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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 811-3790
The Quantitative Group of Funds
(Exact name of registrant as specified in charter)
55 Old Bedford Road, Lincoln, MA 01773
(Address of principal executive offices)
Sandra I. Madden
Quantitative Investment Advisors, Inc.
55 Old Bedford Road, Lincoln, MA 01773
(Name and address of agent for service)
Registrant’s telephone number, including area code: (781) 676-5900
Date of fiscal year end: | March 31 |
Date of reporting period: | April 1, 2007 through March 31, 2008 |
ITEM 1. REPORTS TO SHAREOWNERS.
QUANT FUNDS
** GRAPHIC **
ANNUAL
REPORT
MARCH 31, 2008
U.S. EQUITY FUNDS
Quant Small Cap Fund
Quant Long/Short Fund
INTERNATIONAL EQUITY FUNDS
Quant Emerging Markets Fund
Quant Foreign Value Fund
QUANT FUNDS
Quant Small Cap Fund
Quant Long/Short Fund
Quant Emerging Markets Fund
Quant Foreign Value Fund
ANNUAL REPORT
March 31, 2008
TABLE OF CONTENTS
President’s Letter | 1 |
Fund Expenses | 2 |
Portfolio Manager Commentaries |
|
Quant Small Cap Fund | 3 |
Quant Long/Short Fund | 5 |
Quant Emerging Markets Fund | 7 |
Quant Foreign Value Fund | 9 |
Schedules of Investments |
|
Quant Small Cap Fund | 11 |
Quant Long/Short Fund | 13 |
Quant Emerging Markets Fund | 17 |
Quant Foreign Value Fund | 19 |
Statements of Assets and Liabilities | 21 |
Statements of Operations | 22 |
Statements of Changes in Net Assets | 23 |
Statement of Cash Flows for Quant Long/Short Fund | 25 |
Financial Highlights | 26 |
Notes to Financial Statements | 30 |
Report of Independent Registered Accounting Firm | 38 |
Information for Shareholders | 39 |
Privacy Policy | 39 |
Advisory Contract Approval | 41 |
Trustees and Officers | 43 |
Service Providers | back cover |
This report must be preceded or accompanied by a current Quant Funds prospectus for individuals who are not current shareholders of the Funds. You should read the prospectus carefully before investing because it contains more complete information on the Quant Funds’ investment objectives, risks, charges and expenses. Please consider this information carefully. For a prospectus and other information, visit www.quantfunds.com or call (800) 326-2151.
NOT FDIC INSURED • | MAY LOSE VALUE • | NO BANK GUARANTEE |
Neither the Quant Funds nor U.S. Boston Capital Corporation is a bank.
Dear Fellow Shareholder,
We are pleased to provide you with the Quantitative Group of Funds’ Annual Report for the year ended March 31, 2008 to update you on recent market conditions and the performance of the Quant Funds.
After months of anticipating the fallout from the subprime fiasco, the 3rd and 4th quarters of 2007 showed significant downturns as a result of the housing bubble burst. The negative effects of the real estate crisis extended overseas to the international markets, hitting both developed and emerging markets. The financial sector was hit especially hard both at home and abroad. Domestically, in an effort to counteract the market’s declines, the Federal Reserve began cutting the Fed Funds Rate; from September 2007 through March of 2008, the Fed cut the Fed Funds Rate from 5.25% to 2.25%. Also, the U.S. Congress passed a bill for a two-year, $168 billion stimulus package to help boost consumer spending. Whether these efforts will have a positive effect on the U.S. market, or the overseas markets, is still to be determined.
Overall, the world’s markets did not perform as well over the last four quarters as they did in the four quarters prior; however, the 2008 first quarter’s steep decline in the world’s equity markets skewed the overall returns for the running year. The U.S. equity market dropped 9.45% for the first quarter 2008 and 5.08% for the running year (as represented by the S&P 500 Index). Established foreign markets performed slightly better but still decreased by 8.82% for the first quarter and 2.27% for the running year (MSCI EAFE Index). The Emerging Markets also declined in the first quarter by 10.92% (MSCI EM Index) but performed strongly on the world stage as they rose 21.65% for the running year.
12-month | |
S&P 500 | 5.08% |
Russell 2000 | 13.00% |
MSCI EM | 21.65% |
MSCI EAFE | 2.27% |
We believe that the recent market volatility will create opportunities for our fund managers to add value through their time tested portfolio construction practices. The Quant Foreign Value Fund invests in companies with strong cash flow, which we believe will be an advantage should we continue to experience a contracting credit market. The Quant Emerging Markets Fund may benefit from the Olympics, giving a boost to a slightly slowing Chinese economy. The Quant Small Cap Fund expects that the down market may create an attractive buying environment for previously over-valued smaller companies. Finally, the Quant Long/Short Fund has switched subadvisors to Analytic Investors, LLC, which we believe will bolster our lineup of boutique managers with strong quantitative backgrounds.
We thank you for your continued confidence in the Quant Funds. Please feel free to e-mail us at feedback@quantfunds.com or call us at 800-326-2151 with any questions or for assistance on your account.
Sincerely,
/s/ Willard Umphrey
Willard Umphrey
President and Chairman
Any statements in this Shareholder Letter regarding market or economic trends or the factors influencing the historical or future performance of the Quant Funds are the views of Fund management as of the date of this report. These views are subject to change at any time based upon market and other conditions, and Fund management disclaims any responsibility to update such views. These views may not be relied upon as investment advice or as an indication of trading intent on behalf of any Quant Fund. Any references to specific securities are not recommendations of such securities and may not be representative of any Quant Fund’s current or future investments.
Past performance is no guarantee of future results, and there is no guarantee that market forecasts will be realized.
FUND EXPENSES
We believe it’s important for Fund shareholders to have a clear understanding of fund expenses and the impact expenses have on investment returns. The following is important information about each Fund’s Expense Example, which appears below.
Expense Example
As a shareholder of a fund, you incur two types of costs: (1) transaction costs, including deferred sales charges (on Ordinary Shares when redeemed), and (2) ongoing costs, including management fees, distribution (12b-1) fees (on Ordinary Shares) and other Fund expenses. The example is intended to help you understand your ongoing costs (in dollars) of investing in a Fund and to compare these costs with the ongoing costs of investing in other mutual funds. These examples are based on $1,000 invested at the beginning of the period and held for the entire period from October 1, 2007 to March 31, 2008.
Actual Expenses and Returns
The example provides information about actual account returns and actual expenses. You may use the information in this section, together with the amount you invested, to estimate the expenses that you paid over the period. To estimate the expenses you paid over the period, simply divide your account value by $1,000, then multiply the result by the number under the heading “Expenses Paid During the Period.”
Hypothetical Example for Comparison Purposes
The example shows you 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 hypothetical expenses may not be used to estimate the actual ending account balance or expenses you paid for the period. You may use this information to compare the ongoing expenses of investing in the Fund with the ongoing expenses of other funds. To do so, compare the Fund’s 5% hypothetical example with the 5% hypothetical examples that appear in the shareholder reports of other funds.
Please note that the expenses shown in the table are meant to highlight your ongoing costs. They do not reflect any transactional costs, such as deferred sales charges. Thus, the “hypothetical” lines in the table are useful in comparing ongoing costs only, and will not help you determine the relative costs of owning different funds. In addition, if these transactional costs were included, your costs would have been higher. See the Funds’ prospectus for a complete description of these transactional costs.
Expense Example for the 6 months ended March 31, 2008
|
|
| Beginning | Ending | Annualized | Expenses Paid |
|
| Total Return | Account Value | Account Value | Expense | 10/01/07 |
Quant Fund | Share Class | Description | 10/01/07 | 03/31/08 | Ratio | 03/31/08 |
Small Cap | Ordinary | Actual | $1,000.00 | $816.16 | 1.53% | $6.95 |
|
| Hypothetical | $1,000.00 | $1,017.35 | 1.53% | $7.72 |
| Institutional | Actual | $1,000.00 | $817.31 | 1.30% | $5.90 |
|
| Hypothetical | $1,000.00 | $1,018.51 | 1.30% | $6.55 |
Long/Short | Ordinary | Actual | $1,000.00 | $833.25 | 2.36% | $10.80 |
|
| Hypothetical | $1,000.00 | $1,013.21 | 2.36% | $11.86 |
| Institutional | Actual | $1,000.00 | $830.81 | 3.01% | $13.78 |
|
| Hypothetical | $1,000.00 | $1,009.94 | 3.01% | $15.13 |
Emerging Markets | Ordinary | Actual | $1,000.00 | $878.73 | 1.61% | $7.54 |
|
| Hypothetical | $1,000.00 | $1,016.97 | 1.61% | $8.09 |
| Institutional | Actual | $1,000.00 | $879.71 | 1.42% | $6.66 |
|
| Hypothetical | $1,000.00 | $1,017.91 | 1.42% | $7.15 |
Foreign Value | Ordinary | Actual | $1,000.00 | $906.96 | 1.55% | $7.39 |
|
| Hypothetical | $1,000.00 | $1,017.25 | 1.55% | $7.81 |
| Institutional | Actual | $1,000.00 | $908.02 | 1.31% | $6.24 |
|
| Hypothetical | $1,000.00 | $1,018.46 | 1.31% | $6.60 |
QUANT SMALL CAP FUND
INVESTMENT PROFILE
All Data as of March 31, 2008
Investment Commentary
For the 12-month period ended March 31, 2008, Quant Small Cap Fund’s Ordinary Shares (the “Fund”) underperformed its benchmark, the Russell 2000 Index. The Fund achieved a return of -15.17% at net asset value compared to -13.00% for the Russell 2000 Index.
Fund Information |
|
|
Net Assets Under Management | $144.2 Million |
|
Number of Companies | 65 |
|
Price to Book Ratio | 2.6 |
|
Price to Earnings Ratio | 18.4 |
|
| Ordinary | Institutional |
Total Expense Ratio (Net) | 1.59% | 1.30% |
Ticker Symbol | USBNX | QBNAX |
Market Conditions and Investment Strategies
The financial markets were fraught with turbulence over the past year, not unlike an airplane that encounters bad weather. Although the disturbances began in 2007 when the subprime mortgage crisis began to unfold, other issues emerged in early 2008 to buffet the markets and heighten investor concerns. At the top of the list was the very underpinning of the financial system. As the housing market collapsed and a credit crisis developed, two major financial institutions had to be rescued from almost certain bankruptcy in deals orchestrated by the Federal Reserve. The Fed aggressively cut interest rates beginning in September 2007 and injected billions of dollars of liquidity to calm the markets. In addition, oil prices surged over $100 per barrel and combined with other commodities to push inflation higher. Job growth slowed, the unemployment rate crept above 5%, consumer spending stalled and GDP growth fell to less than 1%. The credit crisis has set the tone for the markets and it is uncertain whether we have seen the worst. The months ahead will reveal whether the Fed’s policies have worked to ease the turbulence and if calmer conditions will prevail.
Over the past year, the equity markets experienced their worst performance in five years. The three worst performing sectors in the Russell 2000 Index for this period were Consumer Discretionary -28%, Financials -21%, and Information Technology -19%. The best performing sectors were Energy +17%, and Materials +6%.
Our best performing sectors were Energy +40%, and Telecommunication Services +6%. In Energy, one of our largest holdings, Core Laboratories N.V., a provider of energy services, gained over 40% during the period. In Consumer Discretionary, RARE Hospitality International Inc. was the object of an acquisition offer and gained over 26%. Our substantial underweight in the highly volatile Financials sector also benefitted performance and contributed to relative return. Our worst performing sectors were Information Technology -27% and Consumer Discretionary -23% where Verint Systems Inc. and Entercom Communications Corp. were the primary detractors as earnings disappointed.
Our underperformance versus the Index was primarily a result of stock selection in the Industrials sector. The poor performance of NutriSystem Inc., which failed to deliver on product sales, and Huron Consulting Group Inc., where earnings estimates were lowered, contributed to detract a total of 2.34% from relative performance.
Portfolio Changes
The Fund incurred several changes in sector weightings over the past year. Industrials, Financials, Health Care and Information Technology declined while Energy, Telecommunication Services and Materials rose in weighting. Consumer Discretionary and Consumer Staples, remained virtually unchanged. We continued to have no exposure to the Utilities sector.
Outlook for 2008
Market declines are always unpleasant but bargains can often be found at times when investor sentiment is at its worst. Stocks often decline below what could be considered their intrinsic value. With consumer confidence at a five year low, we believe that we are in the midst of such a time and are perusing the markets to uncover these values.
The Fund is co-managed by Robert von Pentz, CFA, and Rhys Williams of Columbia Partners, L.L.C. Investment Management.
Top 10 Holdings |
|
Percentage of total net assets | 37.6% |
Core Laboratories N.V. | 5.0% |
Entertainment Properties Trust | 4.9% |
Crown Castle International Corporation | 4.9% |
Ventas, Inc. | 4.1% |
Vail Resorts, Inc. | 3.9% |
Sotheby’s | 3.6% |
BE Aerospace, Inc. | 3.0% |
Psychiatric Solutions, Inc. | 2.9% |
Guess?, Inc. | 2.8% |
NICE-Systems, Ltd. | 2.5% |
There is no guarantee that such securities will continue to be viewed favorably or held in the Fund’s portfolio.
Sector Allocation |
|
Percentage of total net assets | 100.0% |
Industrials | 18.6% |
Consumer Discretionary | 14.1% |
Financials | 13.7% |
Health Care | 12.3% |
Information Technology | 11.5% |
Energy | 8.3% |
Telecommunication Services | 7.6% |
Consumer Staples | 4.9% |
Materials | 4.0% |
Cash and Other Assets (Net) | 5.0% |
** GRAPHIC **
Average Annual Total Returns
|
| Six |
|
|
| Since | Inception |
| 1Q 2008 | Months | One Year | Five Year | Ten Year | Inception | Date |
Ordinary Shares | -12.51% | -18.38% | -15.17% | 15.78% | 6.01% | 12.34% | 08/03/92 |
Ordinary Shares (adjusted)(1) | -13.38% | -19.20% | -16.02% | 15.55% | 5.91% | 12.27% | 08/03/92 |
Institutional Shares(2) | -12.45% | -18.27% | -14.87% | 16.32% | 6.54% | 11.42% | 01/06/93 |
Russell 2000(3) | -9.90% | -14.03% | -13.00% | 14.90% | 4.96% | 9.91% | — |
1 | Reflects deduction of a 1% deferred sales charge. |
2 | Institutional Shares may only be purchased by certain categories of investors and are not subject to sales charges or distribution fees. |
3 | The Russell 2000 Index is a market capitalization-weighted index of 2,000 small company stocks. It is widely recognized as representative of the general market for small company stocks. Index returns assume the reinvestment of dividends and, unlike Fund returns, do not reflect any fees or expenses. You cannot invest directly in an Index. The beginning date for the Index is 9/30/92. |
Small company stocks may trade less frequently and in a limited volume, and their prices may fluctuate more than stocks of other companies. Small company stocks may therefore be more vulnerable to adverse developments than those of larger companies.
Performance data quoted represents past performance and is no guarantee of future results and the information above does not reflect the deduction of taxes that a shareholder would pay on fund distributions or the redemption of shares. Current Fund performance may be lower or higher than performance data quoted. Investment return and principal value will fluctuate so that an investor’s shares, when redeemed, may be worth more or less than original cost. For the most recent month-end performance, visit the Fund’s website at www.quantfunds.com. Before investing, carefully consider the Fund’s investment objectives, risks, charges and expenses. For this and other information obtain the Fund’s prospectus by calling (800) 326-2151 or visiting www.quantfunds.com. Please read the prospectus carefully before you invest.
QUANT LONG/SHORT FUND
INVESTMENT PROFILE
All Data as of March 31, 2008
Investment Commentary
For the 12-month period ended March 31, 2008, Quant Long/Short Fund’s Ordinary Shares (the “Fund”) underperformed its benchmark, the S&P 500 Index (the “Index”). The Fund achieved a return of -14.43% at net asset value compared to -5.08% for the Index.
Fund Information |
|
|
Net Assets Under Management | $70.8 Million |
|
Number of Companies | 182 |
|
Price to Book Ratio | 3.2 |
|
Price to Earnings Ratio | 14.1 |
|
| Ordinary | Institutional |
Total Expense Ratio (Net) | 2.12% | 2.17% |
Ticker Symbol | USBOX | QGIAX |
Market Conditions and Investment Strategies
SSgA Funds Management Inc. (“SSgA”) managed the Fund’s portfolio for the first nine months of the fiscal year. For the nine-month period ended December 31, 2007, the Fund’s Ordinary Shares underperformed the Index, achieving a return of -4.39% at net asset value compared to 4.82% for the Index. The investment process incorporated perspectives on valuation, quality and sentiment which offered mixed performance during the period. Specifically, valuation components, earnings yield and free cash flow served as weak predictors of stock price appreciation.
Performance results were primarily driven by stock selection positions. Poor performance of stocks held by the Fund in the health care, technology and consumer staples sectors were the main detractors of the Fund’s performance. Positions in consumer discretionary, industrials and financials sector, however, partially offset some of the Fund’s shortfall. The largest detractors of performance were long positions in health care stocks King Pharmaceuticals (-42%) and WellCare Health Plans (-79%). A long position in Big Lots, which fell 48% over the period, also hurt performance. Long positions in AGCO Corp. (+83%) and GameStop Corp. (+67%) as well as short positions in Circuit City (-73%) and Advanced Micro Devices (-51%) were the most successful positions for the period.
Analytic Investors, LLC (“Analytic”) replaced SSgA as subadvisor to the Fund on January 2, 2008. For the three month period ended March 31, 2008, the Fund’s Ordinary Shares underperformed the Index achieving a return of -10.50% at net asset value compared to -9.45% for the Index. Performance during the period was helped by strong stock selection within the financials sector stemming primarily from short positions in Bear Stearns and Washington Mutual. The Fund was hindered by negative stock selection in the health care sector, however, due to long positions in Humana and McKesson Corporation.
The market continued its visible move away from low-quality value securities and into higher-quality growth companies. Companies with above-average exposures to valuation characteristics continued to demonstrate negative trends, although a one-month reversal was observed in January. Recessionary fears coupled with a difficult credit market coerced investors to seek companies with cleaner balance sheets as evidenced by a pronounced focus on companies with a high interest coverage ratio and away from signs of being overleveraged. Companies with higher asset utilization exposure faired well as did companies with strong recent earnings growth. Finally, higher-yielding securities were rewarded during the period as the Fed cut rates and investors sought yield in the equity market.
Portfolio Changes
During the first nine months of the fiscal year, the Fund’s positions in energy and utility stocks were increased and positions within consumer discretionary, financials and health care stocks were decreased.
At the beginning of January 2008, the Fund experienced a high amount of turnover at the time of the change in subadvisers, due to differences between the quantitative models employed at SSgA and Analytic. The Fund’s exposure to securities exhibiting above-average asset utilization, cash flow to price, and interest coverage characteristic exposures were increased. Securities with below-average leverage levels were sought to reduce exposure to this characteristic. Management reduced the Fund’s exposure to securities exhibiting strong sales-to-price ratios, as the characteristic was rewarded less and less in the marketplace.
Outlook for 2008
Going forward we will continue to reduce exposures to leveraged companies and gravitate toward higher-quality attributes such as asset utilization, interest coverage and cash flow to price. If the market continues to reward dividend yield, exposures should gradually increase as the model adapts.
The Fund’s portfolio is managed by a team of portfolio managers at Analytic Investors, LLC. The lead portfolio managers are Harindra de Silva, Ph.D.,CFA, Dennis Bein, CFA, and Steve Sapra, CFA.
Top 10 Long Holdings |
|
Percentage of total net assets | 38.2% |
AT&T Corporation | 5.2% |
Exxon Mobil Corporation | 4.8% |
General Electric Company | 4.4% |
Chevron Texaco Corporation | 4.3% |
Hewlett-Packard Company | 3.8% |
JPMorgan Chase& Co. | 3.4% |
FedEx Corporation | 3.4% |
The Boeing Company | 3.2% |
McKesson Corporation | 2.9% |
Microsoft Corporation | 2.8% |
There is no guarantee that such securities will continue to be viewed favorably or held in the Fund’s portfolio.
Sector Allocation |
|
Percentage of total net assets | 100.0% |
Industrials | 22.9% |
Financials | 19.5% |
Information Technology | 18.8% |
Health Care | 15.9% |
Energy | 14.7% |
Consumer Discretionary | 12.8% |
Consumer Staples | 8.9% |
Materials | 5.5% |
Telecommunication Services | 5.4% |
Utilities | 3.5% |
Cash and Other Assets (Net) | 1.0% |
Short Positions | -28.9% |
Top 10 Short Holdings |
|
Percentage of total net assets | -15.2% |
Linear Technology Corporation | -2.1% |
Central European Media Enterprises, Ltd. | -1.9% |
Lincare Holdings, Inc. | -1.8% |
Copa Holdings, S.A. | -1.7% |
Windstream Corporation | -1.4% |
Mylan, Inc. | -1.4% |
The Ryland Group, Inc. | -1.3% |
Zebra Technologies Corporation | -1.3% |
The Goldman Sachs Group, Inc. | -1.2% |
Teekay Corporation | -1.1% |
There is no guarantee that such securities will continue to be viewed favorably or held in the Fund’s portfolio.
** GRAPHIC **
|
| Six |
|
|
| Since | Inception |
| 1Q 2008 | Months | One Year | Five Year | Ten Year | Inception | Date |
Ordinary Shares | -10.50% | -16.68% | -14.43% | 8.81% | 1.93% | 10.25% | 05/06/85 |
Ordinary Shares (adjusted)(1) | -11.39% | -17.51% | -15.28% | 8.59% | 1.83% | 10.20% | 05/06/85 |
Institutional Shares(2) | -10.69% | -16.92% | -14.49% | 9.20% | 2.38% | 8.71% | 03/25/91 |
S & P 500(3) | -9.45% | -12.47% | -5.08% | 11.31% | 3.50% | 11.47% | — |
1 | Reflects deduction of a 1% deferred sales charge. |
2 | Institutional Shares may only be purchased by certain categories of investors and are not subject to sales charges or distribution fees. |
3 | The S&P 500 Index is an unmanaged index of stocks chosen for their size and industry characteristics. It is widely recognized as representative of stocks in the United States. Index returns assume the reinvestment of dividends and, unlike Fund returns, do not reflect any fees or expenses. You cannot invest directly in the Index. The beginning date for the Index is 6/30/85. |
Short selling involves certain risks including the possibility that short positions do not limit the Fund’s stock market exposure as expected, that the future value of a short position increases above its recorded value potentially resulting in an unlimited loss and that the lender of a security sold short could terminate the loan at a price or time that is disadvantageous to the Fund.
Performance data quoted represents past performance and is no guarantee of future results and the information above does not reflect the deduction of taxes that a shareholder would pay on fund distributions or the redemption of shares. Current Fund performance may be lower or higher than performance data quoted. Investment return and principal value will fluctuate so that an investor’s shares, when redeemed, may be worth more or less than original cost. For the most recent month-end performance, visit the Fund’s website at www.quantfunds.com. Before investing, carefully consider the Fund’s investment objectives, risks, charges and expenses. For this and other information obtain the Fund’s prospectus by calling (800) 326-2151 or visiting www.quantfunds.com. Please read the prospectus carefully before you invest.
QUANT EMERGING MARKETS FUND
INVESTMENT PROFILE
All Data as of March 31, 2008
Investment Commentary
For the 12-month period ending March 31, 2008, Quant Emerging Markets Fund’s Ordinary Shares (the “Fund”) underperformed its benchmark, the MSCI Emerging Markets Index (the “Index”). The Fund had a return of 19.35% at net asset value compared to 21.65% for the Index.
Fund Information |
|
|
Net Assets Under Management | $532.0 Million |
|
Number of Companies | 72 |
|
Price to Book Ratio | 2.4 |
|
Price to Earnings Ratio | 12.0 |
|
| Ordinary | Institutional |
Total Expense Ratio (Net) | 1.60% | 1.39% |
Ticker Symbol | QFFOX | QEMAX |
Market Conditions and Investment Strategies
The fiscal year was positive for all the major regions of the Emerging Markets despite the negative returns at the end of the period. Asia, Eastern Europe and Africa fared the worst in the last months while Latin America, also negative, fared better than the other regions. All of the markets were affected by global economic conditions, but when mixed with local market factors and economic developments, they responded differently.
Some of the most influential economic developments have been the continued rise in energy prices as well as the effect of the volatility in credit markets due to the deteriorating quality in the loans of many large institutions. Locally, many of the countries began to see a rise in the price of food contributing to a rise in inflation.
Exporting goods is a major portion of many Emerging Market economies. Throughout the beginning of the fiscal year, exports remained strong and added to the positive returns. However, towards the end of the period, the United States began to show signs of a slowing, possibly recessionary economy. The US Dollar also declined during this period, effectively raising the price of exports from the Emerging Market countries. Exports have slowed in recent months putting further pressure on economic growth.
The top three contributors to performance were in the industrials and materials sectors. The leading contributor was Hyundai Heavy Industries a South Korean shipbuilder that saw gains due to strong demand for ships. Angang Steel, the second largest contributor, is China’s third largest steelmaker. A proposal for a new mill increased the likelihood of improved output capacity and growth potential. Finally, China Shipping Development Company saw increased profits due to China’s surging demand for iron ore imports that drove up freight rates.
The top three relative detractors were based mainly within the financial sector. The worst detractor was Hopson Development Holdings, one of China’s largest real estate companies, which had disappointing earnings due to unexpected delays in Beijing construction projects. The second largest detractor was Concorcio ARA, a Mexican homebuilder, which fell due to concern that government grants would not be issued quickly enough to increase earnings. Finally, Shenzhen Investment Ltd., a Chinese financial stock based in property development, experienced losses due to slowing real estate and building demand.
Portfolio Changes
Over the past fiscal year, there have been no significant changes to the Fund’s portfolio. The quantitative strategy employed takes advantage of inefficiencies in the market while controlling risk exposures. Emphasis is placed upon maintaining neutrality across sectors and countries so that stock selection is the main driver of performance. The exception is India, where valuation and liquidity has limited the Fund’s exposure to this market. The investment team continues to monitor this position for investment opportunities.
Outlook for 2008
The health of global markets depends on the factors mentioned above as well as GDP growth in individual countries. The export of goods and materials across many Emerging Markets was affected by the slowing of large importing economies like the U.S. The flow of goods and services is crucial to those countries that depend heavily on exporting. Many Emerging Markets are commodity-intensive, so movement in these prices will be reflected in the securities markets. The health of the markets in non-emerging market economies must improve in order to slow or stop the trickle-down effect that has weakened the Emerging Market economies. Overall we would expect to see some volatility in the short term in the emerging markets.
The Fund’s portfolio is managed by a team of portfolio managers at Panagora Asset Management, Inc. The Fund’s co-lead portfolio managers are David P. Nolan and Richard T. Wilk.
Top 10 Holdings |
|
Percentage of total net assets | 29.4% |
Gazprom | 4.1% |
China Mobile Limited | 3.4% |
Companhia Vale do Rio Doce | 3.3% |
Petroleo Brasileiro SA | 3.1% |
iShares MSCI Emerging Markets Index Fund | 2.9% |
Vanguard Emerging Markets ETF | 2.8% |
Hyundai Mipo Dockyard Co., Ltd. | 2.6% |
Ceske Energeticke Zavody | 2.5% |
China Shipping Development Company, Ltd. | 2.4% |
PTT Aromatics and Refining Public Co. Ltd. | 2.3% |
There is no guarantee that such securities will continue to be viewed favorably or held in the Fund’s portfolio.
Sector Allocation |
|
Percentage of total net assets | 100.0% |
Financials | 19.0% |
Energy | 17.4% |
Materials | 16.0% |
Telecommunication Services | 12.1% |
Industrials | 9.4% |
Information Technology | 8.8% |
Exchange Traded Funds | 6.0% |
Utilities | 5.1% |
Consumer Staples | 3.9% |
Consumer Discretionary | 2.3% |
Top 10 Country Allocations |
|
Percentage of total net assets | 82.0% |
Brazil | 15.0% |
China | 14.3% |
South Korea | 11.6% |
Taiwan | 11.1% |
Russia | 9.2% |
Mexico | 6.7% |
South Africa | 5.7% |
Thailand | 3.1% |
Turkey | 2.8% |
India | 2.5% |
** GRAPHIC **
Average Annual Total Returns
|
| Six |
|
|
| Since | Inception |
| 1Q 2008 | Months | One Year | Five Year | Ten Year | Inception | Date |
Ordinary Shares | -13.61% | -12.13% | 19.35% | 38.67% | 15.41% | 9.33% | 09/30/94 |
Ordinary Shares (adjusted)(1) | -14.47% | -13.01% | 18.15% | 38.40% | 15.29% | 9.25% | 09/30/94 |
Institutional Shares(2) | -13.57% | -12.03% | 19.67% | 39.18% | 15.92% | 12.29% | 04/02/96 |
MSCI EM(3) | -10.92% | -7.66% | 21.65% | 35.95% | 12.53% | 7.52% |
|
1 | Reflects deduction of a 1% deferred sales charge. |
2 | Institutional Shares may only be purchased by certain categories of investors and are not subject to sales charges or distribution fees. |
3 | The Morgan Stanley Capital International Emerging Markets (“MSCI EM”) Index is an unmanaged index comprised of stocks located in countries other than the United States. It is widely recognized as representative of the general market for emerging markets. Index returns assume the reinvestment of dividends and, unlike Fund returns, do not reflect fees or expenses. You cannot invest directly in an Index. The beginning date for the Index is 6/30/85. |
Investing in foreign markets, particularly emerging markets, can be more volatile than the U.S. market due to increased risks of adverse issuer, political, regulatory, market or economic developments and can perform differently than the U.S. market.
Performance data quoted represents past performance and is no guarantee of future results and the information above does not reflect the deduction of taxes that a shareholder would pay on fund distributions or the redemption of shares. Current fund performance may be lower or higher than performance data quoted. Investment return and principal value will fluctuate so that an investor’s shares, when redeemed, may be worth more or less than original cost. For the most recent month-end performance, visit the Fund’s website at www.quantfunds.com. Before investing, carefully consider the Fund’s investment objectives, risks, charges and expenses. For this and other information obtain the Fund’s prospectus by calling (800) 326-2151 or visiting www.quantfunds.com. Please read the prospectus carefully before you invest.
QUANT FOREIGN VALUE FUND
INVESTMENT PROFILE
All Data as of March 30, 2008
Investment Commentary
For the 12-month period ended March 31, 2008, Quant Foreign Value Fund’s Ordinary Shares (the “Fund”) underperformed its benchmark, Morgan Stanley Capital International Europe, Australasia, Far East Index (the Index”). The Fund achieved a return of -8.71% at net asset value compared to -2.27% for the Index.
Fund Information |
|
|
Net Assets Under Management | $922.1 Million |
|
Number of Companies | 54 |
|
Price to Book Ratio | 1.8 |
|
Price to Earnings Ratio | 11.7 |
|
| Ordinary | Institutional |
Total Expense Ratio (Net) | 1.56% | 1.32% |
Ticker Symbol | QFVOX | QFVIX |
Market Conditions and Investment Strategies
Remaining steadfast to a value investment strategy, which seeks companies with strong free cash flow and good management, the Fund encountered a volatile 2007 market. In panic-stricken markets, investor behavior has historically led to uncontrolled selling resulting in irrational pricing of assets and stocks. During the year, a clear disconnect between company fundamentals and stock market valuations became evident. The impairment of capital at banks and investment banks that produced losses due to poor credit and investment decisions has reduced the amount of credit available from these institutions. This has, in turn, resulted in an economic slowdown in the United States that has spread to other countries.
The investment strategy of the Fund is based on the belief that when markets are in decline during volatile periods, the value of companies can decline to levels that undervalue the future cash flow of the firm. The volatile market in the last fiscal year presented such conditions so Fund management capitalized on opportunities to build portfolio positions, identifying strong companies at what Management believes are exceptional valuations. New investments made as well as some existing holdings were affected by market volatility and caused the portfolio to experience a short-term performance dip; however, as markets returned to a focus on fundamentals, Fund performance improved for the last fiscal quarter.
A number of materials and industrial holdings across a myriad of countries helped performance. While paper, cement and aggregates, and chemical declined, other material and industrial companies generated positive returns, clearly benefiting from demand to facilitate growth of a healthy world economy generally outside the U.S. Among the top performers were Finnish construction and crane operators, including KCI Konecranes. Sasol, a South African diversified fuel, chemical, and related manufacturing company, also contributed positively.
Japanese consumer staples companies also proved strong performers over the last few months, turning the tide after several quarters of underperformance. In Japan, the combination of beverage price increases and yen appreciation helped the Fund’s dairy and brewery holdings at year end.
Consumer discretionary was the largest detractor to performance. In the U.K., credit market volatility negatively affected residential homebuilders. Some U.K. homebuilders, however, have reported satisfactory 2008 earnings, while increasing dividends and buying back stock. While this data is positive news, it still may take some time to filter through the market.
Portfolio Changes
During the year, Fund management sold stocks that reached valuation limits, redeploying the cash to new and current portfolio positions. By making such purchases, management was able to improve the valuation of the portfolio and reduce overweight exposures in some sectors.
The Fund reduced holdings in some European stocks to make new investments in German and Irish financials and an Asian oil refinery. The Fund’s research process identified values in non-U.S. banks, many of which have strong balance sheets, good customer funding and clean loan portfolios – yet these holdings had lackluster performance. As these banks reported early 2008 earnings, many investors began to reward these solidly managed institutions. New investments were made in German insurance companies. The Fund also invested in a Japanese music/video company; as the Japanese market strengthens, consumer discretionary spending may continue to grow.
Outlook for 2008
This market environment presents good buying opportunities, as Fund management continues to identify new compelling valuations on companies overseas. In conducting local research, meeting with management teams and interviewing local competitors, Fund management has pinpointed many new high-quality companies previously dismissed due to high valuations.
The Fund’s lead portfolio manager is Bernard R. Horn, Jr., of Polaris Capital Management, LLC
Top 10 Holdings |
|
Percentage of total net assets | 25.1% |
Kone Corporation OYJ-B | 2.7% |
Konecranes OYJ | 2.6% |
Bank of Ireland | 2.6% |
Yit OYJ | 2.6% |
Imerys S.A. | 2.6% |
Tecnip S.A. | 2.5% |
Cargotec Corp., Class B | 2.5% |
Asahi Breweries Ltd. | 2.4% |
Meiji Dairies Corporation | 2.3% |
Greencore Group PLC | 2.3% |
There is no guarantee that such securities will continue to be viewed favorably or held in the Fund’s portfolio.
Sector Allocation |
|
Percentage of total net assets | 100.0% |
Materials | 24.2% |
Industrials | 20.4% |
Financials | 18.2% |
Consumer Discretionary | 15.2% |
Consumer Staples | 7.2% |
Energy | 6.4% |
Telecommunication Services | 3.3% |
Utilities | 2.9% |
Information Technology | 2.2% |
Top 10 Country Allocations |
|
Percentage of total net assets | 82.3% |
Japan | 17.7% |
Finland | 11.3% |
Ireland | 10.6% |
United Kingdom | 10.2% |
France | 9.0% |
South Africa | 6.7% |
Sweden | 4.8% |
Germany | 4.1% |
Belgium | 4.1% |
South Korea | 3.8% |
** GRAPHIC **
Average Annual Total Returns
|
| Six |
|
|
| Since | Inception |
| 1Q 2008 | Months | One Year | Five Year | Ten Year | Inception | Date |
Ordinary Shares | -2.02% | -9.30% | -8.71% | 24.43% | N/A | 9.45% | 05/15/98 |
Ordinary Shares (adjusted)(1) | -3.00% | -10.21% | -9.63% | 24.18% | N/A | 9.34% | 05/15/98 |
Institutional Shares(2) | -1.96% | -9.20% | -8.49% | 24.74% | N/A | 12.37% | 12/18/98 |
MSCI EAFE(3) | -8.82% | -7.26% | -2.27% | 21.90% | 6.56% | 6.95% | — |
1 | Reflects deduction of a 1% deferred sales charge. |
2 | Institutional Shares may only be purchased by certain categories of investors and are not subject to sales charges or distribution fees. |
3 | The Morgan Stanley Capital International Europe, Australasia, and Far East (“MSCI EAFE”) Index is an unmanaged index comprised of stocks in countries other than the United States. It is widely recognized as representative of the general market for foreign markets. Index returns assume the reinvestment of dividends and, unlike Fund returns, do not reflect any fees or expenses. You cannot invest directly in an Index. The beginning date for the Index is 6/30/98. |
Investing in foreign markets, particularly emerging markets, can be more volatile than the U.S. market due to increased risks of adverse issuer, political, regulatory, market or economic developments and can perform differently than the U.S. market.
Performance data quoted represents past performance and is no guarantee of future results and the information above does not reflect the deduction of taxes that a shareholder would pay on fund distributions or the redemption of shares. Current fund performance may be lower or higher than performance data quoted. Investment return and principal value will fluctuate so that an investor’s shares, when redeemed, may be worth more or less than original cost. For the most recent month-end performance, visit the Fund’s website at www.quantfunds.com. Before investing, carefully consider the Fund’s investment objectives, risks, charges and expenses. For this and other information obtain the Fund’s prospectus by calling (800) 326-2151 or visiting www.quantfunds.com. Please read the prospectus carefully before you invest. QUANT SMALL CAP FUND
QUANT SMALL CAP FUND
SCHEDULE OF INVESTMENTS
March 31, 2008
Common Stock — 95.0% |
|
|
| Shares | Value |
AEROSPACE & DEFENSE — 3.0% |
|
|
BE Aerospace, Inc. (a) | 124,015 | $4,334,324 |
COMMERCIAL SERVICES & SUPPLIES — 11.7% |
|
|
Acacia Research Corporation (a) | 143,854 | 827,161 |
AMN Healthcare Services, Inc. (a) | 79,639 | 1,228,033 |
Huron Consulting Group, Inc. (a) | 32,990 | 1,370,735 |
inVentiv Health, Inc. (a) | 42,635 | 1,228,314 |
Kforce Inc. (a) | 152,142 | 1,344,935 |
Life Sciences Research, Inc. (a) | 12,905 | 361,340 |
Novamerican Steel, Inc. (a) | 129,671 | 379,936 |
Sotheby’s | 179,401 | 5,186,483 |
Star Bulk Carriers Corp. | 135,130 | 1,543,185 |
Waste Connections, Inc. (a) | 110,968 | 3,411,156 |
|
| 16,881,278 |
COMMUNICATIONS EQUIPMENT — 6.8% |
|
|
Comtech Telecommunications |
|
|
Corporation (a) | 45,496 | 1,774,344 |
Comverse Technology, Inc. (a) | 68,213 | 1,050,480 |
NICE-Systems, Ltd. (a) (b) | 127,763 | 3,605,472 |
Polycom, Inc. (a) | 65,567 | 1,477,880 |
Sierra Wireless, Inc. (a) | 117,187 | 1,869,133 |
|
| 9,777,309 |
ELECTRICAL EQUIPMENT — 1.5% |
|
|
Evergreen Solar, Inc. (a) | 228,001 | 2,113,569 |
ENERGY EQUIPMENT & SERVICES — 6.7% |
|
|
Core Laboratories N.V. (a) | 60,226 | 7,184,962 |
Dawson Geophysical Company (a) | 35,962 | 2,427,435 |
|
| 9,612,397 |
FOOD PRODUCTS — 3.7% |
|
|
The Great Atlantic & Pacific Tea |
|
|
Company, Inc. (a) | 66,640 | 1,747,301 |
The Hain Celestial Group, Inc. (a) | 50,785 | 1,498,157 |
United Natural Foods, Inc. (a) | 108,534 | 2,030,671 |
|
| 5,276,129 |
HEALTH CARE EQUIPMENT & SERVICES — 10.6% |
|
|
Mentor Corporation | 43,696 | 1,123,861 |
Omnicell Inc. (a) | 150,293 | 3,020,890 |
Pet DRx Corporation (a) | 133,671 | 548,051 |
Psychiatric Solutions, Inc. (a) | 125,324 | 4,250,990 |
Schein (Henry), Inc. (a) | 55,384 | 3,179,042 |
Sunrise Senior Living, Inc. (a) | 63,951 | 1,424,828 |
ZOLL Medical Corporation (a) | 65,795 | 1,749,489 |
|
| 15,297,151 |
HOTELS, RESTAURANTS & LEISURE — 5.1% |
|
|
California Pizza Kitchen, Inc. (a) | 36,412 | 477,361 |
Great Wolf Resorts, Inc. (a) | 93,865 | 598,859 |
National CineMedia, Inc. | 29,478 | 662,665 |
Vail Resorts, Inc. (a) | 116,186 | 5,610,622 |
|
| 7,349,507 |
HOUSEHOLD DURABLES — 0.8% |
|
|
Interface, Inc. CL A | 80,390 | $1,129,480 |
LEISURE EQUIPMENT & PRODUCTS — 0.6% |
|
|
LeapFrog Enterprises, Inc. (a) | 135,742 | 956,981 |
MACHINERY — 2.4% |
|
|
Gardner Denver, Inc. (a) | 93,448 | 3,466,921 |
|
|
|
MEDIA — 3.9% |
|
|
Entercom Communications Corporation | 140,554 | 1,395,701 |
Lions Gate Entertainment Corporation (a) | 260,412 | 2,539,017 |
Regal Entertainment Group | 89,817 | 1,732,570 |
|
| 5,667,288 |
METALS & MINING — 4.0% |
|
|
Coeur d’Alene Mines Corporation (a) | 490,274 | 1,980,707 |
Hecla Mining Company (a) | 166,138 | 1,854,100 |
Lundin Mining Corporation (a) | 188,075 | 1,277,029 |
Stillwater Mining Company (a) | 44,983 | 695,887 |
|
| 5,807,723 |
OIL & GAS — 1.6% |
|
|
Natural Gas Services Group Inc. (a) | 108,340 | 2,365,062 |
PERSONAL PRODUCTS — 1.2% |
|
|
Inter Parfums, Inc. | 77,292 | 1,706,607 |
PHARMACEUTICALS — 1.7% |
|
|
American Oriental |
|
|
Bioengineering, Inc. (a) | 306,335 | 2,481,314 |
REAL ESTATE — 13.7% |
|
|
Entertainment Properties Trust | 143,480 | 7,077,868 |
FelCor Lodging Trust Inc. | 168,197 | 2,023,410 |
Grubb & Ellis Company | 192,301 | 1,321,108 |
Hersha Hospitality Trust | 372,020 | 3,359,340 |
Ventas, Inc. | 132,071 | 5,931,309 |
|
| 19,713,035 |
RETAILING — 3.7% |
|
|
GUESS?, Inc. | 99,235 | 4,016,041 |
Urban Outfitters, Inc. (a) | 40,321 | 1,264,063 |
|
| 5,280,104 |
SOFTWARE & SERVICES — 4.7% |
|
|
Blackboard, Inc. (a) | 7,323 | 243,866 |
China Finance Online Co. Limited (a) (b) | 18,187 | 252,799 |
Euronet Worldwide, Inc. (a) | 41,650 | 802,179 |
Internet Capital Group, Inc. (a) | 118,199 | 1,237,543 |
Intervoice, Inc. (a) | 90,385 | 719,465 |
Synchronoss Technologies, Inc. (a) | 53,650 | 1,074,610 |
Ulticom, Inc. (a) | 167,009 | 1,127,311 |
Verint Systems Inc. (a) | 84,715 | 1,366,453 |
|
| 6,824,226 |
TELECOMMUNICATION SERVICES — 0.3% |
|
|
Atlantic Tele-Network, Inc. | 9,922 | 335,661 |
WIRELESS TELECOMMUNICATION SERVICES — 7.3% |
|
|
Crown Castle International |
|
|
Corporation (a) | 203,273 | $ 7,010,886 |
SBA Communications Corporation (a) | 118,619 | 3,538,405 |
|
| 10,549,291 |
TOTAL COMMON STOCK |
|
|
(Cost $128,424,722) |
| 136,925,357 |
Warrants — 0.0% |
|
|
Novamerican Steel,Inc. (a) | 97,662 | 43,948 |
TOTAL WARRANTS |
|
|
(Cost $155,307) |
| 43,948 |
Short Term Investments — 8.1% |
| |
| Par Value | Value |
State Street Bank & Trust |
|
|
Repurchase Agreement 0.05%, |
|
|
4/01/08, (Dated 3/31/08), |
|
|
Collateralized by $10,945,000 par |
|
|
U.S. Treasury Bond—2%, |
|
|
1/15/2026, Market Value |
|
|
$11,950,974, Repurchase |
|
|
Proceeds $11,712,016 |
|
|
(Cost $11,712,000) | $11,712,000 | $ 11,712,000 |
TOTAL INVESTMENTS — 103.1% |
|
|
(Cost $140,292,029) (c) |
| 148,681,305 |
OTHER ASSETS & LIABILITIES (NET) — (3.1%) |
| (4,449,809) |
NET ASSETS — 100% |
| $144,231,496 |
(a) | Non-income producing security |
(b) | ADR—American Depositary Receipts |
(c) | At March 31, 2008, the unrealized appreciation of investments on aggregate cost for federal tax purposes of $140,290,615 was as follows: |
Aggregate gross unrealized appreciation for all investments in which there is an excess of value over tax cost | $23,392,392 |
Aggregate gross unrealized depreciation for all investments in which there is an excess of tax cost over value | (15,001,702) |
Net unrealized appreciation/(depreciation) | $8,390,690 |
The percentage of each investment category is calculated as a percentage of net assets. |
The accompanying notes are an integral part of these financial statements.
QUANT LONG/SHORT FUND
SCHEDULE OF INVESTMENTS
March 31, 2008
Common Stock—99.0%
Long Positions—127.9%
| Shares | Value |
AEROSPACE & DEFENSE—4.4% |
|
|
Lockheed Martin Corporation | 7,238 | $718,733 |
Raytheon Company | 1,594 | 102,988 |
The Boeing Company | 30,338 | 2,256,237 |
|
| 3,077,958 |
AIR FREIGHT & COURIER—3.6% |
|
|
FedEx Corporation | 25,893 | 2,399,504 |
United Parcel Service, Inc. | 1,596 | 116,540 |
|
| 2,516,044 |
AIRLINES—0.0% |
|
|
Delta Air Lines, Inc. (a) | 3,281 | 28,217 |
AUTOMOBILES—3.1% |
|
|
Ford Motor Company (a) | 201,677 | 1,153,592 |
TRW Automotive Holdings Corp. (a) | 44,979 | 1,051,159 |
|
| 2,204,751 |
BANKS—0.6% |
|
|
First Citizens Bancshares, Inc. | 27 | 3,763 |
The Bank of New York Mellon Corporation | 10,459 | 436,454 |
|
| 440,217 |
BEVERAGES—0.3% |
|
|
Constellation Brands, Inc. (a) | 10,265 | 181,383 |
BUILDING PRODUCTS—1.0% |
|
|
Owens Corning (a) | 37,641 | 682,431 |
USG Corporation (a) | 1,102 | 40,576 |
|
| 723,007 |
CHEMICALS—2.7% |
|
|
Ashland, Inc. | 39,689 | 1,877,290 |
Cabot Corporation | 2,442 | 68,376 |
|
| 1,945,666 |
COMMERCIAL SERVICES AND SUPPLIES—2.0% |
|
|
Allied Waste Industries, Inc. (a) | 9,551 | 103,246 |
C.H. Robinson Worldwide, Inc. | 4,331 | 235,606 |
Convergys Corporation (a) | 3,182 | 47,921 |
Manpower, Inc. | 154 | 8,664 |
MasterCard Incorporated | 2,133 | 475,638 |
MoneyGram International, Inc. | 14,861 | 27,642 |
Steelcase, Inc. | 45,952 | 508,229 |
|
| 1,406,946 |
COMMUNICATIONS EQUIPMENT—0.2% |
|
|
Motorola, Inc. | 16,011 | 148,902 |
COMPUTERS & PERIPHERALS—3.8% |
|
|
Hewlett-Packard Company | 58,469 | 2,669,695 |
CONSTRUCTION ENGINEERING—2.8% |
|
|
Jacobs Engineering Group, Inc. (a) | 16,690 | 1,228,217 |
URS Corporation (a) | 23,407 | 765,175 |
|
| 1,993,392 |
CONTAINERS & PACKAGING—0.3% |
|
|
Crown Holdings, Inc. (a) | 5,885 | $148,067 |
Pactiv Corporation (a) | 2,795 | 73,257 |
|
| 221,324 |
DISTRIBUTORS—0.1% |
|
|
WESCO International, Inc. (a) | 1,721 | 62,799 |
DIVERSIFIED FINANCIAL SERVICES—9.2% |
|
|
BlackRock, Inc. | 6,613 | 1,350,242 |
GLG Partners Inc. (a) | 15,830 | 187,902 |
JPMorgan Chase & Co. | 56,229 | 2,415,036 |
State Street Corporation | 9,943 | 785,497 |
The Charles Schwab Corporation | 82,782 | 1,558,785 |
The Nasdaq Stock Market, Inc. (a) | 5,899 | 228,055 |
|
| 6,525,517 |
DIVERSIFIED TELECOMMUNICATION SERVICES—5.2% |
|
|
AT&T Corporation | 96,900 | 3,711,270 |
ELECTRIC UTILITIES—2.6% |
|
|
Dynegy, Inc. (a) | 37,144 | 293,066 |
Reliant Energy, Inc. (a) | 66,551 | 1,573,931 |
|
| 1,866,997 |
ELECTRONIC EQUIPMENT & INSTRUMENTS—3.1% |
|
|
Arrow Electronics, Inc. (a) | 9,045 | 304,364 |
Avnet, Inc. (a) | 44,683 | 1,462,475 |
AVX Corporation | 5,379 | 68,905 |
Tech Data Corporation (a) | 7,848 | 257,414 |
Vishay Intertechnology, Inc. (a) | 16,137 | 146,201 |
|
| 2,239,359 |
ENERGY EQUIPMENT & SERVICES—2.6% |
|
|
Halliburton Company | 15,264 | 600,333 |
National Oilwell Varco, Inc. (a) | 2,115 | 123,474 |
Schlumberger Limited | 12,798 | 1,113,426 |
|
| 1,837,233 |
FOOD PRODUCTS—1.2% |
|
|
Corn Products International, Inc. | 22,008 | 817,377 |
FOOD STAPLES & DRUG RETAILING—4.0% |
|
|
Archer-Daniels-Midland Company | 23,054 | 948,903 |
Coca-Cola Enterprises, Inc. | 27,113 | 656,135 |
Rite Aid Corporation (a) | 189,251 | 556,398 |
SYSCO Corporation | 615 | 17,847 |
The Kroger Co. | 26,681 | 677,697 |
|
| 2,856,980 |
HEALTH CARE EQUIPMENT & SERVICES—5.1% |
|
|
Advanced Medical Optics, Inc. | 1,438 | 29,191 |
Humana Inc. (a) | 25,519 | 1,144,782 |
McKesson Corporation | 38,132 | 1,996,973 |
Stryker Corporation | 6,277 | 408,319 |
|
| 3,579,265 |
HEALTH CARE PROVIDERS & SERVICES—5.2% |
|
|
Cardinal Health, Inc. | 33,429 | $1,755,357 |
CIGNA Corporation | 28,066 | 1,138,638 |
Health Net, Inc. (a) | 7,919 | 243,905 |
Tenet Healthcare Corporation (a) | 84,317 | 477,234 |
WebMD Health Corp. (a) | 2,403 | 56,639 |
|
| 3,671,773 |
HOTELS, RESTAURANTS & LEISURE—1.5% |
|
|
Marriott International, Inc. | 11,147 | 383,011 |
Wyndham Worldwide Corporation | 30,766 | 636,241 |
|
| 1,019,252 |
HOUSEHOLD DURABLES—0.2% |
|
|
Newell Rubbermaid, Inc. | 48 | 1,098 |
Snap-on Incorporated | 3,052 | 155,194 |
|
| 156,292 |
HOUSEHOLD PRODUCTS—1.0% |
|
|
Procter & Gamble Company | 10,495 | 735,385 |
INDUSTRIAL CONGLOMERATES—5.6% |
|
|
General Electric Company | 83,527 | 3,091,334 |
KBR, Inc. | 27,876 | 773,001 |
Reynolds American, Inc. | 1,360 | 80,281 |
|
| 3,944,616 |
INSURANCE—4.9% |
|
|
ACE Ltd. | 19,012 | 1,046,801 |
American International Group, Inc. | 472 | 20,414 |
MetLife, Inc. | 13,066 | 787,357 |
The Travelers Companies, Inc. | 33,345 | 1,595,558 |
|
| 3,450,130 |
INTERNET SOFTWARE & SERVICES—1.3% |
|
|
Google, Inc. (a) | 2,042 | 899,440 |
IT CONSULTING & SERVICES—4.1% |
|
|
Accenture, Ltd. | 4,943 | 173,845 |
Electronic Data Systems Corporation | 47,731 | 794,721 |
Sun Microsystems, Inc. (a) | 103,282 | 1,603,970 |
Unisys Corporation (a) | 77,932 | 345,239 |
|
| 2,917,775 |
MACHINERY—3.3% |
|
|
Parker-Hannifin Corporation | 21,424 | 1,484,040 |
The Timken Company | 29,821 | 886,280 |
|
| 2,370,320 |
MARINE—0.0% |
|
|
Alexander & Baldwin, Inc. | 673 | 28,993 |
MEDIA—4.2% |
|
|
Clear Channel Outdoor Holdings, Inc. (a) | 122 | 2,319 |
Disney (Walt) Company | 22,363 | 701,751 |
Liberty Media Capital (a) | 1,414 | 22,256 |
The DIRECTV Group, Inc. (a) | 33,259 | 824,491 |
Time Warner, Inc. | 100,745 | 1,412,445 |
|
| 2,963,262 |
METALS & MINING—1.9% |
|
|
AK Steel Holding Corporation | 10,743 | 584,634 |
Freeport-McMoRan Copper & Gold, Inc. | 6,307 | 606,859 |
Nucor Corporation | 2,013 | 136,361 |
|
| 1,327,854 |
OIL & GAS—12.1% |
|
|
ChevronTexaco Corporation | 35,699 | 3,047,267 |
Devon Energy Corporation | 4,201 | 438,290 |
Exxon Mobil Corporation | 40,060 | 3,388,275 |
Occidental Petroleum Corporation | 6,290 | 460,239 |
Pioneer Natural Resources Company | 141 | 6,926 |
Plains Exploration & Production Company (a) | 15,108 | 802,839 |
The Williams Companies, Inc. | 12,095 | 398,893 |
|
| 8,542,729 |
PAPER & FOREST PRODUCTS—0.6% |
|
|
Rayonier, Inc. | 9,270 | 402,689 |
PHARMACEUTICALS & BIOTECHNOLOGY—5.6% |
|
|
AmerisourceBergen Corporation | 34,455 | 1,411,966 |
Amgen Inc. (a) | 21,479 | 897,393 |
Medco Health Solutions, Inc. (a) | 38,636 | 1,691,870 |
|
| 4,001,229 |
REAL ESTATE—4.8% |
|
|
Boston Properties, Inc. | 19,915 | 1,833,574 |
Colonial Properties Trust | 5,642 | 135,690 |
Forestar Real Estate Group, Inc. (a) | 2,790 | 69,499 |
Jones Lang LaSalle Incorporated | 16,284 | 1,259,405 |
The St. Joe Company | 1,255 | 53,877 |
|
| 3,352,045 |
RETAILING—3.7% |
|
|
Amazon.com, Inc. (a) | 5,027 | 358,425 |
Big Lots, Inc. (a) | 55,060 | 1,227,838 |
Hanesbrands, Inc. (a) | 34,440 | 1,005,648 |
Wal-Mart Stores, Inc. | 834 | 43,935 |
|
| 2,635,846 |
ROAD & RAIL—0.2% |
|
|
GATX Corporation | 999 | 39,031 |
Kansas City Southern (a) | 1,806 | 72,439 |
|
| 111,470 |
SEMICONDUCTOR EQUIPMENT—1.1% |
|
|
Atmel Corporation (a) | 6,243 | 21,726 |
Cypress Semiconductor Corporation (a) | 4,260 | 100,579 |
Texas Instruments Inc. | 23,468 | 663,440 |
|
| 785,745 |
SOFTWARE & SERVICES—5.2% |
|
|
Amdocs Limited (a) | 1,515 | 42,965 |
Computer Sciences Corporation (a) | 36,288 | 1,480,188 |
Microsoft Corporation | 69,004 | 1,958,334 |
Synopsys, Inc. (a) | 327 | 7,426 |
Yahoo! Inc. (a) | 5,468 | 158,189 |
|
| 3,647,102 |
TOBACCO — 2.4% |
|
|
Altria Group, Inc. | 23,308 | $517,437 |
Philip Morris International Inc. (a) | 23,308 | 1,178,919 |
|
| 1,696,356 |
UTILITIES — 0.9% |
|
|
Nalco Holding Company | 29,235 | 618,320 |
WIRELESS TELECOMMUNICATIONS — 0.2% |
|
|
United States Cellular Corporation (a) | 2,510 | 138,050 |
TOTAL LONG POSITIONS — 127.9% |
|
|
(Cost $93, 751, 462) (b) |
| 90,470,972 |
|
|
|
Short Positions — (28.9%) |
|
|
AIRLINES — (1.9)% |
|
|
Aircastle Limited | (10,612) | (119,385) |
Copa Holdings, S.A. | (31,659) | (1,206,524) |
|
| (1,325,909) |
BANKS — (0.2)% |
|
|
Washington Mutual, Inc | (11,732) | (120,840) |
COMMERCIAL SERVICES AND SUPPLIES — (0.3%) |
|
|
ChoicePoint, Inc. (a) | (43) | (2,047) |
Pitney Bowes, Inc. | (2,159) | (75,608) |
The Dun & Bradstreet Corporation | (676) | (55,013) |
Weight Watchers International, Inc. | (2,362) | (109,431) |
|
| (242,099) |
CONSTRUCTION & ENGINEERING — (0.7)% |
|
|
Eagle Materials, Inc. | (7,688) | (273,308) |
Louisiana-Pacific Corporation | (27,254) | (250,192) |
|
| (523,500) |
DIVERSIFIED FINANCIAL SERVICES — (1.5%) |
|
|
CapitalSource, Inc. | (13,712) | (132,595) |
INVESCO Ltd | (4,035) | (98,293) |
The Goldman Sachs Group, Inc. | (5,090) | (841,835) |
|
| (1,072,723) |
DIVERSIFIED TELECOMMUNICATION SERVICES — (1.4)% |
|
|
Windstream Corporation | (82,051) | (980,509) |
ELECTRONIC EQUIPMENT & INSTRUMENTS — (0.2)% |
|
|
Diebold, Incorporated | (3,600) | (135,180) |
Riverbed Technology, Inc. (a) | (2,518) | (37,417) |
|
| (172,597) |
ENERGY EQUIPMENT & SERVICES — (0.3%) |
|
|
TETRA Technologies, Inc. (a) | (13,953) | (221,016) |
FINANCIAL SERVICES — (0.3)% |
|
|
Federal Home Loan Mortgage Corporation | (4,413) | (111,737) |
Federal National Mortgage Association | (4,523) | (119,046) |
|
| (230,783) |
FOOD PRODUCTS — (0.1)% |
|
|
Herbalife, Ltd. | (1,499) | $(71,202) |
The J. M. Smucker Company | (554) | (28,038) |
|
| (99,240) |
HEALTH CARE EQUIPMENT & SERVICES — (0.4%) |
|
|
The Cooper Companies, Inc. | (8,004) | (275,578) |
HEALTH CARE PROVIDERS & SERVICES — (2.8%) |
|
|
LifePoint Hospitals, Inc. (a) | (21,251) | (583,765) |
Lincare Holdings, Inc. (a) | (45,053) | (1,266,440) |
Omnicare, Inc. | (6,989) | (126,920) |
|
| (1,977,125) |
HOTELS, RESTAURANTS & LEISURE — (0.0%) |
|
|
International Speedway Corporation | (710) | (29,252) |
HOUSEHOLD DURABLES — (4.2%) |
|
|
Centex Corporation | (28,127) | (680,955) |
D.R. Horton, Inc. | (33,125) | (521,719) |
KB Home | (28,534) | (705,646) |
Lennar Corporation | (6,241) | (117,393) |
The Ryland Group, Inc. | (28,561) | (939,371) |
|
| (2,965,084) |
INSURANCE — (0.4%) |
|
|
Leucadia National Corporation | (248) | (11,215) |
Nationwide Financial Services, Inc. | (768) | (36,311) |
The PMI Group, Inc. | (36,434) | (212,046) |
|
| (259,572) |
INTERNET & CATALOG RETAIL — (0.0%) |
|
|
Coldwater Creek, Inc. (a) | (5,308) | (26,805) |
INVESTMENT SERVICES — (0.6%) |
|
|
Merrill Lynch & Company, Inc. | (9,592) | (390,778) |
MACHINERY — (0.0%) |
|
|
Oshkosh Corporation | (166) | (6,022) |
MEDIA — (2.8%) |
|
|
Central European Media |
|
|
Enterprises, Ltd. (a) | (15,347) | (1,308,025) |
CTC Media, Inc. (a) | (5,357) | (148,657) |
DreamWorks Animation SKG, Inc. (a) | (7,139) | (184,043) |
Harte-Hanks, Inc. | (16,107) | (220,183) |
Hearst-Argyle Television, Inc. | (105) | (2,166) |
Idearc, Inc. | (25,836) | (94,043) |
|
| (1,957,117) |
OFFICE ELECTROINCIS — (1.3%) |
|
|
Zebra Technologies Corporation (a) | (27,972) | (932,027) |
OIL & GAS — (1.5%) |
|
|
Newfield Exploration Company (a) | (4,429) | (234,073) |
Teekay Corporation | (18,765) | (796,949) |
|
| (1,031,022) |
PHARMACEUTICAL & BIOTECHNOLOGY — (1.4%) |
|
|
APP Pharmaceuticals, Inc. (a) | (335) | $(4,047) |
Mylan, Inc. | (83,161) | (964,668) |
PDL BioPharma, Inc. (a) | (3,975) | (42,095) |
|
| (1,010,810) |
REAL ESTATE — (1.0%) |
|
|
Brandywine Realty Trust | (6,578) | (111,563) |
Forest City Enterprises, Inc. | (15,923) | (585,966) |
|
| (697,529) |
RETAILING — (1.5%) |
|
|
Advance Auto Parts, Inc. | (13,455) | (458,143) |
Circuit City Stores, Inc. | (120,324) | (478,890) |
Copart, Inc (a) | (1,502) | (58,218) |
J. C. Penney Company, Inc. | (830) | (31,299) |
|
| (1,026,550) |
SEMICONDUCTOR EQUIPMENT — (2.1%) |
|
|
Linear Technology Corporation | (47,334) | (1,452,680) |
SOFTWARE & SERVICES — (1.1%) |
|
|
Fair Isaac Corporation | (31,893) | (686,337) |
Red Hat, Inc. (a) | (2,931) | (53,901) |
|
| (740,238) |
TEXTILES AND APPAREL — (0.7%) |
|
|
Jones Apparel Group, Inc. | (37,304) | (500,620) |
TRADING COMPANIES & DISTRIBUTORS — (0.2%) |
|
|
MSC Industrial Direct Co., Inc. | (3,811) | (161,015) |
TOTAL SHORT POSITIONS (28.9%) |
|
|
(Proceeds $22,147,440) (b) |
| (20,429,040) |
TOTAL LONG POSITIONS 127.9% |
| $90,470,972 |
TOTAL SHORT POSITIONS (28.9%) |
| (20,429,040) |
TOTAL LONG + SHORT 99.0% |
| $70,041,932 |
OTHER ASSETS & LIABILITIES (NET) — 1.0% |
| 734,239 |
NET ASSETS — 100% |
| $70,776,171 |
(a) | Non-Income producing security |
(b) | At March 31, 2008, the unrealized appreciation of investments based on aggregate cost for federal tax purposes of $72,420,251 was as follows: |
Aggregate gross unrealized appreciation for all investments in which there is an excess of value over tax cost | $6,412,058 |
Aggregate gross unrealized depreciation for all investments in which there is an excess of tax cost over value | (8,790,377) |
Net unrealized appreciation/(depreciation) | $(2,378,319) |
The percentage of each investment category is calculated as a percentage of net assets. | |||
|
|
|
|
All long security holdings are held as collateral for short security positions. |
The accompanying notes are an integral part of these financial statements.
QUANT EMERGING MARKETS FUND
SCHEDULE OF INVESTMENTS
March 31, 2008
Common Stock — 85.2%
BRAZIL — 9.5% | Shares | Values |
Companhia de Saneamento Basico de Estado de Sao Paolo-SABESP | 459,000 | $10,151,796 |
Gerdau SA (a) | 282,087 | 8,623,400 |
Petroleo Brasileiro SA (a) | 193,718 | 16,405,977 |
Unibanco-Uniao de Bancos Brasileiros SA (b) | 80,031 | 9,334,816 |
Usinas Siderurgicas de Minas Gerais SA (c) | 104,400 | 5,865,150 |
|
| 50,381,139 |
CHINA—14.3% |
|
|
Angang Steel Company Limited | 2,995,000 | 6,811,760 |
Chaoda Modern Argriculture (Holdings) Limited | 10,400,400 | 11,800,489 |
China Life Insurance Co., Limited | 1,004,000 | 3,451,014 |
China Mobile Limited | 1,222,000 | 18,183,145 |
China Petroleum and Chemical Corporation (Sinopec) | 10,592,000 | 9,050,839 |
China Shipping Development Company, Ltd. | 4,106,000 | 12,899,921 |
Hopson Development Holdings Limited | 3,546,000 | 5,467,757 |
Jiangxi Copper Company Limited | 1,227,000 | 2,314,514 |
Petrochina Company Limited | 2,980,000 | 3,710,473 |
Shenzhen Investment Limited | 5,966,000 | 2,522,136 |
|
| 76,212,048 |
CZECH REPUBLIC—2.5% |
|
|
Ceske Energeticke Zavody (CEZ) | 175,671 | 13,380,314 |
HUNGARY—1.3% |
|
|
MOL Hungarian Oil and Gas Nyrt. | 17,400 | 2,275,301 |
OTP Bank Nyrt. | 117,984 | 4,845,964 |
|
| 7,121,265 |
INDIA—2.5% |
|
|
Infosys Technologies Limited (a) | 79,400 | 2,840,138 |
Mahindra & Mahindra Ltd. (b) | 118,400 | 1,977,280 |
State Bank of India (b) | 96,077 | 8,502,815 |
|
| 13,320,233 |
ISRAEL—1.8% |
|
|
Partner Communications Company Ltd. | 438,714 | 9,689,160 |
MALAYSIA—1.4% |
|
|
Bumiputra-Commerce Holdings Bhd | 2,337,700 | 7,272,195 |
MEXICO—6.7% |
|
|
America Movil SAB de CV | 2,074,410 | 6,615,164 |
Consorcio Ara S.A. de CV | 4,496,400 | 4,585,013 |
Controladora Comercial Mexicana SA de CV | 1,485,700 | 4,192,747 |
Grupo Mexico SAB de CV | 1,639,600 | 10,896,735 |
Telefonos De Mexico SAB |
|
|
de CV (Telmex) | 4,935,500 | 9,331,974 |
|
| 35,621,633 |
PHILIPPINES—0.7% |
|
|
First Philippine Holdings Corporation | 2,662,800 | 2,613,713 |
Petron Corporation | 7,805,598 | 1,065,164 |
|
| 3,678,877 |
POLAND—1.0% |
|
|
Globe Trade Centre S.A. (c) | 307,133 | 5,167,613 |
RUSSIA—9.2% |
|
|
Gazprom (a) | 425,627 | 21,706,977 |
JSC MMC Norilsk Nickel (a) | 351,000 | 9,880,650 |
LUKoil (a) | 62,900 | 5,396,820 |
SISTEMA JSFC (b) | 198,426 | 6,369,475 |
Tatneft (b) | 44,546 | 5,790,980 |
|
| 49,144,902 |
SOUTH AFRICA—5.7% |
|
|
African Bank Investments Limited | 2,543,940 | 8,326,190 |
MTN Group Limited | 609,120 | 9,201,321 |
Nampak Limited | 912,654 | 1,838,198 |
Sasol Ltd. | 37,525 | 1,790,739 |
Standard Bank Group Limited | 374,213 | 4,053,495 |
Steinhoff International Holdings Limited | 619,758 | 1,377,663 |
Tiger Brands Limited | 236,093 | 3,870,852 |
|
| 30,458,458 |
SOUTH KOREA—11.6% |
|
|
Daelim Industrial Co., Ltd. | 75,710 | 9,670,636 |
Dongbu Insurance Co., Ltd. | 125,500 | 4,815,469 |
GS Engineering & Construction Corp. | 53,150 | 7,781,845 |
Hyundai Marine & Fire Insurance, Co., Ltd. | 364,380 | 7,689,748 |
Hyundai Heavy Industries Co., Ltd. | 36,260 | 13,565,235 |
Hyundai Mipo Dockyard Co., Ltd. | 19,340 | 4,345,080 |
Samsung Electronics Co., Ltd. | 2,990 | 1,880,921 |
Shinhan Financial Group Co., Ltd. | 118,320 | 6,248,433 |
SK Holdings Co., Ltd. | 14,320 | 2,053,254 |
SK Energy Co., Ltd. | 35,059 | 3,610,863 |
|
| 61,661,484 |
TAIWAN—11.1% |
|
|
AU Optronics Corp. | 2,663,262 | 4,620,020 |
China Steel Corporation | 6,142,920 | 9,705,892 |
D-Link Corporation | 2,528,784 | 4,170,315 |
Delta Electronics Inc. | 1,154,493 | 3,412,613 |
MediaTek Incorporation | 343,087 | 4,517,349 |
Nan Ya Plastics Corporation | 3,434,000 | 8,534,275 |
Powertech Technology Inc. | 2,589,900 | 9,292,421 |
Siliconware Precision Industries Company | 3,207,349 | 5,384,381 |
Unimicron Technology Corp. | 6,634,000 | 9,171,579 |
|
| 58,808,845 |
THAILAND—3.1% |
|
|
PTT Aromatics and Refining |
|
|
Public Company Limited | 10,342,939 | 12,401,015 |
PTT Public Company Limited | 385,100 | 3,865,066 |
|
| 16,266,081 |
TURKEY—2.8% |
|
|
Turkcell Iletisim Hizmetleri AS | 364,889 | 3,045,085 |
Turkiye Garanti Bankasi AS | 607,435 | 2,740,102 |
Turkiye Sise ve Cam Fabrikalari AS | 3,138,678 | 3,893,556 |
Yapi ve Kredi Bankasi AS | 2,662,323 | 5,164,118 |
|
| 14,842,861 |
TOTAL COMMON STOCK |
|
|
(Cost $361,625,202) |
| 453,027,108 |
Preferred Stock—5.5% |
|
|
BRAZIL—5.5% |
|
|
Banco Bradesco SA (a) | 430,166 | 11,941,408 |
Companhia Vale do Rio Doce (a) | 605,452 | 17,648,926 |
|
| 29,590,334 |
TOTAL PREFERRED STOCK |
|
|
(Cost $15,531,346) |
| 29,590,334 |
Exchange Traded Funds—5.8% |
|
|
OTHER—5.8% |
|
|
iShares MSCI Emerging Market Index Fund | 116,190 | 15,613,612 |
Vanguard Emerging Markets ETF | 159,900 | 15,035,397 |
TOTAL EXCHANGE TRADED FUNDS |
|
|
(Cost $30,334,788) |
| 30,649,009 |
Short Term Investments—2.8%
| Par Value | Value |
State Street Bank & Trust Repurchase Agreement 0.05%, 4/01/08, (Dated 3/31/08), Collateralized by $13,740,000 par U.S. Treasury Bond—2%, 1/15/2026, Market Value $15,002,868, Repurchase Proceeds $14,706,020 |
|
|
(Cost $14,706,000) | $14,706,000 | $14,706,000 |
TOTAL INVESTMENTS—99.3% |
|
|
(Cost $422,197,336) (d) |
| 527,972,451 |
OTHER ASSETS & LIABILITIES (Net)—0.7% |
| 3,990,058 |
NET ASSETS—100% |
| $531,962,509 |
(a) | ADR—American Depositary Receipts |
(b) | GDR—Global Depositary Receipts |
(c) | Non-income producing security. |
(d) | At March 31, 2008, the unrealized appreciation of investments based on aggregate cost for federal tax purposes of $422,205,601 was as follows: |
Aggregate gross unrealized appreciation for all investments in which there is an excess of value over tax cost | $136,340,454 |
Aggregate gross unrealized depreciation for all investments in which there is an excess of tax cost over value | (30,573,604) |
Net unrealized appreciation/(depreciation) | $105,766,850 |
The percentage of each investment category is calculated as a percentage of net assets.
SECTOR ALLOCATIONS |
|
(as a percentage of Total Common, |
|
Preferred Stock, and Exchange Traded Funds) |
|
Financials | 19.0% |
Energy | 17.4% |
Materials | 16.0% |
Telecommunication Services | 12.1% |
Industrials | 9.4% |
Information Technology | 8.8% |
Exchange Traded Funds | 6.0% |
Utilities | 5.1% |
Consumer Staples | 3.9% |
Consumer Discretionary | 2.3% |
The accompanying notes are an integral part of these financial statements.
QUANT FOREIGN VALUE FUND
SCHEDULE OF INVESTMENTS
March 31, 2008
Common Stock — 97.8% |
|
|
| Shares | Value |
AUSTRALIA — 1.9% |
|
|
BHP Billiton Ltd. | 523,850 | $ 17,129,849 |
AUSTRIA — 1.9% |
|
|
Andritz AG | 324,460 | 17,829,248 |
BELGIUM — 4.1% |
|
|
KBC Groep N.V. | 146,356 | 18,999,072 |
Solvay S.A. | 144,780 | 18,492,455 |
|
| 37,491,527 |
CANADA — 1.9% |
|
|
Methanex Corporation | 650,607 | 17,074,835 |
CROATIA — 0.0% |
|
|
Hrvatske telekomunikacije dd (b) | 1,584 | 111,842 |
FINLAND — 11.3% |
|
|
Cargotec Corp., Class B (d) | 462,050 | 22,702,666 |
Kone Corporation OYJ-B | 609,600 | 25,039,082 |
Konecranes OYJ (d) | 632,380 | 24,385,694 |
UPM-Kymmene OYJ (d) | 436,580 | 7,762,176 |
Yit OYJ (d) | 854,500 | 24,267,627 |
|
| 104,157,245 |
FRANCE — 9.0% |
|
|
Christian Dior S.A. | 164,673 | 18,246,078 |
Compagnie de Saint Gobain S.A. | 224,620 | 18,335,211 |
Imerys S.A. | 257,598 | 23,648,904 |
Tecnip S.A. | 296,600 | 23,123,279 |
|
| 83,353,472 |
GERMANY — 4.1% |
|
|
Continental AG | 155,337 | 15,856,501 |
Hannover Rueckvers | 240,500 | 12,550,450 |
Muenchener Ruckvers AG | 48,700 | 9,534,487 |
|
| 37,941,438 |
IRELAND — 10.6% |
|
|
Anglo Irish Bank Corporation plc | 1,527,922 | 20,525,194 |
Bank of Ireland | 1,636,139 | 24,350,824 |
CRH PLC | 477,498 | 18,100,093 |
Greencore Group PLC | 3,566,889 | 21,085,904 |
Smurfit Kappa PLC (b) | 1,141,000 | 13,740,666 |
|
| 97,802,681 |
ITALY — 0.5% |
|
|
Trevi Finanziaria Industriale | 247,093 | 4,994,570 |
JAPAN — 17.7% |
|
|
Asahi Breweries Ltd. | 1,087,100 | 22,371,225 |
Culture Convenience Club Co., Ltd. | 1,069,100 | 5,096,050 |
Iino Kaiun Kaisha | 1,771,600 | 17,918,246 |
Kansai Electric Power Company Inc. | 630,300 | 15,653,355 |
KDDI Corporation | 2,356 | 14,368,156 |
Maruichi Steel Tube Ltd. | 587,600 | 19,417,985 |
Meiji Dairies Corporation | 3,517,000 | 21,131,584 |
Nippon Yusen Kabushiki Kaisha | 1,963,000 | 18,399,439 |
Showa Denko K.K. | 5,524,000 | 18,586,661 |
Tokyo Electric Power Company Inc. | 398,400 | 10,632,245 |
|
| 163,574,946 |
MEXICO — 2.2% |
|
|
Cemex S.A. de CV (a) | 778,025 | $ 20,322,013 |
NORWAY — 3.2% |
|
|
Camillo Eitzen & Co. ASA (b) | 821,479 | 10,014,589 |
DNB Holding ASA | 1,296,323 | 19,703,243 |
Eitzen Maritime Services ASA (b) | 231,851 | 109,868 |
|
| 29,827,700 |
SOUTH AFRICA — 6.7% |
|
|
Impala Platinum Holdings Ltd. | 435,465 | 16,739,398 |
Metorex Ltd. (b) | 4,759,918 | 12,211,813 |
Sappi Ltd. | 1,363,183 | 15,387,184 |
Sasol Ltd. | 354,935 | 16,937,930 |
|
| 61,276,325 |
SOUTH KOREA — 3.8% |
|
|
Samsung Electronics Company Ltd. | 31,785 | 19,995,007 |
SK Telecom Company Ltd. | 78,593 | 14,800,418 |
|
| 34,795,425 |
SPAIN — 2.0% |
|
|
Banco Bilbao Vizcaya Argentaria | 831,746 | 18,337,161 |
|
|
|
SWEDEN — 4.8% |
|
|
Autoliv Inc. (b) | 385,434 | 19,348,787 |
Duni AB (b) | 568,400 | 4,497,858 |
Investor AB | 899,856 | 20,263,785 |
|
| 44,110,430 |
THAILAND — 1.9% |
|
|
Thai Oil Plc | 8,032,900 | 17,859,393 |
UNITED KINGDOM — 10.2% |
|
|
Barratt Developments PLC | 2,267,039 | 18,612,948 |
Bellway PLC | 1,099,930 | 19,502,808 |
Lloyds TSB Group PLC | 2,268,727 | 20,316,057 |
Persimmon PLC | 1,157,911 | 17,588,033 |
Taylor Wimpey PLC | 4,907,051 | 18,268,483 |
|
| 94,288,329 |
TOTAL COMMON STOCK |
|
|
(Cost $931,762,696) |
| 902,278,429 |
Short Term Investments—0.3% |
|
|
| Par Value | Value |
United States—0.3% |
|
|
General Electric Capital Corporation Commercial Paper,Yield of 2.2%,Maturing on 4/01/2008 (Cost $2,208,000) | $ 2,208,000 | $ 2,208,000 |
TOTAL SHORT TERM INVESTMENTS—0.3% |
|
|
(Cost $2,208,000) |
| 2,208,000 |
COLLATERAL HELD ON SECURITY LOANS—8.7% |
|
|
U.S. Treasury Bond (2.375% interest rate; maturity date 01/15/2025) | $32,575,000 | $ 39,639,489 |
U.S. Treasury Bond (4.25% interest rate; maturity date 8/15/2014) | 4,200,000 | 4,598,275 |
U.S. Treasury Bond (8.00% interest rate; maturity date 11/15/2021) | 65,600,000 | 35,826,784 |
TOTAL COLLATERAL ON SECURITY LOANS |
|
|
(Cost $80,064,548) |
| $ 80,064,548 |
TOTAL INVESTMENTS—106.8% |
|
|
(Cost $1,014,035,244) (c) |
| $984,550,977 |
OTHER ASSETS & LIABILITIES (NET)—(6.8%) |
| (62,416,307) |
NET ASSETS—100% |
| $922,134,670 |
(a) | ADR—American Depository Receipts |
| (b) | Non-income producing security |
(c) | At March 31, 2008, the unrealized appreciation of investments based on aggregate cost for federal tax purposes of $1,014,536,849 was as follows: |
Aggregate gross unrealized appreciation for all investments in which there is an excess of value over tax cost | $75,904,504 |
Aggregate gross unrealized depreciation for all investments in which there is an excess of tax cost over value | (105,890,376) |
Net unrealized appreciation/(depreciation) | $(29,985,872) |
(d) Four Finnish securities were on loan at fiscal year end. As of March 31, 2008 the market value of the securities on loan was $78,326,945. The collateral received consisted of U.S. Treasury bonds in the amount of $80,064,548.
The percentage of each investment category is calculated as a percentage of net assets.
SECTOR ALLOCATIONS |
|
(as a percentage of Total Common and Preferred Stock) |
|
Materials | 24.2% |
Industrials | 20.4% |
Financials | 18.2% |
Consumer Discretionary | 15.2% |
Consumer Staples | 7.2% |
Energy | 6.4% |
Telecommunication Services | 3.3% |
Utilities | 2.9% |
Information Technology | 2.2% |
The accompanying notes are an integral part of these financial statements.
QUANT FUNDS
STATEMENT OF ASSETS AND LIABILITIES
March 31, 2008
|
|
| Emerging | Foreign |
| Small Cap | Long/Short | Markets | Value |
Assets: |
|
|
|
|
Investments at value (Note 2) | $136,969,305 | $90,470,972 | $513,266,451 | $982,342,977 |
Repurchase agreements/commercial paper | 11,712,000 | — | 14,706,000 | 2,208,000 |
Foreign currency at value (Cost $1,952,876 for Emerging Markets and $1,111,015 for Foreign Value) | — | — | 1,972,549 | 1,109,964 |
Cash | 1,562 | 873,247 | 1,554 | 621 |
Dividends, interest and foreign tax reclaims receivable | 229,852 | 75,326 | 1,669,668 | 7,408,690 |
Receivable for investments sold | 2,032,619 | — | 2,541,848 | 8,895,041 |
Receivable for shares of beneficial interest sold | 99,417 | 5,726 | 2,079,651 | 3,086,043 |
Unrealized gain/(loss) on forward foreign currency contracts (Note 2) | — | — | 17,339 | 36,672 |
Other assets | 13,863 | 7,527 | 7,239 | 22,387 |
Total assets | 151,058,618 | 91,432,798 | 536,262,299 | $1,005,110,395 |
Liabilities: |
|
|
|
|
Securities sold short, at value (proceeds of $22,147,440) | — | 20,429,040 | — | — |
Payable for investments purchased | 6,209,521 | — | 2,645,110 | — |
Payable for shares of beneficial interest repurchased | 412,930 | 100,090 | 632,917 | 1,724,143 |
Payable to broker on securities sold short | — | 9,342 | — | — |
Payable for compensation of Manager (Note 3) | 121,447 | 60,272 | 447,961 | 762,790 |
Payable for distribution fees (Note 3) | 25,347 | 14,974 | 103,575 | 161,959 |
Payable to custodian | 4,584 | — | 47,132 | 74,171 |
Payable to transfer agent (Note 3) | 14,393 | 11,225 | 72,623 | 141,602 |
Payable for collateral received for securities loaned | — | — | — | 80,064,548 |
Payable for foreign capital gain tax | — | — | 298,773 | — |
Payable for dividend expense on securities sold short | — | 31,415 | — | — |
Other accrued expenses | 38,900 | 269 | 51,699 | 46,512 |
Total liabilities | 6,827,122 | 20,656,627 | 4,299,790 | 82,975,725 |
Net Assets | $144,231,496 | $70,776,171 | $531,962,509 | $922,134,670 |
Net Assets Consist Of: |
|
|
|
|
Shares of beneficial interest | $135,418,716 | $73,154,485 | $423,400,154 | $888,576,767 |
Underdistributed/(overdistributed) net investment income | — | — | 1,158,902 | 4,568,838 |
Accumulated net realized gain/(loss) on investments and foreign denominated assets, liabilities and currency | 423,503 | (816,224) | 1,943,601 | 58,443,853 |
Unrealized appreciation/(depreciation) of investments and foreign denominated assets, liabilities and currency | 8,389,277 | (1,562,090) | 105,459,852 | (29,454,788) |
Net assets | $144,231,496 | $70,776,171 | $531,962,509 | $922,134,670 |
Investments at cost | $140,292,029 | $93,751,462 | $422,197,336 | $1,014,035,244 |
Net assets |
|
|
|
|
Ordinary Shares | $119,949,015 | $69,767,333 | $491,461,537 | $781,135,403 |
Institutional Shares | $24,282,481 | $1,008,838 | $40,500,972 | $140,999,267 |
Shares of beneficial interest outstanding (Unlimited number of shares authorized) |
|
|
|
|
Ordinary Shares | 6,165,963 | 4,958,086 | 18,175,858 | 39,309,823 |
Institutional Shares | 1,110,830 | 68,583 | 1,475,156 | 7,056,997 |
Net asset value and offering price per share* |
|
|
|
|
Ordinary Shares | $19.45 | $14.07 | $27.04 | $19.87 |
Institutional Shares | $21.86 | $14.71 | $27.46 | $19.98 |
* | A deferred sales charge of 1% of the net asset value of the Ordinary Shares redeemed is withheld and paid to the Distributor. No deferred sales charge is withheld from redemptions of Institutional Shares. A redemption fee of 2% is withheld and paid to the Funds on redemptions of Institutional Shares made within 60 days of purchase. This fee was eliminated on July 29, 2007. |
The accompanying notes are an integral part of these financial statements.
STATEMENT OF OPERATIONS
Year Ended March 31, 2008
|
|
| Emerging | Foreign |
| Small Cap | Long/Short | Markets | Value |
Investment Income: |
|
|
|
|
Dividends* | $2,964,121 | $1,271,198 | $11,678,349 | $25,643,482 |
Interest | 116,956 | — | 167,468 | 1,193,756 |
Miscellaneous | — | — | 92 | — |
Total Investment Income | 3,081,077 | 1,271,198 | 11,845,909 | 26,837,238 |
Expenses: |
|
|
|
|
Dividend expense on securities sold short | — | 174,299 | — | — |
Stock loan fees** | — | 121,875 | — | — |
Compensation of Manager (Note 3) | 1,645,633 | 794,439 | 4,714,091 | 11,137,740 |
Distribution fees, Ordinary Shares (Note 3) | 403,387 | 362,263 | 1,106,897 | 2,409,377 |
Custodian and fund accounting fees | 59,347 | 51,720 | 562,641 | 922,060 |
Transfer agent fees (Note 3): |
|
|
|
|
Ordinary Shares | 233,537 | 133,511 | 716,697 | 1,573,417 |
Institutional Shares | 40,774 | 2,180 | 46,006 | 244,680 |
Audit and legal | 21,368 | 10,589 | 61,670 | 142,923 |
Registration fees | 57,719 | 36,728 | 100,052 | 149,789 |
Insurance | 12,159 | 5,961 | 33,923 | 82,132 |
Compensation of Trustees (Note 3) | 4,539 | 2,253 | 11,807 | 31,303 |
Printing | 26,187 | 12,723 | 76,969 | 173,242 |
Miscellaneous | 38,537 | 23,067 | 74,718 | 163,108 |
Total expenses before waivers/reimbursements/reductions | 2,543,187 | 1,731,608 | 7,505,471 | 17,029,771 |
Waivers and/or reimbursements of expenses (Note 3) | — | — | — | — |
Fees reduced by credits allowed by custodian (Note 3) | (3,112) | (45,535) | (2,505) | (1,592) |
Expenses, net | 2,540,075 | 1,686,073 | 7,502,966 | 17,028,179 |
Net investment income/(loss) | 541,002 | (414,875) | 4,342,943 | 9,809,059 |
Realized and Unrealized Gain/(loss) on Investments, Foreign Currency, and Foreign Translation: |
|
|
|
|
Net realized gain/(loss) (Note 2) on: |
|
|
|
|
Investments | 3,687,730 | (4,999,904) | 14,413,210 | 114,814,315 |
Securities sold short transactions | — | 5,708,816 | — | — |
Foreign denominated assets, liabilities, and currency | — | — | (181,837) | (459,159) |
Change in unrealized appreciation/(depreciation) of: |
|
|
|
|
Investments | (32,356,469) | (14,656,597) | 25,774,600 | (250,172,571) |
Securities sold short transactions | — | 2,272,511 | — | — |
Foreign denominated assets, liabilities, and currency | — | — | (196,832) | (4,851) |
|
|
| — | — |
Net realized and unrealized gain/(loss) | (28,668,739) | (11,675,174) | 39,809,141 | (135,822,266) |
Net increase/(decrease) in net assets from operations | $(28,127,737) | $(12,090,049) | $44,152,084 | $(126,013,207) |
* | Dividends are net of foreign withholding taxes of $1,149,135 for Emerging Markets Fund and $2,259,697 for Foreign Value Fund. |
** | Stock loan fees of $150,008 are offset by credit for balances of ($28,133) on cash collateral for short sale borrowings at Morgan Stanley, Long/Short Fund’s prime broker. |
The accompanying notes are an integral part of these financial statements.
STATEMENT OF CHANGES IN NET ASSETS
| Small Cap | Long/Short | ||
| Year Ended | Year Ended | Year Ended | Year Ended |
| March 31, 2008 | March 31, 2007 | March 31, 2008 | March 31, 2007 |
Increase (Decrease) in Net Assets: |
|
|
|
|
Operations: |
|
|
|
|
Net investment income/(loss) | $541,002 | $(877,213) | $(414,875) | $(87,678) |
Net realized gain/(loss) on investments foreign denominated assets, liabilities, and currency | 3,687,730 | 8,372,277 | 708,912 | 4,596,528 |
Unrealized appreciation/(depreciation) of investments, foreign denominated assets, liabilities, and currency | (32,356,469) | 6,011,039 | (12,384,086) | 5,377,165 |
Net increase/(decrease) from operations | (28,127,737) | 13,506,103 | (12,090,049) | 9,886,015 |
Distributions to shareholders from: |
|
|
|
|
Net investment income |
|
|
|
|
Ordinary Shares | (695,910) | — | — | (110,630) |
Institutional Shares | (212,209) | — | — | (6,451) |
Net realized gains |
|
|
|
|
Ordinary Shares | (5,163,768) | (8,077,132) | (2,784,569) | — |
Institutional Shares | (912,696) | (737,056) | (40,493) | — |
Total Distributions | (6,984,583) | (8,814,188) | (2,825,062) | (117,081) |
Fund share transactions (Note 8) | 41,945,963 | 21,528,547 | 9,036,626 | 5,925,852 |
Increase/(decrease) in net assets | 6,833,643 | 26,220,462 | (5,878,485) | 15,694,786 |
Net assets beginning of period | 137,397,853 | 111,177,391 | 76,654,656 | 60,959,870 |
Net assets end of period* | $144,231,496 | $137,397,853 | $70,776,171 | $76,654,656 |
* Includes undistributed net investment income/(loss) of: | $— | $— | $— | $— |
| Emerging Markets | Foreign Value | ||
| Year Ended | Year Ended | Year Ended | Year Ended |
| March 31, 2008 | March 31, 2007 | March 31, 2008 | March 31, 2007 |
Increase (Decrease) in Net Assets: |
|
|
|
|
Operations: |
|
|
|
|
Net investment income/(loss) | $4,342,943 | $1,484,658 | $9,809,059 | $5,525,023 |
Net realized gain/(loss) on investments foreign |
|
|
|
|
denominated assets, liabilities, and currency | 14,231,373 | 3,615,540 | 114,355,156 | 2,473,554 |
Unrealized appreciation/(depreciation) of investments, |
|
|
|
|
foreign denominated assets, liabilities, and currency | 25,577,768 | 36,634,441 | (250,177,422) | 123,433,501 |
Net increase/(decrease) from operations | 44,152,084 | 41,734,639 | (126,013,207) | 131,432,078 |
Distributions to shareholders from: |
|
|
|
|
Net investment income |
|
|
|
|
Ordinary Shares | (2,737,870) | (2,130,462) | (8,306,521) | (1,794,854) |
Institutional Shares | (245,672) | (68,884) | (1,625,215) | (448,687) |
Net realized gains |
|
|
|
|
Ordinary Shares | (13,996,034) | (4,665,791) | (47,842,406) | (27,366,385) |
Institutional Shares | (912,227) | (124,122) | (7,292,444) | (3,849,548) |
Total Distributions | (17,891,803) | (6,989,259) | (65,066,586) | (33,459,474) |
Fund share transactions (Note 8) | 216,245,548 | 108,916,113 | 219,910,761 | 322,745,234 |
Increase/(decrease) in net assets | 242,505,829 | 143,661,493 | 28,830,968 | 420,717,838 |
Net assets beginning of period | 289,456,680 | 145,795,187 | 893,303,702 | 472,585,864 |
Net assets end of period* | $531,962,509 | $289,456,680 | $922,134,670 | $893,303,702 |
* Includes undistributed net investment income/(loss) of: | $1,158,902 | $— | $4,568,838 | $4,871,970 |
The accompanying notes are an integral part of these financial statements.
QUANT LONG/SHORT FUND
STATEMENT OF CASH FlOWS
Year Ended March 31, 2008
Increase (Decrease) in cash— |
|
Cash flows from operating activities: |
|
Net increase/(decrease) in net assets from operations | $(12,090,049) |
Purchase of investment securities | (185,098,966) |
Sale of investment securities | 172,725,467 |
Decrease in deposits with brokers for short sales | 1,199,458 |
Increase in dividends and interest receivable | (18,937) |
Decrease in accrued expenses | (39,799) |
Increase in securities sold short | 538,965 |
Increase in dividends payable for securities sold short | 31,415 |
Unrealized appreciation on securities | 12,384,086 |
Net realized gains from investments | 4,999,904 |
Net cash used in operating activities | 6,721,593 |
Cash flows from financing activities: |
|
Proceeds from shares sold | 15,485,545 |
Payment on shares redeemed | (9,129,753) |
Cash distributions paid | (199,238) |
Net cash provided by financing activities | 6,156,554 |
|
|
Net increase/(decrease) in cash | 788,098 |
|
|
Cash: |
|
Beginning balance—04/01/07 | 85,149 |
Ending balance—03/31/08 | $873,247 |
Supplemental disclosure of cash flow information:
Noncash financing activities that are excluded consist of reinvestment of dividend and capital gain distributions of $2,625,824. For purposes of reporting the statement of cash flows, the Fund considers all cash accounts that are not subject to withdrawal restrictions or penalties to be cash equivalents. Securities and Exchange Commission regulations do not require cash flow statements for Small Cap, Emerging Markets and Foreign Value Funds.
The accompanying notes are an integral part of these financial statements.
QUANT SMALL CAP FUND
FINANCIAL HIGHLIGHTS
(For a share outstanding throughout each period)
| Ordinary Shares | ||||
| Years Ending March 31, | ||||
| 2008 | 2007 | 2006 | 2005 | 2004 |
|
|
|
|
|
|
Net Asset Value, Beginning of Period | $23.88 | $22.99 | $21.13 | $19.93 | $12.44 |
Income from Investment Operations: |
|
|
|
|
|
Net investment income (loss) (a)(b)(c) | 0.07 | (0.19) | (0.22) | (0.24) | (0.19) |
Net realized and unrealized gain/(loss) on securities | (3.56) | 2.91 | 5.16 | 2.18 | 7.68 |
Total from Investment Operations | (3.49) | 2.72 | 4.94 | 1.94 | 7.49 |
Less Distributions: |
|
|
|
|
|
Dividends from net investment income | (0.11) | — | — | — | — |
Distributions from realized capital gains | (0.83) | (1.83) | (3.08) | (0.74) | — |
Total Distributions | (0.94) | (1.83) | (3.08) | (0.74) | — |
Net Asset Value, End of Period | $19.45 | $23.88 | $22.99 | $21.13 | $19.93 |
Total Return (d) | (15.17)% | 12.01% | 24.51% | 9.76% | 60.21% |
Net Assets, End of Period (000’s) | $119,949 | $124,998 | $98,879 | $80,199 | $69,851 |
Ratios and Supplemental Data: |
|
|
|
|
|
Ratios of expenses to average net assets: (e) |
|
|
|
|
|
Gross | 1.59%* | 1.82% | 1.88% | 1.98% | 2.00% |
Net | 1.59%* | 1.82% | 1.88% | 1.98% | 2.00% |
Ratio of net investment income (loss) to average net assets (c) | 0.31% | (0.80)% | (1.00)% | (1.17)% | (1.13)% |
Portfolio Turnover | 39% | 41% | 57% | 43% | 67% |
* | Expense ratio decline from the prior year was the result of the reduction of the 12b-1 fee from 50 basis points to 25 basis points on June 1, 2007. |
| Institutional Shares | ||||
| Years Ending March 31, | ||||
| 2008 | 2007 | 2006 | 2005 | 2004 |
|
|
|
|
|
|
Net Asset Value, Beginning of Period | $26.71 | $25.39 | $22.96 | $21.48 | $13.34 |
Income from Investment Operations: |
|
|
|
|
|
Net investment income (loss) (a)(b)(c) | 0.12 | (0.08) | (0.12) | (0.14) | (0.11) |
Net realized and unrealized gain/(loss) on securities | (3.94) | 3.23 | 5.63 | 2.36 | 8.25 |
Total from Investment Operations | (3.82) | 3.15 | 5.51 | 2.22 | 8.14 |
Less Distributions: |
|
|
|
|
|
Dividends from net investment income | (0.20) | — | — | — | — |
Distributions from realized capital gains | (0.83) | (1.83) | (3.08) | (0.74) | — |
Total Distributions | (1.03) | (1.83) | (3.08) | (0.74) | — |
Net Asset Value, End of Period | $21.86 | $26.71 | $25.39 | $22.96 | $21.48 |
Total Return (d) | (14.87)% | 12.58% | 25.06% | 10.37% | 61.02% |
Net Assets, End of Period (000’s) | $24,282 | $12,400 | $12,298 | $9,616 | $8,089 |
Ratios and Supplemental Data: |
|
|
|
|
|
Ratios of expenses to average net assets: (e) |
|
|
|
|
|
Gross | 1.30% | 1.31% | 1.38% | 1.48% | 1.50% |
Net | 1.30% | 1.31% | 1.38% | 1.48% | 1.50% |
Ratio of net investment income (loss) to average net assets (c) | 0.45% | (0.30)% | (0.50)% | (0.65)% | (0.63)% |
Portfolio Turnover | 39% | 41% | 57% | 43% | 67% |
(a) | Per share numbers have been calculated using the average shares method. |
(b) | Reflects expense waivers/reimbursements and reductions in effect during the period. See Note 3 to the Financial Statements. |
(c) | Net investment income (loss) per share and the ratio of net investment income (loss) to average net assets reflect net investment income prior to certain reclassifications for federal income or excise taxes. |
(d) | Total Return does not include the deferred sales charge of 1% for the Ordinary Shares. The total return would have been lower if certain fees had not been waived or if custodial fees had not been reduced by credits allowed by the custodian. See Note 3 to the financial statements. |
(e) | Ratios of expenses to average net assets: |
— Gross (total expenses excluding fee waivers, reimbursements by the investment advisor, and custody earnings credits, if any).
| — | Net (total expenses less fee waivers, reimbursements by the investment advisor, and custody earnings credits, if any). |
| Ordinary Shares | ||||
| Years Ended March 31, | ||||
| 2008 | 2007 | 2006 | 2005 | 2004 |
Net Asset Value, Beginning of Period | $17.04 | $14.76 | $12.88 | $12.19 | $9.58 |
Income from Investment Operations: |
|
|
|
|
|
Net investment income (loss) (a)(b)(c) | (0.09) | (0.02) | 0.03 | 0.01 | (0.02) |
Net realized and unrealized gain/(loss) on securities | (2.30) | 2.33 | 1.86 | 0.68 | 2.63 |
Total from Investment Operations | (2.39) | 2.31 | 1.89 | 0.69 | 2.61 |
Less Distributions: |
|
|
|
|
|
Dividends from net investment income | — | (0.03) | (0.01) | — | — |
Distributions from realized capital gains | (0.58) | — | — | — | — |
Total Distributions | (0.58) | (0.03) | (0.01) | — | — |
Net Asset Value, End of Period | $14.07 | $17.04 | $14.76 | $12.88 | $12.19 |
Total Return (d) | (14.43)% | 15.63% | 14.67% | 5.66% | 27.24% |
Net Assets, End of Period (000’s) | $69,767 | $75,376 | $59,975 | $46,015 | $43,463 |
Ratios and Supplemental Data: |
|
|
|
|
|
Ratios of expenses to average net assets: (e) |
|
|
|
|
|
Gross | 2.18% | 1.74% | 1.65% | 1.77% | 1.81% |
Net | 2.12% | 1.71% | 1.61% | 1.76% | 1.80% |
Ratio of expenses to average net assets (excluding dividend expense on securities sold short): (e) |
|
|
|
|
|
Gross | 1.96% | 1.72% | — | — | — |
Net | 1.90% | 1.69% | — | — | — |
Ratio of net investment income (loss) to average net assets (c) | (0.52)% | (0.14)% | 0.21% | 0.08% | (0.20)% |
Portfolio Turnover Excluding Short Positions (f) | 171% | 83% | 105% | 160% | 180% |
| Institutional Shares | ||||
| Years Ending March 31, | ||||
| 2008 | 2007 | 2006 | 2005 | 2004 |
Net Asset Value, Beginning of Period | $17.80 | $15.40 | $13.43 | $12.65 | $9.90 |
Income from Investment Operations: |
|
|
|
|
|
Net investment income (loss) (a)(b)(c) | (0.10) | 0.06 | 0.10 | 0.07 | 0.03 |
Net realized and unrealized gain/(loss) on securities | (2.41) | 2.44 | 1.94 | 0.71 | 2.72 |
Total from Investment Operations | (2.51) | 2.50 | 2.04 | 0.78 | 2.75 |
Less Distributions: |
|
|
|
|
|
Dividends from net investment income | — | (0.10) | (0.07) | — | — |
Distributions from realized capital gains | (0.58) | — | — | — | — |
Total Distributions | (0.58) | (0.10) | (0.07) | — | — |
Net Asset Value, End of Period | $14.71 | $17.80 | $15.40 | $13.43 | $12.65 |
Total Return (d) | (14.49)% | 16.22% | 15.19% | 6.17% | 27.28% |
Net Assets, End of Period (000’s) | $1,009 | $1,279 | $984 | $825 | $747 |
Ratios and Supplemental Data: |
|
|
|
|
|
Ratios of expenses to average net assets: (e) |
|
|
|
|
|
Gross | 2.23% | 1.25% | 1.16% | 1.27% | 1.31% |
Net | 2.17% | 1.22% | 1.11% | 1.26% | 1.30% |
Ratio of expenses to average net assets (excluding dividend expense on securities sold short): (e) |
|
|
|
|
|
Gross | 2.01% | 1.23% | — | — | — |
Net | 1.95% | 1.20% | — | — | — |
Ratio of net investment income (loss) to average net assets (c) | (0.56)% | 0.35% | 0.71% | 0.54% | 0.30% |
Portfolio Turnover Excluding Short Positions (f) | 171% | 83% | 105% | 160% | 180% |
Note: This fund changed its investment strategy on November 1, 2006 from Growth and Income to Long/Short.
(a) | Per share numbers have been calculated using the average shares method. |
(b) | Reflects expense waivers/reimbursements and reductions in effect during the period. See Note 3 to the Financial Statements. |
(c) | Net investment income (loss) per share and the ratio of net investment income (loss) to average net assets reflect net investment income prior to certain reclassifications for federal income or excise taxes. |
(d) | Total Return does not include the deferred sales charge of 1% for the Ordinary Shares. The total return would have been lower if certain fees had not been waived or if custodial fees had not been reduced by credits allowed by the custodian. See Note 3 to the financial statements. |
(e) | Ratios of expenses to average net assets: |
| — | Gross (total expenses excluding fee waivers, reimbursements by the investment advisor, and custody earnings credits, if any). |
| — | Net (total expenses less fee waivers, reimbursements by the investment advisor, and custody earnings credits, if any). |
| Portfolio turnover is calculated on long security positions only. Short positions are generally held for less than one year. |
| Ordinary Shares | ||||
| Years Ended March 31, | ||||
| 2008 | 2007 | 2006 | 2005 | 2004 |
Net Asset Value, Beginning of Period | $23.34 | $19.85 | $14.23 | $12.71 | $6.12 |
Income from Investment Operations: |
|
|
|
|
|
Net investment income (loss) (a)(b)(c) | 0.26 | 0.16 | 0.21 | 0.14 | 0.04 |
Net realized and unrealized gain/(loss) on securities | 4.42 | 4.02 | 6.28 | 1.86 | 6.58 |
Total from Investment Operations | 4.68 | 4.18 | 6.49 | 2.00 | 6.62 |
Less Distributions: |
|
|
|
|
|
Dividends from net investment income | (0.16) | (0.22) | (0.22) | (0.20) | (0.03) |
Distributions from realized capital gains | (0.82) | (0.47) | (0.65) | (0.28) | — |
Total Distributions | (0.98) | (0.69) | (0.87) | (0.48) | (0.03) |
Net Asset Value, End of Period | $27.04 | $23.34 | $19.85 | $14.23 | $12.71 |
Total Return (d) | 19.35% | 21.36% | 46.77% | 15.89% | 108.18% |
Net Assets, End of Period (000’s) | $491,462 | $276,698 | $144,088 | $61,681 | $39,977 |
Ratios and Supplemental Data: |
|
|
|
|
|
Ratios of expenses to average net assets: (e) |
|
|
|
|
|
Gross | 1.60% | 1.67% | 1.83% | 1.96% | 2.07% |
Net | 1.60% | 1.67% | 1.83% | 1.96% | 2.07% |
Ratio of net investment income (loss) to average net assets (c) | 0.91% | 0.77% | 1.23% | 1.12% | 0.39% |
Portfolio Turnover | 18% | 24% | 34% | 53% | 45% |
| Institutional Shares | ||||
| Years Ending March 31, | ||||
| 2008 | 2007 | 2006 | 2005 | 2004 |
Net Asset Value, Beginning of Period | $23.67 | $20.11 | $14.39 | $12.82 | $6.17 |
Income from Investment Operations: |
|
|
|
|
|
Net investment income (loss) (a)(b)(c) | 0.33 | 0.21 | 0.29 | 0.24 | 0.04 |
Net realized and unrealized gain/(loss) on securities | 4.50 | 4.08 | 6.35 | 1.84 | 6.68 |
Total from Investment Operations | 4.83 | 4.29 | 6.64 | 2.08 | 6.72 |
Less Distributions: |
|
|
|
|
|
Dividends from net investment income | (0.22) | (0.26) | (0.27) | (0.23) | (0.07) |
Distributions from realized capital gains | (0.82) | (0.47) | (0.65) | (0.28) | — |
Total Distributions | (1.04) | (0.73) | (0.92) | (0.51) | (0.07) |
Net Asset Value, End of Period | $27.46 | $23.67 | $20.11 | $14.39 | $12.82 |
Total Return (d) | 19.67% | 21.68% | 47.39% | 16.42% | 109.05% |
Net Assets, End of Period (000’s) | $40,501 | $12,759 | $1,707 | $1,082 | $2,365 |
Ratios and Supplemental Data: |
|
|
|
|
|
Ratios of expenses to average net assets: (e) |
|
|
|
|
|
Gross | 1.39% | 1.41% | 1.45% | 1.46% | 1.57% |
Net | 1.39% | 1.41% | 1.45% | 1.46% | 1.57% |
Ratio of net investment income (loss) to average net assets (c) | 1.12% | 1.02% | 1.75% | 1.84% | 0.36% |
Portfolio Turnover | 18% | 24% | 34% | 53% | 45% |
(a) | Per share numbers have been calculated using the average shares method. |
(b) | Reflects expense waivers/reimbursements and reductions in effect during the period. See Note 3 to the Financial Statements. |
(c) | Net investment income (loss) per share and the ratio of net investment income (loss) to average net assets reflect net investment income prior to certain reclassifications for federal income or excise taxes. |
(d) | Total Return does not include the deferred sales charge of 1% for the Ordinary Shares. The total return would have been lower if certain fees had not been waived or if custodial fees had not been reduced by credits allowed by the custodian. See Note 3 to the financial statements. |
(e) | Ratios of expenses to average net assets: |
| — | Gross (total expenses excluding fee waivers, reimbursements by the investment advisor, and custody earnings credits, if any). |
| — | Net (total expenses less fee waivers, reimbursements by the investment advisor, and custody earnings credits, if any). |
| Ordinary Shares | ||||
| Years Ended March 31, | ||||
| 2008 | 2007 | 2006 | 2005 | 2004 |
Net Asset Value, Beginning of Period | $23.07 | $19.91 | $15.92 | $13.50 | $7.80 |
Income from Investment Operations: |
|
|
|
|
|
Net investment income (loss) (a)(b)(c) | 0.19 | 0.18 | 0.24(f) | 0.15 | 0.22 |
Net realized and unrealized gain/(loss) on securities | (2.11) | 4.12 | 3.96 | 2.66 | 5.60 |
Total from Investment Operations | (1.92) | 4.30 | 4.20 | 2.81 | 5.82 |
Less Distributions: |
|
|
|
|
|
Dividends from net investment income | (0.19) | (0.07) | (0.13) | (0.12) | (0.12) |
Distributions from realized capital gains | (1.09) | (1.07) | (0.08) | (0.27) | — |
Total Distributions | (1.28) | (1.14) | (0.21) | (0.39) | (0.12) |
Net Asset Value, End of Period | $19.87 | $23.07 | $19.91 | $15.92 | $13.50 |
Total Return (d) | (8.71)% | 22.08% | 26.59% | 20.99% | 74.77% |
Net Assets, End of Period (000’s) | $781,136 | $778,104 | $441,614 | $202,655 | $88,425 |
Ratios and Supplemental Data: |
|
|
|
|
|
Ratios of expenses to average net assets: (e) |
|
|
|
|
|
Gross | 1.56% | 1.60% | 1.69% | 1.80% | 1.81% |
Net | 1.56% | 1.60% | 1.69% | 1.80% | 1.81% |
Ratio of net investment income (loss) to average net assets (c) | 0.83% | 0.88% | 1.41%(f) | 1.04% | 1.90% |
Portfolio Turnover | 44% | 19% | 29% | 10% | 48% |
| Institutional Shares | ||||
| Years Ending March 31, | ||||
| 2008 | 2007 | 2006 | 2005 | 2004 |
Net Asset Value, Beginning of Period | $23.19 | $20.01 | $15.98 | $13.53 | $7.83 |
Income from Investment Operations: |
|
|
|
|
|
Net investment income (loss) (a)(b)(c) | 0.26 | 0.25 | 0.29(g) | 0.17 | 0.30 |
Net realized and unrealized gain/(loss) on securities | (2.13) | 4.12 | 3.98 | 2.70 | 5.56 |
Total from Investment Operations | (1.87) | 4.37 | 4.27 | 2.87 | 5.86 |
Less Distributions: |
|
|
|
|
|
Dividends from net investment income | (0.25) | (0.12) | (0.16) | (0.15) | (0.16) |
Distributions from realized capital gains | (1.09) | (1.07) | (0.08) | (0.27) | — |
Total Distributions | (1.34) | (1.19) | (0.24) | (0.42) | (0.16) |
Net Asset Value, End of Period | $19.98 | $23.19 | $20.01 | $15.98 | $13.53 |
Total Return (d) | (8.49)% | 22.37% | 26.96% | 21.35% | 75.07% |
Net Assets, End of Period (000’s) | $140,999 | $115,200 | $30,972 | $21,317 | $11,875 |
Ratios and Supplemental Data: |
|
|
|
|
|
Ratios of expenses to average net assets: (e) |
|
|
|
|
|
Gross | 1.32% | 1.35% | 1.45% | 1.55% | 1.56% |
Net | 1.32% | 1.35% | 1.45% | 1.55% | 1.56% |
Ratio of net investment income (loss) to average net assets (c) | 1.18% | 1.13% | 1.70%(g) | 1.22% | 2.52% |
Portfolio Turnover | 44% | 19% | 29% | 10% | 48% |
(a) | Per share numbers have been calculated using the average shares method. |
(b) | Reflects expense waivers/reimbursements and reductions in effect during the period. See Note 3 to the Financial Statements. |
(c) | Net investment income (loss) per share and the ratio of net investment income (loss) to average net assets reflect net investment income prior to certain reclassifications for federal income or excise taxes. |
(d) | Total Return does not include the deferred sales charge of 1% for the Ordinary Shares. The total return would have been lower if certain fees had not been waived or if custodial fees had not been reduced by credits allowed by the custodian. See Note 3 to the financial statements. |
(e) | Ratios of expenses to average net assets: |
| — | Gross (total expenses excluding fee waivers, reimbursements by the investment advisor, and custody earnings credits, if any). |
| — | Net (total expenses less fee waivers, reimbursements by the investment advisor, and custody earnings credits, if any). |
(f) | Includes non-recurring income of $277,072. |
(g) | Includes non-recurring income of $22,928. |
The accompanying notes are an integral part of these financial statements.
QUANT FUNDS
NOTES TO FINANCIAL STATEMENTS
1. Organization of the Trust.
The Quantitative Group of Funds d/b/a “Quant Funds” (the “Trust”) is organized as a Massachusetts business trust and is registered under the Investment Company Act of 1940, as amended, as a non-diversified, open-end management investment company. The Trust currently has four series (each a “Fund” and collectively the “Funds”) each with a distinct investment objective.
Quant Small Cap Fund (“Small Cap”) seeks maximum long-term capital appreciation.
Quant Long/Short Fund (“Long/Short”) seeks long-term growth of capital. Prior to November 1, 2006, Quant Long/Short Fund used a long only investment strategy and its investment objective was long-term growth of capital and income.
Quant Emerging Markets Fund (“Emerging Markets”) seeks long-term growth of capital.
Quant Foreign Value Fund (“Foreign Value”) seeks long-term capital growth and income.
Each Fund offers two classes of shares designated as Ordinary Shares and Institutional Shares. The classes differ principally in their respective sales charges, distribution fees and shareholder servicing fees and arrangements. Each class of shares represents an interest in the same portfolio of investments of the respective Fund and has equal rights to voting, redemptions, dividends and liquidation, except that each class bears its own transfer agent fees and only Ordinary Shares bear distribution (Rule 12b-1) fees and have exclusive voting rights with respect to the distribution plan that has been adopted by Ordinary Share shareholders. There is no distribution plan for Institutional Shares. Only Ordinary Shares may be subject to a deferred sales charge.
At times, a Fund’s investments may represent industries or industry sectors that are interrelated or have common risks, making it more susceptible to any economic, political, or regulatory developments or other risks affecting those industries and sectors. To the extent that a Fund is permitted to invest in foreign markets, emerging markets or countries with limited or developing markets such investments may subject the Fund to a greater degree of risk than in the U.S. market or a developed market. Risks associated with these foreign and developing markets include political, social or economic factors and may affect the price of a Fund’s investments and income generated by these investments, as well as a Fund’s ability to repatriate such amounts. Information regarding each Fund’s principal risks is contained in the Fund’s prospectus. Please refer to those documents when considering a Fund’s risks.
2. Significant Accounting Policies.
Each Fund’s financial statements have been prepared in conformity with U.S. generally accepted accounting principles, that require the management of the Funds to, among other things, make estimates and assumptions that affect the reported amounts of assets and liabilities, the disclosure of contingent assets and liabilities at the date of the financial statements, and the reported amounts of income, expenses and gains and losses on investments during the reporting year. Actual results could differ from those estimates.
The following is a summary of significant accounting policies followed by each Fund in the preparation of its financial statements, which are consistent with those policies generally accepted in the investment company industry.
Security Valuation.
Portfolio securities are valued each business day at the last reported sale price on the principal exchange or market on which they are traded. If there is no such reported sale, the securities generally are valued at the mean between the last reported bid and asked prices. For certain securities, where no such sales have been reported, a Fund may value such securities at the last reported bid price. In the event that there is information suggesting that valuation of such securities based upon bid and/or asked prices may not be accurate, a Fund may value such securities in good faith at fair value in accordance with procedures established by the Funds’ Board of Trustees (the “Trustees”), which may include a determination to value such securities at the last reported sales price. Short-term investments that mature in 60 days or less are valued at amortized cost. Securities quoted in foreign currencies are translated into U.S. dollars based upon the prevailing exchange rate on each business day. Other assets and securities for which no quotations are readily available are valued at fair value as determined in good faith using procedures approved by the Trustees. As a result, changes in the value of those currencies in relation to the U.S. dollar may affect a Fund’s NAV. Because foreign markets may be open at different times than the New York Stock Exchange, the value of a Fund’s shares may change on days when shareholders are not able to buy or sell them. If events materially affecting the values of a Fund’s foreign investments occur between the close of foreign markets and the close of regular trading on the New York Stock Exchange, these investments may be valued at their fair value as determined in good faith using procedures approved by the Trustees. For the year ended March 31, 2008 there were no securities fair valued.
Security Transactions and Related Investment Income.
Security transactions are accounted for on the trade date (the date the order to buy or sell is executed). Dividend income, less foreign taxes withheld, is recorded on the ex-dividend date, except that certain dividends from foreign securities where the ex-dividend date may have passed are recorded as soon as a Fund becomes aware of the ex-dividend data in the exercise of reasonable diligence. Distributions received on securities that represent a return of capital or a capital gain are recorded as a reduction of cost of investments and/or as a realized gain. Each Fund estimates the components of distributions that may be considered nontaxable distributions or capital gain distributions for tax purposes. Interest income is recorded on the accrual basis and includes accretion of discounts and amortization of premiums. In determining the net gain or loss on securities sold, the cost of securities is determined on the identified cost basis. Each Fund’s investment income and realized and unrealized gains and losses are allocated among classes based upon the daily relative net assets.
Repurchase Agreements.
The Funds’ custodian takes possession through the federal book-entry system of securities collateralizing repurchase agreements. Collateral is marked-to-market daily to ensure that the market value of the underlying assets remains sufficient to protect the Funds. The Funds may experience costs and delays in liquidating the collateral if the issuer defaults or enters into bankruptcy.
Foreign Currency Transactions.
All monetary items denominated in foreign currencies are translated into U.S. dollars based on the prevailing exchange rate at the close of each business day. Income and expenses denominated in foreign currencies are translated at the prevailing rates of exchange when accrued or incurred.
Reported net realized gains and losses on foreign currency transactions represent net gains and losses from currency gains and losses realized between the trade and settlement dates on investment transactions, and the difference between the amount of net investment income accrued and the U.S. dollar amount actually received. The effects of changes in foreign currency exchange rates on investments in securities are not segregated in the Statement of Operations from the effects of changes in market prices of those securities, but are included with the net realized and unrealized gain or loss on investments.
Forward Foreign Currency Contracts.
The Funds may enter into forward foreign currency contracts to manage their exposure to fluctuations in certain foreign currencies. Emerging Markets Fund and Foreign Value Fund may enter into forward foreign currency contracts for investment purposes as well. A forward currency contract is a commitment to purchase or sell a foreign currency at a future date at a set price. The forward currency contracts are valued at the forward rate and are marked-to-market daily. The change in market value is recorded by the Fund as an unrealized gain or loss. When the contract is closed, the Fund records a realized gain or loss equal to the difference between the value of the contract at the time it was opened and the value at the time it was closed. In addition to the risks of financial investments mentioned above, risks arise from unanticipated movements in currency values.
Forward Foreign Currency Contracts at 03/31/08:
| Quant Emerging Markets Fund |
|
| |
| Local Currency | U.S. Dollar |
| Unrealized Gain/(Loss) |
Currency | Value | Value | Settlement Date | In U.S. Dollars |
South African Rand | 3,509 | 440 | 04/01/08 | (9) |
South African Rand | 12,751,400 | 1,584,911 | 04/01/08 | 19,301 |
South African Rand | 12,813,364 | 1,570,054 | 04/04/08 | (1,953) |
Total |
|
|
| 17,339 |
| Quant Foreign Value Fund |
|
| |
| Local Currency | U.S. Dollar |
| Unrealized Gain/(Loss) |
Currency | Value | Value | Settlement Date | In U.S. Dollars |
Canadian Dollar | 4,546,910 | 4,449,032 | 04/02/08 | 23,770 |
Japanese Yen | 238,111,648 | 2,397,902 | 04/02/08 | 12,902 |
Japanese Yen | 208,352,439 | 2,090,213 | 04/03/08 | — |
Total |
|
|
| 36,672 |
Short Sales.
Quant Long/Short Fund may engage in short sales (selling securities it does not own) as part of its normal investment activities. Upon selling a security short, Long/Short Fund’s Custodian will segregate cash, cash equivalents or other appropriate liquid securities in an amount equal to the current market value of the securities sold short and will maintain such collateral until Long/Short Fund replaces the borrowed security. Long/Short Fund is required to pay any dividends or interest due on securities sold short. Such dividends and interest are recorded as an expense. Liabilities for securities sold short are valued daily and recorded as unrealized appreciation (depreciation) on investments and securities sold short. Long/Short Fund records realized gain (loss) on a security sold short when a short position is terminated by Long/Short Fund. Long/Short Fund will incur a loss if the price of a security increases between the date of the short sale and the date on which Long/Short Fund replaces the borrowed security. Long/Short will realize a gain if the price of borrowed security declines between the date of a short sale and the date Long/Short Fund replaces the borrowed security.
Securities Lending.
To generate additional income, each Fund, except the Quant Long/Short Fund, may lend up to 30% of its assets pursuant to agreements (“borrower agreements”) requiring that the loan be continuously secured by cash or securities. Securities are loaned by eSecLending, as lending agent, to certain pre-approved brokers (“the borrowers”). The borrowers are required to provide cash or securities as collateral against loaned securities in the amount of 105% of the market value of borrowings for the Emerging Markets and Foreign Value Funds, and 102% of the borrowings for the Small Cap Fund. Collateral is marked-to-market daily.
Cash collateral is invested in a registered money market fund or in a comparable unregistered fund that may be managed by the Funds’ securities lending agent or one of its affiliates.
Risks such as delay in recovery of securities may occur should the borrower of the securities fail financially or should the value of the securities loaned increase above the value of the collateral received. eSecLending provides indemnification insurance via highly rated third party insurers to cover these potential risks.
At March 31, 2008, the following Fund had collateral and loans outstanding of:
| Value of Collateral | Value of Loaned Securities |
Quant Foreign Value Fund | $80,064,548 | $78,326,945 |
Since stock prices are not available until after 4:00 P.M. on any business day, the collateral required for loaned securities on March 31, 2008 was not computed until April 1, 2008. Collateral on April 1, 2008 was $83,899,747, or 107%, of the $78,326,945 of securities on loan at March 31, 2008.
Expenses and Class Allocations.
The majority of the expenses of the Funds are attributed to the individual Fund and Class for which they are incurred. Expenses that are not attributed to a specific Fund are allocated in proportion to the respective net assets of the Funds. Expenses allocable to a Fund are borne pro rata by the holders of both classes of shares of such Fund, except that 12b-1 Plan expenses will not be borne by the holders of Institutional Shares.
Distribution fees on Ordinary Shares are calculated based on the average daily net asset value attributable to the Ordinary Shares of the respective Fund. Institutional Shares are not subject to a distribution plan. Shareholders of each class share all expenses and fees paid to the transfer agent, Quantitative Institutional Services, for its services, which are allocated based on the net assets in each class and the ratable allocation of related out-of-pocket expenses. Income, common expenses and realized and unrealized gains and losses are calculated at the Fund level and allocated daily to each class of shares based on their respective percentage of adjusted net assets at the beginning of the day. (See Note 3)
Distributions to Shareholders.
Distributions to shareholders are recorded as of the ex-dividend date. Distributions paid by each Fund with respect to each class of shares are calculated in the same manner, at the same time, and in the same amount, except that Ordinary Shares incur 12b-1 distribution fees while Institutional Shares do not. Distributions from net investment income for each Fund, if any, are declared and paid annually. Distributions from net realized gains for each Fund, if any, are generally declared and paid annually.
New Accounting Pronouncements.
In July 2006, Financial Accounting Standards Board Interpretation No. 48, Accounting for Uncertainty in Income Taxes – an interpretation of FASB Statement 109 (FIN 48) was issued and is effective for fiscal years beginning after December 15, 2006.
FIN 48 provides guidance for how uncertain tax positions should be recognized, measured, presented and disclosed in the financial statements. FIN 48 required the evaluation of tax positions taken or expected to be taken in the course of preparing the Funds’ tax
returns to determine whether the tax positions are “more-likely-than-not” of being sustained by the applicable tax authority. Tax positions not deemed to meet the more-likely-than-not threshold would have to be recorded as a tax benefit or expense in the current year. Management has analyzed the Funds’ tax positions taken on federal income tax returns for all open years (tax years ended March 31, 2005-2008) and has determined that there were no uncertain tax positions to be reflected in the Funds’ financial statements at March 31, 2008.
In September 2006, the Financial Accounting Standards Board (FASB) issued Statement of Financial Accounting Standards No. 157, “Fair Value Measurements” (FAS No. 157). FAS No. 157 defines fair value, establishes a framework for measuring fair value in accordance with generally accepted accounting principles and expands disclosure about fair value measurements. FAS No. 157 is effective for fiscal years beginning after November 15, 2007. The first reporting period for the Quant Funds will be June 30, 2008.
3. Management Fee, Advisory Contracts and Other Affiliate Transactions.
The Funds have entered into a management agreement (the “Management Agreement”) with Quantitative Investment Advisors, Inc. d/b/a Quantitative Advisors (the “Manager”). Compensation of the Manager, for management and administration of the Funds, including selection and monitoring of the portfolio advisors, is paid monthly based on the average daily net asset value of each Fund for the month. The annual rate of such fees is 1.00% of the average daily total net assets of Small Cap, Long/Short, Emerging Markets, and Foreign Value Funds. Prior to November 1, 2006, the annual rate for Long/Short was 0.75% of the average daily net total assets.
Under the Management Agreement, the Manager has agreed to reduce its compensation, and if necessary, assume expenses, with respect to Small Cap to the extent that the total expenses of this Fund individually exceeds 2% of average net assets for any fiscal year. Fund expenses subject to this limitation are exclusive of brokerage, interest, taxes and extraordinary expenses, which include incremental custody costs associated with international securities. Expenses are calculated gross of custody credits, if applicable.
For the twelve months ended March 31, 2008 aggregate management fees were $18,291,903 and no fees were reduced or waived.
The Manager has entered into advisory contracts with the following subadvisors (collectively the “Advisors”) to provide investment advisory services to the following Funds: Columbia Partners, L.L.C., Investment Management (Small Cap), Analytic Investors, LLC (Long/Short), PanAgora Asset Management, Inc. (Emerging Markets), and Polaris Capital Management, LLC (Foreign Value). Analytic Investors, LLC replaced SSgA Funds Management, Inc. as the Advisor of the Long/Short Fund on January 2, 2008. This new arrangement was approved by the Board of Trustees on November 27, 2007.
For services rendered, the Manager pays to the Advisor of a Fund a fee based on a percentage of the average daily total net assets of the Fund. The fee for each Fund is determined separately. The fees paid by the Manager to the Advisors of the Funds are as follows: Small Cap – 0.50% of average daily total net assets; Long/Short – 0.45% of the first $100 million and 0.40% of amounts in excess of $100 million; Emerging Markets – 0.40% of average daily total net assets; and Foreign Value – 0.35% of the first $35 million, 0.40% of amounts in excess of $35 million but less than $200 million and 0.50% for assets in excess of $200 million of average daily total net assets. Prior to January 2, 2008 the fees paid to the former Adviser of Long/Short Fund, SSgA Funds Management, Inc. was 0.50% on the first $20 million and 0.35% of amounts in excess of $20 million, with an annual minimum of $25,000.
The Funds have entered into a distribution agreement (the “Distribution Agreement”) with U.S. Boston Capital Corporation (the “Distributor”). For its services under the Distribution Agreement, the Distributor received a monthly fee at the annual rate of (i) 0.50% of the average daily net asset value of the Ordinary Shares of Small Cap, which was voluntarily reduced to 0.25% on June 1, 2007, (ii) 0.50% of the daily net asset value of the Ordinary Shares of Long/Short, which was voluntarily reduced to 0.25% on February 1, 2008, (iii) 0.50% of the average daily net asset value of the Ordinary Shares of Emerging Markets, which was voluntarily reduced to 0.25% throughout the year, and (iv) a contractual rate of 0.25% of the average daily net asset value of the Ordinary Shares of Foreign Value.
On February 1, 2008, the Distributor contractually agreed to reduce distribution (Rule 12b-1) fees payable to the Distributor by Small Cap, Long/Short and Emerging Markets from 0.50% to 0.25%.
Holders of Institutional Shares pay no portion of the 12b-1 Plan expenses of the Funds and are not entitled to vote on matters involving the 12b-1 Plan. During the year ended March 31, 2008 the aggregate distribution fees of the Funds were $4,281,924.
A deferred sales charge of 1% of the net asset value of Ordinary Shares redeemed of Small Cap, Long/Short, Emerging Markets and Foreign Value is withheld from the redemption proceeds and paid to the Distributor. The deferred sales charge is not imposed on redemptions of Institutional Shares and certain other transactions. During the twelve months ended March 31, 2008, such fees earned by the Distributor were $236,709.
Transfer agent functions are provided to the Funds by Quantitative Institutional Services, a division of the Manager (the “Transfer Agent”) pursuant to a transfer agent agreement (the “Transfer Agent Agreement”). The Transfer Agent Agreement provides for base fees that are payable to the Transfer Agent at an annual rate of 0.16% of the average daily total net asset value of each class of shares of the Funds and for reimbursement of out of pocket expenses. During the twelve months ended March 31, 2008, the aggregate fees of the Funds were $2,990,802.
The Transfer Agent also provides the Funds with other services consisting of in-house legal services, preparation and review of semi-annual and annual reports and EDGAR administration services. These services are provided as additional services agreed to by the Board of Trustees of the Funds under the provisions of the Transfer Agent Agreement. For the twelve months ended March 31, 2008, aggregate transfer agent fees for these services were $122,480.
The By-Laws of the Trust, as amended from time to time, permit the Board of Trustees of the Funds to approve reimbursement to the Manager for certain costs associated with providing regulatory and compliance services to the Funds. For the twelve months ended March 31, 2008, the Trustees have approved reimbursements that amounted to $144,985.
Custody and fund accounting services are provided by State Street Kansas City. Custody credits generated by interest earned on uninvested cash balances maintained by the Funds are used to offset custodial expenses of the Funds.
For the fiscal year ended March 31, 2008, each Trustee received an annual Trustee’s fee of $10,000. The fees are allocated to each Fund in proportion to its respective net assets. Effective April 1, 2008, the Trustees, including the interested Trustee, will receive annual compensation of $21,000. The chairman of the Audit Committee will receive additional annual compensation of $3,000.
4. Purchases and Sales.
During the twelve months ended March 31, 2008, purchases of investment securities other than U.S. Government obligations and short-term investments, for Small Cap, Long/Short, Emerging Markets and Foreign Value were $94,472,202, $185,098,966, $272,853,811, and $660,645,251, respectively. Sales of such securities for the Funds were $60,435,985, $172,725,467, $81,022,136, and $474,142,529, respectively. Securities sold short are excluded from the Long/Short Fund numbers as they are generally held for less than one year.
5. Contingent Liability.
The Trust maintains a joint fidelity bond with the Funds’ Transfer Agent through ICI Mutual Insurance Company (“ICI Mutual”). The annual premium is allocated among the Funds and the Transfer Agent. Additionally, the Funds have committed to ICI Mutual up to 300% of the annual premium, one third of which was provided in cash, with each Fund’s pro rata portion recorded as an asset. The remainder is secured with an irrevocable letter of credit.
6. Concentration of Risk.
The relatively large investments of Emerging Markets in countries with limited or developing capital markets may involve greater risks than investments in more developed markets and the prices of such investments may be volatile. The consequences of political, social or economic changes in these markets may have disruptive effects on the market prices of the Fund’s investments and the income they generate, as well as the Fund’s ability to repatriate such amounts.
7. Federal Income Taxes.
It is the policy of the Funds to distribute all of their taxable income within the prescribed time and otherwise comply with the provisions of the Internal Revenue Code (“IRC”) applicable to regulated investment companies. Therefore no Federal income tax provision is required.
The tax components of capital shown in the following tables represent: (1) losses or deductions the portfolios may be able to offset against income and gains realized in future years, (2) distribution requirements the portfolios must satisfy under the income tax regulations, and (3) unrealized appreciation or depreciation of investments for federal income tax purposes.
Certain Funds had capital loss carryovers at March 31, 2008. The accumulated capital losses noted in the table may be available to offset future realized capital gains and thereby reduce future taxable gain distributions. Foreign Value acquired capital loss carryovers for federal income tax purposes of $8,053,584 when the net assets of State Street Research International Equity Fund (SSR), a series of State Street Research Financial Trust (“SSR”), were acquired in a merger which occurred on May 2, 2003 pursuant to a Plan of Reorganization approved by the shareholders of SSR on April 25, 2003. Foreign Value is the surviving fund in the merger for purposes of maintaining the financial statements and performance history in the post-reorganization periods and the acquired capital loss carryovers may be subject to limitations on their use under the Internal Revenue Code, as amended, and may therefore expire unutilized. As of March 31, 2008 the capital loss carryovers were as follows:
| Capital Loss | Capital Loss | Capital Loss | Capital Loss |
|
| Expires | Expires | Expires | Expires | Total |
Portfolio | March 31, 2010 | March 31, 2011 | March 31, 2012 | March 31, 2013 | Capital Loss |
Small Cap Fund | $— | $— | $— | $— | $— |
Long/Short Fund | — | — | — | — | — |
Emerging Markets Fund | — | — | — | — | — |
Foreign Value Fund | (263,553) | (932,449) | — | — | (1,196,002) |
The primary differences between book and tax appreciation or depreciation of investments consist of wash sale loss deferrals, return of capital distributions by real estate investment trusts (“REITs”), mark to market on passive foreign investment companies (“PFICs”) held and foreign capital gains taxes accrued. The net tax appreciation/(depreciation) in the table below includes unrealized tax gain/(loss) on foreign currency and investments.
|
|
| March 31, 2008 |
|
|
| Undistributed | Undistributed | Accumulated | Post- | Net Tax |
| Ordinary | Long-Term | Capital | October | Appreciation/ |
Portfolio | Income | Gains | Losses | Deferral | (Depreciation) |
Small Cap Fund | $— | $422,091 | $— | $— | $8,390,690 |
Long/Short Fund | — | — | — | — | (2,378,319) |
Emerging Markets Fund | 1,330,338 | 1,951,866 | — | (154,097) | 105,434,248 |
Foreign Value Fund | 4,910,381 | 59,974,860 | (1,196,002) | (138,274) | (29,993,065) |
At March 31, 2008, the tax composition of dividends was as follows:
| Ordinary | Long Term | Tax Return |
Portfolio | Income | Capital Gains | Of Capital |
Small Cap Fund | $217,958 | $6,766,625 | $— |
Long/Short Fund | — | 2,825,062 | — |
Emerging Markets Fund | 7,425,388 | 10,466,415 | — |
Foreign Value Fund | 9,931,736 | 55,134,850 | — |
Capital loss carryovers in the amount of $0, $0, $0, and $1,395,926 were utilized by Small Cap, Long/Short, Emerging Markets and Foreign Value, respectively, during the fiscal year ending March 31, 2008.
Accounting principles generally accepted in the United States require that certain components of net assets be reclassified between financial and tax reporting. These reclassifications have no effect on net assets or net asset value per share. For the year ended March 31, 2008, permanent differences in book and tax accounting have been reclassified to shares of beneficial interest, undistributed/(over-distributed) net investment income and accumulated net realized gain/(loss) on investments and foreign denominated assets, liabilities and currency.
|
| Increase/(Decrease) | |
|
|
| Accumulated Net Gain/ |
|
| Undistributed/ | (Loss) on Investments and |
| Shares of | (Over-Distributed) | Foreign Denominated |
| Beneficial | Net Investment | Assets, Liabilities and |
| Interest | Income | Currency |
Quant Small Cap Fund | $— | 367,117 | (367,117) |
Quant Long/Short Fund | $(803,625) | 414,875 | 388,750 |
Quant Emerging Mkts. Fund | $— | (181,837) | 181,837 |
Quant Foreign Value Fund | $— | (180,455) | 180,455 |
The permanent differences primarily relate to net operating losses, wash sales, return of capital distributions by real estate investment trusts (REITs), foreign currency reclasses and adjustments for sale of shares in passive foreign investment corporations (PFICs).
8. Transactions in Shares of Beneficial Interest.
Transactions in shares of beneficial interest were as follows:
| Year Ended | Year Ended | ||
| March 31, 2008 | March 31, 2007 | ||
| Shares | Dollars | Shares | Dollars |
Small Cap |
|
|
|
|
Ordinary Shares |
|
|
|
|
Shares sold | 1,740,611 | $42,043,144 | 953,368 | $22,186,587 |
Shares issued in reinvestment of distributions | 244,051 | 5,552,163 | 329,592 | 7,689,374 |
Shares redeemed | (1,054,081) | (23,511,728) | (348,451) | (8,048,760) |
Net Change | 930,581 | 24,083,579 | 934,509 | 21,827,201 |
Institutional Shares |
|
|
|
|
Shares sold | 952,662 | 25,586,118 | 135,911 | 3,538,475 |
Shares issued in reinvestment of distributions | 34,448 | 879,797 | 27,407 | 714,231 |
Shares redeemed | (340,479) | (8,605,316) | (183,389) | (4,552,491) |
Redemption fees | — | 1,785 | — | 1,131 |
Net Change | 646,631 | 17,862,384 | (20,071) | (298,654) |
Total Net Change For Fund |
| $41,945,963 |
| $21,528,547 |
Long/Short |
|
|
|
|
Ordinary Shares |
|
|
|
|
Shares sold | 921,368 | $15,283,887 | 683,703 | $10,810,200 |
Shares issued in reinvestment of distributions | 162,497 | 2,585,330 | 6,310 | 104,870 |
Shares redeemed | (549,738) | (8,781,876) | (330,389) | (5,124,566) |
Net Change | 534,127 | 9,087,341 | 359,624 | 5,790,504 |
Institutional Shares |
|
|
|
|
Shares sold | 10,341 | 187,384 | 7,690 | 130,513 |
Shares issued in reinvestment of distributions | 2,428 | 40,493 | 372 | 6,451 |
Shares redeemed | (16,052) | (278,592) | (105) | (1,617) |
Redemption fees | — | — | — | 1 |
Net Change | (3,283) | (50,715) | 7,957 | 135,348 |
Total Net Change For Fund |
| $9,036,626 |
| $5,925,852 |
Emerging Markets |
|
|
|
|
Ordinary Shares |
|
|
|
|
Shares sold | 12,479,147 | $366,999,287 | 6,811,013 | $143,688,252 |
Shares issued in reinvestment of distributions | 496,720 | 16,083,794 | 304,486 | 6,561,672 |
Shares redeemed | (6,657,410) | (194,403,433) | (2,517,124) | (51,086,597) |
Net Change | 6,318,457 | 188,679,648 | 4,598,375 | 99,163,327 |
Institutional Shares |
|
|
|
|
Shares sold | 1,309,790 | 38,527,679 | 465,283 | 10,002,242 |
Shares issued in reinvestment of distributions | 35,236 | 1,157,848 | 8,841 | 193,006 |
Shares redeemed | (408,965) | (12,123,141) | (19,919) | (444,789) |
Redemption fees | — | 3,514 | — | 2,327 |
Net Change | 936,061 | 27,565,900 | 454,205 | 9,752,786 |
Total Net Change For Fund |
| $216,245,548 |
| $108,916,113 |
Foreign Value |
|
|
|
|
Ordinary Shares |
|
|
|
|
Shares sold | 26,503,037 | $611,689,722 | 15,336,477 | $327,075,272 |
Shares issued in reinvestment of distributions | 2,546,681 | 54,549,910 | 1,320,453 | 28,020,004 |
Shares redeemed | (23,460,731) | (496,738,229) | (5,111,094) | (104,933,240) |
Net Change | 5,588,987 | 169,501,403 | 11,545,836 | 250,162,036 |
Institutional Shares |
|
|
|
|
Shares sold | 4,720,359 | 108,421,800 | 3,391,983 | 71,945,944 |
Shares issued in reinvestment of distributions | 356,499 | 7,671,854 | 187,569 | 3,997,093 |
Shares redeemed | (2,987,574) | (65,693,840) | (159,948) | (3,366,356) |
Redemption fees | — | 9,544 | — | 6,517 |
Net Change | 2,089,284 | 50,409,358 | 3,419,604 | 72,583,198 |
Total Net Change For Fund |
| $219,910,761 |
| $322,745,234 |
Change in Principal Accountants
Effective October 31, 2007 the Quant Funds changed its independent registered public accounting firm from PricewaterhouseCoopers LLP (“PWC”) to Tait, Weller & Baker LLP (“Tait Weller”). The selection of Tait Weller was made by the Audit Committee of the Board of Trustees and ratified by the full Board of Trustees.
The audit reports of PricewaterhouseCoopers LLP on the Funds’ financial statements as of and for the years ended March 31, 2006 and 2007 did not contain an adverse opinion or disclaimer of opinion, nor were they qualified or modified as to uncertainty, audit scope, or accounting principles.
In connection with the audits of the two fiscal years ended March 31, 2006 and 2007 the subsequent interim period through October 31, 2007, there were no reportable events or disagreements with PricewaterhouseCoopers LLP on any matter of accounting principles or practices, financial statement disclosure, or auditing scope or procedures, which disagreements, if not resolved to the satisfaction of PricewaterhouseCoopers LLP, would have caused them to make reference in connection with their opinion to the subject matter of the disagreements.
Federal Tax Information
Designation Requirements at March 31, 2008.
Qualified Dividend Income Percentage |
|
Small Cap Fund | 100% |
Emerging Markets Fund | 100% |
Foreign Value Fund | 100% |
Subsequent Events
Effective May 1, 2008, the Quant Funds launched a new international equity fund called the Quant Foreign Value Small Cap Fund. Financial information regarding the Quant Foreign Value Small Cap Fund will be provided in the next report to shareholders.
REPORT OF INDEPENDENT REGISTERED PUBLIC ACCOUNTING FIRM
To the Shareholders and Trustees of the Quantitative Group of Funds d/b/a Quant Funds
We have audited the accompanying statements of assets and liabilities of the Quantitative Group of Funds (the “Funds”), including the schedules of investments, as of March 31, 2008, and the related statements of operations, the statements of changes in net assets, the statement of cash flows of the Quant Long/Short Fund and the financial highlights for the year then ended. These financial statements and financial highlights are the responsibility of the Funds’ management. Our responsibility is to express an opinion on these financial statements and financial highlights based on our audits. The statements of changes in net assets for the year ended March 31, 2007 and the financial highlights for each of the four years in the period then ended were audited by other auditors whose report dated May 24, 2007 expressed an unqualified opinion on such statements and financial highlights.
We conducted our audits in accordance with the standards of the Public Company Accounting Oversight Board (United States). Those standards require that we plan and perform the audit to obtain reasonable assurance about whether the financial statements and financial highlights are free of material misstatement. The Funds are not required to have, nor were we engaged to perform, an audit of the Funds’ internal control over financial reporting. Our audits included consideration of internal control over financial reporting as a basis for designing audit procedures that are appropriate in the circumstances, 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. An audit includes examining on a test basis, evidence supporting the amounts and disclosures in the financial statements. Our procedures included confirmation of securities owned as of March 31, 2008 by correspondence with the custodian and brokers. An audit also includes assessing the accounting principles used and significant estimates made by management, as well as evaluating the overall financial statement presentation. We believe that our audits provide a reasonable basis for our opinion.
In our opinion, the financial statements and financial highlights referred to above present fairly, in all material respects, the financial position of the Funds as of March 31, 2008, the results of their operations, the changes in their net assets, the statement of cash flows of the Quant Long/Short Fund and the financial highlights for the year then ended, in conformity with accounting principles generally accepted in the United States of America.
/s/ TAIT, WELLER & BAKER LLP
TAIT, WELLER & BAKER LLP
Philadelphia, Pennsylvania
May 16, 2008
INFORMATION FOR SHAREHOLDERS
Quarterly Portfolio Disclosure
Each Quant Fund files its complete schedule of portfolio holdings with the Securities and Exchange Commission (SEC) for the first and third quarters of each fiscal year on Form N-Q. The Funds’ Forms N-Q are available on the SEC’s website at www.sec.gov and may be reviewed and copied at the SEC’s Public Reference Room in Washington, D.C. (Call 1-800-SEC-0330 for more information). For a complete list of a fund’s portfolio holdings, you may also view the most recent quarterly holdings report, semi-annual report or annual report on the Quant Funds’ web site at www.quantfunds.com.
Portfolio Proxy Voting Policies and Information
Information on the Quant Funds proxy voting policies and on how the Quant Funds voted proxies related to portfolio securities for the 12-month period ended June 30 is available without charge online at www.quantfunds.com and at www.sec.gov. You may also call 1-800-326-2151 to request a free copy of the proxy voting information or the proxy voting policies.
Household Delivery of Fund Documents
With your consent, Quant may send a single proxy statement, prospectus and shareholder report to your residence for you and any other member of your household who has an account with the Quant Funds. If you wish to revoke your consent to this practice, you may do so by notifying Quant, by phone or in writing (see “For Account Information”). Quant will begin mailing separate proxy statements, prospectuses and shareholder reports to you within 30 days after receiving your notice.
PRIVACY POLICY
Please read this important notice about the privacy of our customers’ personal information from Quantitative Investment Advisors, Inc., Quantitative Group of Funds, and U.S. Boston Capital Corporation (collectively, “Quantitative”).
Quantitative Respects Your Privacy
Quantitative considers the privacy of our customers and former customers a matter of great importance. We respect your privacy and believe that any nonpublic personal information we have should be treated with the highest regard for its confidentiality. Nonpublic personal information includes much of the information you provide to us and the related information about you and your transactions involving your Quantitative investment products or services. Examples of nonpublic personal information include the information you provide on new account applications for Quantitative investment products or services, your share balance or transactional history and the fact that you are a shareholder or client of Quantitative.
Quantitative Privacy Policy
As noted above, Quantitative places a high priority on protecting the privacy of its customers’ financial information and other personal details. This Privacy Policy outlines our guidelines and practices for how we collect, use and protect information about individual customers.
Employees. Quantitative employees understand that they must keep your personal and financial information confidential when they have access to it and when they see it as they communicate with you and process transactions on your or your financial intermediary’s instructions. Employees are required to refrain from disclosing information to unauthorized persons.
Vendors. When Quantitative hires vendors, such as mail houses or data processors, to assist in delivering services to clients, we require these vendors to commit contractually to keep the information they handle in strict confidence.
Your Personal Information
We collect and record personal information that customers provide:
• | on forms and applications |
• | through electronic media |
• | through information (commonly referred to as “cookies”) collected from the Web browser of your PC that allows our website to recognize your browser |
• | by telephone |
• | in correspondence |
We also collect and record information from:
• | your financial advisor |
• | other firms, such as those from whom you transfer assets |
• | your transactions with us and our affiliates |
• | third parties who may notify us of your change of address |
Personal information may include:
• | names |
• | phone numbers |
• | other account information |
• | addresses |
• | Social Security and/or Tax ID numbers |
• | your investments in the Quantitative Group of Funds, such as your account balance and transaction activity |
How Quantitative Uses Information
Quantitative gathers information to help us find better ways to serve clients and enhance other products and programs. For instance,
• | we may share information with our affiliates when providing services to you or the Quantitative Group of Funds; |
• | we may use information to send notices to you about products and services that we feel might interest you; or |
• | we may employ an unaffiliated company to survey all our customers about our products or the quality of our communications or services. |
Information gathered on clients is not sold to other firms, such as direct marketers. The details Quantitative collects will not generate any correspondence, e-mails or phone calls from unaffiliated marketers.
Quantitative may have to provide information to legally authorized agencies or individuals, such as the Securities and Exchange Commission, Internal Revenue Service or other regulatory agencies, or as otherwise required by law. We also share client information with firms that we contracted with to deliver services to our customers or to other financial institutions with which we have joint marketing arrangements. We do not disclose any nonpublic personal information about customers or former customers to other parties, except as permitted by law. As noted above, however, these firms have contractually committed to protect the confidentiality of all Quantitative information to which they have access.
We will send customers an updated Privacy Policy each year.
Security
Quantitative maintains physical, electronic and procedural safeguards that meet federal standards for guarding customer information.
We employ various forms of Internet security, such as
• | data encryption |
• | Secure Sockets Layer (SSL) protocol |
• | user names and passwords |
Passwords. If you access information through the Quantitative Group of Funds’ web site, www.quantfunds.com, you should not give your user name or passwords to anyone for any reason. Choosing to provide this information to a third party invites problems and puts the confidentiality of your personal information at risk.
External Links
To provide you with more information that may be helpful, the Quantitative Group of Funds web site may contain links to other web sites that are not affiliated with or maintained by Quantitative. Quantitative does not monitor the privacy practices of these third-party sites, and we do not exercise any authority over the sites. As a result, Quantitative does not assume any responsibility for the content or data collection policies of the sites. When you access any of these third-party sites, Quantitative cannot guarantee that your privacy will be protected in the same way as it is on the Quantitative Group of Funds’ web site.
Changes to the privacy policy
Quantitative reserves the right to change, modify, add or remove portions of this privacy policy as permitted by law at any time. Customers may want to review the policy periodically for changes. Customers can review the privacy policy by clicking on the link that appears on the www.quantfunds.com home page.
Questions. If you have any questions or concerns about maintaining the privacy of your customer information at Quantitative, please contact us at 800-326-2151 Monday through Friday, between the hours of 9:00 am and 5:00 pm Eastern Time.
This policy is effective September 30, 2005.
MANAGEMENT CONTRACT AND ADVISORY CONTRACT APPROVAL
Quant Long/Short Fund (Formerly Quant Growth and Income Fund) – Analytic Investors, LLC
The Board of Trustees, at an in-person meeting held on November 27, 2007, considered the Manager’s recommendation that the Board approve a new sub-advisory agreement for the Fund with Analytic Investors, LLC (“Analytic Agreement”). In approving the Analytic Agreement at the in-person meeting, the Board of Trustees considered a number of factors, including but not limited to: (1) the nature, extent and quality of the services to be provided by Analytic; (2) the investment performance of the Fund; (3) the costs of the services to be provided and profits to be realized by Analytic and its affiliates from the relationship with the Fund; (4) any economies of scale that would be realized as the Fund grows; and (5) whether fee levels reflect these economies of scale for the benefit of Fund investors. The Board upon initial consideration or renewal of a sub-advisory agreement considers comparisons of the services to be rendered and the amounts to be paid under the agreement with those under other investment advisory contracts.
Investment Compliance and Performance. The Board of Trustees, including the non-interested Trustees, reviewed Analytic’s investment performance managing mandates similar to that which will be employed by Quant Long/Short Fund, as well as the performance of the Fund as managed by SSgA, the subadviser being replaced, a peer group of mutual funds, and the performance of an appropriate index or combination of indices.
The Trustees noted that Analytic’s performance running a long/short strategy is superior to that of SSgA in managing Quant Long/Short Fund. The Trustees also noted that this performance record compares favorably to the other long/short managers and to Quant Long/Short Fund’s benchmark securities index.
Fees and Expenses. The Board of Trustees, including the non-interested Trustees, considered the Fund’s management fee, subadvisory fee and expense ratio compared with the management fees, subadvisory fees and expense ratios of a peer group of funds. It also considered the amount and nature of fees paid by shareholders.
The Trustees noted that the Fund’s fee structure and expense ratio are low compared with a peer group of funds and that the increase in subadvisory fees at current and future expected higher asset levels would not result in any additional expenses to Quant Long/Short Fund. Such increased fees would instead be borne by Quantitative Advisors and would in fact reduce its revenues and hence its profitability on the management contract for Quant Long/Short Fund at these asset levels.
Subadvisor’s Personnel and Methods. The Board of Trustees, including the non-interested Trustees, reviewed the background of the Fund’s portfolio manager and the Fund’s investment objective and strategy. The non-interested Trustees have also had discussions with senior management and/or reviewed a questionnaire prepared by senior management of the subadviser responsible for the Fund’s investment program. Among other things, the Trustees considered the size, education and experience of the subadviser’s investment staff and the subadviser’s approach to recruiting, training and retaining portfolio managers and other research, advisory and management personnel.
Nature and Quality of Other Services. The Board of Trustees, including the non-interested Trustees, considered the nature, quality, cost and extent of advisory services to be performed by the subadviser (and affiliated companies, if any) under the Advisory Agreement. The Board of Trustees considered the ability of Analytic to work cooperatively with Quantitative Advisors and the officers of the Fund on both investment and compliance and administrative matters.
Economies of Scale. The Board of Trustees, including the non-interested Trustees, considered whether there have been economies of scale in respect of the subadviser’s services to the Fund, whether the Fund has appropriately benefited from any economies of scale, and whether there is potential for realization of any further economies of scale. In this regard, the Trustees noted that the fee levels and breakpoints in the proposed subadvisory fee schedule would not result in any increase in expenses to the Fund’s at increased asset levels and would result in lower revenues and profits to Quantitative Advisors at current and expected increased future asset levels.
Other Benefits to the Subadviser. The Board of Trustees, including the non-interested Trustees, also considered the character and amount of fees paid by the Fund and the Fund’s shareholders for services provided by the subadviser (and its affiliates, if any). It also considered the allocation (if any) of fund brokerage to brokers affiliated with the subadviser, and benefits to the subadviser from the use of “soft” commission dollars (if any) to pay for research and brokerage services. The Board of Trustees, including the non-interested Trustees, considered the “fall-out” benefits that accrue to the subadviser.
TRUSTEES AND OFFICERS
The business address of each non-interested Trustee is c/o Quant Funds, 55 Old Bedford Road, Lincoln, MA 01773. Each Trustee and officer holds office until his or her successor is chosen and qualified or until his or her earlier death, resignation, retirement or removal. Messrs. Armstrong, Bulbrook, and Marshall are members of the Funds’ Audit Committee. Mr. Marshall is the Chair of the Audit Committee. The Fund’s Statement of Additional Information (“SAI”) includes additional information about the Fund Trustees and is available without charge, upon request. To obtain a free copy of the current SAI, please access the Funds’ web site at www.quantfunds.com or call shareholder services at 1-800-326-2141.
Name | Position(s) Held | Principal Occupation(s) | Number of | Other Directorships |
Non-Interested Trustees |
|
|
| |
Robert M. Armstrong | Trustee | Independent financial and career consulting services | 4 | NewPage Corporation; NewPage Holding Corporation |
John M. Bulbrook | Trustee | CEO and Treasurer, John M. Bulbrook Insurance Agency, Inc. | 4 | John M. Bulbrook Insurance Agency, Inc. |
Edward E. Burrows | Trustee | Independent consulting actuary- employee benefit plans | 4 | None |
William H. Dunlap | Trustee | President, EQ Rider, Inc.; Principal, William H. Dunlap & Company (consulting firm) | 4 | Merrimack County Savings Bank |
Clinton S. Marshall | Trustee (April 2003 to Present) | Owner, Coastal CFO Solutions, CFO, Fore River Company, Finance Director, Northern York County Family YMCA, CFO, Great Works Internet, CFO, Holographix, CFO. | 4 | Great Works Internet |
Interested Trustees and Officers |
|
|
| |
Willard L. Umphrey* | Trustee, President, Chairman (1985 to Present) | Director, U.S. Boston Capital Corporation; President, Quantitative Investment Advisors, Inc. | 4 | U.S. Boston Corporation; |
Leon Okurowski | Vice President | Director and Vice President, U.S. Boston Capital Corporation; Treasurer, Quantitative Investment Advisors, Inc.; Trustee, Quant Funds (4/17/1985-9/30/2004) | N/A | Everest USB Canadian Storage, Inc.; |
Deborah A. Kessinger (45) | Assistant Clerk (April 2005 to present), Chief Compliance Officer (December 2005 to present) | Senior Counsel (since 9/2004) and Chief Compliance Officer (since 12/2005), U.S. Boston Capital Corporation; Senior Counsel (since 9/2004), Chief Compliance Officer (since 11/2006) and President (since August 2007), Quantitative Investment Advisors, Inc.; Chief Compliance Officer and General Counsel, Wainwright Investment Counsel, LLC (2000-2004); Compliance Attorney, Forefield, Inc. (2001-2004) and Compliance Consultant (2007-Present) | N/A | None |
Sandra I. Madden (41) | Clerk and Chief Legal Officer (Since April 2008) | Senior Counsel (Since 3/2008), Quantitative Investment Advisors, Inc.; Counsel (8/2005-3/2008) MetLife Advisers LLC; Sr. Associate Counsel (1999-2005) Investors Bank and Trust (financial services provider). | N/A | None |
| * | Trustee has been determined to be an “Interested Trustee” by virtue of, among other things, affiliation with one or more of the trust, the Fund’s investment advisor, Quantitative Advisors and the Fund’s distributor, U.S. Boston Capital Corporation. |
NOTES
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SERVICE PROVIDERS |
|
|
|
Manager | Quantitative Advisors, 55 Old Bedford Road, Lincoln, MA 01772 |
|
|
Advisers | Columbia Partners, L.L.C., Investment Management, 5425 Wisconsin Avenue, Suite 700, Chevy Chase, MD 20815 |
|
|
| Analytic Investors, LLC, 555 West Fifth Street, 50th Floor, Los Angeles, CA 90013 |
|
|
| PanAgora Asset Management, Inc., 260 Franklin Street, Boston, MA 02110 |
|
|
| Polaris Capital Management, LLC, 125 Summer Street, Boston, MA 02110 |
|
|
Distributor | U.S. Boston Capital Corporation, 55 Old Bedford Road, Lincoln, MA 01773 |
|
|
Custodian | State Street Kansas City, 801 Pennsylvania Avenue, Kansas City, MO 64105 |
|
|
Fund Accountant | State Street Kansas City, 801 Pennsylvania Avenue, Kansas City, MO 64105 |
|
|
Transfer Agent | Quantitative Institutional Services, 55 Old Bedford Road, Lincoln, MA 01773 |
|
|
Independent Registered | Tait, Weller & Baker LLP, 1818 Market Street, Suite 2400 Philadelphia, PA 19103 |
Public Accounting Firm |
|
|
|
Legal Counsel | Kirkpatrick & Lockhart Preston Gates Ellis LLP, State Street Financial Center, One Lincoln Street, Boston, MA 02111 |
|
|
For Account Information | For Quant Funds information, contact your financial adviser or, if you receive account statements directly from Quant Funds, you can also call 1-800-326-2151. Telephone representatives are available from 9:00 a.m. to 5:00 p.m. Eastern Time. Or visit our website, www.quantfunds.com. |
** GRAPHIC **
55 Old Bedford Road
Lincoln, MA 01773
www.quantfunds.com
Address Service Requested
** GRAPHIC **
© 2008 U.S. Boston Capital Corporation
Distributor of the Quant Funds
Member FINRA, SIPC
ITEM 2. | Code of Ethics |
As of the end of the period covered by this Form N-CSR, the registrant has adopted a code of ethics (as defined in Item 2(b) of Form N-CSR) that applies to the registrant’s principal executive officer, principal financial officer and principal accounting officer and controller (the “Code”). During the period covered by the report, there was no amendment to the Code or any waivers granted from its provisions. A copy of the Code is filed with this report as an exhibit.
ITEM 3. | Audit Committee Financial Expert |
The registrant’s Board of Trustees has determined that Mr. Clinton S. Marshall is an “audit committee financial expert” as defined in Item 3 of Form N-CSR. Mr. Marshall is “independent” under the standards set forth in Item 3 of Form N-CSR.
ITEM 4. | Principal Accountant Fees and Services |
The following chart shows the aggregate fees billed in each of the last two fiscal years for services rendered by the registrant’s principal accountant, Tait, Weller and Baker (“Tait Weller”). PricewaterhouseCoopers (“PWC”) was the independent public accountant for the registrant for the fiscal year ended March 31, 2007. The registrant’s Audit Committee approved the selection of Tait Weller as independent public accountant on September 14, 2007.
|
| 2007 | 2008 |
Audit Fees* | Tait Weller | 0 | $98,000 |
| PWC | $109,150 | 0 |
Audit-Related Fees | Tait Weller | 0 | 0 |
| PWC | 0 | 0 |
Tax Fees** | Tait Weller | 0 | $16,000 |
| PWC | $21,150 | 0 |
All Other Fees | Tait Weller | 0 | 0 |
| PWC | 0 | 0 |
* Audit fees include all services related to the audit of the financial statements, including review of the registration statement and the issuance of related consents.
** | Tax fees include review of the registrant’s tax filings. |
(e)(1) | To the extent required by applicable law, pre-approval by the Audit Committee of the Board is needed for: |
| (i) | all audit and permissible non-audit services rendered to the Fund and |
(ii) all permissible non-audit services rendered to Quantitative Investment Advisors, Inc. if the services relate directly to the operations and financial reporting of the Registrant. Pre-approval is currently on an engagement-by-engagement basis. In the event pre-approval of such services is necessary between regular meetings of the Audit Committee and it is not practical to wait to seek
pre-approval at the next regular meeting of the Audit Committee, such pre-approval of services may be referred to the President of the Fund for approval; provided that the President may not pre-approve any individual engagement for such services exceeding $5,000 or multiple engagements for such services in the aggregate exceeding $5,000 between such regular meetings of the Audit Committee. Any engagement pre-approved by the President between regular meetings of the Audit Committee shall be presented for ratification by the entire Audit Committee at its next regularly scheduled meeting.
(e)(2) No services in 2007 or 2008 were approved by the Audit Committee pursuant to Rule 2-01(c)(7)(i)(C) of Regulation S-X.
(f) | Not applicable. |
(g) | The following chart shows the aggregate non-audit fees billed by Tait Weller and PWC for services rendered to the registrant and the registrant’s investment advisor (not including any subadviser 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 adviser that provides ongoing services to the registrant. These amounts represent fees paid for the annual audit of the registrant’s transfer agent, Quantitative Institutional Services, Inc., a division of Quantitative Advisors, Inc., the registrant’s investment advisor. |
|
| 2007 | 2008 |
Non-Audit Fees | Tait Weller | 0 | $98,000 |
| PWC | $109,150 | 0 |
(h) | The Audit Committee of the registrant’s Board of Trustees considered the provision of non-audit services that were rendered to the registrant’s investment adviser (not including any subadviser 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 and concluded that such services are compatible with maintaining the principal accountant’s independence. |
ITEM 5. | Audit Committee of Listed Registrants |
| Not applicable. |
ITEM 6. | Schedule of Investments |
| Not applicable. |
ITEM 7. Disclosure of Proxy Voting Policies and Procedures for Closed-End Management Investment Companies
| Not applicable. |
ITEM 8. | Portfolio Managers of Closed-End Management Investment Companies. |
| Not applicable. |
ITEM 9 Purchase of Equity Securities by Closed-End Management Investment Company and Affiliated Purchasers
| Not applicable. |
ITEM 10 | Submission of Matters to a Vote of Security Holders |
| Not applicable. |
ITEM 11. | Controls and Procedures |
(a) The President and Treasurer of the registrant have concluded, based on their evaluation of the effectiveness of the registrant’s disclosure controls and procedures (as defined in Rule 30a-3(c) under the Act) as of a date within 90 days of the filing date of this report on Form N-CSR, that the design and operation of such procedures provide reasonable assurance that information required to be disclosed by the registrant in this report on Form N-CSR is recorded, processed, summarized, and reported within the time periods specified in the Securities and Exchange Commission’s rules and forms.
(b) There has been no change in the registrant’s internal controls over financial reporting (as defined in Rule 30a-3(d) under the Act) that occurred during the second fiscal quarter of the period covered by this report that has materially affected, or is reasonably likely to materially affect, the registrant’s internal control over financial reporting.
ITEM 12. | Exhibits |
(a)(1) | Code of ethics |
(a)(2) | Certifications pursuant to Rule 30a-2(a) by the chief executive and financial officers. |
(b) Certification pursuant to Rule 30a-2(b) and Section 906 by the chief executive and financial officers.
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.
Quantitative Group of Funds
By /s/ Willard L. Umphrey
Willard L. Umphrey, President
Date: May 30, 2008
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 _/s/ Willard L. Umphrey
Willard L. Umphrey, President
Date: May 30, 2008
By /s/ Leon Okurowski
Leon Okurowski, Treasurer
Date: May 30, 2008
EXHIBIT LIST
(a)(1) | Code of ethics |
(a)(2) | Certifications pursuant to Rule 30a-2(a) by the chief executive and financial officers. |
(b) Certification pursuant to Rule 30a-2(b) and Section 906 by the chief executive and financial officers.