |
| | (3 | ) | | GBP/USD | | Deutsche Bank | | | 277,419 | | | | 12/13/2021 | | | | 3,947 | | | | 53.59 | % |
| | (1 | ) | | Hang Seng Index | | Deutsche Bank | | | 180,247 | | | | 12/30/2021 | | | | 2,416 | | | | 32.80 | % |
| | (4 | ) | | JPY/USD | | Deutsche Bank | | | 474,459 | | | | 12/13/2021 | | | | (21 | ) | | | (0.29 | )% |
| | (1 | ) | | Long Gilt Future | | Deutsche Bank | | | 233,825 | | | | 3/29/2022 | | | | (173 | ) | | | (2.35 | )% |
| | | | | | | | | | | | | | | | | | 16,258 | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | |
| | | | | TOTAL FUTURES CONTRACTS | | | $ | 18,528 | | | | | |
| PURCHASED CALL OPTIONS* |
| | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | | Percentage of Total | |
| | | | | | Notional Value at | | | | | | | | | | | | Return Swap | |
| Description | | | Counterparty | | November 30, 2021 | | | Expiration | | | Strike Price | | | Unrealized Appreciation | | | Unrealized Gain | |
| | JPY/CAD | | | Deutsche Bank | | | 693,548 | | | | 12/1/2021 | | | | 95.00 | | | $ | — | | | | 0.00 | % |
| | JPY/USD | | | Deutsche Bank | | | 277,419 | | | | 12/9/2021 | | | | 112.00 | | | | 4,284 | | | | 58.17 | % |
| | JPY/USD | | | Deutsche Bank | | | 346,774 | | | | 12/13/2021 | | | | 116.75 | | | | 79 | | | | 1.07 | % |
| | USD/EUR | | | Deutsche Bank | | | 277,419 | | | | 12/6/2021 | | | | 1.22 | | | | — | | | | 0.00 | % |
| | USD/EUR | | | Deutsche Bank | | | 520,161 | | | | 1/3/2022 | | | | 1.21 | | | | 23 | | | | 0.31 | % |
| | USD/EUR | | | Deutsche Bank | | | 277,419 | | | | 1/6/2022 | | | | 1.19 | | | | 63 | | | | 0.86 | % |
| | USD/EUR | | | Deutsche Bank | | | 208,064 | | | | 1/19/2022 | | | | 1.24 | | | | 7 | | | | 0.10 | % |
| | | | | | | | | | | | | | | | | | | | 4,456 | | | | | |
| WRITTEN CALL OPTIONS* |
| | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | | Percentage of Total | |
| | | | | | Notional Value at | | | | | | | | | | | | Return Swap | |
| Description | | | Counterparty | | November 30, 2021 | | | Expiration | | | Strike Price | | | Unrealized Appreciation | | | Unrealized Gain | |
| | JPY/USD | | | Deutsche Bank | | | 554,838 | | | | 12/9/2021 | | | | 114.00 | | | | (2,037 | ) | | | (27.66 | )% |
| | JPY/USD | | | Deutsche Bank | | | 277,419 | | | | 12/9/2021 | | | | 114.00 | | | | (1,095 | ) | | | (14.87 | )% |
| | USD/GBP | | | Deutsche Bank | | | 174,774 | | | | 1/3/2022 | | | | 1.41 | | | | (7 | ) | | | (0.10 | )% |
| | | | | | | | | | | | | | | | | | | $ | (3,139 | ) | | | | |
| FORWARD CURRENCY CONTRACTS +* |
| | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | | | Unrealized | | | Percentage of Total | |
| Settlement | | | | | | | | | | | | | | | | | | Appreciation / | | | Return Swap | |
| Date | | Units to Receive/Deliver | | | Counterparty | | In Exchange For | | US Dollar Value | | | (Depreciation) | | | Unrealized Gain/Loss | |
| To Buy: | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| 12/7/2021 | | | (211,527 | ) | | Deutsche Bank | | CHF | | | 230,252 | | | | USD | | | | 231,066 | | | | 814 | | | | 11.05 | % |
| 12/7/2021 | | | (230,825 | ) | | Deutsche Bank | | USD | | | 308,454 | | | | AUD | | | | 296,605 | | | | (11,850 | ) | | | (160.90 | )% |
| | | | | | | | | | | | | | | | | | | | | | | | (11,036 | ) | | | | |
| To Sell: | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| 12/2/2021 | | | 420,911 | | | Deutsche Bank | | CHF | | | (457,055 | ) | | | USD | | | | 456,488 | | | | (567 | ) | | | (7.70 | )% |
| 12/2/2021 | | | 65,262,355 | | | Deutsche Bank | | JPY | | | (577,553 | ) | | | USD | | | | 574,860 | | | | (2,694 | ) | | | (36.58 | )% |
| 12/7/2021 | | | 17,485,731 | | | Deutsche Bank | | JPY | | | (154,239 | ) | | | USD | | | | 154,042 | | | | (197 | ) | | | (2.67 | )% |
| 12/7/2021 | | | 3,447,543 | | | Deutsche Bank | | MXN | | | (169,565 | ) | | | USD | | | | 160,313 | | | | (9,252 | ) | | | (125.62 | )% |
| | | | | | | | | | | | | | | | | | | | | | | | (12,710 | ) | | | | |
| | | | TOTAL FORWARD CURRENCY CONTRACTS | | | | | | | | | | | | | |
| | | | | | | | | All Other Investments | | | | 11,266 | | | | | |
| | | | | | | | | Total Unrealized Appreciation of Swap | | | $ | 7,365 | | | | | |
| + | Foreign currency transactions are done by notional and not by contracts |
| * | Non-income producing securities |
Currency Abbreviations:
AUD - Australian Dollar
See accompanying notes to financial statements.
EASTERLY TOTAL HEDGE PORTFOLIO
SCHEDULE OF INVESTMENTS (Continued)
November 30, 2021
CAD - Canadian Dollar
CHF - Swiss Franc
CNH - Chinese Yuan Renminbi
EUR - Euro
GBP - Great Britain Pound
JPY - Japanese Yen
MXN - Mexican Peso
USD - U.S. Dollar
See accompanying notes to financial statements.
EASTERLY TOTAL HEDGE PORTFOLIO
SCHEDULE OF INVESTMENTS (Continued)
November 30, 2021
Goldman Sachs Calls-vs-Calls US Series 2 Total Return Strategy Top 50 Holdings
| PURCHASED CALL OPTIONS |
| |
| Number of | | | | | | | Notional Value at | | | | | | | | | | |
| Contracts | | | Open Purchased Call Options | | Counterparty | | November 30, 2021 | | | Expiration | | | Exercise Price | | | Market Value | |
| | 6 | | | S&P 500 Index | | Goldman Sachs | | | 28,108 | | | | 12/17/2021 | | | $ | 4,350 | | | $ | 1,537 | |
| | 8 | | | S&P 500 Index | | Goldman Sachs | | | 38,366 | | | | 12/17/2021 | | | $ | 4,360 | | | | 2,025 | |
| | 11 | | | S&P 500 Index | | Goldman Sachs | | | 51,730 | | | | 12/17/2021 | | | $ | 4,365 | | | | 2,682 | |
| | 5 | | | S&P 500 Index | | Goldman Sachs | | | 24,978 | | | | 12/17/2021 | | | $ | 4,400 | | | | 1,136 | |
| | 5 | | | S&P 500 Index | | Goldman Sachs | | | 22,238 | | | | 12/17/2021 | | | $ | 4,435 | | | | 874 | |
| | 5 | | | S&P 500 Index | | Goldman Sachs | | | 21,207 | | | | 12/17/2021 | | | $ | 4,450 | | | | 779 | |
| | 5 | | | S&P 500 Index | | Goldman Sachs | | | 24,770 | | | | 12/17/2021 | | | $ | 4,470 | | | | 827 | |
| | 5 | | | S&P 500 Index | | Goldman Sachs | | | 24,476 | | | | 12/17/2021 | | | $ | 4,485 | | | | 757 | |
| | 3 | | | S&P 500 Index | | Goldman Sachs | | | 15,861 | | | | 12/17/2021 | | | $ | 4,515 | | | | 415 | |
| | 3 | | | S&P 500 Index | | Goldman Sachs | | | 15,860 | | | | 12/17/2021 | | | $ | 4,525 | | | | 391 | |
| | 4 | | | S&P 500 Index | | Goldman Sachs | | | 17,207 | | | | 12/17/2021 | | | $ | 4,535 | | | | 399 | |
| | 7 | | | S&P 500 Index | | Goldman Sachs | | | 31,312 | | | | 12/17/2021 | | | $ | 4,540 | | | | 702 | |
| | 4 | | | S&P 500 Index | | Goldman Sachs | | | 18,540 | | | | 12/17/2021 | | | $ | 4,545 | | | | 402 | |
| | 5 | | | S&P 500 Index | | Goldman Sachs | | | 24,062 | | | | 12/17/2021 | | | $ | 4,550 | | | | 505 | |
| | 5 | | | S&P 500 Index | | Goldman Sachs | | | 21,239 | | | | 12/17/2021 | | | $ | 4,565 | | | | 400 | |
| | 5 | | | S&P 500 Index | | Goldman Sachs | | | 22,451 | | | | 12/17/2021 | | | $ | 4,570 | | | | 407 | |
| | 15 | | | S&P 500 Index | | Goldman Sachs | | | 69,882 | | | | 12/17/2021 | | | $ | 4,595 | | | | 1,036 | |
| | 6 | | | S&P 500 Index | | Goldman Sachs | | | 26,563 | | | | 12/17/2021 | | | $ | 4,605 | | | | 360 | |
| | 6 | | | S&P 500 Index | | Goldman Sachs | | | 28,043 | | | | 12/17/2021 | | | $ | 4,610 | | | | 363 | |
| | 6 | | | S&P 500 Index | | Goldman Sachs | | | 29,323 | | | | 12/17/2021 | | | $ | 4,625 | | | | 327 | |
| | 16 | | | S&P 500 Index | | Goldman Sachs | | | 75,351 | | | | 12/17/2021 | | | $ | 4,645 | | | | 676 | |
| | 16 | | | S&P 500 Index | | Goldman Sachs | | | 71,504 | | | | 12/17/2021 | | | $ | 4,655 | | | | 569 | |
| | 7 | | | S&P 500 Index | | Goldman Sachs | | | 31,636 | | | | 12/17/2021 | | | $ | 4,675 | | | | 194 | |
| | 18 | | | S&P 500 Index | | Goldman Sachs | | | 80,389 | | | | 12/17/2021 | | | $ | 4,680 | | | | 459 | |
| | 20 | | | S&P 500 Index | | Goldman Sachs | | | 89,132 | | | | 12/17/2021 | | | $ | 4,685 | | | | 473 | |
| | 21 | | | S&P 500 Index | | Goldman Sachs | | | 94,034 | | | | 12/17/2021 | | | $ | 4,690 | | | | 463 | |
| | 20 | | | S&P 500 Index | | Goldman Sachs | | | 89,518 | | | | 12/17/2021 | | | $ | 4,695 | | | | 408 | |
| | 27 | | | S&P 500 Index | | Goldman Sachs | | | 123,399 | | | | 12/17/2021 | | | $ | 4,700 | | | | 520 | |
| | 13 | | | S&P 500 Index | | Goldman Sachs | | | 59,078 | | | | 12/17/2021 | | | $ | 4,705 | | | | 230 | |
| | 4 | | | S&P 500 Index | | Goldman Sachs | | | 19,764 | | | | 1/21/2022 | | | $ | 4,360 | | | | 1,258 | |
| | 7 | | | S&P 500 Index | | Goldman Sachs | | | 29,841 | | | | 1/21/2022 | | | $ | 4,370 | | | | 1,848 | |
| | 4 | | | S&P 500 Index | | Goldman Sachs | | | 17,598 | | | | 1/21/2022 | | | $ | 4,555 | | | | 569 | |
| | 6 | | | S&P 500 Index | | Goldman Sachs | | | 27,106 | | | | 1/21/2022 | | | $ | 4,605 | | | | 687 | |
| | 6 | | | S&P 500 Index | | Goldman Sachs | | | 29,142 | | | | 1/21/2022 | | | $ | 4,665 | | | | 521 | |
| | 9 | | | S&P 500 Index | | Goldman Sachs | | | 40,527 | | | | 1/21/2022 | | | $ | 4,690 | | | | 612 | |
| | 7 | | | S&P 500 Index | | Goldman Sachs | | | 31,964 | | | | 1/21/2022 | | | $ | 4,700 | | | | 450 | |
| | 8 | | | S&P 500 Index | | Goldman Sachs | | | 38,243 | | | | 1/21/2022 | | | $ | 4,705 | | | | 519 | |
| | 9 | | | S&P 500 Index | | Goldman Sachs | | | 39,088 | | | | 1/21/2022 | | | $ | 4,710 | | | | 511 | |
| | 3 | | | S&P 500 Index | | Goldman Sachs | | | 14,785 | | | | 2/18/2022 | | | $ | 4,610 | | | | 470 | |
| | 3 | | | S&P 500 Index | | Goldman Sachs | | | 15,807 | | | | 2/18/2022 | | | $ | 4,665 | | | | 392 | |
| | 6 | | | S&P 500 Index | | Goldman Sachs | | | 28,784 | | | | 2/18/2022 | | | $ | 4,690 | | | | 631 | |
| | 3 | | | S&P 500 Index | | Goldman Sachs | | | 15,569 | | | | 2/18/2022 | | | $ | 4,700 | | | | 324 | |
| | 5 | | | S&P 500 Index | | Goldman Sachs | | | 22,189 | | | | 2/18/2022 | | | $ | 4,705 | | | | 450 | |
| | 5 | | | S&P 500 Index | | Goldman Sachs | | | 20,829 | | | | 2/18/2022 | | | $ | 4,710 | | | | 411 | |
| | | | | | | | | | | | | | | | | | | | | | 29,969 | |
| | | | | | | | | | | | | | | | | | | | | | | |
| WRITTEN CALL OPTIONS |
| | | | | | | | | | | | | | | | | | | | | | | |
| | Number of | | | | | | | | Notional Value at | | | | | | | | | | | | | |
| | Contracts | | | Open Written Call Options | | Counterparty | | | November 30, 2021 | | | | Expiration | | | | Exercise Price | | | | Market Value | |
| | 43 | | | Accenture plc | | Goldman Sachs | | | 15,326 | | | | 12/17/2021 | | | $ | 370 | | | $ | 221 | |
| | 510 | | | Cisco Systems, Inc. | | Goldman Sachs | | | 27,942 | | | | 12/17/2021 | | | $ | 58 | | | | 154 | |
| | 45 | | | Deere & Company | | Goldman Sachs | | | 15,419 | | | | 12/17/2021 | | | $ | 360 | | | | 212 | |
| | 152 | | | Medtronic plc | | Goldman Sachs | | | 16,201 | | | | 12/17/2021 | | | $ | 120 | | | | 10 | |
| | 299 | | | Pfizer, Inc. | | Goldman Sachs | | | 16,062 | | | | 12/17/2021 | | | $ | 50 | | | | 1,253 | |
| | 119 | | | Walmart, Inc. | | Goldman Sachs | | | 16,680 | | | | 12/17/2021 | | | $ | 150 | | | | 38 | |
| | | | | | | | | | | | | | | | | | | | | | 1,888 | |
See accompanying notes to financial statements.
EASTERLY TOTAL HEDGE PORTFOLIO
SCHEDULE OF INVESTMENTS (Continued)
November 30, 2021
Goldman Sachs i-Select III Series 88 Excess Return Strategy Top 50 Holdings
| FUTURES CONTRACTS* |
| | | | | | | | | | | | |
| Number of | | | | | | | Notional Value at | | | | |
| Contracts | | | Open Long Future Contracts | | Counterparty | | November 30, 2021 | | | Expiration | |
| | 1 | | | CBOT 2 Year US Treasury Note Future | | Goldman Sachs | | $ | 122,642 | | | | 3/31/2022 | |
| | 1 | | | CBOT 5 Year US Treasury Note | | Goldman Sachs | | | 103,265 | | | | 3/31/2022 | |
| | 1 | | | CBOT Corn Future | | Goldman Sachs | | | 28,058 | | | | 5/13/2022 | |
| | 1 | | | CBOT Soybean Future | | Goldman Sachs | | | 47,959 | | | | 5/13/2022 | |
| | 0 | | | CBOT US Long Bond Future | | Goldman Sachs | | | 33,159 | | | | 3/22/2022 | |
| | 1 | | | CBOT Wheat Future | | Goldman Sachs | | | 42,146 | | | | 5/13/2022 | |
| | 2 | | | CME E-Mini NASDAQ 100 Index Future | | Goldman Sachs | | | 26,232 | | | | 12/17/2021 | |
| | 6 | | | CME E-Mini Standard & Poor’s 500 Index Future | | Goldman Sachs | | | 25,471 | | | | 12/17/2021 | |
| | 0 | | | CME Live Cattle Future | | Goldman Sachs | | | 12,261 | | | | 4/29/2022 | |
| | 0 | | | COMEX Gold 100 Troy Ounces Future | | Goldman Sachs | | | 10,360 | | | | 2/24/2022 | |
| | 0 | | | Cotton No.2 Future | | Goldman Sachs | | | 20,725 | | | | 5/6/2022 | |
| | 0 | | | Eurex 10 Year Euro BUND Future | | Goldman Sachs | | | 8,983 | | | | 12/8/2021 | |
| | 0 | | | Eurex 10 Year Euro BUND Future | | Goldman Sachs | | | 17,681 | | | | 3/8/2022 | |
| | 0 | | | Eurex 2 Year Euro SCHATZ Future | | Goldman Sachs | | | 54,393 | | | | 12/8/2021 | |
| | 1 | | | Eurex 2 Year Euro SCHATZ Future | | Goldman Sachs | | | 108,743 | | | | 3/8/2022 | |
| | 1 | | | Eurex 5 Year Euro BOBL Future | | Goldman Sachs | | | 97,091 | | | | 12/8/2021 | |
| | 0 | | | Eurex 5 Year Euro BOBL Future | | Goldman Sachs | | | 12,471 | | | | 12/8/2021 | |
| | 0 | | | Eurex 5 Year Euro BOBL Future | | Goldman Sachs | | | 24,813 | | | | 3/8/2022 | |
| | 2 | | | Eurex EURO STOXX 50 Future | | Goldman Sachs | | | 7,374 | | | | 12/17/2021 | |
| | 2 | | | Eurex Swiss Market New Index Future | | Goldman Sachs | | | 24,580 | | | | 12/17/2021 | |
| | 29 | | | Euronext Amsterdam Index Future | | Goldman Sachs | | | 25,498 | | | | 12/17/2021 | |
| | 2 | | | Euronext CAC 40 Index Future | | Goldman Sachs | | | 12,139 | | | | 12/17/2021 | |
| | 0 | | | FTSE/MIB Index Future 12/17/2021 | | Goldman Sachs | | | 8,892 | | | | 12/17/2021 | |
| | 0 | | | ICE Gas Oil Future | | Goldman Sachs | | | 7,522 | | | | 1/12/2022 | |
| | 0 | | | Live Cattle Future | | Goldman Sachs | | | 14,473 | | | | 6/30/2022 | |
| | 0 | | | Live Cattle Future | | Goldman Sachs | | | 7,618 | | | | 8/31/2022 | |
| | 0 | | | LME Copper Future | | Goldman Sachs | | | 7,587 | | | | 1/17/2022 | |
| | 0 | | | LME Copper Future | | Goldman Sachs | | | 18,754 | | | | 1/17/2022 | |
| | 0 | | | LME Copper Future | | Goldman Sachs | | | 22,870 | | | | 2/14/2022 | |
| | 0 | | | LME Copper Future | | Goldman Sachs | | | 7,555 | | | | 2/14/2022 | |
| | 0 | | | LME Nickel Future | | Goldman Sachs | | | 21,097 | | | | 1/17/2022 | |
| | 0 | | | LME Nickel Future | | Goldman Sachs | | | 7,739 | | | | 1/17/2022 | |
| | 0 | | | LME Nickel Future | | Goldman Sachs | | | 25,730 | | | | 2/14/2022 | |
| | 0 | | | LME Nickel Future | | Goldman Sachs | | | 9,438 | | | | 2/14/2022 | |
| | 0 | | | LME Primary Aluminum Future | | Goldman Sachs | | | 7,630 | | | | 1/17/2022 | |
| | 0 | | | LME Zinc Future | | Goldman Sachs | | | 7,389 | | | | 1/17/2022 | |
| | 26 | | | Montreal Exchange S&P/TSX 60 Index Future | | Goldman Sachs | | | 25,302 | | | | 12/17/2021 | |
| | 0 | | | NYBOT CSC C Coffee Future | | Goldman Sachs | | | 8,419 | | | | 3/21/2022 | |
| | 1 | | | NYBOT CSC Number 11 World Sugar Future | | Goldman Sachs | | | 22,092 | | | | 4/29/2022 | |
| | 0 | | | NYBOT CTN Number 2 Cotton Future | | Goldman Sachs | | | 7,352 | | | | 3/9/2022 | |
| | 0 | | | NYMEX Henry Hub Natural Gas Futures | | Goldman Sachs | | | 7,427 | | | | 12/29/2021 | |
| | 0 | | | NYMEX Henry Hub Natural Gas Futures | | Goldman Sachs | | | 9,987 | | | | 3/29/2022 | |
| | 0 | | | NYMEX Henry Hub Natural Gas Futures | | Goldman Sachs | | | 12,100 | | | | 4/27/2022 | |
| | 56 | | | OML Stockholm OMXS30 Index Future | | Goldman Sachs | | | 13,921 | | | | 12/17/2021 | |
| | 2 | | | SFE S&P ASX Share Price Index 200 Future | | Goldman Sachs | | | 11,236 | | | | 12/16/2021 | |
| | 0 | | | TSE Japanese 10 Year Bond Futures | | Goldman Sachs | | | 60,543 | | | | 12/9/2021 | |
| | 620 | | | TSE TOPIX (Tokyo Price Index) Future | | Goldman Sachs | | | 10,355 | | | | 12/10/2021 | |
| | | | | | | | | | | | | | | |
| Number of | | | | | | | Notional Value at | | | | | | | |
| Contracts | | | Open Credit Default Swaps | | Counterparty | | November 30, 2021 | | | Expiration | | | Value | |
| | 59,087 | | | Markit CDX North America High Yield Index | | Goldman Sachs | | | 59,087 | | | | 12/20/2026 | | | $ | 1,331 | |
| | 8,687 | | | Markit CDX North America Investment Grade Index | | Goldman Sachs | | | 8,687 | | | | 12/20/2026 | | | | 750 | |
| | 15,444 | | | Markit iTraxx Europe Index | | Goldman Sachs | | | 17,384 | | | | 12/20/2026 | | | | 405 | |
| | | | | | | | | | | | | | | | | | 2,486 | |
| * | The GS i-Select invests in 15 Portfolio Constituents which do not trade individual futures, therefore the Futures do not have any individual unrealized gains/losses. |
See accompanying notes to financial statements.
EASTERLY TOTAL HEDGE PORTFOLIO
SCHEDULE OF INVESTMENTS (Continued)
November 30, 2021
Goldman Sachs Intraday Momentum ES Series 1 Excess Return Strategy Top 50 Holdings
See accompanying notes to financial statements.
EASTERLY TOTAL HEDGE PORTFOLIO
SCHEDULE OF INVESTMENTS (Continued)
November 30, 2021
Goldman Sachs Long Gamma US Series 10 Total Return Strategy Top 50 Holdings
| Number of | | | | | | | Notional Value at | | | | | | | | | | |
| Contracts | | | Open Long Equity Forwards | | Counterparty | | November 30, 2021 | | | Expiration | | | Exercise Price | | | Market Value | |
| | 27 | | | S&P 500 Index | | Goldman Sachs | | | 124,095 | | | | 3/18/2022 | | | $ | 4,660 | | | $ | 2,745 | |
| | 20 | | | S&P 500 Index | | Goldman Sachs | | | 93,445 | | | | 4/14/2022 | | | $ | 4,660 | | | | 2,107 | |
| | 22 | | | S&P 500 Index | | Goldman Sachs | | | 100,009 | | | | 5/20/2022 | | | $ | 4,660 | | | | 2,336 | |
| | 35 | | | S&P 500 Index | | Goldman Sachs | | | 161,956 | | | | 6/17/2022 | | | $ | 4,650 | | | | 3,546 | |
| | 16 | | | S&P 500 Index | | Goldman Sachs | | | 73,618 | | | | 8/19/2022 | | | $ | 4,650 | | | | 1,674 | |
| | 28 | | | S&P 500 Index | | Goldman Sachs | | | 128,932 | | | | 9/16/2022 | | | $ | 4,650 | | | | 2,995 | |
| | 17 | | | S&P 500 Index | | Goldman Sachs | | | 77,114 | | | | 10/21/2022 | | | $ | 4,650 | | | | 1,807 | |
| | 15 | | | S&P 500 Index | | Goldman Sachs | | | 70,015 | | | | 11/18/2022 | | | $ | 4,650 | | | | 1,672 | |
| | 37 | | | S&P 500 Index | | Goldman Sachs | | | 168,478 | | | | 12/16/2022 | | | $ | 4,650 | | | | 4,110 | |
| | | | | | | | | | | | | | | | | | | | | | 22,992 | |
| | | | | | | | | | | | | | | | | | | | | | | |
| PURCHASED PUT OPTIONS |
| | | | | | | | | | | | | | | | | | |
| Number of | | | | | | | Notional Value at | | | | | | | | | | |
| Contracts | | | Open Purchased Put Options | | Counterparty | | November 30, 2021 | | | Expiration | | | Exercise Price | | | Market Value | |
| | 16 | | | S&P 500 Index | | Goldman Sachs | | | 72,337 | | | | 12/17/2021 | | | $ | 1,775 | | | $ | 2 | |
| | 18 | | | S&P 500 Index | | Goldman Sachs | | | 80,629 | | | | 12/17/2021 | | | $ | 1,800 | | | | 2 | |
| | 15 | | | S&P 500 Index | | Goldman Sachs | | | 69,147 | | | | 12/17/2021 | | | $ | 2,075 | | | | 3 | |
| | 19 | | | S&P 500 Index | | Goldman Sachs | | | 87,507 | | | | 12/17/2021 | | | $ | 2,100 | | | | 4 | |
| | 37 | | | S&P 500 Index | | Goldman Sachs | | | 169,319 | | | | 12/17/2021 | | | $ | 2,125 | | | | 8 | |
| | 30 | | | S&P 500 Index | | Goldman Sachs | | | 136,540 | | | | 12/17/2021 | | | $ | 2,150 | | | | 7 | |
| | 29 | | | S&P 500 Index | | Goldman Sachs | | | 130,429 | | | | 12/17/2021 | | | $ | 2,175 | | | | 6 | |
| | 23 | | | S&P 500 Index | | Goldman Sachs | | | 103,368 | | | | 12/17/2021 | | | $ | 2,200 | | | | 5 | |
| | 27 | | | S&P 500 Index | | Goldman Sachs | | | 123,847 | | | | 12/17/2021 | | | $ | 2,250 | | | | 7 | |
| | 18 | | | S&P 500 Index | | Goldman Sachs | | | 82,239 | | | | 12/17/2021 | | | $ | 2,425 | | | | 7 | |
| | 26 | | | S&P 500 Index | | Goldman Sachs | | | 119,661 | | | | 12/17/2021 | | | $ | 2,450 | | | | 10 | |
| | 25 | | | S&P 500 Index | | Goldman Sachs | | | 114,222 | | | | 12/17/2021 | | | $ | 2,500 | | | | 11 | |
| | 36 | | | S&P 500 Index | | Goldman Sachs | | | 162,237 | | | | 12/17/2021 | | | $ | 2,525 | | | | 17 | |
| | 25 | | | S&P 500 Index | | Goldman Sachs | | | 115,078 | | | | 12/17/2021 | | | $ | 2,550 | | | | 13 | |
| | 23 | | | S&P 500 Index | | Goldman Sachs | | | 107,229 | | | | 12/17/2021 | | | $ | 2,575 | | | | 13 | |
| | 16 | | | S&P 500 Index | | Goldman Sachs | | | 74,722 | | | | 12/17/2021 | | | $ | 2,675 | | | | 11 | |
| | 17 | | | S&P 500 Index | | Goldman Sachs | | | 76,384 | | | | 12/17/2021 | | | $ | 2,700 | | | | 12 | |
| | 34 | | | S&P 500 Index | | Goldman Sachs | | | 153,919 | | | | 12/17/2021 | | | $ | 2,800 | | | | 31 | |
| | 20 | | | S&P 500 Index | | Goldman Sachs | | | 90,796 | | | | 12/17/2021 | | | $ | 2,825 | | | | 19 | |
| | 25 | | | S&P 500 Index | | Goldman Sachs | | | 112,768 | | | | 3/18/2022 | | | $ | 2,050 | | | | 136 | |
| | 26 | | | S&P 500 Index | | Goldman Sachs | | | 117,080 | | | | 3/18/2022 | | | $ | 2,100 | | | | 152 | |
| | 35 | | | S&P 500 Index | | Goldman Sachs | | | 157,580 | | | | 3/18/2022 | | | $ | 2,150 | | | | 223 | |
| | 16 | | | S&P 500 Index | | Goldman Sachs | | | 74,462 | | | | 3/18/2022 | | | $ | 2,250 | | | | 121 | |
| | 21 | | | S&P 500 Index | | Goldman Sachs | | | 94,082 | | | | 3/18/2022 | | | $ | 2,500 | | | | 216 | |
| | 16 | | | S&P 500 Index | | Goldman Sachs | | | 73,411 | | | | 3/18/2022 | | | $ | 2,550 | | | | 181 | |
| | 22 | | | S&P 500 Index | | Goldman Sachs | | | 98,738 | | | | 3/18/2022 | | | $ | 2,600 | | | | 260 | |
| | 15 | | | S&P 500 Index | | Goldman Sachs | | | 69,253 | | | | 3/18/2022 | | | $ | 2,775 | | | | 229 | |
| | 17 | | | S&P 500 Index | | Goldman Sachs | | | 78,353 | | | | 3/18/2022 | | | $ | 2,875 | | | | 295 | |
| | 17 | | | S&P 500 Index | | Goldman Sachs | | | 79,452 | | | | 3/18/2022 | | | $ | 2,925 | | | | 318 | |
| | 23 | | | S&P 500 Index | | Goldman Sachs | | | 103,314 | | | | 4/14/2022 | | | $ | 2,500 | | | | 311 | |
| | 16 | | | S&P 500 Index | | Goldman Sachs | | | 75,053 | | | | 6/17/2022 | | | $ | 2,050 | | | | 198 | |
| | 19 | | | S&P 500 Index | | Goldman Sachs | | | 86,291 | | | | 6/17/2022 | | | $ | 2,500 | | | | 412 | |
| | 16 | | | S&P 500 Index | | Goldman Sachs | | | 70,901 | | | | 6/17/2022 | | | $ | 2,550 | | | | 362 | |
| | 22 | | | S&P 500 Index | | Goldman Sachs | | | 101,237 | | | | 7/15/2022 | | | $ | 2,600 | | | | 642 | |
| | 15 | | | S&P 500 Index | | Goldman Sachs | | | 69,158 | | | | 8/19/2022 | | | $ | 2,600 | | | | 521 | |
| | 16 | | | S&P 500 Index | | Goldman Sachs | | | 73,289 | | | | 8/19/2022 | | | $ | 2,650 | | | | 588 | |
| | 20 | | | S&P 500 Index | | Goldman Sachs | | | 93,491 | | | | 9/16/2022 | | | $ | 2,500 | | | | 698 | |
| | 21 | | | S&P 500 Index | | Goldman Sachs | | | 94,330 | | | | 9/16/2022 | | | $ | 2,550 | | | | 749 | |
| | 17 | | | S&P 500 Index | | Goldman Sachs | | | 79,447 | | | | 9/16/2022 | | | $ | 2,600 | | | | 672 | |
| | 15 | | | S&P 500 Index | | Goldman Sachs | | | 70,491 | | | | 10/21/2022 | | | $ | 2,500 | | | | 585 | |
| | 16 | | | S&P 500 Index | | Goldman Sachs | | | 71,157 | | | | 11/18/2022 | | | $ | 2,750 | | | | 882 | |
| | | | | | | | | | | | | | | | | | | | | | 8,939 | |
See accompanying notes to financial statements.
EASTERLY TOTAL HEDGE PORTFOLIO
SCHEDULE OF INVESTMENTS (Continued)
November 30, 2021
Goldman Sachs Systematic Skew US Series 1D Total Return Strategy Top 50 Holdings
| EQUITY FORWARDS | |
| | | | | | | | | | | | | | | | | | |
| Number of | | | | | | | Notional Value at | | | | | | | | | | |
| Contracts | | | Open Short Equity Forwards | | Counterparty | | November 30, 2021 | | | Expiration | | | Exercise Price | | | Market Value | |
| | 269 | | | S&P 500 Index | | Goldman Sachs | | | 1,226,881 | | | | 12/17/2021 | | | $ | 4,655 | | | $ | 24,250 | |
| | 205 | | | S&P 500 Index | | Goldman Sachs | | | 934,077 | | | | 1/21/2022 | | | $ | 4,655 | | | | 18,157 | |
| | 132 | | | S&P 500 Index | | Goldman Sachs | | | 601,903 | | | | 2/18/2022 | | | $ | 4,655 | | | | 12,212 | |
| | 41 | | | S&P 500 Index | | Goldman Sachs | | | 185,654 | | | | 3/18/2022 | | | $ | 4,660 | | | | 4,107 | |
| | | | | | | | | | | | | | | | | | | | | | 58,726 | |
| | | | | | | | | | | | | | | | | | | | | | | |
| PURCHASED PUT OPTIONS |
| | | | | | | | | | | | | | | | | | |
| Number of | | | | | | | Notional Value at | | | | | | | | | | |
| Contracts | | | Open Purchased Put Options | | Counterparty | | November 30, 2021 | | | Expiration | | | Exercise Price | | | Market Value | |
| | 60 | | | S&P 500 Index | | Goldman Sachs | | | 274,500 | | | | 3/18/2022 | | | $ | 2,450 | | | $ | 590 | |
| | 45 | | | S&P 500 Index | | Goldman Sachs | | | 205,740 | | | | 2/18/2022 | | | $ | 2,250 | | | | 213 | |
| | 45 | | | S&P 500 Index | | Goldman Sachs | | | 206,209 | | | | 2/18/2022 | | | $ | 2,300 | | | | 231 | |
| | 56 | | | S&P 500 Index | | Goldman Sachs | | | 255,441 | | | | 2/18/2022 | | | $ | 2,550 | | | | 410 | |
| | 42 | | | S&P 500 Index | | Goldman Sachs | | | 191,868 | | | | 2/18/2022 | | | $ | 2,600 | | | | 330 | |
| | 76 | | | S&P 500 Index | | Goldman Sachs | | | 345,282 | | | | 2/18/2022 | | | $ | 2,650 | | | | 641 | |
| | 78 | | | S&P 500 Index | | Goldman Sachs | | | 356,144 | | | | 2/18/2022 | | | $ | 2,700 | | | | 709 | |
| | 41 | | | S&P 500 Index | | Goldman Sachs | | | 189,258 | | | | 1/21/2022 | | | $ | 2,300 | | | | 97 | |
| | 64 | | | S&P 500 Index | | Goldman Sachs | | | 291,778 | | | | 1/21/2022 | | | $ | 2,500 | | | | 221 | |
| | 46 | | | S&P 500 Index | | Goldman Sachs | | | 209,207 | | | | 1/21/2022 | | | $ | 2,800 | | | | 251 | |
| | 62 | | | S&P 500 Index | | Goldman Sachs | | | 284,196 | | | | 1/21/2022 | | | $ | 2,825 | | | | 354 | |
| | 38 | | | S&P 500 Index | | Goldman Sachs | | | 173,178 | | | | 1/21/2022 | | | $ | 2,850 | | | | 225 | |
| | 43 | | | S&P 500 Index | | Goldman Sachs | | | 195,191 | | | | 1/21/2022 | | | $ | 2,925 | | | | 283 | |
| | 45 | | | S&P 500 Index | | Goldman Sachs | | | 206,053 | | | | 1/21/2022 | | | $ | 2,950 | | | | 308 | |
| | 49 | | | S&P 500 Index | | Goldman Sachs | | | 221,830 | | | | 1/21/2022 | | | $ | 3,000 | | | | 352 | |
| | 49 | | | S&P 500 Index | | Goldman Sachs | | | 222,465 | | | | 1/21/2022 | | | $ | 3,025 | | | | 373 | |
| | 75 | | | S&P 500 Index | | Goldman Sachs | | | 342,154 | | | | 12/17/2021 | | | $ | 2,500 | | | | 34 | |
| | 74 | | | S&P 500 Index | | Goldman Sachs | | | 337,996 | | | | 12/17/2021 | | | $ | 2,525 | | | | 36 | |
| | 67 | | | S&P 500 Index | | Goldman Sachs | | | 306,796 | | | | 12/17/2021 | | | $ | 2,550 | | | | 34 | |
| | 70 | | | S&P 500 Index | | Goldman Sachs | | | 318,314 | | | | 12/17/2021 | | | $ | 2,575 | | | | 38 | |
| | 46 | | | S&P 500 Index | | Goldman Sachs | | | 209,719 | | | | 12/17/2021 | | | $ | 2,650 | | | | 30 | |
| | 61 | | | S&P 500 Index | | Goldman Sachs | | | 278,862 | | | | 12/17/2021 | | | $ | 2,700 | | | | 45 | |
| | 53 | | | S&P 500 Index | | Goldman Sachs | | | 242,854 | | | | 12/17/2021 | | | $ | 2,800 | | | | 49 | |
| | 49 | | | S&P 500 Index | | Goldman Sachs | | | 221,589 | | | | 12/17/2021 | | | $ | 2,825 | | | | 47 | |
| | 39 | | | S&P 500 Index | | Goldman Sachs | | | 177,302 | | | | 12/17/2021 | | | $ | 3,000 | | | | 54 | |
| | 40 | | | S&P 500 Index | | Goldman Sachs | | | 181,139 | | | | 12/17/2021 | | | $ | 3,075 | | | | 65 | |
| | 43 | | | S&P 500 Index | | Goldman Sachs | | | 197,091 | | | | 12/17/2021 | | | $ | 3,100 | | | | 74 | |
| | 39 | | | S&P 500 Index | | Goldman Sachs | | | 180,376 | | | | 12/17/2021 | | | $ | 3,125 | | | | 72 | |
| | 64 | | | S&P 500 Index | | Goldman Sachs | | | 293,244 | | | | 12/17/2021 | | | $ | 3,200 | | | | 137 | |
| | 47 | | | S&P 500 Index | | Goldman Sachs | | | 215,156 | | | | 12/17/2021 | | | $ | 3,225 | | | | 106 | |
| | 64 | | | S&P 500 Index | | Goldman Sachs | | | 291,543 | | | | 12/17/2021 | | | $ | 3,400 | | | | 206 | |
| | | | | | | | | | | | | | | | | | | | | | 6,615 | |
| | | | | | | | | | | | | | | | | | | | | | | |
| WRITTEN PUT OPTIONS |
| | | | | | | | | | | | | | | | | | |
| Number of | | | | | | | Notional Value at | | | | | | | | | | |
| Contracts | | | Open Written Put Options | | Counterparty | | November 30, 2021 | | | Expiration | | | Exercise Price | | | Market Value | |
| | 39 | | | S&P 500 Index | | Goldman Sachs | | | 177,035 | | | | 12/17/2021 | | | $ | 3,890 | | | $ | 333 | |
| | 53 | | | S&P 500 Index | | Goldman Sachs | | | 242,854 | | | | 12/17/2021 | | | $ | 3,935 | | | | 507 | |
| | 59 | | | S&P 500 Index | | Goldman Sachs | | | 267,392 | | | | 12/17/2021 | | | $ | 3,940 | | | | 566 | |
| | 45 | | | S&P 500 Index | | Goldman Sachs | | | 206,021 | | | | 12/17/2021 | | | $ | 3,945 | | | | 443 | |
| | 40 | | | S&P 500 Index | | Goldman Sachs | | | 183,020 | | | | 12/17/2021 | | | $ | 3,950 | | | | 397 | |
| | 55 | | | S&P 500 Index | | Goldman Sachs | | | 252,906 | | | | 12/17/2021 | | | $ | 3,960 | | | | 563 | |
| | 39 | | | S&P 500 Index | | Goldman Sachs | | | 177,302 | | | | 12/17/2021 | | | $ | 4,075 | | | | 542 | |
| | 40 | | | S&P 500 Index | | Goldman Sachs | | | 181,139 | | | | 12/17/2021 | | | $ | 4,095 | | | | 588 | |
| | 43 | | | S&P 500 Index | | Goldman Sachs | | | 197,091 | | | | 12/17/2021 | | | $ | 4,140 | | | | 736 | |
| | 39 | | | S&P 500 Index | | Goldman Sachs | | | 180,376 | | | | 12/17/2021 | | | $ | 4,160 | | | | 720 | |
| | 41 | | | S&P 500 Index | | Goldman Sachs | | | 185,321 | | | | 12/17/2021 | | | $ | 4,175 | | | | 777 | |
| | 39 | | | S&P 500 Index | | Goldman Sachs | | | 178,729 | | | | 12/17/2021 | | | $ | 4,185 | | | | 776 | |
| | 59 | | | S&P 500 Index | | Goldman Sachs | | | 270,902 | | | | 12/17/2021 | | | $ | 4,215 | | | | 1,304 | |
| | 53 | | | S&P 500 Index | | Goldman Sachs | | | 239,980 | | | | 1/21/2022 | | | $ | 3,830 | | | | 1,427 | |
| | 43 | | | S&P 500 Index | | Goldman Sachs | | | 197,491 | | | | 1/21/2022 | | | $ | 4,090 | | | | 2,002 | |
| | | | | | | | | | | | | | | | | | | | | | 11,681 | |
See accompanying notes to financial statements.
| EASTERLY STRUCTURED CREDIT VALUE FUND |
| SCHEDULE OF INVESTMENTS |
| November 30, 2021 |
| Principal | | | | | | | Coupon Rate | | | | | | |
| Amount ($) | | | | | Spread | | (%) | | Maturity | | | Fair Value | |
| | | | | ASSET BACKED SECURITIES — 67.9% | | | | | | | | | | | | |
| | | | | CMBS — 0.8% | | | | | | | | | | | | |
| | 847,054 | | | Freddie Mac Multifamily Structured Pass Through(c),(e) | | | | 2.2460 | | | 05/25/47 | | | $ | 124,181 | |
| | 2,457,346 | | | FREMF 2018-KF46(a),(b) | | US0001M + 1.950% | | 2.0370 | | | 03/25/28 | | | | 2,402,927 | |
| | 147,061 | | | Government National Mortgage Association(c),(e) | | | | 0.7390 | | | 04/16/53 | | | | 1,559 | |
| | | | | | | | | | | | | | | | 2,528,667 | |
| | | | | CDO — 5.7% | | | | | | | | | | | | |
| | 109,993 | | | ARCap 2003-1 Resecuritization Trust(a) | | | | 7.1100 | | | 08/20/38 | | | | 111,199 | |
| | 899,045 | | | Aspen Funding I Ltd. | | | | 9.0600 | | | 07/10/37 | | | | 935,771 | |
| | 7,603,080 | | | DWRS 2016-1(a),(g) | | | | 1.0440 | | | 04/23/32 | | | | 2,509,017 | |
| | 4,008,978 | | | Galleria CDO V Ltd.(a),(b) | | US0003M + 2.400% | | 2.5220 | | | 09/19/37 | | | | 3,821,302 | |
| | 3,817,593 | | | Mid Ocean CBO 2001-1 Ltd.(b),(g) | | US0003M + 0.500% | | 2.3910 | | | 11/05/36 | | | | 1,142,350 | |
| | 1,756,000 | | | MMcapS Funding XVII Ltd.(a),(b) | | US0003M + 0.600% | | 0.7200 | | | 12/01/35 | | | | 1,492,600 | |
| | 5,396,000 | | | Trapeza Cdo Xii Ltd.(a),(b) | | US0003M + 0.460% | | 0.5870 | | | 04/06/42 | | | | 4,384,250 | |
| | 3,000,000 | | | Tropic CDO IV Ltd.(a),(b) | | US0003M + 1.000% | | 1.1240 | | | 04/15/35 | | | | 2,610,000 | |
| | | | | | | | | | | | | | | | 17,006,489 | |
| | | | | CLO — 7.4% | | | | | | | | | | | | |
| | 750,000 | | | BlueMountain CLO 2013-2 Ltd.(a),(b) | | US0003M + 1.300% | | 1.4280 | | | 10/22/30 | | | | 749,998 | |
| | 828,620 | | | Cutwater 2014-I Ltd.(a),(b) | | US0003M + 1.700% | | 1.8240 | | | 07/15/26 | | | | 828,956 | |
| | 1,000,000 | | | Deerpath Capital CLO 2018-1 LTD(a),(b) | | US0003M + 3.500% | | 3.6240 | | | 01/15/31 | | | | 1,001,110 | |
| | 1,000,000 | | | Deerpath Capital CLO 2020-1 LTD(a),(b) | | US0003M + 3.900% | | 4.0220 | | | 04/17/32 | | | | 998,987 | |
| | 2,500,000 | | | Ellington Clo II Ltd.(a),(b) | | US0003M + 2.900% | | 3.0560 | | | 02/15/29 | | | | 2,490,964 | |
| | 500,000 | | | Ellington Clo III Ltd.(a),(b) | | US0003M + 3.740% | | 3.8720 | | | 07/20/30 | | | | 484,618 | |
| | 200,000 | | | GC FTPYME Pastor 4 FTA | | EUR003M + 2.400% | | 1.8370 | | | 07/15/45 | | | | 123,081 | |
| | 1,345,014 | | | Halcyon Loan Advisors Funding 2013-1 Ltd.(a),(b) | | US0003M + 3.500% | | 3.6240 | | | 04/15/25 | | | | 1,316,621 | |
| | 3,140,785 | | | Halcyon Loan Advisors Funding 2013-2 Ltd.(a),(b),(g) | | US0003M + 3.800% | | 3.9320 | | | 08/01/25 | | | | 2,788,087 | |
| | 1,193,948 | | | Halcyon Loan Advisors Funding 2014-2 Ltd.(a),(b) | | US0003M + 2.700% | | 2.8360 | | | 04/28/25 | | | | 1,196,073 | |
| | 1,500,000 | | | Halcyon Loan Advisors Funding 2014-2 Ltd.(a),(b) | | US0003M + 3.500% | | 3.6360 | | | 04/28/25 | | | | 1,469,604 | |
| | 1,500,000 | | | Halcyon Loan Advisors Funding 2014-3 Ltd.(a),(b) | | US0003M + 3.650% | | 3.7780 | | | 10/22/25 | | | | 1,303,332 | |
| | 250,000 | | | Nassau 2018-I Ltd.(a),(b) | | US0003M + 5.850% | | 5.9740 | | | 07/15/31 | | | | 216,743 | |
| | 500,000 | | | Peaks CLO 2 Ltd.(a),(b) | | US0003M + 3.600% | | 3.7320 | | | 07/20/31 | | | | 500,125 | |
| | 2,750,000 | | | Peaks CLO 2 Ltd.(a),(b) | | US0003M + 5.000% | | 5.1320 | | | 07/20/31 | | | | 2,709,665 | |
| | 500,000 | | | Steele Creek Clo 2018-2 Ltd.(a),(b) | | US0003M + 3.400% | | 3.5600 | | | 08/18/31 | | | | 489,108 | |
| | 1,000,000 | | | Z Capital Credit Partners CLO 2018-1 Ltd.(a),(b) | | US0003M + 2.450% | | 2.5720 | | | 01/16/31 | | | | 1,000,550 | |
| | 500,000 | | | Zais Clo 13 Ltd.(a),(b) | | US0003M + 4.520% | | 4.6440 | | | 07/15/32 | | | | 477,261 | |
See accompanying notes to financial statements.
| EASTERLY STRUCTURED CREDIT VALUE FUND |
| SCHEDULE OF INVESTMENTS (Continued) |
| November 30, 2021 |
| Principal | | | | | | | Coupon Rate | | | | | | |
| Amount ($) | | | | | Spread | | (%) | | Maturity | | | Fair Value | |
| | | | | ASSET BACKED SECURITIES — 67.9% (Continued) | | | | | | | | | | | | |
| | | | | CLO — 7.4% (Continued) | | | | | | | | | | | | |
| | 2,000,000 | | | Zais CLO 2 Ltd(a),(b) | | US0003M + 3.650% | | 3.7740 | | | 07/25/26 | | | $ | 2,006,900 | |
| | | | | | | | | | | | | | | | 22,151,783 | |
| | | | | COLLATERALIZED MORTGAGE OBLIGATIONS — 28.8% | | | | | | | | | | | | |
| | 231,345 | | | ABN Amro Mortgage Corporation | | | | 5.5000 | | | 10/25/33 | | | | 238,050 | |
| | 739,150 | | | Adjustable Rate Mortgage Trust 2005-6A(b) | | US0001M + 0.840% | | 0.9320 | | | 11/25/35 | | | | 274,578 | |
| | 93,266 | | | Agate Bay Mortgage Trust 2014-3(a),(b) | | | | 3.8300 | | | 11/25/44 | | | | 93,893 | |
| | 52,622 | | | Alternative Loan Trust 1998-4(d) | | | | 6.4920 | | | 08/25/28 | | | | 53,957 | |
| | 24,797 | | | Alternative Loan Trust 2003-22CB | | | | 5.7500 | | | 12/25/33 | | | | 25,836 | |
| | 130,961 | | | Alternative Loan Trust 2003-J2 Series 2003-J2 Class A1 | | | | 6.0000 | | | 10/25/33 | | | | 135,038 | |
| | 157,168 | | | Alternative Loan Trust 2003-J3 | | | | 5.2500 | | | 11/25/33 | | | | 162,106 | |
| | 48,600 | | | Alternative Loan Trust 2003-J3 | | | | 6.2500 | | | 12/25/33 | | | | 50,234 | |
| | 67,370 | | | Alternative Loan Trust 2004-15(b) | | | | 2.2410 | | | 09/25/34 | | | | 65,343 | |
| | 13,684 | | | Alternative Loan Trust 2004-16CB | | | | 5.5000 | | | 07/25/34 | | | | 14,051 | |
| | 9,177,588 | | | Alternative Loan Trust 2004-24CB | | | | 6.0000 | | | 11/25/34 | | | | 9,596,546 | |
| | 526,466 | | | Alternative Loan Trust 2004-28CB | | | | 5.7500 | | | 01/25/35 | | | | 536,585 | |
| | 99,894 | | | Alternative Loan Trust 2004-28CB | | | | 6.0000 | | | 01/25/35 | | | | 102,436 | |
| | 140,697 | | | Alternative Loan Trust 2004-J10 | | | | 6.0000 | | | 09/25/34 | | | | 146,517 | |
| | 695,611 | | | Alternative Loan Trust 2004-J10 | | | | 5.5000 | | | 11/25/34 | | | | 713,862 | |
| | 26,377 | | | Alternative Loan Trust 2004-J10 | | | | 5.0000 | | | 10/25/53 | | | | 26,332 | |
| | 72,677 | | | Alternative Loan Trust 2004-J11 | | | | 7.2500 | | | 08/25/32 | | | | 77,615 | |
| | 150,444 | | | Alternative Loan Trust 2004-J8 | | | | 7.0000 | | | 08/25/34 | | | | 146,904 | |
| | 102,677 | | | Alternative Loan Trust 2005-14(b) | | US0001M + 0.420% | | 0.3020 | | | 05/25/35 | | | | 95,298 | |
| | 237,938 | | | Alternative Loan Trust 2005-27(b) | | 12MTA + 1.350% | | 1.4330 | | | 08/25/35 | | | | 214,072 | |
| | 41,726 | | | Alternative Loan Trust 2005-3CB | | | | 5.0000 | | | 03/25/35 | | | | 37,567 | |
| | 45,073 | | | Alternative Loan Trust 2005-54CB | | | | 5.5000 | | | 11/25/35 | | | | 42,104 | |
| | 125,352 | | | Alternative Loan Trust 2005-61(b) | | US0001M + 0.560% | | 0.6520 | | | 12/25/35 | | | | 125,290 | |
| | 172,536 | | | Alternative Loan Trust 2005-6CB | | | | 5.5000 | | | 04/25/35 | | | | 170,940 | |
| | 180,511 | | | Alternative Loan Trust 2005-72(b) | | US0001M + 0.600% | | 0.6920 | | | 01/25/36 | | | | 161,787 | |
| | 50,027 | | | Alternative Loan Trust 2005-J11 | | | | 6.0000 | | | 10/25/35 | | | | 35,364 | |
| | 58,138 | | | Alternative Loan Trust 2005-J11 | | | | 5.5000 | | | 11/25/35 | | | | 43,873 | |
| | 165,095 | | | Alternative Loan Trust 2005-J8 | | | | 5.5000 | | | 07/25/35 | | | | 153,663 | |
| | 106,976 | | | Alternative Loan Trust 2006-40T1 | | | | 6.0000 | | | 12/25/36 | | | | 49,066 | |
| | 50,000 | | | Alternative Loan Trust Resecuritization 2005-12R | | | | 6.0000 | | | 11/25/34 | | | | 50,636 | |
| | 117,451 | | | American Home Mortgage Investment Trust 2004-1(b) | | US0006M + 2.000% | | 2.1940 | | | 04/25/44 | | | | 110,223 | |
See accompanying notes to financial statements.
| EASTERLY STRUCTURED CREDIT VALUE FUND |
| SCHEDULE OF INVESTMENTS (Continued) |
| November 30, 2021 |
| Principal | | | | | | | Coupon Rate | | | | | | |
| Amount ($) | | | | | Spread | | (%) | | Maturity | | | Fair Value | |
| | | | | ASSET BACKED SECURITIES — 67.9% (Continued) | | | | | | | | | | | | |
| | | | | COLLATERALIZED MORTGAGE OBLIGATIONS — 28.8% (Continued) | | | | | | |
| | 3,000,000 | | | Angel Oak Mortgage Trust I, LLC 2019-2 | | | | 6.2860 | | | 03/25/49 | | | $ | 3,023,275 | |
| | 3,000,000 | | | Angel Oak Mortgage Trust I, LLC 2019-4(a),(c) | | | | 4.4120 | | | 07/26/49 | | | | 3,004,808 | |
| | 287,728 | | | Banc of America Alternative Loan Trust 2003-8 | | | | 5.5000 | | | 10/25/33 | | | | 298,674 | |
| | 203,617 | | | Banc of America Alternative Loan Trust 2004-6 | | | | 6.0000 | | | 07/25/34 | | | | 209,575 | |
| | 45,340 | | | Banc of America Funding 2004-C Trust(b) | | US0001M + 0.660% | | 0.4210 | | | 12/20/34 | | | | 45,042 | |
| | 46,370 | | | Banc of America Funding 2005-E Trust(b) | | COF 11 + 1.430% | | 1.6550 | | | 06/20/35 | | | | 39,472 | |
| | 1,052,075 | | | Banc of America Funding 2006-I Trust(c) | | | | 3.1740 | | | 10/20/46 | | | | 927,704 | |
| | 108,007 | | | Banc of America Funding 2007-2 Trust(e) | | | | 6.0000 | | | 03/25/37 | | | | 21,557 | |
| | 101,987 | | | Banc of America Funding 2015-R4 Trust(a),(b) | | US0001M + 0.150% | | 0.2390 | | | 10/25/36 | | | | 100,920 | |
| | 27,506 | | | Banc of America Mortgage 2002-L Trust(c) | | | | 3.0770 | | | 12/25/32 | | | | 24,179 | |
| | 56,464 | | | Banc of America Mortgage 2005-F Trust(c) | | | | 2.4790 | | | 07/25/35 | | | | 51,114 | |
| | 370,741 | | | BCAP, LLC 2011-RR5-I Trust(a),(d) | | | | 4.7900 | | | 03/26/37 | | | | 385,145 | |
| | 6,712 | | | Bear Stearns ALT-A Trust 2004-11(c) | | | | 2.5290 | | | 11/25/34 | | | | 6,637 | |
| | 63,959 | | | Bear Stearns ARM Trust 2003-5(c) | | | | 2.2500 | | | 08/25/33 | | | | 63,884 | |
| | 6,825 | | | Bear Stearns ARM Trust 2003-7(c) | | | | 2.3230 | | | 10/25/33 | | | | 7,037 | |
| | 13,976 | | | Bear Stearns ARM Trust 2004-1(c) | | | | 2.0700 | | | 04/25/34 | | | | 13,129 | |
| | 156,424 | | | Bear Stearns ARM Trust 2004-1(c) | | | | 2.8000 | | | 04/25/34 | | | | 153,784 | |
| | 59,701 | | | Bear Stearns ARM Trust 2004-10(c) | | | | 2.7590 | | | 01/25/35 | | | | 60,861 | |
| | 150,238 | | | Bear Stearns ARM Trust 2004-6(c) | | | | 2.0880 | | | 09/25/34 | | | | 138,549 | |
| | 55,575 | | | Bear Stearns ARM Trust 2004-8(c) | | | | 2.1580 | | | 11/25/34 | | | | 53,769 | |
| | 603,472 | | | Bear Stearns Asset Backed Securities I Trust | | | | 6.0000 | | | 03/25/36 | | | | 291,237 | |
| | 718,113 | | | Bear Stearns Asset Backed Securities Trust(d) | | | | 5.5000 | | | 01/25/34 | | | | 733,844 | |
| | 62,596 | | | Bear Stearns Structured Products Inc Trust 2007-R6(c) | | | | 2.7110 | | | 01/26/36 | | | | 51,488 | |
| | 54,772 | | | Bella Vista Mortgage Trust 2004-1(b) | | US0001M + 0.700% | | 0.7890 | | | 11/20/34 | | | | 54,236 | |
| | 107,164 | | | BlackRock Capital Finance, L.P.(a),(c) | | | | 3.5020 | | | 12/25/35 | | | | 81,086 | |
| | 562,822 | | | Cascade Funding Mortgage Trust 2018-RM2(a),(c),(f) | | | | — | | | 10/25/68 | | | | 563,826 | |
| | 275,238 | | | Cascade Funding Mortgage Trust 2019-RM3(a),(c) | | | | 4.0000 | | | 06/25/69 | | | | 271,403 | |
| | 105,094 | | | CDMC Mortgage Pass-Through Certificates Series(c) | | | | 5.4790 | | | 09/25/34 | | | | 106,532 | |
| | 84,403 | | | CDMC Mortgage Pass-Through Certificates Series(c) | | | | 5.1050 | | | 02/18/35 | | | | 86,581 | |
| | 1,085,959 | | | Cendant Mortgage Capital, LLC CDMC Mort Pas Thr Ce | | | | 5.5000 | | | 02/25/34 | | | | 1,127,246 | |
| | 203,635 | | | Chase Mortgage Finance Trust Series 2004-S2 | | | | 5.5000 | | | 02/25/34 | | | | 210,299 | |
| | 523,444 | | | Chase Mortgage Finance Trust Series 2007-S3(f) | | | | — | | | 05/25/37 | | | | 174,957 | |
| | 290,967 | | | Chase Mortgage Finance Trust Series 2007-S3(e) | | | | 6.0000 | | | 05/25/37 | | | | 69,323 | |
| | 282,057 | | | Chevy Chase Funding, LLC Mortgage-Backed(a),(b) | | US0001M + 0.250% | | 0.3420 | | | 10/25/36 | | | | 209,466 | |
See accompanying notes to financial statements.
| EASTERLY STRUCTURED CREDIT VALUE FUND |
| SCHEDULE OF INVESTMENTS (Continued) |
| November 30, 2021 |
| Principal | | | | | | | Coupon Rate | | | | | | |
| Amount ($) | | | | | Spread | | (%) | | Maturity | | | Fair Value | |
| | | | | ASSET BACKED SECURITIES — 67.9% (Continued) | | | | | | | | | | | | |
| | | | | COLLATERALIZED MORTGAGE OBLIGATIONS — 28.8% (Continued) | | | | | | |
| | 125,996 | | | CHL Mortgage Pass-Through Trust 2002-19 | | | | 6.2500 | | | 11/25/32 | | | $ | 127,657 | |
| | 152,377 | | | CHL Mortgage Pass-Through Trust 2002-39 | | | | 5.7500 | | | 02/25/33 | | | | 153,071 | |
| | 850,779 | | | CHL Mortgage Pass-Through Trust 2003-48(c) | | | | 2.2870 | | | 10/25/33 | | | | 804,826 | |
| | 108,327 | | | CHL Mortgage Pass-Through Trust 2003-60(c) | | | | 2.2410 | | | 02/25/34 | | | | 105,392 | |
| | 44,122 | | | CHL Mortgage Pass-Through Trust 2004-14(c) | | | | 2.4440 | | | 08/25/34 | | | | 43,608 | |
| | 186,220 | | | CHL Mortgage Pass-Through Trust 2004-23(c) | | | | 2.1010 | | | 11/25/34 | | | | 162,825 | |
| | 41,487 | | | CHL Mortgage Pass-Through Trust 2004-3 | | | | 5.7500 | | | 04/25/34 | | | | 42,612 | |
| | 95,055 | | | CHL Mortgage Pass-Through Trust 2004-5 | | | | 5.2500 | | | 05/25/34 | | | | 99,305 | |
| | 118,695 | | | CHL Mortgage Pass-Through Trust 2004-5 | | | | 5.5000 | | | 05/25/34 | | | | 124,160 | |
| | 92,857 | | | CHL Mortgage Pass-Through Trust 2004-6(c) | | | | 2.3900 | | | 05/25/34 | | | | 95,374 | |
| | 29,000 | | | CHL Mortgage Pass-Through Trust 2004-8 | | | | 5.7500 | | | 07/25/34 | | | | 29,616 | |
| | 74,737 | | | CHL Mortgage Pass-Through Trust 2004-HYB2(c) | | | | 2.3660 | | | 07/20/34 | | | | 72,482 | |
| | 73,407 | | | CHL Mortgage Pass-Through Trust 2004-HYB5(c) | | | | 2.5030 | | | 04/20/35 | | | | 70,146 | |
| | 169,423 | | | CHL Mortgage Pass-Through Trust 2004-J5 | | | | 5.5000 | | | 07/25/34 | | | | 169,848 | |
| | 82,086 | | | CHL Mortgage Pass-Through Trust 2004-J9 | | | | 5.5000 | | | 01/25/35 | | | | 84,391 | |
| | 605,080 | | | CHL Mortgage Pass-Through Trust 2005-J2 | | | | 5.0000 | | | 08/25/35 | | | | 455,716 | |
| | 141,639 | | | CHL Mortgage Pass-Through Trust 2006-J1 | | | | 6.0000 | | | 02/25/36 | | | | 91,965 | |
| | 52,635 | | | CHL Mortgage Pass-Through Trust 2007-15 | | | | 6.5000 | | | 09/25/37 | | | | 29,396 | |
| | 166,058 | | | Citicorp Mortgage Securities REMIC Pass-Through | | | | 5.5000 | | | 07/25/35 | | | | 169,965 | |
| | 31,299 | | | Citicorp Mortgage Securities Trust Series 2005-7 | | | | 5.0000 | | | 10/25/55 | | | | 32,397 | |
| | 55,462 | | | Citicorp Mortgage Securities Trust Series 2006-6 | | | | 6.0000 | | | 11/25/36 | | | | 56,771 | |
| | 82,896 | | | Citicorp Mortgage Securities Trust Series 2007-2(f) | | | | — | | | 02/25/37 | | | | 52,978 | |
| | 222,600 | | | Citicorp Mortgage Securities Trust Series 2007-4 | | | | 6.0000 | | | 05/25/37 | | | | 224,801 | |
| | 116,758 | | | Citigroup Global Markets Mortgage Securities VII(c),(g) | | | | 5.7320 | | | 07/25/24 | | | | 16,958 | |
| | 4,582 | | | Citigroup Global Markets Mortgage Securities VII(c) | | | | 2.2320 | | | 09/25/32 | | | | 4,132 | |
| | 338,316 | | | Citigroup Mortgage Loan Trust 2009-4(a),(c) | | | | 5.4750 | | | 05/25/35 | | | | 340,117 | |
| | 102,633 | | | Citigroup Mortgage Loan Trust 2010-7(a),(c) | | | | 4.8260 | | | 07/25/36 | | | | 102,466 | |
| | 11,390 | | | Citigroup Mortgage Loan Trust 2010-9(a),(d) | | | | 5.7020 | | | 03/25/37 | | | | 11,298 | |
| | 126,196 | | | Citigroup Mortgage Loan Trust 2014-10(a),(c) | | | | 0.2580 | | | 02/25/37 | | | | 122,872 | |
| | 145,027 | | | Citigroup Mortgage Loan Trust 2019-C(a),(d) | | | | 3.2280 | | | 09/25/59 | | | | 145,318 | |
| | 98,581 | | | Citigroup Mortgage Loan Trust, Inc. | | | | 7.0000 | | | 06/25/31 | | | | 98,646 | |
| | 20,213 | | | Citigroup Mortgage Loan Trust, Inc. | | | | 5.2500 | | | 09/25/33 | | | | 19,960 | |
| | 59,353 | | | Citigroup Mortgage Loan Trust, Inc. | | | | 6.7500 | | | 08/25/34 | | | | 63,017 | |
| | 200,175 | | | Citigroup Mortgage Loan Trust, Inc.(c) | | | | 2.5310 | | | 10/25/35 | | | | 132,367 | |
See accompanying notes to financial statements.
| EASTERLY STRUCTURED CREDIT VALUE FUND |
| SCHEDULE OF INVESTMENTS (Continued) |
| November 30, 2021 |
| Principal | | | | | | | Coupon Rate | | | | | | |
| Amount ($) | | | | | Spread | | (%) | | Maturity | | | Fair Value | |
| | | | | ASSET BACKED SECURITIES — 67.9% (Continued) | | | | | | | | | | | | |
| | | | | COLLATERALIZED MORTGAGE OBLIGATIONS — 28.8% (Continued) | | | | | | |
| | 71,741 | | | CitiMortgage Alternative Loan Trust Series 2007-A6 | | | | 6.0000 | | | 06/25/37 | | | $ | 74,790 | |
| | 300,000 | | | COLT 2020-2 Mortgage Loan Trust(a),(c) | | | | 5.2500 | | | 03/25/65 | | | | 305,277 | |
| | 156,321 | | | Credit Suisse First Boston Mortgage Securities(c) | | | | 4.3820 | | | 11/25/31 | | | | 159,099 | |
| | 532,449 | | | Credit Suisse First Boston Mortgage Securities(c) | | | | 7.2000 | | | 01/25/32 | | | | 532,504 | |
| | 91,825 | | | Credit Suisse First Boston Mortgage Securities Series 2003-11- 1A31 | | 5.5000 | | | 06/25/33 | | | | 94,321 | |
| | 767,716 | | | Credit Suisse First Boston Mortgage Securities | | | | 5.2500 | | | 07/25/33 | | | | 786,386 | |
| | 33,542 | | | Credit Suisse First Boston Mortgage Securities | | | | 5.2500 | | | 09/25/33 | | | | 33,479 | |
| | 82,457 | | | Credit Suisse First Boston Mortgage Securities | | | | 5.5000 | | | 10/25/33 | | | | 86,711 | |
| | 247,370 | | | Credit Suisse First Boston Mortgage Securities | | | | 5.5000 | | | 10/25/33 | | | | 260,464 | |
| | 246,429 | | | Credit Suisse First Boston Mortgage Securities | | | | 5.5000 | | | 10/25/34 | | | | 248,154 | |
| | 129,846 | | | Credit Suisse First Boston Mortgage Securities(b) | | US0001M + 0.650% | | 0.7420 | | | 09/25/35 | | | | 93,684 | |
| | 7,154 | | | CSFB Mortgage-Backed Pass-Through Certificates | | | | 5.2500 | | | 11/25/22 | | | | 1,833 | |
| | 358,379 | | | CSFB Mortgage-Backed Pass-Through Certificates | | | | 7.5000 | | | 03/25/32 | | | | 387,352 | |
| | 109,159 | | | CSFB Mortgage-Backed Pass-Through Certificates(c) | | | | 1.8020 | | | 10/25/33 | | | | 110,511 | |
| | 83,839 | | | CSFB Mortgage-Backed Pass-Through Certificates | | | | 5.7500 | | | 11/25/33 | | | | 86,464 | |
| | 134,100 | | | CSFB Mortgage-Backed Pass-Through Certificates(b) | | US0001M + 0.740% | | 0.8320 | | | 06/25/34 | | | | 135,104 | |
| | 549,459 | | | CSFB Mortgage-Backed Pass-Through Certificates | | | | 6.0000 | | | 08/25/34 | | | | 556,562 | |
| | 38,928 | | | CSFB Mortgage-Backed Pass-Through Certificates | | | | 5.7500 | | | 07/25/35 | | | | 40,314 | |
| | 71,684 | | | CSMC Series 2010-18R(a),(c) | | | | 2.4010 | | | 04/26/38 | | | | 71,916 | |
| | 312,818 | | | CSMC Trust 2007-5R | | | | 6.5000 | | | 07/26/36 | | | | 115,926 | |
| | 1,346,980 | | | CSMC Trust 2010-16(a),(c) | | | | 3.6220 | | | 06/25/50 | | | | 1,233,563 | |
| | 1,364,346 | | | CSMC Trust 2013-IVR5(a),(c) | | | | 3.6130 | | | 10/25/43 | | | | 1,372,985 | |
| | 37,305 | | | Deutsche Mortgage Sec Inc Mort Loan Tr Ser 2004-1 | | | | 5.5000 | | | 09/25/33 | | | | 38,549 | |
| | 1,080,592 | | | Deutsche Mortgage Securities Inc REMIC Trust(a),(c) | | | | 3.1800 | | | 04/28/37 | | | | 1,089,929 | |
| | 2,121 | | | DLJ Mortgage Acceptance Corporation | | | | 6.7500 | | | 01/25/24 | | | | 1,917 | |
| | 50,785 | | | DSLA Mortgage Loan Trust 2004-AR4(b) | | US0001M + 0.720% | | 0.8090 | | | 01/19/45 | | | | 44,494 | |
| | 281,667 | | | Fannie Mae Trust 2005-W3(c) | | | | 3.3050 | | | 04/25/45 | | | | 293,537 | |
| | 83,374 | | | First Horizon Alternative Mortgage Securities | | | | 6.2500 | | | 08/25/37 | | | | 52,916 | |
| | 82,563 | | | First Horizon Mortgage Pass-Through Trust 2005-AR5(c) | | | | 2.6250 | | | 10/25/35 | | | | 48,560 | |
| | 66,464 | | | First Horizon Mortgage Pass-Through Trust 2005-AR5(c) | | | | 2.6250 | | | 11/25/35 | | | | 64,558 | |
| | 143,015 | | | First Horizon Mortgage Pass-Through Trust 2006-AR3(c) | | | | 2.5660 | | | 11/25/36 | | | | 109,272 | |
| | 28,809 | | | Freddie Mac Structured Pass-Through Certificates(b) | | 12MTA + 1.400% | | 1.4830 | | | 07/25/44 | | | | 29,667 | |
| | 27,337 | | | Freddie Mac Structured Pass-Through Certificates(b) | | 12MTA + 1.200% | | 1.2830 | | | 10/25/44 | | | | 28,022 | |
| | 2,149,379 | | | Galton Funding Mortgage Trust 2017-1(a),(c) | | | | 4.3370 | | | 07/25/56 | | | | 2,238,963 | |
See accompanying notes to financial statements.
| EASTERLY STRUCTURED CREDIT VALUE FUND |
| SCHEDULE OF INVESTMENTS (Continued) |
| November 30, 2021 |
| Principal | | | | | | | Coupon Rate | | | | | | |
| Amount ($) | | | | | Spread | | (%) | | Maturity | | | Fair Value | |
| | | | | ASSET BACKED SECURITIES — 67.9% (Continued) | | | | | | | | | | | | |
| | | | | COLLATERALIZED MORTGAGE OBLIGATIONS — 28.8% (Continued) | | | | | | |
| | 132,570 | | | GMACM Mortgage Loan Trust 2004-J2 | | | | 5.7500 | | | 06/25/34 | | | $ | 135,126 | |
| | 19,922 | | | GMACM Mortgage Loan Trust 2005-AR3(c) | | | | 2.7910 | | | 06/19/35 | | | | 19,641 | |
| | 1,937,549 | | | GMACM Mortgage Loan Trust 2005-AR4(c) | | | | 3.5600 | | | 07/19/35 | | | | 1,897,297 | |
| | 660,253 | | | Government National Mortgage Association(c),(e) | | | | 1.7550 | | | 10/20/62 | | | | 26,643 | |
| | 1,725,779 | | | Government National Mortgage Association(c),(e) | | | | 2.0670 | | | 11/20/66 | | | | 130,546 | |
| | 211,405 | | | GS Mortgage Securities Corporation II(a),(b) | | US0001M + 0.350% | | 0.4410 | | | 03/20/23 | | | | 199,405 | |
| | 749,351 | | | GS Mortgage-Backed Securities Trust(a),(c) | | | | 2.4560 | | | 07/25/44 | | | | 750,374 | |
| | 1,576,046 | | | GSMPS Mortgage Loan Trust(a),(c) | | | | 8.5000 | | | 06/19/29 | | | | 1,546,955 | |
| | 1,304,207 | | | GSMPS Mortgage Loan Trust 2004-4(a),(b) | | US0001M + 0.400% | | 0.4920 | | | 06/25/34 | | | | 1,156,291 | |
| | 738,353 | | | GSMPS Mortgage Loan Trust 2004-4(a) | | | | 7.5000 | | | 06/25/34 | | | | 782,614 | |
| | 403,153 | | | GSMPS Mortgage Loan Trust 2004-4(a) | | | | 8.0000 | | | 06/25/34 | | | | 435,351 | |
| | 40,672 | | | GSMPS Mortgage Loan Trust 2005-RP2(a),(b) | | US0001M + 0.350% | | 0.4420 | | | 03/25/35 | | | | 38,651 | |
| | 203,794 | | | GSMPS Mortgage Loan Trust 2005-RP3(a),(b) | | US0001M + 0.350% | | 0.4420 | | | 09/25/35 | | | | 169,747 | |
| | 147,192 | | | GSMPS Mortgage Loan Trust 2006-RP1(a) | | | | 7.5000 | | | 01/25/36 | | | | 152,940 | |
| | 847,901 | | | GSMSC Pass-Through Trust 2008-2R(a),(c) | | | | 7.5000 | | | 10/25/36 | | | | 331,942 | |
| | 204,862 | | | GSR Mortgage Loan Trust 2004-13F | | | | 4.2500 | | | 11/25/34 | | | | 211,631 | |
| | 52,495 | | | GSR Mortgage Loan Trust 2005-4F | | | | 6.5000 | | | 02/25/35 | | | | 53,398 | |
| | 10,909 | | | GSR Mortgage Loan Trust 2005-6F | | | | 5.2500 | | | 07/25/35 | | | | 11,124 | |
| | 29,068 | | | GSR Mortgage Loan Trust 2005-8F | | | | 6.0000 | | | 11/25/35 | | | | 16,998 | |
| | 63,861 | | | GSR Mortgage Loan Trust 2005-AR3(b) | | US0001M + 0.440% | | 0.5320 | | | 05/25/35 | | | | 59,378 | |
| | 14,846 | | | GSR Mortgage Loan Trust 2005-AR3(b) | | US0001M + 0.440% | | 0.5320 | | | 05/25/35 | | | | 14,190 | |
| | 138,005 | | | GSR Mortgage Loan Trust 2006-1F | | | | 6.0000 | | | 02/25/36 | | | | 95,755 | |
| | 87,884 | | | GSR Mortgage Loan Trust 2007-AR2(c) | | | | 2.7890 | | | 05/25/37 | | | | 65,409 | |
| | 85,000 | | | HomeBanc Mortgage Trust 2005-3(b) | | US0001M + 0.765% | | 0.8570 | | | 07/25/35 | | | | 85,411 | |
| | 215,545 | | | HSI Asset Loan Obligation Trust 2007-1 | | | | 6.5000 | | | 06/25/37 | | | | 119,956 | |
| | 286,155 | | | HSI Asset Loan Obligation Trust 2007-AR1(c) | | | | 4.0540 | | | 01/25/37 | | | | 263,156 | |
| | 205,975 | | | HSI Asset Loan Obligation Trust 2007-AR2(c) | | | | 2.4390 | | | 09/25/37 | | | | 187,509 | |
| | 84,818 | | | Impac CMB Trust Series 2003-2F(d) | | | | 6.5700 | | | 01/25/33 | | | | 86,555 | |
| | 82,577 | | | Impac CMB Trust Series 2003-4(d) | | | | 5.7290 | | | 07/25/33 | | | | 84,206 | |
| | 37,436 | | | Impac CMB Trust Series 2004-7(b) | | US0001M + 1.800% | | 1.8920 | | | 11/25/34 | | | | 37,144 | |
| | 168,489 | | | Impac CMB Trust Series 2005-4(b) | | US0001M + 0.750% | | 1.2170 | | | 05/25/35 | | | | 159,742 | |
| | 261,712 | | | Impac Secured Assets CMN Owner Trust | | | | 6.0000 | | | 08/25/33 | | | | 263,509 | |
| | 117,500 | | | Impac Secured Assets Trust 2006-1 Series 2006-1-2A1(b) | | US0001M + 0.700% | | 0.7920 | | | 05/25/36 | | | | 114,334 | |
| | 10,170 | | | IndyMac INDX Mortgage Loan Trust 2004-AR11(c) | | | | 2.9210 | | | 12/25/34 | | | | 10,539 | |
See accompanying notes to financial statements.
| EASTERLY STRUCTURED CREDIT VALUE FUND |
| SCHEDULE OF INVESTMENTS (Continued) |
| November 30, 2021 |
| Principal | | | | | | | Coupon Rate | | | | | | |
| Amount ($) | | | | | Spread | | (%) | | Maturity | | | Fair Value | |
| | | | | ASSET BACKED SECURITIES — 67.9% (Continued) | | | | | | | | | | | | |
| | | | | COLLATERALIZED MORTGAGE OBLIGATIONS — 28.8% (Continued) | | | | | | |
| | 255,698 | | | JP Morgan Alternative Loan Trust(b),(e) | | US0001M + 7.150% | | 7.0580 | | | 12/25/35 | | | $ | 68,808 | |
| | 31,633 | | | JP Morgan Mortgage Trust 2004-S2 | | | | 6.0000 | | | 11/25/34 | | | | 32,126 | |
| | 39,202 | | | JP Morgan Mortgage Trust 2005-A7(c) | | | | 2.8510 | | | 10/25/35 | | | | 41,050 | |
| | 20,515 | | | JP Morgan Mortgage Trust 2006-A4(c) | | | | 2.9750 | | | 06/25/36 | | | | 16,869 | |
| | 859,433 | | | JP Morgan Mortgage Trust 2014-IVR3(a),(c) | | | | 2.3970 | | | 09/25/44 | | | | 863,934 | |
| | 3,450,838 | | | JP Morgan Mortgage Trust 2014-IVR3(a),(c) | | | | 2.3970 | | | 09/25/44 | | | | 3,467,697 | |
| | 159,887 | | | JP Morgan Tax-Exempt Pass-Through Trust Series(a),(c) | | | | 3.0000 | | | 10/27/42 | | | | 166,810 | |
| | 1,000,000 | | | Multifamily Connecticut Avenue Securities Trust 2019-01(a),(c) | | | | 3.3416 | | | 10/15/49 | | | | 1,008,451 | |
| | 1,000,000 | | | La Hipotecaria Panamanian Mortgage Trust 2021-1(a) | | | | 4.3500 | | | 06/13/51 | | | | 1,022,000 | |
| | 180,850 | | | Lehman Mortgage Trust 2006-2 | | | | 5.7500 | | | 04/25/36 | | | | 184,034 | |
| | 39,988 | | | MASTR Adjustable Rate Mortgages Trust 2003-1(c) | | | | 2.9980 | | | 12/25/32 | | | | 37,525 | |
| | 28,862 | | | MASTR Adjustable Rate Mortgages Trust 2003-2(c) | | | | 2.2790 | | | 07/25/33 | | | | 29,400 | |
| | 34,658 | | | MASTR Adjustable Rate Mortgages Trust 2003-6(c) | | | | 1.8150 | | | 12/25/33 | | | | 34,467 | |
| | 23,921 | | | MASTR Adjustable Rate Mortgages Trust 2003-6(c) | | | | 2.2500 | | | 12/25/33 | | | | 23,570 | |
| | 246,193 | | | MASTR Adjustable Rate Mortgages Trust 2004-15(c) | | | | 2.1970 | | | 12/25/34 | | | | 244,802 | |
| | 201,684 | | | MASTR Alternative Loan Trust 2003-3(c) | | | | 6.1530 | | | 05/25/33 | | | | 198,442 | |
| | 54,596 | | | MASTR Alternative Loan Trust 2003-5 | | | | 5.5000 | | | 06/25/33 | | | | 56,894 | |
| | 61,629 | | | MASTR Alternative Loan Trust 2003-7 | | | | 6.5000 | | | 12/25/33 | | | | 66,428 | |
| | 203,756 | | | MASTR Alternative Loan Trust 2004-1 | | | | 5.5000 | | | 02/25/34 | | | | 213,435 | |
| | 95,706 | | | MASTR Alternative Loan Trust 2004-3 | | | | 6.2500 | | | 04/25/34 | | | | 100,327 | |
| | 530,125 | | | MASTR Alternative Loan Trust 2004-3 | | | | 6.5000 | | | 04/25/34 | | | | 567,229 | |
| | 41,933 | | | MASTR Alternative Loan Trust 2004-4 | | | | 5.5000 | | | 05/25/34 | | | | 43,642 | |
| | 439,455 | | | MASTR Alternative Loan Trust 2004-6 | | | | 5.5000 | | | 07/25/34 | | | | 458,759 | |
| | 90,758 | | | MASTR Alternative Loan Trust 2004-6 | | | | 6.0000 | | | 07/25/34 | | | | 95,214 | |
| | 76,886 | | | MASTR Alternative Loan Trust 2004-6 | | | | 6.0000 | | | 07/25/34 | | | | 79,536 | |
| | 1,430,112 | | | MASTR Alternative Loan Trust 2004-6 | | | | 6.2500 | | | 07/25/34 | | | | 1,483,019 | |
| | 594,952 | | | MASTR Alternative Loan Trust 2004-6 | | | | 6.5000 | | | 07/25/34 | | | | 599,480 | |
| | 62,529 | | | MASTR Alternative Loan Trust 2004-7 | | | | 6.0000 | | | 06/25/34 | | | | 67,773 | |
| | 1,556,517 | | | MASTR Alternative Loan Trust 2004-7 | | | | 6.0000 | | | 08/25/34 | | | | 1,658,346 | |
| | 2,336 | | | MASTR Alternative Loan Trust 2005-1 | | | | 5.5000 | | | 01/25/23 | | | | 2,326 | |
| | 300,341 | | | MASTR Alternative Loan Trust 2005-2 | | | | 5.0000 | | | 03/25/43 | | | | 292,026 | |
| | 36,312 | | | MASTR Alternative Loan Trust 2007-1(f) | | | | — | | | 10/25/36 | | | | 24,315 | |
| | 866,093 | | | MASTR Alternative Loan Trust 2007-HF1(f) | | | | — | | | 10/25/47 | | | | 68,823 | |
| | 50,016 | | | MASTR Asset Securitization Trust 2003-11 | | | | 5.5000 | | | 12/25/33 | | | | 50,664 | |
See accompanying notes to financial statements.
| EASTERLY STRUCTURED CREDIT VALUE FUND |
| SCHEDULE OF INVESTMENTS (Continued) |
| November 30, 2021 |
| Principal | | | | | | | Coupon Rate | | | | | | |
| Amount ($) | | | | | Spread | | (%) | | Maturity | | | Fair Value | |
| | | | | ASSET BACKED SECURITIES — 67.9% (Continued) | | | | | | | | | | | | |
| | | | | COLLATERALIZED MORTGAGE OBLIGATIONS — 28.8% (Continued) | | | | | | |
| | 25,104 | | | MASTR Asset Securitization Trust 2003-11 | | | | 5.5000 | | | 12/25/33 | | | $ | 25,597 | |
| | 20,913 | | | MASTR Asset Securitization Trust 2003-12 | | | | 5.0000 | | | 12/25/33 | | | | 21,338 | |
| | 51,971 | | | MASTR Asset Securitization Trust 2003-12 | | | | 5.0000 | | | 12/25/33 | | | | 47,443 | |
| | 16,221 | | | MASTR Asset Securitization Trust 2004-1 | | | | 5.5000 | | | 02/25/34 | | | | 16,443 | |
| | 81,518 | | | MASTR Asset Securitization Trust 2005-1 | | | | 5.5000 | | | 05/25/35 | | | | 73,324 | |
| | 53,591 | | | MASTR Reperforming Loan Trust 2005-1(a) | | | | 8.0000 | | | 08/25/34 | | | | 54,654 | |
| | 21,251 | | | MASTR Reperforming Loan Trust 2005-2(a) | | | | 8.0000 | | | 05/25/35 | | | | 20,805 | |
| | 169,053 | | | MASTR Reperforming Loan Trust 2006-2(a),(c) | | | | 3.4020 | | | 05/25/36 | | | | 167,694 | |
| | 394,050 | | | MASTR Seasoned Securitization Trust 2003-1 | | | | 6.0000 | | | 02/25/33 | | | | 412,918 | |
| | 51,512 | | | MASTR Seasoned Securitization Trust 2005-1(c) | | | | 2.3800 | | | 10/25/32 | | | | 45,819 | |
| | 880,000 | | | Mello Mortgage Capital Acceptance 2018-MTG2(a),(c) | | | | 4.4040 | | | 10/25/48 | | | | 886,820 | |
| | 40,202 | | | Merrill Lynch Mortgage Investors Trust MLMI Series(c) | | | | 2.3310 | | | 05/25/33 | | | | 38,596 | |
| | 38,022 | | | Merrill Lynch Mortgage Investors Trust Series(c) | | | | 2.4640 | | | 09/25/33 | | | | 38,001 | |
| | 116,359 | | | Morgan Stanley Dean Witter Capital I Inc Trust(c) | | | | 1.5440 | | | 03/25/33 | | | | 112,106 | |
| | 47,029 | | | Morgan Stanley Mortgage Loan Trust 2004-10AR(c) | | | | 2.5070 | | | 11/25/34 | | | | 47,124 | |
| | 31,518 | | | Morgan Stanley Mortgage Loan Trust 2004-8AR(c) | | | | 1.0830 | | | 10/25/34 | | | | 29,840 | |
| | 33,027 | | | Morgan Stanley Mortgage Loan Trust 2004-8AR(c) | | | | 2.4150 | | | 10/25/34 | | | | 33,868 | |
| | 80,065 | | | Morgan Stanley Mortgage Loan Trust 2005-10 | | | | 6.0000 | | | 12/25/35 | | | | 44,853 | |
| | 24,755 | | | Morgan Stanley Mortgage Loan Trust 2006-8AR(c) | | | | 2.0000 | | | 06/25/36 | | | | 24,973 | |
| | 206,131 | | | MortgageIT Trust 2004-2(b) | | US0001M + 3.225% | | 3.3170 | | | 12/25/34 | | | | 213,384 | |
| | 413,754 | | | MortgageIT Trust 2005-3(b) | | US0001M + 0.795% | | 0.8870 | | | 08/25/35 | | | | 406,150 | |
| | 262,918 | | | MRFC Mortgage Pass-Through Trust Series 2000-TBC3(a),(c) | | | | 2.4120 | | | 12/15/30 | | | | 242,939 | |
| | 946,390 | | | National City Mortgage Capital Trust | | | | 6.0000 | | | 03/25/38 | | | | 984,074 | |
| | 46,153 | | | National City Mortgage Capital Trust | | | | 6.0000 | | | 03/25/38 | | | | 48,016 | |
| | 418,179 | | | New Residential Mortgage Loan Trust 2017-2(a),(c) | | | | 4.7500 | | | 03/25/57 | | | | 425,611 | |
| | 124,750 | | | New Residential Mortgage Loan Trust 2020-1(a),(c) | | | | 3.5000 | | | 10/25/59 | | | | 129,866 | |
| | 188,221 | | | Nomura Asset Acceptance Corp Alternative Loan(a) | | | | 7.5000 | | | 03/25/34 | | | | 193,439 | |
| | 108,195 | | | Nomura Asset Acceptance Corp Alternative Loan(d) | | | | 5.9570 | | | 03/25/47 | | | | 113,324 | |
| | 2,113 | | | PHH Mortgage Trust Series 2008-CIM1(b) | | US0001M + 2.250% | | 2.3360 | | | 05/25/38 | | | | 2,123 | |
| | 488,010 | | | PHH Mortgage Trust Series 2008-CIM1 | | | | 6.0000 | | | 05/25/38 | | | | 513,048 | |
| | 656,381 | | | PHHMC Series 2005-4 Trust(c) | | | | 5.3110 | | | 07/18/35 | | | | 673,141 | |
| | 1,923,055 | | | Point Securitization Trust (a),(c) | | | | 3.2280 | | | 02/25/52 | | | | 1,930,266 | |
| | 623,068 | | | Prime Mortgage Trust 2003-3 | | | | 5.5000 | | | 01/25/34 | | | | 638,366 | |
| | 34,526 | | | RAAC Series 2005-SP1 Trust | | | | 7.0000 | | | 09/25/34 | | | | 36,034 | |
See accompanying notes to financial statements.
| EASTERLY STRUCTURED CREDIT VALUE FUND |
| SCHEDULE OF INVESTMENTS (Continued) |
| November 30, 2021 |
| Principal | | | | | | | Coupon Rate | | | | | | |
| Amount ($) | | | | | Spread | | (%) | | Maturity | | | Fair Value | |
| | | | | ASSET BACKED SECURITIES — 67.9% (Continued) | | | | | | | | | | | | |
| | | | | COLLATERALIZED MORTGAGE OBLIGATIONS — 28.8% (Continued) | | | | | | |
| | 223,485 | | | Radnor RE 2019-1 Ltd.(a),(b) | | US0001M + 1.950% | | 2.0420 | | | 02/25/29 | | | $ | 223,654 | |
| | 121,394 | | | RALI Series 2005-QA12 Trust(c) | | | | 3.5040 | | | 12/25/35 | | | | 68,381 | |
| | 23,517 | | | RBSGC Mortgage Loan Trust 2007-B(c) | | | | 3.8120 | | | 07/25/35 | | | | 21,816 | |
| | 438,468 | | | RBSGC Structured Trust 2008-A(a),(c) | | | | 5.5000 | | | 11/25/35 | | | | 424,071 | |
| | 16,797 | | | RBSSP Resecuritization Trust 2009-10(a),(c) | | | | 35.7440 | | | 01/26/37 | | | | 19,206 | |
| | 132,204 | | | Reperforming Loan REMIC Trust 2006-R2(a),(b) | | US0001M + 0.420% | | 0.5120 | | | 07/25/36 | | | | 120,284 | |
| | 171,675 | | | Resecuritization Pass-Through Trust 2005-8R | | | | 6.0000 | | | 10/25/34 | | | | 179,156 | |
| | 11,000 | | | Residential Asset Securitization Trust 2002-A12 | | | | 5.7500 | | | 11/25/32 | | | | 11,370 | |
| | 171,000 | | | Residential Asset Securitization Trust 2003-A10 | | | | 5.2000 | | | 09/25/33 | | | | 175,729 | |
| | 153,665 | | | RESIMAC Bastille Trust Series 2019-1NC(a),(b) | | US0001M + 0.930% | | 1.0150 | | | 09/05/57 | | | | 154,456 | |
| | 21,829 | | | RFMSI Series 2005-SA4 Trust(c) | | | | 2.2530 | | | 09/25/35 | | | | 19,304 | |
| | 1,000,000 | | | RMF Proprietary Issuance Trust(a),(c) | | | | 2.1250 | | | 09/25/61 | | | | 909,563 | |
| | 2,916 | | | Ryland Mortgage Securities Corporation(c) | | | | 1.6150 | | | 04/29/30 | | | | 2,928 | |
| | 1,376,302 | | | Saluda Grade Alternative Mortgage Trust 2020-FIG1(a) | | | | 3.3210 | | | 09/25/50 | | | | 1,384,333 | |
| | 47,402 | | | Seasoned Credit Risk Transfer Trust Series 2017-3(a),(f) | | | | — | | | 07/25/56 | | | | 16,571 | |
| | 52,441 | | | Sequoia Mortgage Trust 2004-10(b) | | US0001M + 0.620% | | 0.7110 | | | 11/20/34 | | | | 51,984 | |
| | 80,369 | | | Sequoia Mortgage Trust 2005-2(b) | | US0001M + 0.440% | | 0.5310 | | | 03/20/35 | | | | 79,486 | |
| | 1,377,610 | | | Sequoia Mortgage Trust 2013-10(a),(c) | | | | 3.5500 | | | 08/25/43 | | | | 1,393,302 | |
| | 100,000 | | | Spruce Hill Mortgage Loan Trust 2020-SH1(a),(c) | | | | 4.6760 | | | 01/28/50 | | | | 100,477 | |
| | 82,311 | | | Structured Adjustable Rate Mortgage Loan Trust(c) | | | | 2.6170 | | | 03/25/34 | | | | 79,684 | |
| | 79,508 | | | Structured Adjustable Rate Mortgage Loan Trust(c) | | | | 2.6470 | | | 12/25/34 | | | | 76,957 | |
| | 105,223 | | | Structured Adjustable Rate Mortgage Loan Trust(c) | | | | 2.5560 | | | 03/25/35 | | | | 96,710 | |
| | 445,937 | | | Structured Adjustable Rate Mortgage Loan Trust(c) | | | | 2.9670 | | | 07/25/35 | | | | 332,581 | |
| | 8,648 | | | Structured Adjustable Rate Mortgage Loan Trust(b) | | US0001M + 0.380% | | 0.4720 | | | 09/25/36 | | | | 8,184 | |
| | 41,358 | | | Structured Asset Sec Corp Mort Passthr Certs Ser(c) | | | | 2.8320 | | | 01/25/34 | | | | 42,011 | |
| | 72,423 | | | Structured Asset Securities Corp Mortgage(c) | | | | 2.5200 | | | 11/25/30 | | | | 37,369 | |
| | 14,990 | | | Structured Asset Securities Corporation(b) | | US0001M + 0.780% | | 0.8660 | | | 12/25/33 | | | | 13,951 | |
| | 17,878 | | | Structured Asset Securities Corporation(d) | | | | 5.1340 | | | 02/25/34 | | | | 18,261 | |
| | 98,772 | | | Structured Asset Securities Corporation(a),(b) | | US0001M + 0.350% | | 0.4420 | | | 04/25/35 | | | | 93,303 | |
| | 159,220 | | | Structured Asset Securities Corporation(a),(c) | | | | 3.3980 | | | 06/25/35 | | | | 146,102 | |
| | 593,000 | | | Verus Securitization Trust 2020-INV1(a),(c) | | | | 5.5000 | | | 04/25/60 | | | | 622,298 | |
| | 538,000 | | | Vista Point Securitization Trust 2020-1(a),(c) | | | | 4.1510 | | | 03/25/65 | | | | 548,365 | |
| | 65,553 | | | WaMu Mortgage Pass-Through Certificates Series(c) | | | | 2.6670 | | | 11/25/32 | | | | 61,514 | |
| | 57,442 | | | WaMu Mortgage Pass-Through Certificates Series(c) | | | | 2.5720 | | | 01/25/33 | | | | 59,247 | |
See accompanying notes to financial statements.
| EASTERLY STRUCTURED CREDIT VALUE FUND |
| SCHEDULE OF INVESTMENTS (Continued) |
| November 30, 2021 |
| Principal | | | | | | | Coupon Rate | | | | | | |
| Amount ($) | | | | | Spread | | (%) | | Maturity | | | Fair Value | |
| | | | | ASSET BACKED SECURITIES — 67.9% (Continued) | | | | | | | | | | | | |
| | | | | COLLATERALIZED MORTGAGE OBLIGATIONS — 28.8% (Continued) | | | | | | |
| | 71,958 | | | WaMu Mortgage Pass-Through Certificates Series | | | | 5.5000 | | | 06/25/33 | | | $ | 72,627 | |
| | 62,961 | | | WaMu Mortgage Pass-Through Certificates Series | | | | 5.5000 | | | 06/25/33 | | | | 63,092 | |
| | 591,338 | | | WaMu Mortgage Pass-Through Certificates Series(c) | | | | 5.6350 | | | 06/25/33 | | | | 616,232 | |
| | 23,154 | | | WaMu Mortgage Pass-Through Certificates Series(c) | | | | 2.5140 | | | 09/25/33 | | | | 22,246 | |
| | 33,948 | | | WaMu Mortgage Pass-Through Certificates Series Series 2002-AR2-A(b) | | COF 11 + 1.250% | | 1.4750 | | | 02/27/34 | | | | 32,288 | |
| | 101,276 | | | WaMu Mortgage Pass-Through Certificates Series | | | | 6.0000 | | | 07/25/34 | | | | 104,476 | |
| | 61,859 | | | WaMu Mortgage Pass-Through Certificates Series(c) | | | | 2.9520 | | | 03/25/36 | | | | 62,144 | |
| | 57,138 | | | WaMu Mortgage Pass-Through Certificates Series(b) | | US0001M + 0.640% | | 0.7320 | | | 01/25/45 | | | | 57,064 | |
| | 146,896 | | | WaMu Mortgage Pass-Through Certificates Series(c) | | | | 2.8550 | | | 08/25/46 | | | | 108,398 | |
| | 102,831 | | | Washington Mutual MSC Mortgage Pass-Through | | | | 5.7500 | | | 02/25/33 | | | | 103,927 | |
| | 199,938 | | | Washington Mutual MSC Mortgage Pass-Through | | | | 5.5000 | | | 03/25/33 | | | | 207,237 | |
| | 91,709 | | | Washington Mutual MSC Mortgage Pass-Through | | | | 7.5000 | | | 04/25/33 | | | | 94,395 | |
| | 14,481 | | | Washington Mutual MSC Mortgage Pass-Through(a),(c) | | | | 2.5390 | | | 01/25/35 | | | | 12,563 | |
| | 3,093,952 | | | Wells Fargo Mortgage Backed Securities 2018-1(a),(c) | | | | 3.6940 | | | 07/25/47 | | | | 3,142,881 | |
| | | | | | | | | | | | | | | | 85,660,504 | |
| | | | | CREDIT CARD — 0.3% | | | | | | | | | | | | |
| | 750,000 | | | Mercury Financial Credit Card Master Trust Series 2021-1A B(a) | | 2.3300 | | | 03/20/26 | | | | 750,765 | |
| | | | | | | | | | | | | | | |
| | | | | HOME EQUITY — 3.5% | | | | | | | | | | | | |
| | 68,106 | | | ABFC 2004-OPT2 Trust(b) | | US0001M + 0.560% | | 0.6520 | | | 10/25/33 | | | | 66,127 | |
| | 92,977 | | | American Residential Home Equity Loan Trust 1998-1(b) | | US0001M + 2.175% | | 2.2670 | | | 05/25/29 | | | | 97,009 | |
| | 631,331 | | | Ameriquest Mort Sec Inc Ass Bk Pas Thr Certs Ser(b) | | US0001M + 2.655% | | 2.7470 | | | 08/25/32 | | | | 638,556 | |
| | 104,608 | | | Ameriquest Mortgage Securities, Inc.(d) | | | | 3.9830 | | | 05/25/34 | | | | 106,176 | |
| | 571,948 | | | Argent Securities Inc Asset-Backed Pass-Through(b) | | US0001M + 5.625% | | 3.9460 | | | 09/25/33 | | | | 578,066 | |
| | 634,261 | | | Bayview Financial Asset Trust 2007-SSR1(a),(b) | | US0001M + 0.450% | | 0.5420 | | | 03/25/37 | | | | 618,860 | |
| | 1,905,229 | | | Bayview Financial Mortgage Pass-Through Trust(a),(b) | | US0001M + 1.500% | | 1.5930 | | | 02/28/40 | | | | 1,756,746 | |
| | 177,898 | | | Bear Stearns Asset Backed Securities I Trust(b) | | US0001M + 2.100% | | 2.1920 | | | 06/25/34 | | | | 179,642 | |
| | 470,576 | | | Bear Stearns Asset Backed Securities Trust 2004-1(b) | | US0001M + 0.975% | | 1.0670 | | | 06/25/34 | | | | 480,102 | |
| | 224,633 | | | Bear Stearns Home Loan Owner Trust 2001-A(d) | | | | 10.5000 | | | 02/15/31 | | | | 233,284 | |
| | 48,899 | | | Chase Funding Loan Acquisition Trust Series | | | | 4.7500 | | | 12/25/34 | | | | 48,698 | |
| | 318,985 | | | CHEC Loan Trust 2004-1(a),(b) | | US0001M + 0.975% | | 1.0670 | | | 07/25/34 | | | | 317,287 | |
| | 199,576 | | | Delta Funding Home Equity Loan Trust 1999-2(b) | | US0001M + 0.320% | | 0.7300 | | | 08/15/30 | | | | 189,106 | |
| | 173,539 | | | Delta Funding Home Equity Loan Trust 1999-3(d) | | | | 8.0610 | | | 09/15/29 | | | | 174,282 | |
See accompanying notes to financial statements.
| EASTERLY STRUCTURED CREDIT VALUE FUND |
| SCHEDULE OF INVESTMENTS (Continued) |
| November 30, 2021 |
| Principal | | | | | | | Coupon Rate | | | | | | |
| Amount ($) | | | | | Spread | | (%) | | Maturity | | | Fair Value | |
| | | | | ASSET BACKED SECURITIES — 67.9% (Continued) | | | | | | | | | | | | |
| | | | | HOME EQUITY — 3.5% (Continued) | | | | | | | | | | | | |
| | 424,490 | | | Delta Funding Home Equity Loan Trust 2000-1(d) | | | | 8.0900 | | | 05/15/30 | | | $ | 422,326 | |
| | 78,875 | | | First Alliance Mortgage Loan Trust 1999-1(d) | | | | 7.1800 | | | 06/20/30 | | | | 81,228 | |
| | 111,590 | | | GE Capital Mortgage Services Inc 1999-HE1 Trust(c) | | | | 6.7000 | | | 04/25/29 | | | | 113,513 | |
| | 1,389,000 | | | Mastr Asset Backed Securities Trust 2004-FRE1(b) | | US0001M + 2.700% | | 2.7920 | | | 07/25/34 | | | | 1,391,838 | |
| | 288,094 | | | Mastr Asset Backed Securities Trust 2005-NC1(b) | | US0001M + 0.750% | | 0.8420 | | | 12/25/34 | | | | 287,047 | |
| | 213,627 | | | Morgan Stanley A.B.S Capital I Inc Trust Series(b) | | US0001M + 3.900% | | 3.9920 | | | 03/25/33 | | | | 215,171 | |
| | 279,823 | | | New Century Home Equity Loan Trust Series 2003-B(b) | | US0001M + 0.975% | | 1.0670 | | | 10/25/33 | | | | 265,999 | |
| | 5,697 | | | NovaStar Mortgage Funding Trust Series 2003-2(b) | | US0001M + 4.725% | | 4.8170 | | | 09/25/33 | | | | 5,943 | |
| | 66,480 | | | RAAC Series 2004-SP1 Trust(b) | | US0001M + 0.700% | | 0.7920 | | | 03/25/34 | | | | 64,256 | |
| | 288,051 | | | RBSSP Resecuritization Trust 2010-4(a),(d) | | | | 5.8250 | | | 02/26/36 | | | | 292,252 | |
| | 647,895 | | | Renaissance Home Equity Loan Trust 2002-3(b) | | US0001M + 1.500% | | 1.5920 | | | 12/25/32 | | | | 638,056 | |
| | 139,036 | | | Renaissance Home Equity Loan Trust 2002-3(b) | | US0001M + 2.550% | | 2.6420 | | | 12/25/32 | | | | 138,994 | |
| | 43,021 | | | Saxon Asset Securities Trust 2001-2(d) | | | | 7.1700 | | | 03/25/29 | | | | 45,424 | |
| | 61,432 | | | Saxon Asset Securities Trust 2003-3(b) | | US0001M + 2.400% | | 2.4920 | | | 12/25/33 | | | | 61,647 | |
| | 283,651 | | | Saxon Asset Securities Trust 2003-3(d) | | | | 4.3170 | | | 12/25/33 | | | | 280,288 | |
| | 477,539 | | | Security National Mortgage Loan Trust 2005-2(a),(c) | | | | 6.2130 | | | 02/25/36 | | | | 488,393 | |
| | 122,702 | | | Soundview Home Loan Trust 2006-OPT4(b) | | US0001M + 0.300% | | 0.3920 | | | 06/25/36 | | | | 121,752 | |
| | 213,328 | | | Southern Pacific Secured Asset Corporation | | | | 7.3200 | | | 05/25/27 | | | | 225,044 | |
| | | | | | | | | | | | | | | | 10,623,112 | |
| | | | | MANUFACTURED HOUSING — 1.4% | | | | | | | | | | | | |
| | 1,000,000 | | | Cascade MH Asset Trust 2019-MH1 Series 2019-MH1 M(a),(c) | | | | 5.9850 | | | 11/01/44 | | | | 1,046,712 | |
| | 473,411 | | | Mid-State Capital Corp 2004-1 Trust | | | | 8.1140 | | | 08/15/37 | | | | 500,977 | |
| | 2,500,000 | | | Towd Point Mortgage Trust 2019-MH1(a),(c) | | | | 3.7500 | | | 11/25/58 | | | | 2,528,889 | |
| | | | | | | | | | | | | | | | 4,076,578 | |
| | | | | NON AGENCY CMBS — 16.2% | | | | | | | | | | | | |
| | 723,000 | | | Arbor Multifamily Mortgage Securities Trust(a) | | | | 1.7500 | | | 05/15/53 | | | | 646,176 | |
| | 1,000,000 | | | Arbor Multifamily Mortgage Securities Trust(a) | | | | 1.7500 | | | 05/15/53 | | | | 859,715 | |
| | 175,000 | | | Bancorp Commercial Mortgage 2018-CRE3 Trust Series 2018-CR3 D(a),(b) | | US0001M + 2.700% | | 2.7890 | | | 01/15/33 | | | | 174,445 | |
| | 165,893 | | | Bayview Commercial Asset Trust 2004-2(a),(b) | | US0001M + 1.770% | | 1.8620 | | | 08/25/34 | | | | 166,127 | |
| | 70,092 | | | Bayview Commercial Asset Trust 2005-2(a),(b) | | US0001M + 1.725% | | 1.8170 | | | 08/25/35 | | | | 66,705 | |
| | 521,891 | | | Bayview Commercial Asset Trust 2007-3(a),(b) | | US0001M + 0.340% | | 0.4320 | | | 07/25/37 | | | | 487,067 | |
| | 1,290,101 | | | Bayview Commercial Asset Trust 2007-3(a),(b) | | US0001M + 0.500% | | 0.5920 | | | 07/25/37 | | | | 1,177,819 | |
| | 330,000 | | | BMD2 Re-Remic Trust 2019-FRR1(a),(c) | | | | 3.4960 | | | 05/25/52 | | | | 331,472 | |
See accompanying notes to financial statements.
| EASTERLY STRUCTURED CREDIT VALUE FUND |
| SCHEDULE OF INVESTMENTS (Continued) |
| November 30, 2021 |
| Principal | | | | | | | Coupon Rate | | | | | | |
| Amount ($) | | | | | Spread | | (%) | | Maturity | | | Fair Value | |
| | | | | ASSET BACKED SECURITIES — 67.9% (Continued) | | | | | | | | | | | | |
| | | | | NON AGENCY CMBS — 16.2% (Continued) | | | | | | | | | | | | |
| | 1,000,000 | | | Capital Funding Mortgage Trust 2021-15(a),(b) | | US0001M + 3.150% | | 4.1500 | | | 03/15/24 | | | $ | 1,011,554 | |
| | 72,000 | | | CD 2017-CD3 Mortgage Trust(a) | | | | 3.2500 | | | 02/10/50 | | | | 57,153 | |
| | 3,872 | | | CFCRE Commercial Mortgage Trust 2011-C2(a),(c) | | | | 5.3590 | | | 12/15/47 | | | | 3,742 | |
| | 1,990,236 | | | CG-CCRE Commercial Mortgage Trust 2014-FL1(a),(b) | | US0001M + 1.150% | | 1.2400 | | | 06/15/31 | | | | 1,944,042 | |
| | 738,208 | | | CG-CCRE Commercial Mortgage Trust 2014-FL2(a),(b) | | US0001M + 1.854% | | 1.9430 | | | 11/15/31 | | | | 708,397 | |
| | 631,984 | | | CNL Commercial Mortgage Loan Trust 2003-1(a),(b) | | US0001M + 0.500% | | 0.5900 | | | 05/15/31 | | | | 612,531 | |
| | 23,845 | | | COMM 2010-C1 Mortgage Trust(a),(c) | | | | 5.8070 | | | 07/10/46 | | | | 23,898 | |
| | 175,000 | | | COMM 2012-LC4 Mortgage Trust(c) | | | | 4.9340 | | | 12/10/44 | | | | 175,112 | |
| | 90,000 | | | COMM 2013-CCRE12 Mortgage Trust(c) | | | | 4.7620 | | | 10/10/46 | | | | 90,756 | |
| | 265,000 | | | CSAIL 2018-C14 Commercial Mortgage Trust(a),(c) | | | | 5.0880 | | | 11/15/51 | | | | 277,043 | |
| | 520,000 | | | CSMC 2014-USA OA, LLC(a) | | | | 4.3730 | | | 09/15/37 | | | | 488,855 | |
| | 1,702,000 | | | GS Mortgage Securities Trust 2014-GC18(c) | | | | 4.8850 | | | 01/10/47 | | | | 1,691,208 | |
| | 26,000 | | | GS Mortgage Securities Trust 2014-GC20(c) | | | | 5.1210 | | | 04/10/47 | | | | 25,317 | |
| | 1,300,000 | | | Harvest Commercial Capital Loan Trust 2019-1(a),(c) | | | | 5.7300 | | | 11/25/31 | | | | 1,247,211 | |
| | 900,000 | | | Harvest Commercial Capital Loan Trust 2020-1(a),(c) | | | | 5.9640 | | | 04/25/52 | | | | 883,861 | |
| | 2,366,000 | | | Hudsons Bay Simon JV Trust 2015-HBS(a) | | | | 3.9140 | | | 08/05/34 | | | | 2,299,162 | |
| | 128,833 | | | JP Morgan Chase Commercial Mortgage Securities(a),(b) | | US0001M + 3.750% | | 1.6200 | | | 05/15/28 | | | | 111,698 | |
| | 3,169,733 | | | JP Morgan Chase Commercial Mortgage Securities(a) | | | | 3.9100 | | | 05/05/30 | | | | 2,721,712 | |
| | 331,786 | | | JP Morgan Chase Commercial Mortgage Securities(a),(c) | | | | 3.9770 | | | 10/15/45 | | | | 335,270 | |
| | 193,000 | | | JP Morgan Chase Commercial Mortgage Securities(a),(c) | | | | 5.7070 | | | 02/15/46 | | | | 77,072 | |
| | 500,000 | | | JP Morgan Chase Commercial Mortgage Securities(a),(c) | | | | 3.2500 | | | 04/15/46 | | | | 354,303 | |
| | 612,222 | | | JP Morgan Chase Commercial Mortgage Securities(a),(c) | | | | 5.5740 | | | 07/15/46 | | | | 634,434 | |
| | 1,109,640 | | | JP Morgan Chase Commercial Mortgage Securities Series 2006-LDP9 Class A-MS | | 5.3370 | | | 05/15/47 | | | | 972,748 | |
| | 676,726 | | | JP Morgan Chase Commercial Mortgage Securities(b) | | | | 6.0180 | | | 06/15/49 | | | | 239,137 | |
| | 339,000 | | | JPMBB Commercial Mortgage Securities Trust Series 2015- C29 Class C(b) | | 4.3390 | | | 05/15/48 | | | | 322,642 | |
| | 50,750 | | | LB-UBS Commercial Mortgage Trust 2007-C6(c) | | | | 7.0880 | | | 07/15/40 | | | | 40,468 | |
| | 4,315,000 | | | Morgan Stanley Bank of America Merrill Lynch Trust(c) | | | | 4.4960 | | | 08/15/46 | | | | 4,247,471 | |
| | 200,000 | | | Morgan Stanley Capital I Trust 2015-MS1(a),(c) | | | | 4.1660 | | | 05/15/48 | | | | 186,998 | |
| | 242,836 | | | Multi Security Asset Trust, L.P. Commercial(a),(c) | | | | 4.7800 | | | 11/28/35 | | | | 169,904 | |
| | 190,000 | | | Olympic Tower 2017-OT Mortgage Trust(a),(c) | | | | 4.0770 | | | 05/10/39 | | | | 161,500 | |
| | 2,000,000 | | | ReadyCap Commercial Mortgage Trust 2015-SBC2(a),(c) | | | | 5.1240 | | | 06/25/55 | | | | 2,009,238 | |
| | 7,630,000 | | | ReadyCap Commercial Mortgage Trust 2018-4(a),(c) | | | | 5.2460 | | | 02/27/51 | | | | 7,979,683 | |
| | 105,000 | | | UBS-Barclays Commercial Mortgage Trust 2012-C2(a),(b) | | | | 4.9710 | | | 05/10/63 | | | | 97,589 | |
See accompanying notes to financial statements.
| EASTERLY STRUCTURED CREDIT VALUE FUND |
| SCHEDULE OF INVESTMENTS (Continued) |
| November 30, 2021 |
| Principal | | | | | | | Coupon Rate | | | | | | |
| Amount ($) | | | | | Spread | | (%) | | Maturity | | | Fair Value | |
| | | | | ASSET BACKED SECURITIES — 67.9% (Continued) | | | | | | | | | | | | |
| | | | | NON AGENCY CMBS — 16.2% (Continued) | | | | | | | | | | | | |
| | 445,000 | | | UBS-Barclays Commercial Mortgage Trust 2012-C2 Series 2012-C2 D(a),(c)
| | 5.0430 | | | 05/10/63 | | | $ | 89,791 | |
| | 750,000 | | | UBS-Barclays Commercial Mortgage Trust 2012-C4 | | | | 2.7920 | | | 12/10/45 | | | | 753,339 | |
| | 171,000 | | | UBS-Barclays Commercial Mortgage Trust 2012-C4(a),(c) | | | | 4.6100 | | | 12/10/45 | | | | 153,280 | |
| | 75,000 | | | UBS-Barclays Commercial Mortgage Trust 2013-C5(a),(c) | | | | 4.2160 | | | 03/10/46 | | | | 69,962 | |
| | 176,450 | | | Velocity Commercial Capital Loan Trust 2015-1(a),(c) | | | | 7.2040 | | | 06/25/45 | | | | 176,872 | |
| | 3,144,000 | | | Velocity Commercial Capital Loan Trust 2016-2(c) | | | | 8.2760 | | | 10/25/46 | | | | 3,212,360 | |
| | 3,055,000 | | | Velocity Commercial Capital Loan Trust 2017-1(a),(c) | | | | 7.9500 | | | 05/25/47 | | | | 3,099,305 | |
| | 717,097 | | | Velocity Commercial Capital Loan Trust 2018-1(a) | | | | 7.2600 | | | 04/25/48 | | | | 735,473 | |
| | 686,321 | | | Velocity Commercial Capital Loan Trust 2018-2(a),(c) | | | | 6.3600 | | | 10/26/48 | | | | 707,150 | |
| | 2,206,428 | | | Wachovia Bank Commercial Mortgage Trust Series(a),(c),(e) | | | | 0.8260 | | | 07/15/41 | | | | 4,751 | |
| | 246,000 | | | Wells Fargo Commercial Mortgage Trust 2013-LC12(c) | | | | 4.4410 | | | 07/15/46 | | | | 245,177 | |
| | 139,147 | | | WFRBS Commercial Mortgage Trust 2011-C4(a),(c) | | | | 5.0240 | | | 06/15/44 | | | | 136,327 | |
| | 2,322,000 | | | WFRBS Commercial Mortgage Trust 2012-C7(c) | | | | 4.8810 | | | 06/15/45 | | | | 2,233,987 | |
| | 100,000 | | | WFRBS Commercial Mortgage Trust 2014-C24(c) | | | | 4.2040 | | | 11/15/47 | | | | 100,147 | |
| | 460,148 | | | WFRBS Commercial Mortgage Trust 2014-C25(a),(c) | | | | 3.8030 | | | 11/15/47 | | | | 417,364 | |
| | | | | | | | | | | | | | | | 48,246,520 | |
| | | | | OTHER ABS — 0.3% | | | | | | | | | | | | |
| | 300,000 | | | Finance of America HECM Buyout 2021-HB1 Series 2021-HB1 M3(a),(c) | | | | 3.6400 | | | 02/25/31 | | | | 296,906 | |
| | 97,881 | | | HERO Funding Trust 2015-2(a) | | | | 3.9900 | | | 09/20/40 | | | | 99,440 | |
| | 5,424,000 | | | LendingClub Issuance Trust Series 2016-NP1(a),(g) | | | | — | | | 06/15/22 | | | | — | |
| | 98,019 | | | Longtrain Leasing III, LLC 2015-1 Series 2015-1A Class A2(a) | | | | 4.0600 | | | 01/15/45 | | | | 98,242 | |
| | 300,135 | | | Sprite 2017-1 Ltd.(a) | | | | 4.2500 | | | 12/15/37 | | | | 296,162 | |
| | | | | | | | | | | | | | | | 790,750 | |
| | | | | RESIDENTIAL MORTGAGE — 2.5% | | | | | | | | | | | | |
| | 388,517 | | | Amresco Residential Securities Corp Mort Loan(b) | | US0001M + 0.470% | | 1.0320 | | | 06/25/29 | | | | 372,149 | |
| | 1,638,146 | | | Belvedere SPV Srl(b) | | EUR006M + 3.250% | | 2.7370 | | | 12/31/38 | | | | 1,701,363 | |
| | 81,736 | | | Carrington Mortgage Loan Trust Series 2006-NC2(b) | | US0001M + 0.150% | | 0.2420 | | | 06/25/36 | | | | 81,574 | |
| | 9,889 | | | Chase Funding Trust Series 2002-4(b) | | US0001M + 0.740% | | 0.8320 | | | 10/25/32 | | | | 9,851 | |
| | 75,256 | | | Countrywide Asset-Backed Certificates(a),(b) | | US0001M + 4.500% | | 4.5920 | | | 11/25/32 | | | | 75,815 | |
| | 104,213 | | | Credit-Based Asset Servicing and Securitization,(b) | | US0001M + 2.775% | | 2.8670 | | | 03/25/34 | | | | 111,503 | |
| | 1,301,168 | | | Credit-Based Asset Servicing and Securitization,(d) | | | | 6.7800 | | | 05/25/35 | | | | 1,334,489 | |
| | 57,255 | | | Credit-Based Asset Servicing and Securitization,(a),(d) | | | | 4.7740 | | | 12/25/37 | | | | 57,591 | |
| | 23,841 | | | CWABS Asset-Backed Certificates Trust 2006-18(b) | | US0001M + 0.160% | | 0.2520 | | | 03/25/37 | | | | 23,832 | |
See accompanying notes to financial statements.
| EASTERLY STRUCTURED CREDIT VALUE FUND |
| SCHEDULE OF INVESTMENTS (Continued) |
| November 30, 2021 |
| Principal | | | | | | | Coupon Rate | | | | | | |
| Amount ($) | | | | | Spread | | (%) | | Maturity | | | Fair Value | |
| | | | | ASSET BACKED SECURITIES — 67.9% (Continued) | | | | | | | | | | | | |
| | | | | RESIDENTIAL MORTGAGE — 2.5% (Continued) | | | | | | | | | | | | |
| | 362,293 | | | First Franklin Mortgage Loan Trust 2002-FF1(b) | | US0001M + 1.800% | | 1.8920 | | | 04/25/32 | | | $ | 353,787 | |
| | 82,457 | | | GE-WMC Asset-Backed Pass-Through Certificates(b) | | US0001M + 0.660% | | 0.7520 | | | 12/25/35 | | | | 84,312 | |
| | 72,785 | | | GSAMP Trust 2002-WF(b) | | US0001M + 1.100% | | 1.1910 | | | 10/20/32 | | | | 72,797 | |
| | 255,184 | | | Interstar Millennium Series 2004-4E Trust(b) | | EUR003M + 0.400% | | — | | | 11/14/36 | | | | 272,017 | |
| | 127,722 | | | Long Beach Mortgage Loan Trust 2003-2(b) | | US0001M + 2.850% | | 2.9420 | | | 06/25/33 | | | | 133,598 | |
| | 92,260 | | | Mastr Specialized Loan Trust(a),(b) | | US0001M + 0.750% | | 0.8420 | | | 11/25/35 | | | | 92,421 | |
| | 560,607 | | | RAAC Series 2005-SP2 Trust(b) | | US0001M + 0.600% | | 0.6920 | | | 06/25/44 | | | | 487,079 | |
| | 734,527 | | | RAAC Series 2007-RP3 Trust(a),(b) | | US0001M + 0.380% | | 0.8520 | | | 10/25/46 | | | | 724,905 | |
| | 527,273 | | | Structured Asset Investment Loan Trust 2003-BC9(b) | | US0001M + 3.150% | | 3.2420 | | | 08/25/33 | | | | 550,797 | |
| | 1,000,000 | | | Towd Point Mortgage Trust 2019-SJ2(a),(c) | | | | 5.0000 | | | 11/25/58 | | | | 1,012,867 | |
| | | | | | | | | | | | | | | | 7,552,747 | |
| | | | | STUDENT LOANS — 0.6% | | | | | | | | | | | | |
| | 36,635 | | | AccessLex Institute(b) | | US0003M + 0.700% | | 0.8240 | | | 01/25/43 | | | | 35,145 | |
| | 760,000 | | | EdLinc Student Loan Funding Trust 2012-1(a),(b) | | US0001M + 4.240% | | 4.3320 | | | 11/26/40 | | | | 929,092 | |
| | 488,989 | | | EdLinc Student Loan Funding Trust 2017-A(a),(b) | | Prime Rate - 1.150% | | 2.1000 | | | 12/01/47 | | | | 464,661 | |
| | 152,378 | | | L2L Education Loan Trust 2006-1(a),(b) | | US0001M + 0.340% | | 0.4300 | | | 06/15/31 | | | | 146,713 | |
| | 50,922 | | | National Collegiate Trust 2005-GATE (The)(a),(b) | | US0001M + 0.450% | | 0.5420 | | | 04/26/23 | | | | 46,039 | |
| | 35,818 | | | SLM Student Loan Trust 2005-8(b) | | US0003M + 0.310% | | 0.4340 | | | 01/25/55 | | | | 34,179 | |
| | | | | | | | | | | | | | | | 1,655,829 | |
| | | | | WHOLE BUSINESS — 0.4% | | | | | | | | | | | | |
| | 37,752 | | | Business Loan Express Business Loan Trust 2005-A(a),(b) | | US0001M + 1.100% | | 1.1920 | | | 09/25/38 | | | | 34,649 | |
| | 174,504 | | | Business Loan Express Business Loan Trust 2007-A(a),(b) | | US0001M + 0.400% | | 0.4910 | | | 10/20/40 | | | | 162,681 | |
| | 92,928 | | | Business Loan Express SBA Loan Trust 2006-1(a),(b) | | US0001M + 0.950% | | 1.0410 | | | 10/20/38 | | | | 85,615 | |
| | 937,178 | | | Harvest SBA Loan Trust 2021-1(a),(b) | | US0001M + 2.000% | | 2.0890 | | | 04/25/48 | | | | 922,410 | |
| | | | | | | | | | | | | | | | 1,205,355 | |
| | | | | TOTAL ASSET BACKED SECURITIES (Cost $198,104,866) | | | | | 202,249,099 | |
| | | | | | | | | | | |
| | | | | CORPORATE BONDS — 15.2% | | | | | | | | | | | | |
| | | | | ASSET MANAGEMENT — 0.2% | | | | | | | | | | | | |
| | 70,000 | | | Morgan Stanley & Company, LLC(b) | | (5*(USISDA30*USISDA02)) | | 6.0800 | | | 01/21/26 | | | | 70,175 | |
| | 274,000 | | | Nomura America Finance, LLC(c) | | | | 5.8000 | | | 12/31/33 | | | | 254,820 | |
| | 65,000 | | | Nomura America Finance, LLC(b) | | (4*(USISDA30*USISDA02)) | | 3.7800 | | | 02/28/34 | | | | 60,039 | |
| | 355,000 | | | Nomura America Finance, LLC(c) | | | | 4.3960 | | | 07/29/34 | | | | 318,612 | |
| | | | | | | | | | | | | | | | 703,646 | |
See accompanying notes to financial statements.
| EASTERLY STRUCTURED CREDIT VALUE FUND |
| SCHEDULE OF INVESTMENTS (Continued) |
| November 30, 2021 |
| Principal | | | | | | | Coupon Rate | | | | | | |
| Amount ($) | | | | | Spread | | (%) | | Maturity | | | Fair Value | |
| | | | | CORPORATE BONDS — 15.2% (Continued) | | | | | | | | | | | | |
| | | | | BANKING — 5.3% | | | | | | | | | | | | |
| | 190,000 | | | Bank of Nova Scotia (The)(b) | | (4*(USISDA30-USISDA02)) | | 2.7440 | | | 06/27/33 | | | $ | 153,425 | |
| | 120,000 | | | Bank of Nova Scotia (The)(b) | | 4*(CMS30-CMS2) | | 4.0800 | | | 01/30/34 | | | | 108,000 | |
| | 100,000 | | | Bank of Nova Scotia (The)(c) | | | | 1.7800 | | | 08/28/34 | | | | 82,500 | |
| | 75,000 | | | Barclays Bank plc(c) | | | | — | | | 01/23/26 | | | | 74,996 | |
| | 525,000 | | | Barclays Bank plc(c) | | | | 5.8740 | | | 09/13/28 | | | | 509,250 | |
| | 50,000 | | | Barclays Bank plc(c) | | | | 5.5320 | | | 10/18/28 | | | | 48,313 | |
| | 75,000 | | | Barclays Bank plc(c) | | | | 2.2880 | | | 08/15/33 | | | | 65,250 | |
| | 58,000 | | | Barclays Bank plc(c) | | | | 3.2840 | | | 04/25/34 | | | | 47,560 | |
| | 70,000 | | | Barclays Bank plc(c) | | | | 2.3920 | | | 07/31/34 | | | | 59,238 | |
| | 177,000 | | | BNP Paribas S.A.(b) | | 4*(CMS30-CMS5) | | 3.3720 | | | 04/30/33 | | | | 155,760 | |
| | 430,000 | | | Citigroup, Inc.(c) | | | | 2.1960 | | | 06/11/33 | | | | 350,450 | |
| | 1,037,000 | | | Citigroup, Inc.(c) | | | | 1.7960 | | | 11/26/33 | | | | 887,931 | |
| | 507,000 | | | Citigroup, Inc.(c) | | | | 4.4880 | | | 12/29/34 | | | | 454,399 | |
| | 55,000 | | | Citigroup, Inc.(c) | | | | 10.0000 | | | 08/31/35 | | | | 46,750 | |
| | 300,000 | | | Credit Suisse A.G.(c) | | | | 10.8970 | | | 09/30/30 | | | | 303,000 | |
| | 655,000 | | | Credit Suisse A.G.(c) | | | | 9.9960 | | | 04/29/31 | | | | 671,375 | |
| | 1,024,000 | | | Credit Suisse A.G.(c) | | | | 8.0000 | | | 10/31/31 | | | | 1,064,960 | |
| | 120,000 | | | Deutsche Bank A.G.(c) | | | | 1.9400 | | | 01/31/33 | | | | 92,400 | |
| | 245,000 | | | Deutsche Bank A.G.(c) | | | | 4.2000 | | | 06/30/34 | | | | 199,981 | |
| | 1,257,000 | | | Deutsche Bank A.G.(b) | | (4*(USISDA30-USISDA02)) | | 1.7800 | | | 08/28/34 | | | | 1,005,600 | |
| | 3,949,000 | | | Deutsche Bank A.G.(c) | | | | 3.9020 | | | 10/31/34 | | | | 3,514,609 | |
| | 961,000 | | | Deutsche Bank A.G.(c) | | | | 2.9520 | | | 11/26/34 | | | | 837,271 | |
| | 738,000 | | | Deutsche Bank A.G.(c) | | | | 4.1200 | | | 03/27/35 | | | | 616,230 | |
| | 75,000 | | | Deutsche Bank A.G.(c) | | | | 4.8720 | | | 12/23/35 | | | | 62,250 | |
| | 100,000 | | | HSBC USA, Inc.(c) | | | | 7.3310 | | | 05/21/29 | | | | 97,500 | |
| | 200,000 | | | Lloyds Bank plc(b) | | USISDA30 - 0.500% | | 0.2110 | | | 01/31/33 | | | | 155,750 | |
| | 136,000 | | | Lloyds Bank plc(c) | | | | 4.2840 | | | 10/25/33 | | | | 120,360 | |
| | 655,000 | | | Lloyds Bank plc(c) | | | | 2.3800 | | | 11/27/33 | | | | 574,196 | |
| | 177,000 | | | Natixis US Medium-Term Note Program, LLC(c) | | | | 1.0800 | | | 04/30/34 | | | | 167,486 | |
| | 1,414,000 | | | Natixis US Medium-Term Note Program, LLC(b) | | (7.5*(USISDA30-USISDA05)) | | 2.2430 | | | 07/31/34 | | | | 1,237,250 | |
| | 194,000 | | | Natixis US Medium-Term Note Program, LLC(c) | | | | 10.0000 | | | 03/31/36 | | | | 188,423 | |
| | 125,000 | | | NatWest Markets plc(c) | | | | 3.1120 | | | 08/18/31 | | | | 111,250 | |
| | 100,000 | | | NatWest Markets plc(c) | | | | 1.9520 | | | 08/26/31 | | | | 84,250 | |
See accompanying notes to financial statements.
| EASTERLY STRUCTURED CREDIT VALUE FUND |
| SCHEDULE OF INVESTMENTS (Continued) |
| November 30, 2021 |
| Principal | | | | | | | Coupon Rate | | | | | | |
| Amount ($) | | | | | Spread | | (%) | | Maturity | | | Fair Value | |
| | | | | CORPORATE BONDS — 15.2% (Continued) | | | | | | | | | | | | |
| | | | | BANKING — 5.3% (Continued) | | | | | | | | | | | | |
| | 202,000 | | | SG Structured Products, Inc.(c) | | | | 1.0000 | | | 03/31/26 | | | | 192,405 | |
| | 185,000 | | | SG Structured Products, Inc.(c) | | | | 3.4680 | | | 07/29/31 | | | | 161,875 | |
| | 644,000 | | | Societe Generale S.A.(c) | | | | 12.7000 | | | 10/29/32 | | | | 634,340 | |
| | 203,000 | | | Societe Generale S.A.(b) | | | | 12.5000 | | | 01/31/35 | | | | 201,477 | |
| | 135,000 | | | STRATS, LLC(c) | | US0006M + 1.000% | | 1.2280 | | | 02/15/34 | | | | 106,127 | |
| | | | | | | | | | | | | | | | 15,444,187 | |
| | | | | INSTITUTIONAL FINANCIAL SERVICES — 5.2% | | | | | | | | | | | | |
| | 41,000 | | | Citigroup Global Markets Holdings, Inc.(c) | | | | 11.7680 | | | 04/25/32 | | | | 37,073 | |
| | 35,000 | | | Citigroup Global Markets Holdings, Inc.(c) | | | | 1.7850 | | | 11/22/32 | | | | 33,250 | |
| | 200,000 | | | Citigroup Global Markets Holdings, Inc. | | | | 10.0000 | | | 03/29/34 | | | | 198,000 | |
| | 50,000 | | | Citigroup Global Markets Holdings, Inc.(c) | | | | 5.5150 | | | 12/14/36 | | | | 45,000 | |
| | 365,000 | | | Goldman Sachs Group, Inc. (The)(c) | | | | 3.5500 | | | 03/19/29 | | | | 338,081 | |
| | 97,000 | | | Jefferies Group, LLC / Jefferies Group Capital(c) | | | | 7.1480 | | | 05/31/34 | | | | 98,455 | |
| | 30,000 | | | Jefferies Group, LLC / Jefferies Group Capital(c) | | | | 8.1800 | | | 06/30/37 | | | | 30,750 | |
| | 310,000 | | | Jefferies Group, LLC / Jefferies Group Capital(c) | | | | 8.5770 | | | 07/31/37 | | | | 323,950 | |
| | 229,000 | | | Jefferies Group, LLC / Jefferies Group Capital(b) | | (9*(USISDA10-USISDA02)) | | 8.0000 | | | 08/31/37 | | | | 232,435 | |
| | 150,000 | | | Jefferies Group, LLC / Jefferies Group Capital(c) | | | | 8.1800 | | | 08/31/37 | | | | 153,750 | |
| | 248,000 | | | Jefferies Group, LLC / Jefferies Group Capital(c) | | | | 6.5440 | | | 09/30/37 | | | | 247,070 | |
| | 110,000 | | | Jefferies Group, LLC / Jefferies Group Capital(c) | | | | 7.6240 | | | 01/31/38 | | | | 113,575 | |
| | 762,000 | | | Jefferies Group, LLC / Jefferies Group Capital(b) | | (7.5*(USISDA30-USISDA02)) | | 2.4300 | | | 02/28/38 | | | | 640,080 | |
| | 280,000 | | | Jefferies Group, LLC / Jefferies Group Capital(b) | | US0003M + 4.000% | | 5.0000 | | | 03/20/40 | | | | 279,192 | |
| | 115,000 | | | Morgan Stanley(c) | | | | 8.0000 | | | 03/21/27 | | | | 124,775 | |
| | 1,015,000 | | | Morgan Stanley(c) | | | | 6.5360 | | | 09/27/28 | | | | 990,894 | |
| | 3,588,000 | | | Morgan Stanley(b) | | (10*(USISDA30-USISDA02)) | | 10.0000 | | | 04/30/30 | | | | 3,767,399 | |
| | 1,388,000 | | | Morgan Stanley(b) | | (10*(USISDA30-USISDA02)) | | 10.0000 | | | 05/29/30 | | | | 1,460,870 | |
| | 363,000 | | | Morgan Stanley(c) | | | | 10.0000 | | | 06/30/30 | | | | 377,520 | |
| | 182,000 | | | Morgan Stanley(b) | | (8*(USISDA30-USISDA02)) | | 8.9360 | | | 07/31/30 | | | | 187,460 | |
| | 290,000 | | | Morgan Stanley(b) | | (8.5*(USISDA30-USISDA02)) | | 10.0000 | | | 08/19/30 | | | | 301,600 | |
| | 216,000 | | | Morgan Stanley(b) | | (8*(USISDA30-USISDA02)) | | 8.9360 | | | 08/31/30 | | | | 222,480 | |
| | 285,000 | | | Morgan Stanley(c) | | | | 10.0000 | | | 09/30/30 | | | | 294,263 | |
| | 171,000 | | | Morgan Stanley(c) | | | | 7.2500 | | | 10/30/30 | | | | 148,782 | |
| | 151,000 | | | Morgan Stanley(b) | | (5*(USISDA30-USISDA02)) | | 9.4500 | | | 10/30/30 | | | | 153,265 | |
| | 50,000 | | | Morgan Stanley(c) | | | | 5.5850 | | | 11/30/30 | | | | 48,500 | |
| | 20,000 | | | Morgan Stanley(c) | | | | 8.0000 | | | 03/31/31 | | | | 21,400 | |
See accompanying notes to financial statements.
| EASTERLY STRUCTURED CREDIT VALUE FUND |
| SCHEDULE OF INVESTMENTS (Continued) |
| November 30, 2021 |
| Principal | | | | | | | Coupon Rate | | | | | | |
| Amount ($) | | | | | Spread | | (%) | | Maturity | | | Fair Value | |
| | | | | CORPORATE BONDS — 15.2% (Continued) | | | | | | | | | | | | |
| | | | | INSTITUTIONAL FINANCIAL SERVICES — 5.2% (Continued) | | | | | | |
| | 89,000 | | | Morgan Stanley(c) | | | | 8.5000 | | | 05/31/31 | | | $ | 96,231 | |
| | 100,000 | | | Morgan Stanley(c) | | | | 9.0000 | | | 06/30/31 | | | | 109,500 | |
| | 114,000 | | | Morgan Stanley(c) | | | | 8.5000 | | | 07/29/31 | | | | 122,123 | |
| | 228,200 | | | Morgan Stanley(c) | | | | 8.1400 | | | 09/16/31 | | | | 233,905 | |
| | 117,000 | | | Morgan Stanley(c) | | | | 6.7020 | | | 01/30/34 | | | | 118,901 | |
| | 220,000 | | | Morgan Stanley(c) | | | | 4.4680 | | | 07/31/34 | | | | 191,400 | |
| | 121,000 | | | Morgan Stanley(c) | | | | 5.5450 | | | 08/29/34 | | | | 107,690 | |
| | 120,000 | | | Morgan Stanley(c) | | | | 6.7500 | | | 09/30/34 | | | | 106,800 | |
| | 238,000 | | | Morgan Stanley(b) | | (5*(USISDA30-USISDA02)) | | 7.0700 | | | 10/08/34 | | | | 211,523 | |
| | 233,000 | | | Morgan Stanley(c) | | | | 7.8190 | | | 10/31/34 | | | | 226,010 | |
| | 30,000 | | | Morgan Stanley(b) | | (7*(USISDA30-USISDA02)) | | 6.2750 | | | 11/28/34 | | | | 26,663 | |
| | 304,000 | | | Morgan Stanley(b) | | (4.5*(USISDA30-USISDA02)) | | 8.9360 | | | 01/30/35 | | | | 307,040 | |
| | 438,000 | | | Morgan Stanley(b) | | (6*(USISDA30-USISDA02)) | | 6.7020 | | | 03/31/35 | | | | 416,100 | |
| | 532,000 | | | Morgan Stanley(b) | | (9*(USISDA30-USISDA02)) | | 9.0000 | | | 04/30/35 | | | | 579,880 | |
| | 73,000 | | | Morgan Stanley(c) | | | | 9.0000 | | | 05/29/35 | | | | 79,570 | |
| | 120,000 | | | Morgan Stanley(c) | | | | 9.0000 | | | 06/30/35 | | | | 131,100 | |
| | 268,000 | | | Morgan Stanley(c) | | | | 9.0000 | | | 07/31/35 | | | | 292,120 | |
| | 79,000 | | | Morgan Stanley(c) | | | | 9.0000 | | | 09/30/35 | | | | 86,110 | |
| | 109,000 | | | Morgan Stanley(c) | | | | 9.0000 | | | 11/30/35 | | | | 118,810 | |
| | 134,000 | | | Morgan Stanley(b) | | (9*(USISDA30-USISDA02)) | | 9.0000 | | | 12/23/35 | | | | 146,060 | |
| | 816,000 | | | Morgan Stanley(b) | | (10*(USISDA30-USISDA02)) | | 10.0000 | | | 02/29/36 | | | | 844,560 | |
| | | | | | | | | | | | | | | | 15,421,965 | |
| | | | | SPECIALTY FINANCE — 4.5% | | | | | | | | | | | | |
| | 498,000 | | | Morgan Stanley Finance, LLC(c) | | | | 10.0000 | | | 04/30/33 | | | | 521,033 | |
| | 541,000 | | | Morgan Stanley Finance, LLC(b) | | (10*(USISDA30-USISDA02)) | | 10.0000 | | | 06/30/36 | | | | 559,935 | |
| | 215,000 | | | Morgan Stanley Finance, LLC(b) | | (15*(USISDA30-USISDA02)) | | 10.0000 | | | 07/29/36 | | | | 226,288 | |
| | 2,574,000 | | | Morgan Stanley Finance, LLC(b) | | (20*(USISDA30-USISDA02)) | | 9.0000 | | | 08/31/36 | | | | 2,709,134 | |
| | 788,000 | | | Morgan Stanley Finance, LLC(c) | | | | 9.0000 | | | 09/30/36 | | | | 829,370 | |
| | 4,218,000 | | | Morgan Stanley Finance, LLC(b) | | (20*(USISDA30-USISDA02)) | | 9.0000 | | | 11/29/36 | | | | 4,439,444 | |
| | 1,269,000 | | | Morgan Stanley Finance, LLC(b) | | (20*(USISDA30-USISDA02)) | | 9.0000 | | | 01/31/37 | | | | 1,335,623 | |
| | 361,000 | | | Morgan Stanley Finance, LLC(b) | | (20*(USISDA30-USISDA02)) | | 9.0000 | | | 04/28/37 | | | | 379,050 | |
| | 267,000 | | | Morgan Stanley Finance, LLC(c) | | | | 8.0000 | | | 07/31/37 | | | | 280,350 | |
See accompanying notes to financial statements.
| EASTERLY STRUCTURED CREDIT VALUE FUND |
| SCHEDULE OF INVESTMENTS (Continued) |
| November 30, 2021 |
| Principal | | | | | | | Coupon Rate | | | | | | |
| Amount ($) | | | | | Spread | | (%) | | Maturity | | | Fair Value | |
| | | | | CORPORATE BONDS — 15.2% (Continued) | | | | | | | | | | | | |
| | | | | SPECIALTY FINANCE — 4.5% (Continued) | | | | | | | | | | | | |
| | 158,000 | | | Morgan Stanley Finance, LLC(c) | | | | 8.0000 | | | 09/29/37 | | | $ | 165,900 | |
| | 996,000 | | | Morgan Stanley Finance, LLC(b) | | 10*(CMS30-CMS5) | | 10.0000 | | | 09/29/37 | | | | 1,030,860 | |
| | 359,284 | | | Preferred Term Securities IV Ltd. / Preferred Term(a),(b) | | US0003M + 2.250% | | 2.3720 | | | 12/23/31 | | | | 352,098 | |
| | 87,245 | | | Preferred Term Securities X Ltd. / Preferred Term(a),(b) | | US0003M + 0.860% | | 0.9890 | | | 07/03/33 | | | | 82,525 | |
| | 600,908 | | | Select Notes Trust LT 2003-1 | | | | 5.9100 | | | 02/22/33 | | | | 607,847 | |
| | | | | | | | | | | | | | | | 13,519,457 | |
| | | | | TOTAL CORPORATE BONDS (Cost $43,286,078) | | | | | | | | 45,089,255 | |
| | | | | | | | | | | | | | | | | |
| | | | | NON U.S. GOVERNMENT & AGENCIES — 0.3% | | | | | | | | | | | | |
| | | | | SOVEREIGN — 0.0% | | | | | | | | | | | | |
| | 24,086 | | | Argentine Republic Government International Bond | | | | 1.0000 | | | 07/09/29 | | | | 8,069 | |
| | 485,000 | | | Argentine Republic Government International Bond(d) | | | | 1.1250 | | | 07/09/35 | | | | 137,139 | |
| | | | | | | | | | | | | | | | 145,208 | |
| | | | | SUPRANATIONAL — 0.3% | | | | | | | | | | | | |
| | 964,000 | | | International Bank for Reconstruction & Development(c) | | | | 2.8120 | | | 06/30/34 | | | | 804,940 | |
| | | | | | | | | | | | | | | | | |
| | | | | TOTAL NON U.S. GOVERNMENT & AGENCIES (Cost $1,205,997) | | | | | 950,148 | |
| | | | | | | | | | | |
| | | | | U.S. GOVERNMENT & AGENCIES — 6.7% | | | | | | | | | | | | |
| | | | | AGENCY MBS OTHER — 0.0% | | | | | | | | | | | | |
| | 38,681 | | | Fannie Mae Pool 257064 | | | | 4.5000 | | | 11/01/37 | | | | 39,937 | |
| | | | | U.S. TREASURY BILLS — 4.4% | | | | | | | | | | | | |
| | 8,000,000 | | | United States Treasury Bill | | | | 0.0246 | | | 01/25/22 | | | | 7,999,695 | |
| | 5,000,000 | | | United States Treasury Bill | | | | 0.0410 | | | 02/24/22 | | | | 4,999,510 | |
| | | | | | | | | | | | | | | | 12,999,205 | |
| | | | | U.S. TREASURY NOTES — 2.3% | | | | | | | | | | | | |
| | 4,000,000 | | | United States Treasury Note | | | | 0.7500 | | | 03/31/26 | | | | 3,942,656 | |
| | 3,000,000 | | | United States Treasury Note | | | | 1.6250 | | | 11/15/50 | | | | 2,880,469 | |
| | | | | | | | | | | | | | | | 6,823,125 | |
| | | | | TOTAL U.S. GOVERNMENT & AGENCIES (Cost $20,039,688) | | | | | 19,862,267 | |
| | | | | | | | | | | | | | | | | |
| | | | | TOTAL INVESTMENTS - 90.1% (Cost $262,636,629) | | | | | | | $ | 268,150,769 | |
| | | | | OTHER ASSETS IN EXCESS OF LIABILITIES- 9.9% | | | | | | | 29,420,222 | |
| | | | | NET ASSETS - 100.0% | | | | | | | | | | $ | 297,570,991 | |
See accompanying notes to financial statements.
| EASTERLY STRUCTURED CREDIT VALUE FUND |
| SCHEDULE OF INVESTMENTS (Continued) |
| November 30, 2021 |
CREDIT DEFAULT SWAP AGREEMENTS
| | | | | | | | | | | | | | | Amortized Upfront | | | Unrealized | |
| Description | | Counterparty | | Fixed Deal (Pay)Rate | | Maturity Date | | Notional Value | | | Fair Value | | | Payments Paid | | | Depreciation | |
Morgan Stanley, 3.75%, 02/25/2023
| | Goldman Sachs | | 1.00% | | 6/20/2025 | | $ | 20,000,000 | | | | (380,752 | ) | | | (279,419 | ) | | $ | (101,333 | ) |
| LLC | - Limited Liability Company |
| PLC | - Public Limited Company |
| REMIC | - Real Estate Mortgage Investment Conduit |
| 12MTA | Federal Reserve US 12 Month Cumulative Avg 1 Year CMT |
| CMS2 | 2 Year Constant Maturity Swap Rate |
| CMS5 | 5 Year Constant Maturity Swap Rate |
| CMS30 | 30 Year Constant Maturity Swap Rate |
| COF | 11 Cost of Funds for the 11th District of San Francisco |
| EUR003M | Euribor 3 Month ACT/360 |
| EUR006M | Euribor 6 Month ACT/360 |
| Prime Rate | Prime Lending Rate by Country United States |
| US0001M | ICE LIBOR USD 1 Month |
| US0003M | ICE LIBOR USD 3 Month |
| US0006M | ICE LIBOR USD 6 Month |
| (a) | Security exempt from registration under Rule 144A or Section 4(2) of the Securities Act of 1933. The security may be resold in transactions exempt from registration, normally to qualified institutional buyers. As of November 30, 2021 the total market value of 144A securities is $124,239,321 or 41.8% of net assets. |
| (b) | Variable rate security; the rate shown represents the rate on November 30, 2021. |
| (c) | Variable or floating rate security, the interest rate of which adjusts periodically based on changes in current interest rates and prepayments on the underlying pool of assets. |
| (d) | Step bond. Coupon rate is fixed rate that changes on a specified date. The rate shown is the current rate at November 30, 2021. |
| (e) | Interest only securities. |
| (g) | The security is illiquid; total illiquid securities represent 2.2% of net assets. |
See accompanying notes to financial statements.
| EASTERLY FUNDS |
| STATEMENTS OF ASSETS AND LIABILITIES |
| November 30, 2021 |
| | | Easterly | | | Easterly | | | Easterly | |
| | | EHS | | | Total Hedge | | | Structured Credit | |
| | | Fund | | | Portfolio | | | Value Fund | |
| Assets: | | | | | | | | | | | | |
| Investments in Affiliates, at cost | | $ | 301,699 | | | $ | 7,037,989 | | | $ | — | |
| Investments in Unaffiliated securities, at cost | | | 915,670 | | | | 27,975,901 | | | | 262,636,629 | |
| Total Investments, at cost | | $ | 1,217,369 | | | $ | 35,013,890 | | | $ | 262,636,629 | |
| | | | | | | | | | | | | |
| Investments in Affiliates, at value | | $ | 300,628 | | | $ | 7,069,136 | | | $ | — | |
| Investments in Unaffiliated securities, at value | | | 892,021 | | | | 27,239,621 | | | | 268,150,769 | |
| Total Investments, at value | | $ | 1,192,649 | | | $ | 34,308,757 | | | $ | 268,150,769 | |
| Cash | | | 146,753 | | | | 667,844 | | | | 31,789,630 | |
| Foreign Cash ($9, $26 and $17,987) | | | 9 | | | | 26 | | | | 17,675 | |
| Deposit in collateral account for Swaps | | | — | | | | 2,727,263 | | | | 830,000 | |
| Unrealized appreciation on swaps | | | — | | | | 26,696 | | | | — | |
| Unrealized appreciation on forward currency exchange contracts | | | 669 | | | | 13,311 | | | | — | |
| Receivable for securities sold | | | — | | | | 9,088 | | | | 16,654 | |
| Receivable for open swaps | | | 496 | | | | — | | | | — | |
| Receivable for fund shares sold | | | — | | | | — | | | | 398,135 | |
| Interest and dividends receivable | | | — | | | | 1,495 | | | | 694,542 | |
| Receivable from manager | | | 10,425 | | | | — | | | | — | |
| Prepaid expenses and other assets | | | 5,195 | | | | 8,233 | | | | 342,353 | |
| Total Assets | | | 1,356,196 | | | | 37,762,713 | | | | 302,239,758 | |
| | | | | | | | | | | | | |
| Liabilities: | | | | | | | | | | | | |
| Options Written (premiums received $0, $9,088, $0) | | | — | | | | 37,194 | | | | — | |
| Payable for securities purchased | | | — | | | | 38,788 | | | | 3,843,821 | |
| Payable for fund shares redeemed | | | — | | | | 1,407 | | | | 103,523 | |
| Unrealized depreciation on swaps | | | — | | | | — | | | | 101,333 | |
| Premiums received on swaps | | | — | | | | 33,159 | | | | 279,419 | |
| Interest Payable | | | — | | | | 1,042 | | | | — | |
| Administration fees payable | | | 4,644 | | | | 8,114 | | | | 28,268 | |
| Unrealized depreciation on forward currency exchange contracts | | | 306 | | | | 6,238 | | | | — | |
| Payable to manager | | | — | | | | 20,467 | | | | 259,212 | |
| Trustee fees payable | | | 3,670 | | | | 3,610 | | | | 3,858 | |
| Payable for distribution (12b-1) fees | | | — | | | | — | | | | 32,665 | |
| Accrued expenses and other liabilities | | | 15,407 | | | | 15,407 | | | | 16,668 | |
| Total Liabilities | | | 24,027 | | | | 165,426 | | | | 4,668,767 | |
| | | | | | | | | | | | | |
| Net Assets | | $ | 1,332,169 | | | $ | 37,597,287 | | | $ | 297,570,991 | |
| | | | | | | | | | | | | |
| Net Assets: | | | | | | | | | | | | |
| Par value of shares of beneficial interest | | $ | 1,195 | | | $ | 31,585 | | | $ | 269,444 | |
| Paid in capital | | | 1,373,285 | | | | 36,472,370 | | | | 287,249,560 | |
| Accumulated earnings (loss) | | | (42,311 | ) | | | 1,093,332 | | | | 10,051,987 | |
| Net Assets | | $ | 1,332,169 | | | $ | 37,597,287 | | | $ | 297,570,991 | |
| | | | | | | | | | | | | |
| Net Asset Value Per Share | | | | | | | | | | | | |
| Class A | | | | | | | | | | | | |
| Net Assets | | $ | — | | | $ | — | | | $ | 15,663,873 | |
| Shares of beneficial interest outstanding | | | — | | | | — | | | | 1,391,208 | |
| Net asset value | | $ | — | | | $ | — | | | $ | 11.26 | |
| Offering price per share (maximum sales charge of 2.00%) | | $ | — | | | $ | — | | | $ | 11.49 | |
| | | | | | | | | | | | | |
| Class C | | | | | | | | | | | | |
| Net Assets | | $ | — | | | $ | — | | | $ | 5,615,580 | |
| Shares of beneficial interest outstanding | | | — | | | | — | | | | 510,529 | |
| Net asset value/offering price per share | | $ | — | | | $ | — | | | $ | 11.00 | |
| | | | | | | | | | | | | |
| Class I | | | | | | | | | | | | |
| Net Assets | | $ | 1,064,592 | | | $ | 7,048,515 | | | $ | 215,002,719 | |
| Shares of beneficial interest outstanding | | | 95,683 | | | | 597,274 | | | | 19,544,038 | |
| Net asset value/offering price per share | | $ | 11.13 | | | $ | 11.80 | | | $ | 11.00 | |
| | | | | | | | | | | | | |
| Class R6 | | | | | | | | | | | | |
| Net Assets | | $ | 267,577 | | | $ | 30,548,772 | | | $ | 61,288,819 | |
| Shares of beneficial interest outstanding | | $ | 23,789 | | | $ | 2,561,236 | | | $ | 5,498,627 | |
| Net asset value/offering price per share | | $ | 11.25 | | | $ | 11.93 | | | $ | 11.15 | |
| | | | | | | | | | | | | |
See accompanying notes to financial statements.
| EASTERLY FUNDS |
| STATEMENTS OF OPERATIONS |
| For Year Ended November 30, 2021 |
| | | Easterly | | | Easterly | | | Easterly | |
| | | EHS | | | Total Hedge | | | Structured Credit | |
| | | Fund | | | Portfolio | | | Value Fund | |
| Investment Income: | | | | | | | | | | | | |
| Dividend income | | $ | 40,314 | | | $ | 355,326 | | | $ | — | |
| Interest income | | | 11 | | | | 58 | | | | 12,333,792 | |
| Dividend income from Affiliates | | | 10,744 | | | | 80,801 | | | | — | |
| Less: Foreign withholding taxes | | | (48 | ) | | | (98 | ) | | | — | |
| Total Investment Income | | | 51,021 | | | | 436,087 | | | | 12,333,792 | |
| | | | | | | | | | | | | |
| Operating Expenses: | | | | | | | | | | | | |
| Management fees | | | 36,693 | | | | 212,420 | | | | 3,005,465 | |
| Distribution (12b-1) fees | | | | | | | | | | | | |
| Class A Shares | | | — | | | | 43 | | | | 38,157 | |
| Class C Shares | | | 22 | | | | 144 | | | | 46,969 | |
| Administration fees | | | 13,890 | | | | 27,212 | | | | 354,604 | |
| Supervisory fees | | | 2,697 | | | | 2,688 | | | | 42,474 | |
| Registration fees | | | 12,049 | | | | 15,966 | | | | 88,279 | |
| Custodian fees | | | 18,063 | | | | 19,097 | | | | 44,745 | |
| Shareholder servicing fees | | | 4,713 | | | | 16,200 | | | | 222,143 | |
| Transfer Agent fees | | | 13,989 | | | | 17,440 | | | | 51,933 | |
| Legal fees | | | 17,122 | | | | 17,006 | | | | 27,236 | |
| Audit fees | | | 6,466 | | | | 13,896 | | | | 31,268 | |
| Printing and postage expense | | | 3,178 | | | | 5,392 | | | | 52,542 | |
| Trustees’ fees | | | 6,130 | | | | 6,220 | | | | 22,481 | |
| Interest expenses | | | 2,279 | | | | 6,123 | | | | 62,954 | |
| Compliance officer fees | | | 5,054 | | | | 5,334 | | | | 10,164 | |
| Insurance expense | | | 139 | | | | 387 | | | | 6,903 | |
| Miscellaneous expenses | | | 3,036 | | | | 3,635 | | | | 11,656 | |
| Total Operating Expenses | | | 145,520 | | | | 369,203 | | | | 4,119,973 | |
| | | | | | | | | | | | | |
| Less: Expenses waived | | | (99,399 | ) | | | (101,288 | ) | | | (472,087 | ) |
| Total Waivers | | | (99,399 | ) | | | (101,288 | ) | | | (472,087 | ) |
| | | | | | | | | | | | | |
| Net Operating Expenses | | | 46,121 | | | | 267,915 | | | | 3,647,886 | |
| | | | | | | | | | | | | |
| Net Investment Income | | | 4,900 | | | | 168,172 | | | | 8,685,906 | |
| | | | | | | | | | | | | |
| Realized and Unrealized Gain (Loss) on Investments: | | | | | | | | | | | | |
| Net realized gain (loss) from: | | | | | | | | | | | | |
| Investments and Foreign currency transactions | | | 911,479 | | | | 1,692,195 | | | | 5,101,871 | |
| Distribution of realized gain (loss) by underlying | | | | | | | | | | | | |
| Affiliated Investments | | | 18,885 | | | | 57,367 | | | | — | |
| Options Purchased | | | — | | | | (83,615 | ) | | | — | |
| Options Written | | | — | | | | 83,615 | | | | — | |
| Swaps | | | 6,064 | | | | 24,835 | | | | (202,778 | ) |
| Net realized gain | | | 936,428 | | | | 1,774,397 | | | | 4,899,093 | |
| | | | | | | | | | | | | |
| Net change in unrealized appreciation (depreciation) on: | | | | | | | | | | | | |
| Investments and Foreign currency translations | | | (334,338 | ) | | | (1,172,954 | ) | | | (870,724 | ) |
| Affiliated Investments | | | (17,211 | ) | | | (41,817 | ) | | | — | |
| Options Purchased | | | — | | | | 30,741 | | | | — | |
| Options Written | | | — | | | | (28,106 | ) | | | — | |
| Swaps | | | — | | | | (35,178 | ) | | | 94,129 | |
| Net change in unrealized appreciation (depreciation) | | | (351,549 | ) | | | (1,247,314 | ) | | | (776,595 | ) |
| Net Realized and Unrealized Gain/(Loss) on investments | | | 584,879 | | | | 527,083 | | | | 4,122,498 | |
| | | | | | | | | | | | | |
| Net Increase in Net Assets Resulting From Operations | | $ | 589,779 | | | $ | 695,255 | | | $ | 12,808,404 | |
| | | | | | | | | | | | | |
See accompanying notes to financial statements.
| EASTERLY FUNDS |
| STATEMENTS OF CHANGES IN NET ASSETS |
| | | Easterly EHS Fund | | | Easterly Total Hedge Portfolio | | | Easterly Structured Credit Value Fund | |
| | | | | | | | | | |
| | | Year Ended | | | Year Ended | | | Year Ended | | | Year Ended | | | Year Ended | | | Year Ended | |
| | | November 30, 2021 | | | November 30, 2020 | | | November 30, 2021 | | | November 30, 2020 | | | November 30, 2021 | | | November 30, 2020 | |
| Operations: | | | | | | | | | | | | | | | | | | | | | | | | |
| Net investment income | | $ | 4,900 | | | $ | 31,553 | | | $ | 168,172 | | | $ | 240,858 | | | $ | 8,685,906 | | | $ | 4,504,190 | |
| Net realized gain (loss) on investments | | | 936,428 | | | | 66,619 | | | $ | 1,774,397 | | | | 240,514 | | | | 4,899,093 | | | | 5,597,564 | |
| Net change in unrealized appreciation on investments | | | (351,549 | ) | | | 367,117 | | | $ | (1,247,314 | ) | | | 462,562 | | | | (776,595 | ) | | | 5,475,283 | |
| Net increase in net assets resulting from operations | | | 589,779 | | | | 465,289 | | | | 695,255 | | | | 943,934 | | | | 12,808,404 | | | | 15,577,037 | |
| | | | | | | | | | | | | | | | | | | | | | | | | |
| Distributions to Shareholders: | | | | | | | | | | | | | | | | | | | | | | | | |
| From Return of Capital: | | | | | | | | | | | | | | | | | | | | | | | | |
| Class I | | | (1,937 | ) | | | — | | | | — | | | | — | | | | — | | | | — | |
| Class R6 | | | (7,639 | ) | | | — | | | | — | | | | — | | | | — | | | | — | |
| Total Distributions: | | | | | | | | | | | | | | | | | | | | | | | | |
| Class I | | | (175,537 | ) | | | (5,181 | ) | | | (86,170 | ) | | | (192,097 | ) | | | (9,539,450 | ) | | | (2,386,869 | ) |
| Class A | | | — | | | | (0 | ) * | | | (845 | ) | | | (1,656 | ) | | | (838,592 | ) | | | (292,186 | ) |
| Class C | | | — | | | | (77 | ) | | | (745 | ) | | | (1,171 | ) | | | (215,709 | ) | | | (117,041 | ) |
| Class R6 | | | (711,784 | ) | | | (39,002 | ) | | | (85,657 | ) | | | (208,942 | ) | | | (3,808,909 | ) | | | (2,931,598 | ) |
| Total Dividends and Distributions to Shareholders | | | (896,897 | ) | | | (44,260 | ) | | | (173,417 | ) | | | (403,866 | ) | | | (14,402,660 | ) | | | (5,727,694 | ) |
| | | | | | | | | | | | | | | | | | | | | | | | | |
| Share Transactions of Beneficial Interest: | | | | | | | | | | | | | | | | | | | | | | | | |
| Net proceeds from shares sold | | | | | | | | | | | | | | | | | | | | | | | | |
| Class I | | | 745,105 | ** | | | — | | | | 1,569,771 | ** | | | 41,555 | | | | 164,764,377 | | | | 125,085,076 | |
| Class A | | | — | | | | — | | | | 3,700 | | | | — | | | | 15,195,711 | | | | 20,284,097 | |
| Class C | | | — | | | | — | | | | — | | | | — | | | | 3,836,898 | | | | 2,320,531 | |
| Class R6 | | | 610,482 | | | | 2,803,013 | | | | 28,113,250 | | | | 1,865,826 | | | | 22,396,032 | | | | 43,689,978 | |
| Reinvestment of dividends and distributions | | | | | | | | | | | | | | | | | | | | | | | | |
| Class I | | | 177,474 | | | | 5,181 | | | | 86,170 | | | | 192,097 | | | | 7,698,232 | | | | 1,868,577 | |
| Class A | | | — | | | | 0 | * | | | 845 | | | | 1,656 | | | | 746,916 | | | | 263,345 | |
| Class C | | | — | | | | 77 | | | | 457 | | | | 1,171 | | | | 141,008 | | | | 75,191 | |
| Class R6 | | | 556,028 | | | | 24,865 | | | | 67,479 | | | | 157,561 | | | | 2,820,353 | | | | 1,517,647 | |
| Cost of shares redeemed | | | | | | | | | | | | | | | | | | | | | | | | |
| Class I | | | (8,673 | ) | | | (4,328 | ) | | | (240,231 | ) | | | (351,607 | ) | | | (68,480,268 | ) | | | (24,900,945 | ) |
| Class A | | | (14 | ) ** | | | — | | | | (58,467 | ) ** | | | — | | | | (12,679,013 | ) | | | (9,172,331 | ) |
| Class C | | | (7,270 | ) ** | | | — | | | | (47,536 | ) ** | | | — | | | | (1,586,860 | ) | | | (759,065 | ) |
| Class R6 | | | (4,716,351 | ) | | | (923,515 | ) | | | (3,060,040 | ) | | | (2,557,176 | ) | | | (26,011,648 | ) | | | (16,892,252 | ) |
| Net increase (decrease) in net assets from share transactions of beneficial interest | | | (2,643,219 | ) | | | 1,905,293 | | | | 26,435,398 | | | | (648,917 | ) | | | 108,841,738 | | | | 143,379,849 | |
| | | | | | | | | | | | | | | | | | | | | | | | | |
| Total Increase (Decrease) in Net Assets | | | (2,950,337 | ) | | | 2,326,322 | | | | 26,957,236 | | | | (108,849 | ) | | | 107,247,482 | | | | 153,229,192 | |
| | | | | | | | | | | | | | | | | | | | | | | | | |
| Net Assets: | | | | | | | | | | | | | | | | | | | | | | | | |
| Beginning of year/period | | | 4,282,506 | | | | 1,956,184 | | | | 10,640,051 | | | | 10,748,900 | | | | 190,323,509 | | | | 37,094,317 | |
| End of year | | $ | 1,332,169 | | | $ | 4,282,506 | | | $ | 37,597,287 | | | $ | 10,640,051 | | | $ | 297,570,991 | | | $ | 190,323,509 | |
| | | | | | | | | | | | | | | | | | | | | | | | | |
| Share Activity | | | | | | | | | | | | | | | | | | | | | | | | |
| Shares sold | | | | | | | | | | | | | | | | | | | | | | | | |
| Class I | | | 58,885 | ** | | | �� | | | | 135,321 | ** | | | 4,023 | | | | 14,925,443 | | | | 11,803,882 | |
| Class A | | | — | | | | — | | | | 325 | | | | — | | | | 1,346,418 | | | | 1,868,358 | |
| Class C | | | — | | | | — | | | | — | | | | — | | | | 347,401 | | | | 219,343 | |
| Class R6 | | | 46,286 | | | | 258,687 | | | | 2,333,709 | | | | 186,794 | | | | 2,002,196 | | | | 4,142,915 | |
| Shares Reinvested | | | | | | | | | | | | | | | | | | | | | | | | |
| Class I | | | 15,733 | | | | 498 | | | | 7,680 | | | | 18,705 | | | | 702,539 | | | | 176,511 | |
| Class A | | | — | | | | 0 | *** | | | 76 | | | | 161 | | | | 66,701 | | | | 24,314 | |
| Class C | | | — | | | | 7 | | | | 41 | | | | 114 | | | | 12,887 | | | | 7,225 | |
| Class R6 | | | 48,728 | | | | 2,386 | | | | 5,972 | | | | 15,297 | | | | 255,138 | | | | 144,072 | |
| Shares redeemed | | | | | | | | | | | | | | | | | | | | | | | | |
| Class I | | | (760 | ) | | | (399 | ) | | | (20,480 | ) | | | (33,555 | ) | | | (6,191,715 | ) | | | (2,348,929 | ) |
| Class A | | | (1 | ) ** | | | — | | | | (5,053 | ) ** | | | — | | | | (1,120,620 | ) | | | (834,692 | ) |
| Class C | | | (563 | ) ** | | | — | | | | (4,148 | ) ** | | | — | | | | (143,536 | ) | | | (73,332 | ) |
| Class R6 | | | (405,197 | ) | | | (92,629 | ) | | | (254,635 | ) | | | (254,897 | ) | | | (2,327,404 | ) | | | (1,592,686 | ) |
| Net Increase (decrease) in shares of beneficial interest | | | (236,889 | ) | | | 168,550 | | | | 2,198,808 | | | | (63,358 | ) | | | 9,875,448 | | | | 13,536,981 | |
| | | | | | | | | | | | | | | | | | | | | | | | | |
| ** | Share Transactions of Beneficial Interest and Share Activity include the Conversion of Class A and C shares into I shares (see note 1). |
See accompanying notes to financial statements.
| EASTERLY FUNDS |
| FINANCIAL HIGHLIGHTS (For a share outstanding throughout each year/period) |
| | | Easterly EHS Fund | |
| | | Class I | |
| | | For the | | | For the | | | For the | | | For the | | | For the | |
| | | Year Ended | | | Year Ended | | | Year Ended | | | Year Ended | | | Period Ended | |
| | | November 30, | | | November 30, | | | November 30, | | | November 30, | | | November 30, | |
| | | 2021 | | | 2020 | | | 2019 | | | 2018 | | | 2017 (1) | |
| Net Asset Value, Beginning of Year/Period | | $ | 11.95 | | | $ | 10.40 | | | $ | 10.37 | | | $ | 10.58 | | | $ | 10.00 | |
| Income (Loss) from Investment Operations: | | | | | | | | | | | | | | | | | | | | |
| Net investment income (loss) (2) | | | (0.09 | ) | | | 0.16 | | | | 0.13 | | | | 0.11 | | | | 0.00 | ** |
| Net realized and unrealized gain (loss) | | | 1.52 | | | | 1.63 | | | | 0.45 | | | | (0.24 | ) | | | 0.58 | |
| Total from investment operations | | | 1.43 | | | | 1.79 | | | | 0.58 | | | | (0.13 | ) | | | 0.58 | |
| | | | | | | | | | | | | | | | | | | | | |
| Dividends and Distributions: | | | | | | | | | | | | | | | | | | | | |
| Dividends from return of capital | | | (0.02 | ) | | | — | | | | — | | | | — | | | | — | |
| Dividends from net investment income | | | (0.08 | ) | | | (0.24 | ) | | | (0.16 | ) | | | (0.04 | ) | | | — | |
| Distributions from realized gains | | | (2.15 | ) | | | — | | | | (0.39 | ) | | | (0.04 | ) | | | — | |
| Total dividends and distributions | | | (2.25 | ) | | | (0.24 | ) | | | (0.56 | ) | | | (0.08 | ) | | | — | |
| Net Asset Value, End of Year/Period | | $ | 11.13 | | | $ | 11.95 | | | $ | 10.40 | | | $ | 10.37 | | | $ | 10.58 | |
| | | | | | | | | | | | | | | | | | | | | |
| Total Return* | | | 11.81 | % | | | 17.55 | % | | | 6.12 | % | | | (1.20 | )% | | | 5.80 | % |
| Ratios and Supplemental Data: | | | | | | | | | | | | | | | | | | | | |
| Net assets, end of year/period (000s) | | $ | 1,065 | | | $ | 261 | | | $ | 226 | | | $ | 209 | | | $ | 212 | |
| | | | | | | | | | | | | | | | | | | | | |
| Ratio of gross operating expenses to average net assets including interest expense (3,6) | | | 6.90 | % | | | 4.60 | % | | | 4.11 | % | | | 2.99 | % | | | 17.28 | % (5) |
| Ratio of net operating expenses to average net assets including interest expense (3,7) | | | 1.68 | % | | | 1.49 | % | | | 1.50 | % | | | 1.49 | % | | | 1.49 | % (5) |
| Ratio of net investment income (loss) after expense reimbursement to average net assets (3,10) | | | (0.72 | )% | | | 1.52 | % | | | 1.35 | % | | | 0.99 | % | | | 0.12 | % (5) |
| Portfolio Turnover Rate | | | 400 | % | | | 145 | % | | | 143 | % | | | 181 | % | | | 125 | % (4) |
| | | | | | | | | | | | | | | | | | | | | |
| | | Easterly EHS Fund | |
| | | Class R6 | |
| | | For the | | | For the | | | For the | | | For the | | | For the | |
| | | Year Ended | | | Year Ended | | | Year Ended | | | Year Ended | | | Period Ended | |
| | | November 30, | | | November 30, | | | November 30, | | | November 30, | | | November 30, | |
| | | 2021 | | | 2020 | | | 2019 | | | 2018 | | | 2017 (1) | |
| Net Asset Value, Beginning of Year/Period | | $ | 12.02 | | | $ | 10.42 | | | $ | 10.37 | | | $ | 10.59 | | | $ | 10.00 | |
| Income (Loss) from Investment Operations: | | | | | | | | | | | | | | | | | | | | |
| Net investment income (2) | | | 0.05 | | | | 0.19 | | | | 0.19 | | | | 0.10 | | | | 0.00 | ** |
| Net realized and unrealized gain (loss) | | | 1.43 | | | | 1.65 | | | | 0.41 | | | | (0.24 | ) | | | 0.59 | |
| Total from investment operations | | | 1.48 | | | | 1.84 | | | | 0.60 | | | | (0.14 | ) | | | 0.59 | |
| | | | | | | | | | | | | | | | | | | | | |
| Dividends and Distributions: | | | | | | | | | | | | | | | | | | | | |
| Dividends from return of capital | | | (0.02 | ) | | | — | | | | — | | | | — | | | | — | |
| Dividends from net investment income | | | (0.08 | ) | | | (0.24 | ) | | | (0.16 | ) | | | (0.04 | ) | | | — | |
| Distributions from realized gains | | | (2.15 | ) | | | — | | | | (0.39 | ) | | | (0.04 | ) | | | — | |
| Total dividends and distributions | | | (2.25 | ) | | | (0.24 | ) | | | (0.56 | ) | | | (0.08 | ) | | | — | |
| Net Asset Value, End of Year/Period | | $ | 11.25 | | | $ | 12.02 | | | $ | 10.42 | | | $ | 10.37 | | | $ | 10.59 | |
| | | | | | | | | | | | | | | | | | | | | |
| Total Return* | | | 12.18 | % | | | 18.00 | % | | | 6.32 | % | | | (1.30 | )% | | | 5.90 | % |
| Ratios and Supplemental Data: | | | | | | | | | | | | | | | | | | | | |
| Net assets, end of year/period (000s) | | $ | 268 | | | $ | 4,015 | | | $ | 1,725 | | | $ | 5,298 | | | $ | 2,668 | |
| | | | | | | | | | | | | | | | | | | | | |
| Ratio of gross operating expenses to average net assets including interest expense (3,8) | | | 3.14 | % | | | 4.17 | % | | | 4.01 | % | | | 2.79 | % | | | 7.83 | % (5) |
| Ratio of net operating expenses to average net assets including interest expense (3,9) | | | 1.14 | % | | | 1.12 | % | | | 1.36 | % | | | 1.49 | % | | | 1.49 | % (5) |
| Ratio of net investment income (loss) after expense reimbursement to average net assets (3,6) | | | 0.38 | % | | | 1.85 | % | | | 1.90 | % | | | 0.90 | % | | | (0.15 | )% (5) |
| Portfolio Turnover Rate | | | 400 | % | | | 145 | % | | | 143 | % | | | 181 | % | | | 125 | % (4) |
| | | | | | | | | | | | | | | | | | | | | |
| (1) | Class I and Class R6 commenced operations on August 18, 2017. |
| (2) | Per share amounts calculated using the average shares method, which more appropriately presents the per share data for the year/period. |
| (3) | The ratios of expenses and net investment income (loss) to average net assets do not reflect the Fund’s proportionate share of income and expenses of underlying investment companies in which the Fund invests. |
| (5) | Annualized for periods less than one year. |
| (6) | Ratio of gross operating expenses to average net assets excluding interest expense (3) | | | 6.70 | % | | | 4.60 | % | | | 4.10 | % | | | 2.99 | % | | | 17.28 | % (5) |
| | | | | | | | | | | | | | | | | | | | | | |
| (7) | Ratio of net operating expenses to average net assets excluding interest expense (3) | | | 1.48 | % | | | 1.49 | % | | | 1.49 | % | | | 1.49 | % | | | 1.49 | % (5) |
| | | | | | | | | | | | | | | | | | | | | | |
| (8) | Ratio of gross operating expenses to average net assets excluding interest expense (3) | | | 3.11 | % | | | 4.17 | % | | | 4.00 | % | | | 2.79 | % | | | 7.83 | % (5) |
| | | | | | | | | | | | | | | | | | | | | | |
| (9) | Ratio of net operating expenses to average net assets excluding interest expense (3) | | | 1.11 | % | | | 1.12 | % | | | 1.35 | % | | | 1.49 | % | | | 1.49 | % (5) |
| | | | | | | | | | | | | | | | | | | | | | |
| (10) | Recognition of net investment income (loss) by the Fund is affected by the timing of the declaration of dividends by the underlying investment companies in which the Fund invests. |
| * | Assumes reinvestment of all dividends and distributions and does not assume the effects of any sales charges. Aggregate (not annualized) total return is shown for any period shorter than one year. Total return does not reflect the deduction of taxes that a shareholder would pay on distributions or on the redemption of shares. |
| ** | Per share amount represents less than $0.01 per share. |
See accompanying notes to financial statements.
| EASTERLY FUNDS |
| FINANCIAL HIGHLIGHTS (For a share outstanding throughout each year/period) |
| | | Easterly Total Hedge Portfolio | |
| | | Class I | |
| | | For the | | | For the | | | For the | | | For the | | | For the | |
| | | Year Ended | | | Year Ended | | | Year Ended | | | Year Ended | | | Period Ended | |
| | | November 30, | | | November 30, | | | November 30, | | | November 30, | | | November 30, | |
| | | 2021 | | | 2020 | | | 2019 | | | 2018 | | | 2017 (1) | |
| Net Asset Value, Beginning of Year/Period | | $ | 11.05 | | | $ | 10.49 | | | $ | 10.13 | | | $ | 10.40 | | | $ | 10.00 | |
| Income (Loss) from Investment Operations: | | | | | | | | | | | | | | | | | | | | |
| Net investment income (2) | | | 0.08 | | | | 0.21 | | | | 0.18 | | | | 0.12 | | | | 0.04 | |
| Net realized and unrealized gain (loss) | | | 0.85 | | | | 0.74 | | | | 0.46 | | | | (0.30 | ) | | | 0.36 | |
| Total from investment operations | | | 0.93 | | | | 0.95 | | | | 0.64 | | | | (0.18 | ) | | | 0.40 | |
| | | | | | | | | | | | | | | | | | | | | |
| Dividends and Distributions: | | | | | | | | | | | | | | | | | | | | |
| Dividends from net investment income | | | — | | | | (0.39 | ) | | | (0.17 | ) | | | (0.07 | ) | | | — | |
| Distributions from realized gains | | | (0.18 | ) | | | — | | | | (0.11 | ) | | | (0.02 | ) | | | — | |
| Total dividends and distributions | | | (0.18 | ) | | | (0.39 | ) | | | (0.28 | ) | | | (0.09 | ) | | | — | |
| Net Asset Value, End of Year/Period | | $ | 11.80 | | | $ | 11.05 | | | $ | 10.49 | | | $ | 10.13 | | | $ | 10.40 | |
| | | | | | | | | | | | | | | | | | | | | |
| Total Return* | | | 8.51 | % | | | 9.39 | % | | | 6.54 | % | | | (1.73 | )% | | | 4.00 | % |
| Ratios and Supplemental Data: | | | | | | | | | | | | | | | | | | | | |
| Net assets, end of period (000s) | | $ | 7,049 | | | $ | 5,247 | | | $ | 5,095 | | | $ | 4,523 | | | $ | 520 | |
| | | | | | | | | | | | | | | | | | | | | |
| Ratio of gross operating expenses to average net assets including interest expense (3,6) | | | 1.89 | % | | | 2.25 | % | | | 2.53 | % | | | 2.50 | % | | | 12.24 | % (5) |
| Ratio of net operating expenses to average net assets including interest expense (3,7) | | | 1.51 | % | | | 1.52 | % | | | 1.52 | % | | | 1.49 | % | | | 1.49 | % (5) |
| Ratio of net investment income (loss) after expense reimbursement to average net assets (3,10) | | | 0.70 | % | | | 2.10 | % | | | 1.74 | % | | | 1.19 | % | | | 0.84 | % (5) |
| Portfolio Turnover Rate | | | 127 | % | | | 117 | % | | | 114 | % | | | 195 | % | | | 83 | % (4) |
| | | | | | | | | | | | | | | | | | | | | |
| | | Easterly Total Hedge Portfolio | |
| | | Class R6 | |
| | | For the | | | For the | | | For the | | | For the | | | For the | |
| | | Year Ended | | | Year Ended | | | Year Ended | | | Year Ended | | | Period Ended | |
| | | November 30, | | | November 30, | | | November 30, | | | November 30, | | | November 30, | |
| | | 2021 | | | 2020 | | | 2019 | | | 2018 | | | 2017 (1) | |
| Net Asset Value, Beginning of Year/Period | | $ | 11.12 | | | $ | 10.52 | | | $ | 10.14 | | | $ | 10.40 | | | $ | 10.00 | |
| Income (Loss) from Investment Operations: | | | | | | | | | | | | | | | | | | | | |
| Net investment income (2) | | | 0.10 | | | | 0.25 | | | | 0.20 | | | | 0.16 | | | | 0.03 | |
| Net realized and unrealized gain (loss) | | | 0.89 | | | | 0.74 | | | | 0.46 | | | | (0.33 | ) | | | 0.37 | |
| Total from investment operations | | | 0.99 | | | | 0.99 | | | | 0.66 | | | | (0.17 | ) | | | 0.40 | |
| | | | | | | | | | | | | | | | | | | | | |
| Dividends and Distributions: | | | | | | | | | | | | | | | | | | | | |
| Dividends from net investment income | | | — | | | | (0.39 | ) | | | (0.17 | ) | | | (0.07 | ) | | | — | |
| Distributions from realized gains | | | (0.18 | ) | | | — | | | | (0.11 | ) | | | (0.02 | ) | | | — | |
| Total dividends and distributions | | | (0.18 | ) | | | (0.39 | ) | | | (0.28 | ) | | | (0.09 | ) | | | — | |
| Net Asset Value, End of Year/Period | | $ | 11.93 | | | $ | 11.12 | | | $ | 10.52 | | | $ | 10.14 | | | $ | 10.40 | |
| | | | | | | | | | | | | | | | | | | | | |
| Total Return* | | | 9.01 | % | | | 9.75 | % | | | 6.73 | % | | | (1.63 | )% | | | 4.00 | % |
| Ratios and Supplemental Data: | | | | | | | | | | | | | | | | | | | | |
| Net assets, end of period (000s) | | $ | 30,549 | | | $ | 5,297 | | | $ | 5,565 | | | $ | 8,233 | | | $ | 1,753 | |
| | | | | | | | | | | | | | | | | | | | | |
| Ratio of gross operating expenses to average net assets including interest expense (3,8) | | | 1.66 | % | | | 2.25 | % | | | 2.53 | % | | | 2.38 | % | | | 6.30 | % (5) |
| Ratio of net operating expenses to average net assets including interest expense (3,9) | | | 1.14 | % | | | 1.15 | % | | | 1.35 | % | | | 1.39 | % | | | 1.49 | % (5) |
| Ratio of net investment income after expense reimbursement to average net assets (3,10) | | | 0.83 | % | | | 2.50 | % | | | 2.00 | % | | | 1.54 | % | | | 0.66 | % (5) |
| Portfolio Turnover Rate | | | 127 | % | | | 117 | % | | | 114 | % | | | 195 | % | | | 83 | % (4) |
| | | | | | | | | | | | | | | | | | | | | |
| (1) | Class I and Class R6 commenced operations on June 30, 2017. |
| (2) | Per share amounts calculated using the average shares method, which more appropriately presents the per share data for the year/period. |
| (3) | The ratios of expenses and net investment income (loss) to average net assets do not reflect the Fund’s proportionate share of income and expenses of underlying investment companies in which the Fund invests. |
| (5) | Annualized for periods less than one year. |
| (6) | Ratio of gross operating expenses to average net assets excluding interest expense (3) | | | 1.86 | % | | | 2.22 | % | | | 2.50 | % | | | 2.50 | % | | | 12.24 | % (5) |
| | | | | | | | | | | | | | | | | | | | | | |
| (7) | Ratio of net operating expenses to average net assets excluding interest expense (3) | | | 1.48 | % | | | 1.49 | % | | | 1.49 | % | | | 1.49 | % | | | 1.49 | % (5) |
| | | | | | | | | | | | | | | | | | | | | | |
| (8) | Ratio of gross operating expenses to average net assets excluding interest expense (3) | | | 1.63 | % | | | 2.22 | % | | | 2.50 | % | | | 2.38 | % | | | 6.30 | % (5) |
| | | | | | | | | | | | | | | | | | | | | | |
| (9) | Ratio of net operating expenses to average net assets excluding interest expense (3) | | | 1.11 | % | | | 1.12 | % | | | 1.32 | % | | | 1.39 | % | | | 1.49 | % (5) |
| | | | | | | | | | | | | | | | | | | | | | |
| (10) | Recognition of net investment income (loss) by the Fund is affected by the timing of the declaration of dividends by the underlying investment companies in which the Fund invests. |
| * | Assumes reinvestment of all dividends and distributions and does not assume the effects of any sales charges. Aggregate (not annualized) total return is shown for any period shorter than one year. Total return does not reflect the deduction of taxes that a shareholder would pay on distributions or on the redemption of shares. |
See accompanying notes to financial statements.
| EASTERLY FUNDS |
| FINANCIAL HIGHLIGHTS (For a share outstanding throughout the year/period) |
| | | Easterly Structured Credit Value Fund | |
| | | Class A | |
| | | For the | | | For the | | | For the | | | For the | |
| | | Year Ended | | | Year Ended | | | Year Ended | | | Period Ended | |
| | | November 30, | | | November 30, | | | November 30, | | | November 30, | |
| | | 2021 | | | 2020 | | | 2019 | | | 2018 (1) | |
| Net Asset Value, Beginning of Year/Period | | $ | 11.35 | | | $ | 10.68 | | | $ | 10.16 | | | $ | 10.00 | |
| Income (Loss) from Investment Operations: | | | | | | | | | | | | | | | | |
| Net investment income (2) | | | 0.36 | | | | 0.42 | | | | 0.41 | | | | 0.10 | |
| Net realized and unrealized gain | | | 0.24 | | | | 0.95 | | | | 0.46 | | | | 0.06 | |
| Total from investment operations | | | 0.60 | | | | 1.37 | | | | 0.87 | | | | 0.16 | |
| | | | | | | | | | | | | | | | | |
| Dividends and Distributions: | | | | | | | | | | | | | | | | |
| Dividends from net investment income | | | (0.38 | ) | | | (0.52 | ) | | | (0.34 | ) | | | — | |
| Distributions from realized gains | | | (0.31 | ) | | | (0.18 | ) | | | (0.01 | ) | | | — | |
| Total dividends and distributions | | | (0.69 | ) | | | (0.70 | ) | | | (0.35 | ) | | | — | |
| | | | | | | | | | | | | | | | | |
| Redemption Fees | | | — | | | | — | | | | 0.00 | ** | | | — | |
| | | | | | | | | | | | | | | | | |
| Net Asset Value, End of Year/Period | | $ | 11.26 | | | $ | 11.35 | | | $ | 10.68 | | | $ | 10.16 | |
| | | | | | | | | | | | | | | | | |
| Total Return* | | | 5.44 | % # | | | 13.54 | % # | | | 8.67 | % # | | | 1.60 | % |
| Ratios and Supplemental Data: | | | | | | | | | | | | | | | | |
| Net assets, end of period (000s) | | $ | 15,664 | | | $ | 12,466 | | | $ | 435 | | | $ | 19 | |
| | | | | | | | | | | | | | | | | |
| Ratio of gross operating expenses to average net assets including interest expense (5,6) | | | 1.86 | % | | | 2.01 | % | | | 2.38 | % | | | 2.18 | % (3) |
| Ratio of net operating expenses to average net assets including interest expense (5,7) | | | 1.76 | % | | | 1.79 | % | | | 1.74 | % | | | 1.74 | % (3) |
| Ratio of net investment income (loss) after expense reimbursement to average net assets (5,10) | | | 3.18 | % | | | 3.89 | % | | | 3.84 | % | | | 3.27 | % (3) |
| Portfolio Turnover Rate | | | 84 | % | | | 132 | % | | | 111 | % | | | 37 | % (4) |
| | | | | | | | | | | | | | | | | |
| | | Easterly Structured Credit Value Fund | |
| | | Class C | |
| | | For the | | | For the | | | For the | | | For the | |
| | | Year Ended | | | Year Ended | | | Year Ended | | | Period Ended | |
| | | November 30, | | | November 30, | | | November 30, | | | November 30, | |
| | | 2021 | | | 2020 | | | 2019 | | | 2018 (1) | |
| Net Asset Value, Beginning of Year/Period | | $ | 11.10 | | | $ | 10.45 | | | $ | 10.16 | | | $ | 10.00 | |
| Income (Loss) from Investment Operations: | | | | | | | | | | | | | | | | |
| Net investment income (2) | | | 0.27 | | | | 0.33 | | | | 0.32 | | | | 0.10 | |
| Net realized and unrealized gain | | | 0.24 | | | | 0.93 | | | | 0.31 | | | | 0.06 | |
| Total from investment operations | | | 0.51 | | | | 1.26 | | | | 0.63 | | | | 0.16 | |
| | | | | | | | | | | | | | | | | |
| Dividends and Distributions: | | | | | | | | | | | | | | | | |
| Dividends from net investment income | | | (0.30 | ) | | | (0.43 | ) | | | (0.33 | ) | | | — | |
| Distributions from realized gains | | | (0.31 | ) | | | (0.18 | ) | | | (0.01 | ) | | | — | |
| Total dividends and distributions | | | (0.61 | ) | | | (0.61 | ) | | | (0.34 | ) | | | — | |
| | | | | | | | | | | | | | | | | |
| Redemption Fees | | | — | | | | — | | | | — | | | | — | |
| | | | | | | | | | | | | | | | | |
| Net Asset Value, End of Year/Period | | $ | 11.00 | | | $ | 11.10 | | | $ | 10.45 | | | $ | 10.16 | |
| | | | | | | | | | | | | | | | | |
| Total Return* | | | 4.71 | % | | | 12.62 | % | | | 6.24 | % # | | | 1.60 | % |
| Ratios and Supplemental Data: | | | | | | | | | | | | | | | | |
| Net assets, end of period (000s) | | $ | 5,616 | | | $ | 3,262 | | | $ | 1,468 | | | $ | 0 | *** |
| | | | | | | | | | | | | | | | | |
| Ratio of gross operating expenses to average net assets including interest expense (5,8) | | | 2.61 | % | | | 2.81 | % | | | 3.11 | % | | | 3.01 | % (3) |
| Ratio of net operating expenses to average net assets including interest expense (5,9) | | | 2.51 | % | | | 2.54 | % | | | 2.49 | % | | | 2.49 | % (3) |
| Ratio of net investment income (loss) after expense reimbursement to average net assets (5,10) | | | 2.41 | % | | | 3.12 | % | | | 3.09 | % | | | 3.27 | % (3) |
| Portfolio Turnover Rate | | | 84 | % | | | 132 | % | | | 111 | % | | | 37 | % (4) |
| | | | | | | | | | | | | | | | | |
| (1) | Class A and Class C commenced operations on August 14, 2018. Start of performance is August 21, 2018. |
| (2) | Per share amounts calculated using the average shares method, which more appropriately presents the per share data for the year/period. |
| (3) | Annualized for periods less than one year. |
| (5) | The ratios of expenses and net investment income (loss) to average net assets do not reflect the Fund’s proportionate share of income and expenses of underlying investment companies in which the Fund invests. |
| (6) | Ratio of gross operating expenses to average net assets excluding interest expense (5) | | | 1.83 | % | | | 1.96 | % | | | 2.38 | % | | | 2.18 | % (3) |
| | | | | | | | | | | | | | | | | | |
| (7) | Ratio of net operating expenses to average net assets excluding interest expense (5) | | | 1.73 | % | | | 1.74 | % | | | 1.74 | % | | | 1.74 | % (3) |
| | | | | | | | | | | | | | | | | | |
| (8) | Ratio of gross operating expenses to average net assets excluding interest expense (5) | | | 2.58 | % | | | 2.76 | % | | | 3.11 | % | | | 3.01 | % (3) |
| | | | | | | | | | | | | | | | | | |
| (9) | Ratio of net operating expenses to average net assets excluding interest expense (5) | | | 2.48 | % | | | 2.49 | % | | | 2.49 | % | | | 2.49 | % (3) |
| | | | | | | | | | | | | | | | | | |
| (10) | Recognition of net investment income (loss) by the Fund is affected by the timing of the declaration of dividends by the underlying investment companies in which the Fund invests. |
| * | Assumes reinvestment of all dividends and distributions and does not assume the effects of any sales charges. Aggregate (not annualized) total return is shown for any period shorter than one year. Total return does not reflect the deduction of taxes that a shareholder would pay on distributions or on the redemption of shares. |
| ** | Per share amount represents less than $0.01 per share. |
| # | Includes adjustments in accordance with accounting principles generally accepted in the United States and, consequently, the net asset value for financial reporting purposes and the returns based upon those net asset values may differ from the net asset values and returns for shareholder transactions. Adjustments may apply to some but not all years and classes. |
See accompanying notes to financial statements.
| EASTERLY FUNDS |
| FINANCIAL HIGHLIGHTS (For a share outstanding throughout the year/period) |
| | | Easterly Structured Credit Value Fund | |
| | | Class I | |
| | | For the | | | For the | | | For the | | | For the | |
| | | Year Ended | | | Year Ended | | | Year Ended | | | Period Ended | |
| | | November 30, | | | November 30, | | | November 30, | | | November 30, | |
| | | 2021 | | | 2020 | | | 2019 | | | 2018 (1) | |
| Net Asset Value, Beginning of Year/Period | | $ | 11.10 | | | $ | 10.46 | | | $ | 10.15 | | | $ | 10.00 | |
| Income (Loss) from Investment Operations: | | | | | | | | | | | | | | | | |
| Net investment income (2) | | | 0.38 | | | | 0.44 | | | | 0.40 | | | | 0.07 | |
| Net realized and unrealized gain | | | 0.23 | | | | 0.93 | | | | 0.30 | | | | 0.08 | |
| Total from investment operations | | | 0.61 | | | | 1.37 | | | | 0.70 | | | | 0.15 | |
| | | | | | | | | | | | | | | | | |
| Dividends and Distributions: | | | | | | | | | | | | | | | | |
| Dividends from net investment income | | | (0.40 | ) | | | (0.55 | ) | | | (0.38 | ) | | | — | |
| Distributions from realized gains | | | (0.31 | ) | | | (0.18 | ) | | | (0.01 | ) | | | — | |
| Total dividends and distributions | | | (0.71 | ) | | | (0.73 | ) | | | (0.39 | ) | | | — | |
| | | | | | | | | | | | | | | | | |
| Redemption Fees | | | — | | | | — | | | | 0.00 | ** | | | 0.00 | ** |
| | | | | | | | | | | | | | | | | |
| Net Asset Value, End of Year/Period | | $ | 11.00 | | | $ | 11.10 | | | $ | 10.46 | | | $ | 10.15 | |
| | | | | | | | | | | | | | | | | |
| Total Return* | | | 5.74 | % | | | 13.80 | % | | | 6.97 | % | | | 1.50 | % |
| Ratios and Supplemental Data: | | | | | | | | | | | | | | | | |
| Net assets, end of period (000s) | | $ | 215,003 | | | $ | 112,226 | | | $ | 4,982 | | | $ | 1,007 | |
| | | | | | | | | | | | | | | | | |
| Ratio of gross operating expenses to average net assets including interest expense (5,6) | | | 1.61 | % | | | 1.79 | % | | | 1.99 | % | | | 2.01 | % (3) |
| Ratio of net operating expenses to average net assets including interest expense (5,7) | | | 1.51 | % | | | 1.54 | % | | | 1.49 | % | | | 1.49 | % (3) |
| Ratio of net investment income (loss) after expense reimbursement to average net assets (5,10) | | | 3.40 | % | | | 4.11 | % | | | 3.88 | % | | | 2.30 | % (3) |
| Portfolio Turnover Rate | | | 84 | % | | | 132 | % | | | 111 | % | | | 37 | % (4) |
| | | | | | | | | | | | | | | | | |
| | | Easterly Structured Credit Value Fund | |
| | | Class R6 | |
| | | For the | | | For the | | | For the | | | For the | |
| | | Year Ended | | | Year Ended | | | Year Ended | | | Year Ended | |
| | | November 30, | | | November 30, | | | November 30, | | | November 30, | |
| | | 2021 | | | 2020 | | | 2019 | | | 2018 (1) | |
| Net Asset Value, Beginning of Year/Period | | $ | 11.20 | | | $ | 10.51 | | | $ | 10.16 | | | $ | 10.00 | |
| Income (Loss) from Investment Operations: | | | | | | | | | | | | | | | | |
| Net investment income (2) | | | 0.43 | | | | 0.48 | | | | 0.43 | | | | 0.07 | |
| Net realized and unrealized gain | | | 0.23 | | | | 0.94 | | | | 0.31 | | | | 0.08 | |
| Total from investment operations | | | 0.66 | | | | 1.42 | | | | 0.74 | | | | 0.15 | |
| | | | | | | | | | | | | | | | | |
| Dividends and Distributions: | | | | | | | | | | | | | | | | |
| Dividends from net investment income | | | (0.40 | ) | | | (0.55 | ) | | | (0.38 | ) | | | — | |
| Distributions from realized gains | | | (0.31 | ) | | | (0.18 | ) | | | (0.01 | ) | | | — | |
| Total dividends and distributions | | | (0.71 | ) | | | (0.73 | ) | | | (0.39 | ) | | | — | |
| | | | | | | | | | | | | | | | | |
| Redemption Fees | | | — | | | | — | | | | 0.00 | ** | | | 0.01 | |
| | | | | | | | | | | | | | | | | |
| Net Asset Value, End of Year/Period | | $ | 11.15 | | | $ | 11.20 | | | $ | 10.51 | | | $ | 10.16 | |
| | | | | | | | | | | | | | | | | |
| Total Return* | | | 6.16 | % | | | 14.23 | % | | | 7.36 | % | | | 1.60 | % |
| Ratios and Supplemental Data: | | | | | | | | | | | | | | | | |
| Net assets, end of period (000s) | | $ | 61,289 | | | $ | 62,369 | | | $ | 30,209 | | | $ | 34,604 | |
| | | | | | | | | | | | | | | | | |
| Ratio of gross operating expenses to average net assets including interest expense (5,8) | | | 1.63 | % | | | 1.80 | % | | | 1.93 | % | | | 1.87 | % (3) |
| Ratio of net operating expenses to average net assets including interest expense (5,9) | | | 1.14 | % | | | 1.17 | % | | | 1.13 | % | | | 1.49 | % (3) |
| Ratio of net investment income (loss) after expense reimbursement to average net assets (5,10) | | | 3.82 | % | | | 4.51 | % | | | 4.11 | % | | | 2.27 | % (3) |
| Portfolio Turnover Rate | | | 84 | % | | | 132 | % | | | 111 | % | | | 37 | % (4) |
| | | | | | | | | | | | | | | | | |
| (1) | Class I and Class R6 commenced operations on August 14, 2018. Start of performance is August 21, 2018. |
| (2) | Per share amounts calculated using the average shares method, which more appropriately presents the per share data for the year/period. |
| (3) | Annualized for periods less than one year. |
| (5) | The ratios of expenses and net investment income (loss) to average net assets do not reflect the Fund’s proportionate share of income and expenses of underlying investment companies in which the Fund invests. |
| (6) | Ratio of gross operating expenses to average net assets excluding interest expense (5) | | | 1.58 | % | | | 1.74 | % | | | 2.00 | % | | | 2.01 | % (3) |
| | | | | | | | | | | | | | | | | | |
| (7) | Ratio of net operating expenses to average net assets excluding interest expense (5) | | | 1.48 | % | | | 1.49 | % | | | 1.49 | % | | | 1.49 | % (3) |
| | | | | | | | | | | | | | | | | | |
| (8) | Ratio of gross operating expenses to average net assets excluding interest expense (5) | | | 1.61 | % | | | 1.75 | % | | | 1.93 | % | | | 1.87 | % (3) |
| | | | | | | | | | | | | | | | | | |
| (9) | Ratio of net operating expenses to average net assets excluding interest expense (5) | | | 1.11 | % | | | 1.12 | % | | | 1.13 | % | | | 1.49 | % (3) |
| | | | | | | | | | | | | | | | | | |
| (10) | Recognition of net investment income (loss) by the Fund is affected by the timing of the declaration of dividends by the underlying investment companies in which the Fund invests. |
| * | Assumes reinvestment of all dividends and distributions and does not assume the effects of any sales charges. Aggregate (not annualized) total return is shown for any period shorter than one year. Total return does not reflect the deduction of taxes that a shareholder would pay on distributions or on the redemption of shares. |
| ** | Per share amount represents less than $0.01 per share. |
| # | Includes adjustments in accordance with accounting principles generally accepted in the United States and, consequently, the net asset value for financial reporting purposes and the returns based upon those net asset values may differ from the net asset values and returns for shareholder transactions. Adjustments may apply to some but not all years and classes. |
See accompanying notes to financial statements.
| EASTERLY FUNDS |
| NOTES TO FINANCIAL STATEMENTS |
| Year Ended November 30, 2021 |
| 1. | ORGANIZATION AND SIGNIFICANT ACCOUNTING POLICIES |
James Alpha Fund Trust dba Easterly Funds Trust (the “Trust”) was organized in 2020, as a Delaware Statutory Trust and is registered under the Investment Company Act of 1940, as amended, as an open-end management investment company. The Trust currently consists of nine series. These financial statements include the following three series:
| New Fund Name Effective August 23, 2021 | | Formerly Known As Prior to August 23, 2021 |
| Easterly EHS Fund | | James Alpha EHS Fund |
| Easterly Total Hedge Portfolio | | James Alpha Total Hedge Portfolio |
| Easterly Structured Credit Value Fund | | James Alpha Structured Credit Value Fund |
The Easterly EHS Fund, Easterly Total Hedge Portfolio and Easterly Structured Credit Value Fund are diversified funds.
Easterly Funds LLC serves as the Funds’ Advisor. Orange Investment Advisors LLC serves as Easterly Structured Credit Value Fund’s Sub-Advisor.
The James Alpha EHS Portfolio, the James Alpha Total Hedge Portfolio and the James Alpha Structured Credit Value Portfolio (each an “Existing Fund”) were reorganized on March 19, 2021, from a series of The Saratoga Advantage Trust, a Delaware statutory trust, to a series of the Trust, into the Easterly EHS Fund, Easterly Total Hedge Portfolio and Easterly Structured Credit Value Fund (each a “Survivor Fund”). As a series of the Trust, Class I and Class S of the Existing Funds converted to Class I and Class R6 of the Surviving Funds, respectively. Class A and Class C for all Existing Funds except James Alpha Structured Credit Value Portfolio converted to Class I of the Surviving Fund. Easterly Structured Credit Value Fund is a continuation of the predecessor for Class A and Class C. Each Existing Fund and its corresponding Survivor Fund have the same investment objective, principal investment strategies. The details of this re-organization are shown below.
At the Close of Business on March 19, 2021
| | | James Alpha EHS Portfolio | | | Easterly EHS Fund | | | NAVs | |
| Net Assets Class A | | | 14 | | | | — | | | | | |
| Net Assets Class C | | | 7,270 | | | | — | | | | | |
| Net Assets Class I | | | 286,204 | | | | 293,488 | | | | 12.98 | |
| Net Asset Class S/R6 | | | 4,196,394 | | | | 4,196,394 | | | | 13.07 | |
| | | | | | | | | | | | | |
| Shares Redeemed/ Received Class A | | | 1 | | | | — | | | | | |
| Shares Redeemed/ Received Class C | | | 563 | | | | — | | | | | |
| Shares Redeemed/ Received Class I | | | 22,053 | | | | 22,615 | | | | | |
| Shares Redeemed/ Received Class S/R6 | | | 321,018 | | | | 321,018 | | | | | |
| | | | | | | | | | | | | |
| | | James Alpha Total Hedge | | | Easterly Total Hedge | | | | |
| | | Portfolio | | | Portfolio | | | NAVs | |
| Net Assets Class A | | | 58,491 | | | | — | | | | | |
| Net Assets Class C | | | 47,516 | | | | — | | | | | |
| Net Assets Class I | | | 5,824,419 | | | | 5,930,426 | | | | 11.62 | |
| Net Asset Class S/R6 | | | 5,731,846 | | | | 5,731,846 | | | | 11.71 | |
| | | | | | | | | | | | | |
| Shares Redeemed/ Received Class A | | | 5,054 | | | | — | | | | | |
| Shares Redeemed/ Received Class C | | | 4,148 | | | | — | | | | | |
| Shares Redeemed/ Received Class I | | | 501,200 | | | | 510,322 | | | | | |
| Shares Redeemed/ Received Class S/R6 | | | 489,476 | | | | 489,476 | | | | | |
| | | | | | | | | | | | | |
| | | James Alpha Structured Credit | | | Easterly Structured Credit | | | | |
| | | Value Portfolio | | | Value Fund | | | NAVs | |
| Net Assets Class A | | | 16,682,040 | | | | 16,682,040 | | | | 11.29 | |
| Net Assets Class C | | | 3,897,359 | | | | 3,897,359 | | | | 11.04 | |
| Net Assets Class I | | | 155,033,792 | | | | 155,033,792 | | | | 11.04 | |
| Net Asset Class S/R6 | | | 56,780,461 | | | | 56,780,461 | | | | 11.16 | |
| | | | | | | | | | | | | |
| Shares Redeemed/ Received Class A | | | 1,476,981 | | | | 1,476,981 | | | | | |
| Shares Redeemed/ Received Class C | | | 353,046 | | | | 353,046 | | | | | |
| Shares Redeemed/ Received Class I | | | 14,037,493 | | | | 14,037,493 | | | | | |
| Shares Redeemed/ Received Class S/R6 | | | 5,089,090 | | | | 5,089,090 | | | | | |
| Fund | Primary Objective |
| Easterly EHS | Long-term risk-adjusted returns relative to traditional financial market indices. |
| Easterly Total Hedge | Long-term risk adjusted returns relative to traditional financial market indices. |
| Easterly Structured Credit Value | High level of risk adjusted current income and capital appreciation with a secondary objective of capital preservation. |
| EASTERLY FUNDS |
| NOTES TO FINANCIAL STATEMENTS |
| Year Ended November 30, 2021 (Continued) |
Currently, Easterly Structured Credit Value Fund offers Class A, Class C, Class I and Class R6 shares and the Easterly EHS Fund, Easterly Total Hedge Portfolio offers Class I and Class R6. Class A shares are offered at net asset value plus a maximum sales load of 2.00%. Class C shares are offered subject to a CDSC of 1.00%. Class I and Class R6 shares are offered at net asset value. Each class represents an interest in the same assets of the applicable Fund, and the classes are identical except for differences in their sales charge structures, ongoing service and distribution charges. Class R6 shares are only available to certain qualified investors and the minimum initial investment will vary depending on the type of qualified investor. 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 following is a summary of significant accounting policies followed by the Funds in preparation of its financial statements. These policies are in conformity with accounting principles generally accepted in the United States of America (“GAAP”). The preparation of financial statements in conformity with GAAP 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 financial statements and the reported amounts of increases and decreases in net assets from operations during the reporting period. Actual results could differ from those estimates. Each Fund is an investment company and accordingly follows the investment company accounting and reporting guidance of the Financial Accounting Standards Board (FASB) Accounting Standard Codification Topic 946 “Financial Services – Investment Companies”.
(a) Valuation of Investments
Investment securities listed on a national securities exchange are valued at the last reported sale price on the valuation date. NASDAQ traded securities are valued at the NASDAQ Official Closing Price (NOCP). If there are no such reported sales, the securities are valued at the mean between current bid and ask. Short-term debt securities having a remaining maturity of sixty days or less may be valued at amortized cost or amortized value, which approximates market value. Debt securities may be valued at prices supplied by the Funds’ pricing services based on broker or dealer supplied valuations or matrix pricing, a method of valuing securities by reference to the value of other securities with similar characteristics, such as rating, interest rate and maturity. Options 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 last bid and ask price. Options 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 of the current bid and asked prices. Swap transactions are valued through an independent pricing service or at fair value based on daily price reporting from the swap counterparty issuing the swap. Total return swaps on securities listed on an exchange 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. Any securities or other assets for which market quotations are not readily available are valued at their fair value as determined in good faith under procedures established by the Board of Trustees (the “Board”). There is no single standard for determining the fair value of such securities. Rather, in determining the fair value of a security, the board-appointed Fair Valuation Committee shall take into account the relevant factors and surrounding circumstances, a few of which may include: (i) the nature and pricing history (if any) of the security; (ii) whether any dealer quotations for the security are available; and (iii) possible valuation methodologies that could be used to determine the fair value of a security. Foreign currency and Forward currency exchange contracts are valued daily at the London close each day. Investments in foreign countries may involve certain considerations and risks not typically associated with domestic investments, including, but not limited to, the possibility of future political and economic developments and the level of government supervision and regulation of foreign securities markets.
The Funds utilize various methods to measure the fair value of most 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 Funds have the ability to access.
Level 2 – Observable inputs other than quoted prices included in level 1 that are observable for the asset or liability, either directly or indirectly. These inputs may include quoted prices for the identical instrument on an inactive market, prices for similar instruments, interest rates, prepayment speeds, credit risk, yield curves, default rates and similar data.
Level 3 – Unobservable inputs for the asset or liability, to the extent relevant observable inputs are not available, representing the Funds’ own assumptions about the assumptions a market participant would use in valuing the asset or liability, and would be based on the best information available.
The availability of observable inputs can vary from security to security and is affected by a wide variety of factors, including, for example, the type of security, whether the security is new and not yet established in the marketplace, the liquidity of markets, and other characteristics particular to the security. To the extent that valuation is based on models or inputs that are less observable or unobservable in the market, the determination of fair value requires more judgment. Accordingly, the degree of judgment exercised in determining fair value is greatest for instruments categorized in Level 3.
The inputs used to measure fair value may fall into different levels of the fair value hierarchy. In such cases, for disclosure purposes, the level in the fair value hierarchy within which the fair value measurement falls in its entirety, is determined based on the lowest level input that is significant to the fair value measurement in its entirety.
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 November 30, 2021, for the Fund’ assets and liabilities measured at fair value:
| Easterly EHS | |
| | | | | | | | | | | | | |
| Assets* | | Level 1 | | | Level 2 | | | Level 3 | | | Total | |
| Exchange Traded Funds | | $ | 891,741 | | | $ | — | | | $ | — | | | $ | 891,741 | |
| Exchange Traded Note | | | 280 | | | | — | | | | — | | | | 280 | |
| Open Ended Funds | | | 300,628 | | | | — | | | | — | | | | 300,628 | |
| Total | | $ | 1,192,649 | | | $ | — | | | $ | — | | | $ | 1,192,649 | |
| Asset Derivatives | | | | | | | | | | | | | | | | |
| Forward Currency Contracts | | $ | — | | | $ | 669 | | | $ | — | | | $ | 669 | |
| Total Assets | | $ | 1,192,649 | | | $ | 669 | | | $ | — | | | $ | 1,193,318 | |
| Liability Derivatives | | | | | | | | | | | | | | | | |
| Forward Currency Contracts | | $ | — | | | $ | 306 | | | $ | — | | | $ | 306 | |
| Total Liabilities | | $ | — | | | $ | 306 | | | $ | — | | | $ | 306 | |
| EASTERLY FUNDS |
| NOTES TO FINANCIAL STATEMENTS |
| Year Ended November 30, 2021 (Continued) |
| Easterly Total Hedge | |
| | | | | | | | | | | | | |
| Assets* | | Level 1 | | | Level 2 | | | Level 3 | | | Total | |
| Exchange Traded Funds | | $ | 26,526,731 | | | $ | — | | | $ | — | | | $ | 26,526,731 | |
| Exchange Traded Notes | | | 23,069 | | | | — | | | | — | | | | 23,069 | |
| Open Ended Funds | | | 7,719,128 | | | | — | | | | — | | | | 7,719,128 | |
| Put Options Purchased | | | — | | | | 39,829 | | | | — | | | | 39,829 | |
| Total | | $ | 34,268,928 | | | $ | 39,829 | | | $ | — | | | $ | 34,308,757 | |
| Asset Derivatives | | | | | | | | | | | | | | | | |
| Forward Currency Contracts | | $ | — | | | $ | 13,311 | | | $ | — | | | $ | 13,311 | |
| Total Return Swap | | | — | | | | 26,696 | | | | — | | | | 26,696 | |
| Total Assets | | $ | 34,268,928 | | | $ | 79,836 | | | $ | — | | | $ | 34,348,764 | |
| Liability Derivatives | | | | | | | | | | | | | | | | |
| Forward Currency Contracts | | $ | — | | | $ | 6,238 | | | $ | — | | | $ | 6,238 | |
| Put Options Written | | | — | | | | 37,194 | | | | — | | | | 37,194 | |
| Total Liabilities | | $ | — | | | $ | 43,432 | | | $ | — | | | $ | 43,432 | |
| | | | | | | | | | | | | | | | | |
| Easterly Structured Credit Value | |
| | | | | | | | | | | | | |
| Assets* | | Level 1 | | | Level 2 | | | Level 3 | | | Total | |
| Asset Backed Securities | | $ | — | | | $ | 202,249,099 | | | $ | — | | | $ | 202,249,099 | |
| Corporate Bonds | | | — | | | | 45,089,255 | | | | — | | | | 45,089,255 | |
| Non U.S. Government & Agencies | | | — | | | | 950,148 | | | | — | | | | 950,148 | |
| U.S. Government & Agencies | | | — | | | | 19,862,267 | | | | — | | | | 19,862,267 | |
| Total Assets | | $ | — | | | $ | 268,150,769 | | | $ | — | | | | 268,150,769 | |
| Credit Default Swap | | $ | — | | | $ | 101,533 | | | $ | — | | | $ | 101,533 | |
| Total Liabilities | | $ | — | | | $ | 101,533 | | | $ | — | | | $ | 101,533 | |
There were no level 3 securities held during the year.
| * | Refer to the Schedules of Investments for industry or category classifications. |
(b) Federal Income Tax
It is each Fund’s policy to continue to qualify as a regulated investment company by complying with the provisions of the Internal Revenue Code that are applicable to regulated investment companies and to distribute substantially all of its taxable income and net realized gains to shareholders. Management has analyzed the Fund’s tax positions and has concluded that no liability for unrecognized tax benefits should be recorded related to uncertain tax positions taken on returns filed for open tax years ended November 30, 2018 to November 30, 2020, or expected to be taken in the Funds’ November 30, 2021 year-end tax returns.
The Funds recognize the tax benefits of uncertain tax positions only when 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 for unrecognized tax benefits should be recorded related to uncertain tax positions taken on returns filed for open tax years or expected to be taken in the Funds’ November 30, 2021 year-end tax returns. The Funds identify its major tax jurisdictions as U.S. Federal, Arizona and foreign jurisdictions where the Funds make significant investments. The Funds recognize interest and penalties, if any, related to unrecognized tax benefits as income tax expense in the Statements of Operations. During the year ended November 30, 2021, the Funds did not incur any interest or penalties.
(c) Security Transactions and Other Income
Security transactions are reflected for financial reporting purposes as of the trade date. Dividend income is recognized on the ex-dividend date, and interest income is recognized on an accrual basis including premium amortized and discount accreted. All paydown gains and losses are classified as interest income in the accompanying Statements of Operations in accordance with U.S. GAAP. Discounts and premiums on securities purchased are accreted and amortized, over the lives of the respective securities with a corresponding increase/decrease in the cost basis of that security using the yield to maturity method, or where applicable, the first call date of the security. 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. Withholding taxes on foreign dividends have been provided for in accordance with the Trust’s understanding of the applicable country’s tax rules and rates.
(d) Dividends and Distributions
The following table summarizes each Fund’s intended dividend and capital gain declaration policy:
| Fund | | Income Dividends | | Capital Gains |
| Easterly EHS | | Annually | | Annually |
| Easterly Total Hedge | | Annually | | Annually |
| Easterly Structured Credit Value | | Monthly | | Annually |
Each Fund records dividends and distributions to its shareholders on the ex-dividend date. The amount of dividends and distributions from net investment income and net realized gains are determined in accordance with federal income tax regulations, which may differ from GAAP. These “book-tax” differences are either permanent or temporary in nature. To the extent these differences are permanent in nature, such amounts are reclassified within the net asset accounts based on their federal tax-basis treatment; temporary differences do not require reclassification. To the extent dividends and distributions exceed current and accumulated earnings and profits for federal income tax purposes, they are reported as distributions of paid-in-surplus or tax return of capital. These reclassifications have no effect on net assets, results from operations or net asset value per share of each Fund.
| EASTERLY FUNDS |
| NOTES TO FINANCIAL STATEMENTS |
| Year Ended November 30, 2021 (Continued) |
(e) Allocation of 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, taking into consideration the nature and type of expense and the relative sizes of the funds in the Trust.
(f) 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 Funds enter into contracts that contain a variety of representations and warranties and which provide general indemnities. The Funds’ maximum exposure under these arrangements is unknown, as this would involve future claims that may be made against the Funds that have not yet occurred. However, based on experience, the risk of loss due to these warranties and indemnities appears to be remote.
(g) Other
The preparation of the financial statements in accordance with accounting principles generally accepted in the United States of America requires management to make estimates and assumptions that affect the reported amounts and disclosures in the financial statements. Actual results could differ from those estimates.
Foreign currency. Investment securities and other assets and liabilities denominated in foreign currencies are translated into U.S. dollar amounts at the date of valuation. Purchases and sales of investment securities and income and expense items denominated in foreign currencies are translated into U.S. dollar amounts on the respective dates of such transactions.
The Trust does not isolate that portion of the results of operations resulting from changes in foreign exchange rates on investments from the fluctuations arising from changes in market prices of securities held. Such fluctuations are included with the net realized and unrealized gain or loss from investments.
Reported net realized foreign exchange gains or losses arise from sales of foreign currencies, currency gains or losses realized between the trade and settlement dates on securities transactions, and the difference between the amounts of dividends, interest, and foreign withholding taxes recorded on the company’s books and the U.S. dollar equivalent of the amounts actually received or paid. Net unrealized foreign exchange gains and losses arise from changes in the fair values of assets and liabilities, other than investments in securities at fiscal period end, resulting from changes in exchange rates.
Foreign currency contracts. Certain Funds may enter into foreign currency exchange contracts. Because various Funds may invest in securities denominated in foreign currencies, they may seek to hedge foreign currency risks by engaging in foreign currency exchange transactions. These may include buying or selling foreign currencies on a spot basis, entering into foreign currency forward contracts, and buying and selling foreign currency options, foreign currency futures, and options on foreign currency futures. Currency exchange rates may fluctuate significantly over short periods and can be subject to unpredictable change based on such factors as political developments and currency controls by foreign governments
Market Disruptions Risk. The Fund is subject to investment and operational risks associated with financial, economic and other global market developments and disruptions, including the recent spread of an infectious respiratory illness caused by a novel strain of coronavirus (known as COVID-19), which can negatively impact the securities markets and cause the Fund to lose value.
The spread of COVID-19 has caused volatility, severe market dislocations and liquidity constraints in many markets, including markets for the securities the Funds hold, and may adversely affect the Funds’ investments and operations. The transmission of COVID-19 and efforts to contain its spread have resulted in travel restrictions and disruptions, closed international borders, enhanced health screenings at ports of entry and elsewhere, disruption of and delays in healthcare service preparation and delivery, quarantines, event and service cancellations or interruptions, disruptions to business operations and supply chains, and a reduction in consumer and business spending, as well as general concern and uncertainty that has negatively affected the economy. These disruptions have led to instability in the marketplace and the jobs market. The impact of COVID-19 could adversely affect the economies of many nations or the entire global economy, the financial well-being and performance of individual issuers, borrowers and sectors and the health of the markets generally in potentially significant and unforeseen ways.
The foregoing could lead to a significant economic downturn or recession, increased market volatility, a greater number of market closures, higher default rates and adverse effects on the values and liquidity of the Funds’ securities or other assets. Such impacts may adversely affect the performance of the Funds.
| 2. | MANAGEMENT FEE, ADMINISTRATION FEE AND OTHER TRANSACTIONS WITH AFFILIATES |
(a) Easterly Funds LLC acts as investment manager for the Funds pursuant to the terms of a Management Agreement with the Trust, on behalf of the Funds (the “Management Agreement”). Under the terms of the Management Agreement, the Manager manages the investment operations of the Funds in accordance with each Fund’s respective investment policies and restrictions. Each investment sub-advisor is responsible for the day-to-day management of its Fund’s portfolios. Easterly Funds LLC serves the Funds in a supervision capacity with responsibility to monitor the performance of the Funds’ outside service providers, assist in the review of financial statements and other regulatory filings and board meeting materials related to each Fund. The management fees are payable to Easterly Funds LLC monthly by each Fund and are computed daily as shown in the table below. The Funds’ subadvisors are paid by the manager, not the Funds.
(b) Pursuant to an operating expense limitation agreement between Easterly Funds LLC and the Funds, Easterly Funds LLC has contractually agreed to waive all or a portion of its advisory fee and/or pay expenses of the Fund so that total annual Fund operating expenses (excluding front-end and contingent deferred sales loads, leverage, interest and tax expenses, dividends and interest on short positions, brokerage commissions, expenses incurred in connection with any merger, reorganization or liquidation, extraordinary or non-routine expenses and Acquired Fund Fees and Expenses) do not exceed the expense limitation shown in the table below, and is based on the Funds’ average daily net assets. This operating expense limitation agreement cannot be terminated during its term. Easterly Funds LLC is permitted to seek reimbursement from the Fund, subject to limitations, for management fees waived and Fund expenses it paid within three (3) years of the end of the fiscal year in which such management fees were waived or expenses paid, as long as the reimbursement does not cause the Fund’s operating expenses to exceed (i) the expense cap in place at the time the fees were waived or the expenses were incurred; or (ii) the current expense cap, whichever is less. The expense limitation agreement will be in effect through March 19, 2023.
| EASTERLY FUNDS |
| NOTES TO FINANCIAL STATEMENTS |
| Year Ended November 30, 2021 (Continued) |
| | | | | | | | | | | | | | | Management | |
| | | | | | | | | | | | | | | Fee Waived/ | |
| | | Management | | Expenses Limitation * | | | | Expenses Reimbursed | |
| Fund | | Agreement | | Cl A | | Cl C | | Cl I | | CL R6 | | Expires | | YTD 11/30/2021 | |
| Easterly EHS | | 1.00% | | N/A | | N/A | | 1.48% | | 1.11% | | 3/19/2023 | | $ | 99,399 | |
| Easterly Total Hedge | | 1.00% | | N/A | | N/A | | 1.48% | | 1.11% | | 3/19/2023 | | | 101,288 | |
| Easterly Structured Credit Value | | 1.20% | | 1.73% | | 2.48% | | 1.48% | | 1.11% | | 3/19/2023 | | | 472,087 | |
| | * | Prior to March 19, 2021 the expense limitations were 1.74%, 2.49%, 1.49% and 1.12% for Class A, C, I and R6, respectively. |
The following table shows the available waived expenses and expiration date for each Fund subject to potential recovery.
| Fund | | 11/30/2022 | | | 11/30/2023 | | | 11/30/2024 | |
| Easterly EHS | | $ | 63,980 | | | $ | 53,524 | | | $ | 99,399 | |
| Easterly Total Hedge | | | 94,545 | | | | 96,283 | | | | 101,288 | |
| Easterly Structured Credit Value | | | 194,708 | | | | 441,960 | | | | 472,087 | |
(c) Ultimus Fund Distributors, LLC (“UFD”) is the Trust’s Distributor. The Trust with respect to Easterly Structured Credit Value has adopted a Plan of Distribution pursuant to Rule 12b-1 under the 1940 Act (the “Plan”) with respect to the sale and distribution of Class A and C shares of the Funds. The Plan provides that the Fund will pay UFD and other entities, including a broker-dealer affiliate of the Adviser, are paid pursuant to the Plans provided and the expenses borne by the distributor and others in the distribution of Fund shares a fee, which is accrued daily and paid monthly, at the annual rate of 0.25% of the average daily net assets of Class A shares and 1.00% of the average daily net assets of each of the Funds’ Class C shares. The aggregate of such service fee payments will not exceed 0.25% of average daily net assets. Prior to March 19, 2021, Northern Lights Distributor, LLC (“NLD”) was the Funds’ Distributor.
For the year ended, November 30, 2021, NLD and UFD received sales charges on sales of the Funds’ Class A shares.
| | | Northern Lights Distributors, LLC |
| Fund | | Sales Charges |
| | | Class A |
| Easterly EHS | | — |
| Easterly Total Hedge | | — |
| Easterly Structured Credit Value | | 26,668 |
| | | |
| Fund | | UFD Sales Charges |
| | | Class A |
| Easterly Structured Credit Value | | 47,829 |
(d) Ultimus Fund Solutions, LLC (“UFS”), an affiliate of UFD provides administrative, fund accounting and transfer agency services to the Funds pursuant to agreements with the Trust, for which it receives from each Fund: (i) a minimum annual fee or basis points in decreasing amounts as assets reach certain breakpoints; and (ii) any related out-of-pocket expenses.
Prior to March 19, 2021, pursuant to the terms of the Trust’s Custody Administration Agreement with UFS (the “Custody Administration Agreement”), the Trust pays an asset-based fee in decreasing amounts as Trust assets reach certain breakpoints. The Trust also pays certain transaction fees and out-of-pocket expenses pursuant to the Custody Administration Agreement.
(e) Affiliated Investments — The Funds’ transactions with affiliates represent holdings for which the respective Fund and the underlying investee fund have the same investment advisor or where the investee fund’s investment advisor is under common control with the Fund’s investment advisor. Companies which are affiliates of the Funds at November 30, 2021, are noted in the Fund’s Schedule of Investments.
| | | | | | | | | | | | | | | | | | | | Change in | | | | |
| | | | | | | | | | | | | | Realized | | | Dividend | | | Unrealized | | | Value at | |
| Fund | | Affiliated Holding | | Value at 11/30/20 | | | Purchases | | | Sales | | | Gain/(Loss) | | | Income | | | Gain/(Loss) | | | 11/30/21 | |
| Easterly EHS | | Easterly Hedged Equity Fund, Cl R6 | | $ | — | | | $ | 340,000 | | | $ | (343,847 | ) | | $ | 3,847 | | | $ | — | | | $ | — | | | $ | — | |
| | | Easterly Structured Credit Value Fund, Cl R6 | | | 246,833 | | | | 301,699 | | | | (245,731 | ) | | | 15,038 | | | | 10,744 | | | | (17,211 | ) | | | 300,628 | |
| Easterly Total Hedge | | Easterly Hedged Equity Fund, Cl R6 | | | — | | | | 1,355,000 | | | | — | | | | — | | | | — | | | | 41,322 | | | | 1,396,322 | |
| | | Easterly Structured Credit Value Fund, Cl R6 | | | 949,115 | | | | 5,499,471 | | | | (750,000 | ) | | | 57,367 | | | | 80,801 | | | | (83,139 | ) | | | 5,672,814 | |
In addition, certain affiliates of the Distributor provide services to the Trust as follows:
Northern Lights Compliance Services, LLC (“NLCS”) - 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 Funds.
Blu Giant, LLC (“Blu Giant”) – Blu Giant, an affiliate of UFS and the Distributor, provides EDGAR conversion and filing services as well as print management services for the Trust on an ad-hoc basis. For the provision of these services, Blu Giant receives customary fees from the Funds.
Certain employees of UFS and NLCS are also officers of the Trust, and are not paid any fees directly by the Trust for serving in such capacity.
| EASTERLY FUNDS |
| NOTES TO FINANCIAL STATEMENTS |
| Year Ended November 30, 2021 (Continued) |
| 3. | INVESTMENT TRANSACTIONS |
(a) For the year ended November 30, 2021, the cost of purchases and proceeds from sales of investment securities, other than short-term securities, for the Funds were as follows:
| Fund | | Purchase | | | Sales | |
| Easterly EHS | | $ | 12,829,858 | | | $ | 15,833,813 | |
| Easterly Total Hedge | | | 49,530,844 | | | | 25,193,114 | |
| Easterly Structured Credit Value | | | 269,624,999 | | | | 181,996,211 | |
(b) Other Investment Companies or Exchange Traded Funds – Certain Funds may invest up to 100% of their net assets in shares of affiliated and unaffiliated investment companies, including money market mutual funds, other mutual funds or exchange-traded funds (“ETFs”). An ETF generally is an open-end investment company, unit investment trust or a Fund of securities deposited with a depository in exchange for depository receipts. ETFs provide investors the opportunity to buy or sell throughout the day an entire Fund of securities in a single security. Although index mutual funds are similar to index-based ETFs, they are generally sold and redeemed only once per day at market close. The ETFs in which a Fund invests may be subject to liquidity risk. Liquidity risk exists when particular investments are difficult to purchase or sell, possibly preventing the sale of the security at an advantageous time or price. To the extent that the ETFs in which a Fund invests hold securities of companies with smaller market capitalizations or securities with substantial market risk, they will have a greater exposure to liquidity risk. In addition, ETFs are subject to the following risks that do not apply to conventional mutual funds that can be found in “Exchange-Traded Funds” below: (1) the market price of the ETF’s shares may trade at a discount to their net asset value; (2) an active trading market for an ETF’s shares may not develop or be maintained; or (3) trading of an ETF’s shares may be halted if the listing exchange deem such action appropriate, the shares are de-listed from the exchange, or the activation of market-wide “circuit breakers” (which are tied to large decreases in stock prices) halts stock trading generally. Additionally, ETFs have management fees, which increase their cost. In addition to the advisory and operational fees a Fund bears directly in connection with its own operation, the Fund also bears its pro rata portion of the advisory and operational expenses incurred indirectly through investments in other investment companies.
(c) Options Contracts – Certain Funds may enter into options contracts. An option contract is a contract in which the writer of the option grants the buyer of the option the right to purchase from (call option), or sell to (put option), the writer a designated instrument at a specified price within a specified period of time. Certain options, including options on indices, will require cash settlement by the Fund if the option is exercised.
Premiums paid when put or call options are purchased by the Fund, represent investments, which are marked-to-market daily. When a purchase option expires, the Fund will realize a loss in the amount of the premium paid. When the Fund enters into a closing sales transaction, the Fund will realize a gain or loss depending on whether the proceeds from the closing sales transaction are greater or less than the premium paid for the option. When the Fund exercises a put option, it will realize a gain or loss from the sale of the underlying security and the proceeds from such sale will be decreased by the premium originally paid. When the Fund exercises a call option, the cost of the security, which the Fund purchases upon exercise, will be increased by the premium originally paid.
Certain Funds may write covered call options. This means that the Fund will own the security subject to the option or an option to purchase the same underlying security, having an exercise price equal to or less than the exercise price of the covered option, or will establish and maintain with its custodian for the term of the option, an account consisting of cash, U.S. government securities or other liquid securities having a value equal to the fluctuating market value of the securities on which the Fund holds a covered call position.
When a Fund writes a call option, an amount equal to the premium received by the Fund is recorded as a liability, the value of which is marked-to-market daily. When a written option expires, the Fund realizes a gain equal to the amount of the premium received. When the Fund enters into a closing purchase transaction, the Fund realizes a gain or loss depending upon whether the cost of the closing transaction is greater or less than the premium originally received, without regard to any unrealized gain or loss on the underlying security, and the liability related to such option is eliminated. When a written call option is exercised the proceeds of the security sold will be increased by the premium originally received.
The liability representing a Fund’s obligation under an exchange traded written option or investment in a purchased option is valued at the last sale price or, in the absence of a sale, the last available bid price.
The Funds may enter into options for hedging purposes. The risk associated with purchasing options is limited to the premium originally paid. The risk in writing a covered call option is that the Fund gives up the opportunity to participate in any increase in the price of the underlying security beyond the exercise price.
(d) Swap Agreements – Certain Funds are subject to equity price risk and/or interest rate risk in the normal course of pursuing their respective investment objectives. The Funds may enter into various swap transactions for investment purposes or to manage interest rate, equity, foreign exchange (currency), commodity 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.
| EASTERLY FUNDS |
| NOTES TO FINANCIAL STATEMENTS |
| Year Ended November 30, 2021 (Continued) |
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 Statements of Operations by “marking to market” on a daily basis to reflect the value of the swap agreement at the end of each trading day. 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 upfront payments. The Funds amortize upfront payments and/or accrue for the fixed payment stream on swap agreements on a daily basis with the net amount recorded as a component of unrealized gain or loss on the Statements of Operations. A liquidation payment received or made at the termination of the swap agreement is recorded as a realized gain or loss on the Statements of Operations. The Funds segregate liquid securities having a value at least equal to the amount of their current obligation under any swap transaction. Entering into these agreements involves, to varying degrees, lack of liquidity and elements of credit, market, and counterparty risk in excess of amounts recognized on the Statements of Assets and Liabilities. The Funds’ 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 that amount is positive. The derivatives are not accounted for as hedging instruments under GAAP. The effect of derivative instruments on the Statements of Assets and Liabilities at November 30, 2021, were as follows:
| | | | | | | Location of derivatives on Statements of | | Fair value of asset/liability | |
| Fund | | Derivative | | Risk Type | | Assets and Liabilities | | derivatives | |
| Easterly EHS | | | | |
| | | Forward Exchange Contracts | | Foreign Exchange | | Unrealized appreciation on forward currency exchange contracts | | $ | 669 | |
| | | | | | | Unrealized depreciation on forward currency exchange contracts | | | (306 | ) |
| | | | | | | Totals | | $ | 363 | |
| Easterly Total Hedge | | | | |
| | | | | | | | | | | |
| | | Forward Exchange Contracts | | Foreign Exchange | | Unrealized appreciation on forward currency exchange contracts | | $ | 13,311 | |
| | | | | | | Unrealized depreciation on forward currency exchange contracts | | | (6,238 | ) |
| | | Swap Contracts | | Equity | | Unrealized appreciation on swaps | | | 26,696 | |
| | | | | | | Totals | | $ | 33,769 | |
| Easterly Structured Credit | | | | |
| | | Swap Contracts | | Interest Rate | | Unrealized depreciation on swaps | | $ | (101,333 | ) |
The effect of derivative instruments on the Statements of Operations for the year ended November 30, 2021, were as follows:
| | | | | | | | | Realized and unrealized gain (loss) on | |
| Portfolio | | Derivative | | Location of gain (loss) on derivatives | | Risk Type | | derivatives | |
| Easterly EHS | | | | | |
| | | Swap Contracts | | | |
| | | | | Net realized gain on swaps | | | | | | |
| | | | | | | Equity | | $ | 6,064 | |
| | | | | | | | | | | |
| | | Forward Contracts | | | | |
| | | | | Net realized gain from investments and foreign currency transactions | | Foreign Exchange | | $ | 1,874 | |
| | | | | Net change in unrealized appreciation on investments and foreign currency transactions | | | | | | |
| | | | | | | Foreign Exchange | | $ | 608 | |
| | | | | | | | | |
| Easterly Total Hedge | | | | |
| | | Swap Contracts | | | | |
| | | | | Net realized gain on swaps | | | | | | |
| | | | | | | Equity | | $ | 24,835 | |
| | | | | Net change in unrealized depreciation on swaps | | | | | | |
| | | | | | | Equity | | $ | (35,178 | ) |
| | | Forward Contracts | | | | |
| | | | | Net realized gain from investments and foreign currency transactions | | Foreign Exchange | | $ | 30,323 | |
| | | | | Net change in unrealized appreciation on investments and foreign currency transactions | | Foreign Exchange | | $ | 8,198 | |
| | | | | | | | | | | |
| Easterly Structured Credit | | | | |
| | | Swap Contracts | | | | |
| | | | | Net realized loss on swaps | | | | | | |
| | | | | | | Interest Rate | | $ | (202,778 | ) |
| | | | | Net change in unrealized appreciation on swaps | | | | | | |
| | | | | | | Interest Rate | | $ | 94,129 | |
The amounts of realized and changes in unrealized gains and losses on derivative instruments during the period as disclosed in the Statements of Operations serve as indicators of the volume of derivative activity for the Funds.
| EASTERLY FUNDS |
| NOTES TO FINANCIAL STATEMENTS |
| Year Ended November 30, 2021 (Continued) |
The following table presents the Funds’ assets and liabilities available for offset under a master netting arrangement net of collateral pledged as of November 30, 2021.
| | | | | | Gross Amounts not offset in the Statements of Assets and Liabilities | | | | |
| | | Gross Amounts Recognized in | | | | | | | | | Net Amount of Assets | |
| | | Statements of Assets and Liabilities | | | Financial Instruments Pledged | | | Cash Collateral Pledged * | | | (Liabilities) | |
| EHS | | | | | | | | | | | | |
| Description of Asset: | | | | | | | | | | | | |
| Forward Foreign Currency Contracts | | $ | 669 | | | | 306 | | | $ | — | | | $ | 363 | |
| Total | | $ | 669 | | | $ | 306 | | | $ | — | | | $ | 363 | |
| Description of Liability: | | | | | | | | | | | | | | | | |
| Forward Foreign Currency Contracts | | $ | (306 | ) | | $ | 306 | | | $ | — | | | $ | — | |
| | | $ | (306 | ) | | $ | 306 | | | $ | — | | | $ | — | |
| Total Hedge | | | | | | | | | | | | | | | | |
| Description of Asset: | | | | | | | | | | | | | | | | |
| Forward Foreign Currency Contracts | | $ | 13,311 | | | | 6,238 | | | $ | — | | | $ | 7,073 | |
| Total Return Swaps | | | 26,696 | | | | — | | | | 26,696 | | | | — | |
| Total | | $ | 40,007 | | | $ | 6,238 | | | $ | 26,696 | | | $ | 7,073 | |
| Description of Liability: | | | | | | | | | | | | | | | | |
| Forward Foreign Currency Contracts | | $ | (6,238 | ) | | $ | 6,238 | | | $ | — | | | $ | — | |
| | | $ | (6,238 | ) | | $ | 6,238 | | | $ | — | | | $ | — | |
| Structured Credit | | | | | | | | | | | | | | | | |
| Description of Liability: | | | | | | | | | | | | | | | | |
| Credit Default Swap | | $ | (101,333 | ) | | | — | | | $ | (101,333 | ) | | $ | — | |
| Total | | $ | (101,333 | ) | | $ | — | | | $ | (101,333 | ) | | $ | — | |
| * | Excess collateral not included. |
| 4. | AGGREGATE UNREALIZED APPRECIATION AND DEPRECIATION – TAX BASIS |
| | | Cost for | | | | | | | | | Tax Net | |
| | | Federal Tax | | | Unrealized | | | Unrealized | | | Unrealized | |
| Portfolio | | Purposes | | | Appreciation | | | Depreciation | | | App/Dep | |
| Easterly EHS | | $ | 1,221,948 | | | $ | 6,442 | | | $ | (35,741 | ) | | $ | (29,299 | ) |
| Easterly Total Hedge | | | 35,061,406 | | | | 193,139 | | | | (982,982 | ) | | | (789,843 | ) |
| Easterly Structured Credit Value | | | 262,420,742 | | | | 8,646,714 | | | | (3,297,450 | ) | | | 5,349,264 | |
| 5. | DISTRIBUTIONS TO SHAREHOLDERS AND TAX COMPONENTS OF CAPITAL |
The tax character of fund distributions paid for the years ended November 30, 2021 and November 30, 2020 was as follows:
| | | For the period ended November 30, 2021: | | | | |
| | | Ordinary | | | Long-Term | | | Return | | | | |
| Portfolio | | Income | | | Capital Gains | | | Of Capital | | | Total | |
| Easterly EHS | | $ | 812,198 | | | $ | 75,123 | | | $ | 9,576 | | | $ | 896,897 | |
| Easterly Total Hedge | | | 147,880 | | | | 28,375 | | | | — | | | | 176,255 | |
| Easterly Structured Credit Value | | | 14,323,193 | | | | 79,467 | | | | — | | | | 14,402,660 | |
| | | | | | | | | | | | | | | | | |
| | | For the period ended November 30, 2020: | | | | |
| | | Ordinary | | | Long-Term | | | Return | | | | |
| Portfolio | | Income | | | Capital Gains | | | Of Capital | | | Total | |
| Easterly EHS | | $ | 44,860 | | | $ | — | | | $ | — | | | $ | 44,860 | |
| Easterly Total Hedge | | | 403,866 | | | | — | | | | — | | | | 403,866 | |
| Easterly Structured Credit Value | | | 5,685,368 | | | | 42,326 | | | | — | | | | 5,727,694 | |
| * | The difference between ordinary distributions paid from book and ordinary distributions paid from tax relates to allowable foreign tax credits of $2,838 for the Easterly Total Hedge Fund for the fiscal year ended November 30, 2021, and $600 for fiscal year ended November 30, 2020 for the Easterly EHS Fund, which have been passed through to the Funds’ underlying shareholders and are deemed dividends for tax purposes. |
| EASTERLY FUNDS |
| NOTES TO FINANCIAL STATEMENTS |
| Year Ended November 30, 2021 (Continued) |
As of November 30, 2021, 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/ | | | Accumulated | |
| Portfolio | | Income | | | Capital Gains | | | Late Year Loss | | | Forwards | | | Differences | | | (Depreciation) | | | Earnings/(Deficits) | |
| Easterly EHS | | $ | — | | | $ | — | | | $ | (13,375 | ) | | $ | — | | | $ | — | | | $ | (28,936 | ) | | $ | (42,311 | ) |
| Easterly Total Hedge | | | 1,135,850 | | | | 740,254 | | | | — | | | | — | | | | — | | | | (782,772 | ) | | | 1,093,332 | |
| Easterly Structured Credit Value | | | 2,183,038 | | | | 2,521,242 | | | | — | | | | — | | | | — | | | | 5,347,707 | | | | 10,051,987 | |
The difference between book basis and tax basis undistributed net investment income (loss), accumulated net realized gains (losses), and unrealized appreciation/(depreciation) from investments is primarily attributable to the tax deferral of losses on wash sales, mark-to-market on open forward foreign currency contracts, 1256 options, swaps and passive foreign investment companies, and adjustments for partnerships, grantor trusts, contingent convertible debt securities, and C-Corporation return of capital distributions. The unrealized appreciation/(depreciation) in the table above includes unrealized foreign currency gains (losses) of $363, $7,071 and $(1,557) for the Easterly EHS, Easterly Total Hedge and the Easterly Structured Credit Portfolio, respectively.
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 Funds incurred and elected to defer such late year losses as follows:
| | | Late Year | |
| Portfolio | | Losses | |
| Easterly EHS | | $ | 13,375 | |
| Easterly Total Hedge | | | — | |
| Easterly Structured Credit Value | | | — | |
Permanent book and tax differences, primarily attributable to the reclassification of Fund distributions, resulted in reclassifications for the Funds for the fiscal year ended At November 30, 2021, the Funds utilized capital loss carry forwards for federal income tax purposes as follows:
| | | Non-Expiring | | | Non-Expiring | | | | | | CLCF | |
| Portfolio | | Short-Term | | | Long-Term | | | Total | | | Utilized | |
| Easterly EHS | | $ | — | | | $ | — | | | $ | — | | | $ | 66,360 | |
| Easterly Total Hedge | | | — | | | | — | | | | — | | | | — | |
| Easterly Structured Credit Value | | | — | | | | — | | | | — | | | | — | |
Permanent book and tax differences, primarily attributable to the reclassification of Fund distributions, resulted in reclassifications for the Funds for the fiscal year ended November 30, 2021 as follows:
| | | | | | Accumulated | |
| Portfolio | | Paid In Capital | | | Earnings (Losses) | |
| Easterly EHS | | $ | (29 | ) | | $ | 29 | |
| Easterly Total Hedge | | | — | | | | — | |
| Easterly Structured Credit Value | | | — | | | | — | |
| 6. | BENEFICIAL OWNERSHIP (Unaudited) |
The beneficial ownership, either directly or indirectly, of more than 25% of the voting securities of a Fund creates a presumption of control of the Fund under Section 2(a)(9) of the 1940 Act. As of November 30, 2021, the shareholders that own 25% or more of the voting securities are as follows:
| Fund | | Shareholder | | Ownership % |
| Easterly EHS Cl I | | Denis Nayden | | 99.98% |
| Easterly EHS Cl R6 | | National Financial Services LLC | | 99.99% |
| Easterly Total Hedge Cl I | | Denis Nayden | | 94.81% |
| Easterly Total Hedge Cl R6 | | National Financial Services LLC | | 100.00% |
| Easterly Structured Credit Value Cl A | | LPL Financial | | 59.23% |
| Easterly Structured Credit Value Cl I | | National Financial Services LLC | | 33.65% |
| Easterly Structured Credit Value Cl R6 | | National Financial Services LLC | | 47.14% |
Currently, the James Alpha Structured Credit Value Fund has a $22,000,000 line of credit provided by Cogent Bank (the “Bank”) under an agreement (the “Line of Credit”). Any advance under the Line of Credit is contemplated primarily for temporary or emergency purposes, including the meeting of redemption requests that otherwise might require the untimely disposition of securities. Interest on borrowings is payable Monthly. During the year ended November 30, 2021, Easterly Structured Credit Value Fund did not access the line of credit.
| EASTERLY FUNDS |
| NOTES TO FINANCIAL STATEMENTS |
| Year Ended November 30, 2021 (Continued) |
| 8. | NEW ACCOUNTING PRONOUNCEMENTS |
In March 2020, FASB issued ASU 2020-04, Reference Rate Reform (Topic 848): Facilitation of the Effects of Reference Rate Reform on Financial Reporting (’‘ASU 2020-04’’). The amendments in ASU 2020-04 provide optional temporary financial reporting relief from the effect of certain types of contract modifications due to the planned discontinuation of LIBOR and other interbank-offered based reference rates as of the end of 2021. ASU 2020-04 is effective for certain reference rate-related contract modifications that occur during the period March 12, 2020 through December 31, 2022. Management is currently evaluating the impact, if any of applying this ASU.
In October 2020, the Securities and Exchange Commission (“SEC”) adopted new regulations governing the use of derivative by registered investment companies (“Rule 18f-4”). Rule 18f-4 will impose limits on the amount of derivatives a Fund can enter into, eliminate the asset segregation framework currently used by funds to comply with Section 18 of the 1940 Act, and require funds whose use of derivatives is greater than a limited specified amount to establish and maintain a comprehensive derivatives risk management program and appoint a derivatives risk manager. Funds will be required to comply with Rule 18f-4 by August 19,2022. It is not currently clear what impact, if any, Rule 18f-4 will have on the availability, liquidity or performance of derivatives. Management is currently evaluating the potential impact of Rule 18f-4 on the Funds. When fully implemented, Rule 18f-4 may require changes in how a Fund uses derivatives, adversely affect the Fund’s performance and increase costs related to the Funds’ use of derivatives.
In December 2020, the SEC adopted a new rule providing a framework for fund valuation practices (“Rule 2a-5”). Rule 2a-5 establishes requirements for determining fair value in good faith for purposes of the 1940 Act. Rule 2a-5 will permit fund boards to designate certain parties to perform fair value determinations, subject to board oversight and certain other conditions. Rule 2a-5 also defines when market quotations are “readily available” for purposes of the 1940 Act and the threshold for determining whether a fund must fair value a security. In connection with Rule 2a-5, the SEC also adopted related recordkeeping requirements and is rescinding previously issued guidance, including with respect to the role of a board in determining fair value and the accounting and auditing of fund investments. The Fund will be required to comply with the rules by September 8, 2022. The Fund is currently evaluating the impact, if any, of applying this provision
Subsequent events after the date of the Statements of Assets and Liabilities have been evaluated through the date the financial statements were issued. Management has determined that no events or transactions occurred requiring adjustment or disclosure in the financial statements.
Effective on December 22, 2021, the Easterly Structured Credit Fund changed its name to Easterly Income Opportunities Fund.
 | taitweller.com |
| | |
REPORT OF INDEPENDENT REGISTERED PUBLIC ACCOUNTING FIRM
To the Shareholders and Board of Trustees
of James Alpha Funds Trust d/b/a Easterly
Funds Trust
Opinion on the Financial Statements
We have audited the accompanying statements of assets and liabilities of Easterly EHS Fund (formerly James Alpha EHS Fund), Easterly Total Hedge Portfolio (formerly James Alpha Total Hedge Portfolio), and Easterly Structured Credit Value Fund (formerly James Alpha Structured Credit Value Fund), (collectively referred to as the “Funds”) each a series of the James Alpha Funds Trust d/b/a Easterly Funds Trust, including the schedules of investments, as of November 30, 2021, the related statements of operations, the statements of changes in net assets, and the financial highlights for each of the periods indicated in the table below, and the related notes (collectively referred to as the “financial statements”). In our opinion, the financial statements present fairly, in all material respects, the financial position of the Funds as of November 30, 2021, the results of their operations, the changes in their net assets, and their financial highlights for each of the periods indicated in the table below, in conformity with accounting principles generally accepted in the United States of America.
Individual Funds
constituting
James Alpha
Funds Trust d/b/a
Easterly
Funds Trust | | Statement of
operations | | Statements of
changes in net assets | | Financial highlights |
| Easterly EHS Fund | | For the year ended November 30, 2021 | | For each of the two years in the period ended November 30, 2021 | | For each of the four years in the period ended November 30, 2021 and the period from August 18, 2017 (commencement of operations) through November 30, 2017 |
| | | | | | | |
| Easterly Total Hedge Portfolio | | For the year ended November 30, 2021 | | For each of the two years in the period ended November 30, 2021 | | For each of the four years in the period ended November 30, 2021 and the period from June 30, 2017 (commencement of operations) through November 30, 2017 |
| | | | | | | |
| Easterly Structured Credit Value Portfolio | | For the year ended November 30, 2021 | | For each of the two years in the period ended November 30, 2021 | | For each of the three years in the period ended November 30, 2021 and the period from August 14, 2018 (commencement of operations) through November 30, 2018 |
Basis for Opinion
These consolidated financial statements and financial statements are the responsibility of the Funds’ management. Our responsibility is to express an opinion on the Funds’ consolidated financial statements and financial statements based on our audits. We are a public accounting firm registered with the Public Company Accounting Oversight Board (United States) (“PCAOB”) and are required to be independent with respect to the Funds in accordance with the U.S. federal securities laws and the applicable rules and regulations of the Securities and Exchange Commission and the PCAOB. We have served as the auditor of one or more of the funds in the Trust since 2011.
To the Shareholders and Board of Trustees
of James Alpha Funds Trust d/b/a Easterly
Funds Trust
Page Two
We conducted our audits in accordance with the standards of the PCAOB. Those standards require that we plan and perform the audits to obtain reasonable assurance about whether the consolidated financial statements and financial statements are free of material misstatement, whether due to error or fraud. The Funds are not required to have, nor were we engaged to perform, an audit of the Funds’ internal control over financial reporting. As part of our audits we are required to obtain an understanding of internal control over financial reporting, but not for the purpose of expressing an opinion on the effectiveness of the Funds’ internal control over financial reporting. Accordingly, we express no such opinion.
Our audits included performing procedures to assess the risks of material misstatement of the consolidated financial statements and financial statements, whether due to error or fraud, and performing procedures that respond to those risks. Such procedures included examining, on a test basis, evidence regarding the amounts and disclosures in the consolidated financial statements and financial statements. Our audits also included evaluating the accounting principles used and significant estimates made by management, as well as evaluating the overall presentation of the consolidated financial statements and financial statements. Our procedures included confirmation of securities owned as of November 30, 2021 by correspondence with the custodian and brokers; when replies were not received from brokers, we performed other auditing procedures. We believe that our audits provide a reasonable basis for our opinion.
TAIT, WELLER & BAKER LLP
Philadelphia, Pennsylvania
January 28, 2022
| SUPPLEMENTAL INFORMATION (Unaudited) |
Shareholders of funds will pay ongoing expenses, such as advisory fees, distribution and services fees (12b-1 fees), and other fund expenses. The following examples are intended to help the shareholder understand the ongoing cost (in dollars) of investing in a fund and to compare these costs with the ongoing costs of investing in other mutual funds. Please note, the expenses shown in the tables are meant to highlight ongoing costs only and do not reflect any transactional costs, such as sales charges (loads), or contingent deferred sales charges (CDSCs) on redemptions.
This example is based on an investment of $1,000 invested at the beginning of the period and held for the entire period from June 1, 2021 through November 30, 2021.
Actual Expenses: The first table provides information about actual account values and actual expenses. The shareholder may use the information in this line, together with the amount invested, to estimate the expenses that would be paid over the period. Simply divide 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 under the heading entitled “Expenses Paid” to estimate the expenses paid on the account during the period.
| | | Beginning Account | | Ending Account | | Expense Paid | | Expense Ratio |
| | | Value - 06/01/2021 | | Value - 11/30/2021 | | 06/01/2021-11/30/2021* | | [Annualized] |
| Actual Expenses | | | | | | | | |
| Easterly EHS - Class I | | 1,000.00 | | 992.30 | | 7.39 | | 1.48% |
| Easterly EHS - Class R6 | | 1,000.00 | | 993.20 | | 5.55 | | 1.11% |
| Easterly Total Hedge - Class I | | 1,000.00 | | 989.10 | | 7.38 | | 1.48% |
| Easterly Total Hedge - Class R6 | | 1,000.00 | | 991.70 | | 5.54 | | 1.11% |
| Easterly Structured Credit Value - Class A | | 1,000.00 | | 1,008.00 | | 8.71 | | 1.73% |
| Easterly Structured Credit Value - Class C | | 1,000.00 | | 1,013.00 | | 11.61 | | 2.30% |
| Easterly Structured Credit Value - Class I | | 1,000.00 | | 1,011.40 | | 7.46 | | 1.48% |
| Easterly Structured Credit Value - Class R6 | | 1,000.00 | | 1,014.70 | | 5.61 | | 1.11% |
Hypothetical Examples for Comparison Purposes: The second 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 balance or expenses paid for the period. This information may be used to compare the ongoing costs of investing in the fund and other mutual funds. To do so, a shareholder would compare this 5% hypothetical example with the 5% hypothetical examples that appear in the shareholder reports of the other mutual funds.
| | | Beginning Account | | Ending Account | | Expense Paid | | Expense Ratio |
| Hypothetical | | Value - 06/01/2021 | | Value - 11/30/2021 | | 06/01/2021-11/30/2021* | | [Annualized] |
| [5% Return Before Expenses] | | | | | | | | |
| Easterly EHS - Class I | | 1,000.00 | | 1,017.65 | | 7.49 | | 1.48% |
| Easterly EHS - Class R6 | | 1,000.00 | | 1,019.50 | | 5.62 | | 1.11% |
| Easterly Total Hedge - Class I | | 1,000.00 | | 1,017.65 | | 7.49 | | 1.48% |
| Easterly Total Hedge - Class R6 | | 1,000.00 | | 1,019.50 | | 5.62 | | 1.11% |
| Easterly Structured Credit - Class I | | 1,000.00 | | 1,017.65 | | 7.49 | | 1.48% |
| Easterly Structured Credit - Class A | | 1,000.00 | | 1,016.39 | | 8.74 | | 1.73% |
| Easterly Structured Credit - Class C | | 1,000.00 | | 1,013.54 | | 11.61 | | 2.30% |
| Easterly Structured Credit - Class R6 | | 1,000.00 | | 1,019.50 | | 5.62 | | 1.11% |
| * | Expenses are equal to the Funds annualized expense ratio multiplies by the number of days in the period (183) divided by the number of days in the fiscal year (365). |
Name, Year of Birth,
and Address | Position(s)
Held with
Trust | Term*/
Length
of
Time
Served | Principal
Occupation(s)
During
Past 5 Years | Number of
Funds in
Fund Complex
Overseen | Other
Directorships
Held by Trustee
During Past 5 Years |
| INTERESTED TRUSTEE: |
Darrell Crate,
Year of Birth: 1967
515 Madison Avenue
24thFloor
New York, NY 10022 | President and Chairperson of the Board | Since 2021 | Chief Executive Officer of Easterly Funds LLC (May 2020 – Present) and Managing Principal of Easterly Asset Management LP | 9 | Chairman of the Board and Director of Easterly Government Properties Inc. (May 2015 – Present); Chairman of the Board and Director of Easterly Acquisition Corp. (August 2015 to November 2018) |
| INDEPENDENT TRUSTEES: |
David Knowlton,
Year of Birth: 1957
515 Madison Avenue
24th Floor
New York, NY 10022 | Trustee | Since 2021 | Managing Partner of Three Ocean Partners LLC | 9 | Director of Easterly Acquisition Corp. (August 2015 to November 2018) |
Neil Medugno,
Year of Birth: 1957
515 Madison Avenue
24th Floor New York, NY 10022 | Trustee | Since 2021 | Retired; Partner, Wellington Management Company LLP, Chief Financial Officer, Wellington Funds Group (investment management) (1994 – 2017) | 9 | Trustee of Six Circles Trust (July 2017 – Present) |
Patricia Walker,
Year of Birth: 1966
515 Madison Avenue
24thFloor
New York, NY 10022 | Trustee | Since 2021 | Retired; Senior Advisor of Best Buy Co., Inc. (March 2020 – August 2020); President, Home and Services of Best Buy Co., Inc. (April 2016 – March 2020); Senior Managing Director of Accenture plc (July 2000 – April 2016) | 9 | Director of BUILD Boston (June 2020 – Present) |
| OFFICERS: |
Michael Montague,
Year of Birth: 1975
515 Madison Avenue
24thFloor
New York, NY 10022 | Treasurer | Since 2021 | Chief Operating Officer of Easterly Funds LLC and James Alpha Management, LLC | Not Applicable | Not Applicable |
Emile Molineaux,
Year of Birth: 1962
4221 North 203rd
Street, Ste. 100 Elkhorn, NE 68022 | Chief Compliance Officer | Since 2021 | Senior Compliance Officer (2011 – Present) Northern Lights Compliance Services, LLC | Not Applicable | Not Applicable |
Chad Bitterman,
Year of Birth: 1972
4221 North 203rd
Street, Ste. 100
Elkhorn, NE 68022 | Anti-Money Laundering Compliance Officer | Since 2021 | Compliance Officer (2010 – Present) Northern Lights Compliance Services, LLC | Not Applicable | Not Applicable |
Amaris Sahota,
Year of Birth: 1992
515 Madison Avenue
24th Floor New York, NY 10022 | Secretary | Since 2021 | Chief Operating Officer, Easterly Management Operations LLC (May 2021 – Present); Senior Management Consultant, The Poirier Group (2018 – 2021); Rotational Program, Sun Life Financial (2015 – 2018) | Not Applicable | Not Applicable |
Eric Colandrea,
Year of Birth: 1974
515 Madison Avenue
24th Floor New York, NY 10022 | Chief Legal Officer and Senior Vice President | Since 2021 | General Counsel of Easterly Funds LLC (May 2020 – Present) and Easterly Asset Management LP (February 2016 – Present) | Not Applicable | Not Applicable |
Erik Naviloff,
Year of Birth: 1968
4221 North
203rd Street, Ste. 100 Elkhorn, NE 68022 | Assistant Treasurer | Since 2021 | Vice President, Gemini Fund Services, LLC (2011 – present) | Not Applicable | Not Applicable |
Timothy Burdick,
Year of Birth: 1986
4221 North 203rd
Street, Ste. 100 Elkhorn,
NE 68022 | Assistant Secretary | Since 2021 | Assistant Vice President, Gemini Fund Services, LLC (2019 – present); Senior Program Compliance Manager, CJ Affiliate (2016 – 2019). | Not Applicable | Not Applicable |
| * | Each Trustee will serve an indefinite term until they resign or retire and/or their successor, if any, is duly elected and qualified. Officers of the Trust serve at the pleasure of the Board. |
PRIVACY NOTICE
JAMES ALPHA FUNDS TRUST dba EASTERLY FUNDS TRUST
March 2021
| FACTS | WHAT DOES JAMES ALPHA FUNDS TRUST dba EASTERLY FUNDS TRUST 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 James Alpha Funds Trust chooses to share; and whether you can limit this sharing. |
| | |
Reasons we can share your personal
information: | Does James Alpha Funds Trust
dba Easterly Funds Trust
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. | YES | YES |
| 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 (888) 814-8180 | | |
| What we do: |
How does James Alpha Funds Trust
dba Easterly Funds Trust 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 James Alpha Funds Trust
dba Easterly Funds Trust 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. ● James Alpha Funds Trust dba Easterly Funds Trust does not share with our affiliates. |
| Nonaffiliates | Companies not related by common ownership or control. They can be financial and nonfinancial companies. ● James Alpha Funds Trust dba Easterly Funds Trust 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. ● James Alpha Funds Trust dba Easterly Funds Trust doesn’t jointly market.. |
How to Obtain Proxy Voting Information
Information regarding how the Portfolios voted proxies relating to portfolio securities during the most recent twelve month period ended June 30 as well as a description of the policies and procedures that the Portfolios use to determine how to vote proxies is available without charge, upon request, by calling 1-888-672-4839 or by referring to the Securities and Exchange Commission’s (“SEC”) website at http://www.sec.gov.
How to Obtain 1st and 3rd Fiscal Quarter Portfolio Holdings
Funds file a complete schedule of portfolio holdings with the Securities and Exchange Commission (the “SEC”) for the first and third quarters of each fiscal year 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 at the SEC’s website at www.sec.gov.
JAMES ALPHA1130-AR21
Item 2. Code of Ethics.
(a) As of the end of the period covered by this report, the registrant has adopted a code of ethics that applies to the registrant's principal executive officer, principal financial officer, principal accounting officer or controller, or persons performing similar functions, regardless of whether these individuals are employed by the registrant or a third party.
(b) For purposes of this item, “code of ethics” means written standards that are reasonably designed to deter wrongdoing and to promote:
| (1) | Honest and ethical conduct, including the ethical handling of actual or apparent conflicts of interest between personal and professional relationships; |
| (2) | Full, fair, accurate, timely, and understandable disclosure in reports and documents that a registrant files with, or submits to, the Commission and in other public communications made by the registrant; |
| | (3) | Compliance with applicable governmental laws, rules, and regulations; |
| (4) | The prompt internal reporting of violations of the code to an appropriate person or persons identified in the code; and |
| | (5) | Accountability for adherence to the code. |
(c) Amendments: During the period covered by the report, there have not been any amendments to the provisions of the code of ethics.
(d) Waivers: During the period covered by the report, the registrant has not granted any express or implicit waivers from the provisions of the code of ethics.
Item 3. Audit Committee Financial Expert.
(a) The Registrant’s board of trustees has determined that Neil Medugno is an audit committee financial expert, as defined in Item 3 of Form N-CSR. Mr. Medugno is independent for purposes of this Item 3.
Item 4. Principal Accountant Fees and Services.
| | | Registrant | Advisor |
| | FYE 11/30/21 |
$36,500 | $ 0.00 |
| | | Registrant | Advisor |
| | FYE 11/30/21 |
$0.00 | $ 0.00 |
| | | Registrant | Advisor |
| | FYE 11/30/21 |
$14,500 | $ 0.00 |
Preparation of Federal & State income tax returns, assistance with calculation of required income, capital gain and excise distributions and preparation of Federal excise tax returns.
| | | Registrant | Advisor |
| | FYE 11/30/21 |
$0.00 | $ 0.00 |
| (e) | (1) Audit Committee’s Pre-Approval Policies |
The registrant’s Audit Committee is required to pre-approve all audit services and, when appropriate, any non-audit services (including audit-related, tax and all other services) to the registrant. The registrant’s Audit Committee also is required to pre-approve, when appropriate, any non-audit services (including audit-related, tax and all other services) to its adviser, or any entity controlling, controlled by or under common control with the adviser that provides ongoing services to the registrant, to the extent that the services may be determined to have an impact on the operations or financial reporting of the registrant. Services are reviewed on an engagement by engagement basis by the Audit Committee.
| (2) | Percentages of Services Approved by the Audit Committee |
| | | Registrant | Advisor |
| | Audit-Related Fees: |
0.00% | 0.00% |
| | Tax Fees: | 0.00% | 0.00% |
| | All Other Fees: | 0.00% | 0.00% |
| (f) | During the audit of registrant's financial statements for the most recent fiscal year, less than 50 percent of the hours expended on the principal accountant's engagement were attributed to work performed by persons other than the principal accountant's full-time, permanent employees. |
| (g) | All non-audit fees billed by the registrant's principal accountant for services rendered to the registrant for the fiscal year ended November 30, 2020, are disclosed in (b)-(d) above. There were no audit or non-audit services performed by the registrant's principal accountant for the registrant's adviser. |
(h) The registrant's audit committee has considered whether the provision of non-audit services to the registrant's investment adviser (not including any sub-adviser whose role is primarily portfolio management and is subcontracted with or overseen by another investment adviser), and any entity controlling, controlled by, or under common control with the investment adviser that provides ongoing services to the registrant, that were not pre-approved pursuant to paragraph (c)(7)(ii) of Rule 2-01 of Regulation S-X, is compatible with maintaining the principal accountant's independence.
Item 5. Audit Committee of Listed Companies. Not applicable to open-end investment companies.
Item 6. Schedule of Investments. See 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 Management Investment Company and Affiliated Purchasers. 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 November 30, 2020, the disclosure controls and procedures are reasonably designed to ensure that the information required in filings on Forms N-CSR is recorded, processed, summarized, and reported on a timely basis.
(b) There were no significant changes in the registrant’s internal control over financial reporting that occurred during the registrant’s last fiscal half-year that have materially affected, or are reasonably likely to materially affect, the registrant’s internal control over financial reporting.
Item 12. Disclosure of Securities Lending Activities for Closed-End Management Investment Companies. Not applicable to open-end investment companies.
Item 13. Exhibits.
(a)(1) Code of Ethics filed herewith.
(a)(2) Certification(s) required by Section 302 of the Sarbanes-Oxley Act of 2002 (and Item 11(a)(2) of Form N-CSR) are filed herewith.
(a)(3) Not applicable.
(b) Certification(s) required by Section 906 of the Sarbanes-Oxley Act of 2002 (and Item 11(b) of Form N-CSR) are filed herewith.
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) The James Alpha Funds Trust
By (Signature and Title)
* /s/ Darrell Crate
Darrell Crate, President and Chief Executive Officer
Date 08/26/22
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/ Darrell Crate
Darrell Crate, President and Chief Executive Officer
Date 08/26/22
By (Signature and Title)
* /s/ Michael Montague
Michael Montague, Treasurer and Principal Financial Officer
Date 08/26/22
* Print the name and title of each signing officer under his or her signature.
