OMB APPROVAL
OMB Number: 3235-0570
Expires: August 31, 2020
Estimated average burden hours per response...20.6
UNITED STATES SECURITIES AND EXCHANGE COMMISSION
Washington, DC 20549
FORM N-CSRS
CERTIFIED SHAREHOLDER REPORT OF REGISTERED
MANAGEMENT INVESTMENT COMPANIES
Investment Company Act file number 811-4815
Ultra Series Fund
(Exact name of registrant as specified in charter)
550 Science Drive, Madison, WI 53711
(Address of principal executive offices)(Zip code)
Kevin S. Thompson
Chief Legal Officer
550 Science Drive
Madison, WI 53711
(Name and address of agent for service)
Registrant’s telephone number, including area code: 608-274-0300
Date of fiscal year end: December 31
Date of reporting period: June 30, 2018
Form N-CSRS is to be used by management investment companies to file reports with the Commission not later than 10 days after the transmission to stockholders of any report that is required to be transmitted to stockholders under Rule 30e-1 under the Investment Company Act of 1940 (17 CFR 270.30e-1). The Commission may use the information provided on Form N-CSRS in its regulatory, disclosure review, inspection, and policymaking roles.
A registrant is required to disclose the information specified by Form N-CSRS, and the Commission will make this information public. A registrant is not required to respond to the collection of information contained in Form N-CSRS unless the Form displays a currently valid Office of Management and Budget (“OMB”) control number. Please direct comments concerning the accuracy of the information collection burden estimate and any suggestions for reducing the burden to Secretary, Securities and Exchange Commission, 450 Fifth Street, NW, Washington, DC 20549-0609. The OMB has reviewed this collection of information under the clearance requirements of 44 U.S.C. § 3507.
Item 1. Certified Financial Statement
Semi-annual Report |
June 30, 2018 |
ULTRA SERIES FUND | |
Conservative Allocation Fund | |
Moderate Allocation Fund | |
Aggressive Allocation Fund | |
Core Bond Fund | |
High Income Fund | |
Diversified Income Fund | |
Large Cap Value Fund | |
Large Cap Growth Fund | |
Mid Cap Fund | |
International Stock Fund |
Ultra Series Fund | June 30, 2018
Table of Contents |
Page | ||
Economic Overview and Market Outlook | 2 | |
Review of Period | ||
Allocation Funds Summary | 3 | |
Conservative Allocation Fund | 3 | |
Moderate Allocation Fund | 3 | |
Aggressive Allocation Fund | 4 | |
Core Bond Fund | 4 | |
High Income Fund | 4 | |
Diversified Income Fund | 5 | |
Large Cap Value Fund | 5 | |
Large Cap Growth Fund | 6 | |
Mid Cap Fund | 6 | |
International Stock Fund | 7 | |
Benchmark Descriptions | 8 | |
Portfolios of Investments | ||
Conservative Allocation Fund | 10 | |
Moderate Allocation Fund | 11 | |
Aggressive Allocation Fund | 12 | |
Core Bond Fund | 13 | |
High Income Fund | 17 | |
Diversified Income Fund | 19 | |
Large Cap Value Fund | 24 | |
Large Cap Growth Fund | 25 | |
Mid Cap Fund | 26 | |
International Stock Fund | 27 | |
Financial Statements | ||
Statements of Assets and Liabilities | 29 | |
Statements of Operations | 31 | |
Statements of Changes in Net Assets | 33 | |
Financial Highlights | 37 | |
Notes to Financial Statements | 47 | |
Other Information | 61 |
Nondeposit investment products are not federally insured, involve investment risk, may lose value and are not obligations of or guaranteed by any financial institution. For more complete information about Ultra Series Fund, including charges and expenses, request a prospectus from your financial advisor or from CMFG Life Insurance Company, 2000 Heritage Way, Waverly, IA 50677.
Consider the investment objectives, risks, and charges and expenses of any fund carefully before investing. The prospectus contains this and other information about the investment company. For more current Ultra Series Fund performance information, please call 1-800-670-3600. Current performance may be lower or higher than the performance data quoted within. Past performance does not guarantee future results. Nothing in this report represents a recommendation of a security by the investment adviser. Portfolio holdings may have changed since the date of this report.
Ultra Series Fund | June 30, 2018
Economic Overview and Market Outlook |
Volatility continued in the second quarter with both stocks and bonds experiencing large swings as investors reacted to shifting interest rates, robust corporate earnings, trade tensions and continued tightening of U.S. monetary policy. Despite the rough ride, U.S. stocks posted gains with the S&P 500® Index advancing 3.43%, and the Russell Midcap® Index gaining 2.82%. Bond returns were flat to negative as interest rates increased, resulting in the Bloomberg Barclays Intermediate Gov./Credit Index advancing 0.01% and the Bloomberg Barclays Aggregate Index declining (0.16)% during the quarter. Although U.S. equity markets were positive, continued concerns over trade policy led to losses in overseas stocks as the MSCI EAFE® Index (net) declined (1.24)% (+3.47% excluding currency effect).
Much of this year’s stock market gain has been fueled by technology companies. In fact, the trend has been so powerful that Amazon (up 45.4% YTD) alone has accounted for nearly one-third of the S&P 500®’s return. The top 10 contributors to the S&P 500® return so far in 2018 are all technology related companies. Without those companies, the Index return would be negative for the year. Somewhat reminiscent of the 2000’s tech bubble, this dominance has resulted in a skew of the S&P 500® Index away from defensive companies leaving investors in index-tracking funds overexposed to richly valued stocks that may be vulnerable to a market pull-back.
During the quarter, trade tensions were a key source of volatility. It remains unclear whether the most extreme threats of tariffs are merely the administration’s opening salvo or legitimately likely to occur. Most recently, the administration announced potential tariffs on an additional $200 billion of imports from China, on top of the $50 billion that had already been announced. Restrictions over Chinese investments in U.S. technology and a 20% tariff on European autos were also threatened. Without doubt, these actions have impacted markets as China’s Shanghai Composite Index declined over 20%, putting it into “bear” territory. The direct impact of these tariffs may be apparent. Less clear are the second-order effects, such as, the impact on business confidence, supply-chain disruptions, a stronger dollar and retaliatory actions. As we have pointed out in the past, while there are winners and losers in global trade, aggregate trade is beneficial to global economic growth. Any significant disruption of trade will likely result in a downshift of global growth expectations.
Meanwhile, the Federal Reserve (Fed) voted to raise its short-term interest rate by 0.25% (to a range of 1.75% to 2.00%) and continued to shrink its balance sheet. Since last September, the Fed’s holdings have declined by $128 billion (to $4.1 trillion). Starting in July, the pace of unwinding is scheduled to increase to a rate of $120 billion per quarter (up from $90 billion in the current quarter). At the same time the U.S. government is increasing its sale of Treasuries to cover the larger budget deficit from recent tax cuts. Projections indicate net issuance of $1.17 trillion this year and a similar amount in 2019. All things being equal, the additional supply of debt securities should continue to pressure interest rates higher.
As we pointed out last quarter, this year’s increase in volatility is just a return to a more typical pattern of ups and downs that the market traditionally exhibits. What makes it notable is the historic lack of volatility in 2017 that lulled investors into thinking there wasn’t much “risk” in “risky” assets. The S&P 500® first quarter earnings were excellent, with growth greater than 25% on a year-over-year basis, the best rate since 2010. While tax reform influenced these results, the biggest driver was accelerating economic growth. Data from the Manufacturing Sector indicated robust growth (ISM Index averaged near 60 on a year-to-date basis) and a 20% jump in oil prices helped drive strong results in the Energy Sector (the best performing sector in the S&P 500® for 2Q).
As we begin the second-half of 2018, continued volatility should be expected as the market weighs accelerating U.S. economic growth, robust earnings and strong employment figures against tighter monetary policy, higher interest rates and escalating trade tensions. The near record length economic expansion will come to an end at some point and markets will likely sell off in advance. Accurately predicting that point is nearly impossible, making market timing a futile endeavor. With this in mind, we continue to believe investors are best served by choosing risk assets based upon investment time horizon and risk tolerance. This approach, along with investing in stocks of lower-risk, higher-quality companies and shorter-duration, higher-quality bonds, should allow investors to participate in the market while providing some shelter as we experience more typical market volatility.
Ultra Series Fund | June 30, 2018
Review of Period (unaudited) |
ALLOCATION FUNDS SUMMARY
The Ultra Series Conservative Allocation, Moderate Allocation and Aggressive Allocation Funds (the “Funds”) invest primarily in shares of registered investment companies (the “Underlying Funds”). The Funds will be diversified among a number of asset classes and their allocation among Underlying Funds will be based on an asset allocation model developed by Madison Asset Management, LLC (“Madison”), the Funds’ investment adviser. The team may use multiple analytical approaches to determine the appropriate asset allocation, including:
• | Asset allocation optimization analysis – considers the degree to which returns in different asset classes do or do not move together, and the Funds’ aim to achieve a favorable overall risk profile for any targeted portfolio return. | |
• | Scenario analysis – historical and expected return data is analyzed to model how individual asset classes and combinations of asset classes would affect the Funds under different economic and market conditions. | |
• | Fundamental analysis – draws upon Madison’s investment teams to judge each asset class against current and forecasted market conditions. Economic, industry and security analysis is used to develop return and risk expectations that may influence asset class selection. In addition, Madison has a flexible mandate which permits the Funds, at the sole discretion of Madison, to materially reduce equity risk exposures when and if conditions are deemed to warrant such an action. |
CONSERVATIVE ALLOCATION FUND |
INVESTMENT STRATEGY HIGHLIGHTS |
Under normal circumstances, the Ultra Series Conservative Allocation Fund’s total net assets will be allocated among various asset classes and Underlying Funds, including those whose shares trade on a stock exchange (exchange traded funds or “ETFs”), with target allocations over time of approximately 35% equity investments and 65% fixed income investments. Underlying Funds in which the Fund invests may include funds advised by Madison and/or its affiliates, including the Madison Funds (the “Affiliated Underlying Funds”). Generally, Madison will not invest more than 75% of the Fund’s net assets, at the time of purchase, in Affiliated Underlying Funds.
PORTFOLIO ALLOCATION AS A PERCENTAGE OF NET ASSETS AS OF 6/30/18 | ||
Bond Funds | 62.5% | |
Collateral for Securities on Loan | 1.9% | |
Foreign Stock Funds | 8.8% | |
Money Market Funds | 3.8% | |
Stock Funds | 24.8% | |
Net Other Assets and Liabilities | (1.8)% |
PERFORMANCE DISCUSSION |
The Ultra Series Conservative Allocation Fund (Class I) returned (0.70)% during the period, slightly underperforming the Conservative Allocation Fund Custom Index return of (0.60)% and the Morningstar Conservative Allocation Category peer group, which returned (0.65)%.
MODERATE ALLOCATION FUND |
INVESTMENT STRATEGY HIGHLIGHTS |
Under normal circumstances, the Ultra Series Moderate Allocation Fund’s total net assets will be allocated among various asset classes and Underlying Funds, including those whose shares trade on a stock exchange (exchange traded funds or “ETFs”), with target allocations over time of approximately 60% equity investments and 40% fixed income investments. Underlying Funds in which the Fund invests may include Affiliated Underlying Funds. Generally, Madison will not invest more than 75% of the Fund’s net assets, at the time of purchase, in Affiliated Underlying Funds.
PORTFOLIO ALLOCATION AS A PERCENTAGE OF NET ASSETS AS OF 6/30/18 | ||
Bond Funds | 37.6% | |
Collateral for Securities on Loan | 2.6% | |
Foreign Stock Funds | 15.8% | |
Money Market Funds | 4.5% | |
Stock Funds | 41.9% | |
Net Other Assets and Liabilities | (2.4)% |
PERFORMANCE DISCUSSION |
The Ultra Series Moderate Allocation Fund (Class I) returned (0.43)% during the period, underperforming the Moderate
Ultra Series Fund | Review of Period (unaudited) - continued | June 30, 2018
Allocation Fund Custom Index return of 0.08% and the Morningstar Moderate Allocation Category peer group, which returned 0.17%.
AGGRESSIVE ALLOCATION FUND |
INVESTMENT STRATEGY HIGHLIGHTS |
Under normal circumstances, the Ultra Series Aggressive Allocation Fund’s total net assets will be allocated among various asset classes and Underlying Funds, including ETFs, with target allocations over time of approximately 80% equity investments and 20% fixed income investments. Underlying Funds in which the Fund invests may include Affiliated Underlying Funds. Generally, Madison will not invest more than 75% of Fund’s net assets, at the time of purchase, in Affiliated Underlying Funds.
PORTFOLIO ALLOCATION AS A PERCENTAGE OF NET ASSETS AS OF 6/30/18 | ||
Bond Funds | 18.5% | |
Collateral for Securities on Loan | 12.9% | |
Foreign Stock Funds | 22.9% | |
Money Market Funds | 4.7% | |
Stock Funds | 53.8% | |
Net Other Assets and Liabilities | (12.8)% |
PERFORMANCE DISCUSSION |
The Ultra Series Aggressive Allocation Fund (Class I) returned (0.08)% during the period, underperforming the Aggressive Allocation Fund Custom Index return of 0.61% and the Morningstar Aggressive Allocation Category peer group, which returned 0.69%.
CORE BOND FUND |
INVESTMENT STRATEGY HIGHLIGHTS |
Under normal circumstances, the Ultra Series Core Bond Fund invests at least 80% of its net assets in bonds. To keep current income relatively stable and to limit share price volatility, the Fund emphasizes investment grade securities and maintains an intermediate (typically 3-7 year) average portfolio duration, with the goal of being between 85-115% of the market benchmark duration. The Fund also strives to add incremental return in the portfolio by making strategic decisions relating to credit risk, sector exposure and yield curve positioning. The Fund may invest in corporate debt securities, U.S. Government debt securities, foreign government debt securities, non-rated debt securities, and asset-backed, mortgage-backed and commercial mortgage-backed securities.
PERFORMANCE DESCRIPTION |
The Ultra Series Core Bond Fund (Class I) returned (1.83)% during the period, underperforming its benchmark, the Barclays U.S. Aggregate Bond Index return of (1.62)%. The Fund also underperformed its peer group, the Morningstar Intermediate-Term Bond, which returned (1.65)% for the period.
SECTOR ALLOCATION AS A PERCENTAGE OF NET ASSETS AS OF 6/30/18 | ||
Asset Backed Securities | 4.1% | |
Collateral for Securities on Loan | 0.2% | |
Collateralized Mortgage Obligations | 2.2% | |
Commercial Mortgage-Backed Securities | 2.0% | |
Corporate Notes and Bonds | 34.5% | |
Long Term Municipal Bonds | 4.6% | |
Money Market Funds | 0.9% | |
Mortgage Backed Securities | 26.8% | |
U.S. Government and Agency Obligations | 23.6% | |
Net Other Assets and Liabilities | 1.1% |
HIGH INCOME FUND |
INVESTMENT STRATEGY HIGHLIGHTS |
The Ultra Series High Income Fund invests primarily in lower-rated, higher-yielding income bearing securities, such as “junk” bonds. Because the performance of these securities has historically been strongly influenced by economic conditions, the Fund may rotate securities selection by business sector according to the economic outlook. Under normal market conditions, the Fund invests at least 80% of its net assets in bonds rated lower than investment grade (BBB/Baa) and their unrated equivalents or other high-yielding securities.
PERFORMANCE DISCUSSION |
The Ultra Series High Income Fund (Class I) returned (1.10)% during the period, underperforming its benchmark, the ICE Bank of America Merrill Lynch U.S. High Yield Master Index return of 0.08%. The Fund also underperformed its peer group, the Morningstar High Yield Bond Category, which returned (0.46)% for the period.
Ultra Series Fund | Review of Period (unaudited) - continued | June 30, 2018
SECTOR ALLOCATION AS A PERCENTAGE OF NET ASSETS AS OF 6/30/18 | ||
Collateral for Securities on Loan | 9.8% | |
Consumer Discretionary | 18.9% | |
Consumer Staples | 8.2% | |
Energy | 11.5% | |
Financials | 9.1% | |
Health Care | 7.6% | |
Industrials | 18.8% | |
Information Technology | 2.0% | |
Materials | 4.8% | |
Money Market Funds | 6.3% | |
Real Estate | 2.6% | |
Telecommunication Services | 3.8% | |
Utilities | 5.2% | |
Net Other Assets and Liabilities | (8.6)% |
DIVERSIFIED INCOME FUND |
INVESTMENT STRATEGY HIGHLIGHTS |
The Ultra Series Diversified Income Fund seeks income by investing in a broadly diversified array of securities including bonds, common stocks, real estate securities, foreign market bonds and stocks and money market instruments. Bonds, stock and cash components will vary, reflecting the portfolio managers’ judgments of the relative availability of attractively yielding and priced stocks and bonds; however, under normal market conditions, the Fund’s portfolio managers generally attempt to target a 40% bond and 60% stock investment allocation. Nevertheless, bonds (including investment grade, high yield and mortgage- or asset-backed) may constitute up to 80% of the Fund’s assets, stocks (including common stocks, preferred stocks and convertible bonds) may constitute up to 70% of the Fund’s assets, real estate securities may constitute up to 25% of the Fund’s assets, foreign (including American Depositary Receipts (“ADRs”) and emerging market) stocks and bonds may constitute up to 25% of the Fund’s assets, and money market instruments may constitute up to 25% of the Fund’s assets. Although the Fund is permitted to invest up to 80% of its assets in lower credit quality bonds, under normal circumstances, the Fund intends to limit the investment in lower credit quality bonds to less than 50% of the Fund’s assets. The balance between the two strategies of the Fund (fixed income and equity investing) is determined after reviewing the risks associated with each type of investment, with the goal of meaningful risk reduction as market conditions demand.
PERFORMANCE DISCUSSIONS |
The Ultra Series Diversified Income Fund (Class I) returned (1.49)% during the period, underperforming its custom blended benchmark (50% S&P 500® Index and 50% Bank of America Merrill Lynch U.S. Corporate Government and Mortgage Index) return of 0.58%. The Fund also underperformed its Morningstar peer group, the Moderate Allocation Category, which returned 0.17% for the period.
SECTOR ALLOCATION AS A PERCENTAGE OF NET ASSETS AS OF 6/30/18 | ||
Asset Backed Securities | 1.3% | |
Collateral for Securities on Loan | 0.1% | |
Collateralized Mortgage Obligations | 1.2% | |
Commercial Mortgage-Backed Securities | 0.5% | |
Common Stocks | 63.7% | |
Corporate Notes and Bonds | 12.2% | |
Long Term Municipal Bonds | 2.6% | |
Money Market Funds | 2.1% | |
Mortgage Backed Securities | 8.5% | |
U.S. Government and Agency Obligations | 7.4% | |
Net Other Assets and Liabilities | 0.4% |
LARGE CAP VALUE FUND |
INVESTMENT STRATEGY HIGHLIGHTS |
The Ultra Series Large Cap Value Fund will, under normal market conditions, maintain at least 80% of its net assets in large cap stocks. The Fund follows a “value” approach, meaning the portfolio managers seek to invest in stocks at prices below their perceived intrinsic value as estimated based on fundamental analysis of the issuing company and its prospects. By investing in value stocks, the Fund attempts to limit the downside risk over time but may also produce smaller gains than other stock funds if their intrinsic values are not realized by the market or if growth-oriented investments are favored by investors. The Fund will diversify its holdings among various industries and among companies within those industries.
PERFORMANCE DISCUSSIONS |
The Ultra Series Large Cap Value Fund (Class I) returned 0.99% during the period, which outperformed its benchmark, the Russell 1000® Value Index return of (1.69)%. The Fund also outperformed its Morningstar peer group, the Morningstar Large Value Category, which returned (1.25)% for the period.
Ultra Series Fund | Review of Period (unaudited) - continued | June 30, 2018
SECTOR ALLOCATION AS A PERCENTAGE OF NET ASSETS AS OF 6/30/18 | ||
Collateral for Securities on Loan | 0.5% | |
Consumer Staples | 3.7% | |
Energy | 16.1% | |
Financials | 16.9% | |
Health Care | 9.9% | |
Industrials | 8.4% | |
Information Technology | 7.1% | |
Materials | 14.6% | |
Money Market Funds | 2.5% | |
Real Estate | 4.3% | |
Telecommunication Services | 4.1% | |
Utilities | 11.0% | |
Net Other Assets and Liabilities | 0.9% |
LARGE CAP GROWTH FUND |
INVESTMENT STRATEGY HIGHLIGHTS |
The Ultra Series Large Cap Growth Fund invests primarily in common stocks of larger companies and will, under normal market conditions, maintain at least 80% of its net assets in large cap stocks. To a lesser extent, the Fund may invest in the stocks of less established companies that may offer more rapid growth potential. The Fund invests in well-managed companies with competitive advantages that have demonstrated patterns of consistent growth. The Fund invests when a stock trades at a good price in relation to underlying value. The Fund is actively managed which will lead to more portfolio turnover than a passively-managed Fund.
PERFORMANCE DISCUSSION |
The Ultra Series Large Cap Growth Fund (Class I) returned 0.79% during the period, underperforming its benchmark, the Russell 1000® Growth Category return of 7.25%. The Fund also underperformed its peer group, the Morningstar Large Growth Category, which returned 8.70% for the period.
SECTOR ALLOCATION AS A PERCENTAGE OF NET ASSETS AS OF 6/30/18 | ||
Consumer Discretionary | 18.5% | |
Consumer Staples | 4.1% | |
Financials | 13.9% | |
Health Care | 14.6% | |
Industrials | 6.5% | |
Information Technology | 24.9% | |
Materials | 9.1% | |
Money Market Funds | 5.4% | |
Real Estate | 3.6% | |
Net Other Assets and Liabilities | (0.6)% |
MID CAP FUND |
INVESTMENT STRATEGY HIGHLIGHTS |
The Ultra Series Mid Cap Fund generally invests in common stocks of midsize companies and will, under normal market conditions, maintain at least 80% of its net assets in mid cap securities. The Fund seeks attractive long-term returns through bottom-up security selection based on fundamental analysis in a diversified portfolio of high-quality growth companies with attractive valuations. These will typically be industry leading companies in niches with strong growth prospects. The Fund’s portfolio managers believe in selecting stocks for the Fund that show steady, sustainable growth and reasonable valuations. As a result, stocks of issuers that are believed to have a blend of both value and growth potential will be selected for investment.
PERFORMANCE DISCUSSION |
The Ultra Series Mid Cap Fund (Class I) returned 3.40% during the period, outperforming its benchmark, the Russell Midcap® Index return of 2.35%. The Fund underperformed its peer group, the Morningstar Mid-Cap Growth category, which returned 7.04% for the period.
Ultra Series Fund | Review of Period (unaudited) - continued | June 30, 2018
SECTOR ALLOCATION AS A PERCENTAGE OF NET ASSETS AS OF 6/30/18 | ||
Consumer Discretionary | 23.5% | |
Consumer Staples | 0.9% | |
Energy | 1.1% | |
Financials | 22.2% | |
Health Care | 13.2% | |
Industrials | 14.3% | |
Information Technology | 6.7% | |
Materials | 8.7% | |
Money Market Funds | 6.8% | |
Real Estate | 2.7% | |
Net Other Assets and Liabilities | (0.1)% |
INTERNATIONAL STOCK FUND |
INVESTMENT STRATEGY HIGHLIGHTS |
The Ultra Series International Stock Fund will invest, under normal market conditions, at least 80% of its net assets in the stock of foreign companies. Typically, a majority of the Fund’s assets are invested in relatively large cap stocks of companies located or operating in developed countries. The Fund may also invest up to 30% of its assets in securities of companies whose principal business activities are located in emerging market countries. The portfolio managers typically maintain this segment of the Fund’s portfolio in such stocks which it believes have a low market price relative to their perceived value based on fundamental analysis of the issuing company and its prospects. The Fund may also invest in foreign debt and other income bearing securities at times when it believes that income bearing securities have greater capital appreciation potential than equity securities.
PERFORMANCE DISCUSSION |
The Ultra Series International Stock Fund (Class I) returned (2.66)% during the period, outperforming its benchmark, the MSCI EAFE (net) Index return of (2.75)%. The Fund also outperformed its peer group, the Morningstar Foreign Large Blend Category, which returned (3.23)% for the period.
SECTOR ALLOCATION AS A PERCENTAGE OF NET ASSETS AS OF 6/30/18 | ||
Collateral for Securities on Loan | 1.3% | |
Consumer Discretionary | 15.9% | |
Consumer Staples | 9.3% | |
Energy | 7.6% | |
Financials | 17.6% | |
Health Care | 8.7% | |
Industrials | 15.9% | |
Information Technology | 7.7% | |
Materials | 4.9% | |
Money Market Funds | 4.0% | |
Real Estate | 2.4% | |
Telecommunication Services | 4.7% | |
Utilities | 1.4% | |
Net Other Assets and Liabilities | (1.4)% |
GEOGRAPHICAL ALLOCATION AS A PERCENTAGE OF NET ASSETS AS OF 6/30/18 | ||
United Kingdom | 17.4% | |
Japan | 17.1% | |
France | 11.0% | |
Switzerland | 6.9% | |
Netherlands | 6.5% | |
Ireland | 5.6% | |
United States | 5.3% | |
Germany | 5.0% | |
Canada | 4.8% | |
Sweden | 3.6% | |
Australia | 2.8% | |
Norway | 2.8% | |
Singapore | 2.1% | |
Belgium | 1.6% | |
Finland | 1.4% | |
Spain | 1.4% | |
Denmark | 1.3% | |
Turkey | 1.1% | |
Brazil | 1.0% | |
Taiwan | 1.0% | |
India | 0.9% | |
Luxembourg | 0.8% | |
Israel | 0.0% | |
Net Other Assets and Liabilities | (1.4)% |
Ultra Series Fund | Review of Period (unaudited) - continued | June 30, 2018
BENCHMARK DESCRIPTIONS |
ALLOCATION FUND CUSTOM INDEXES*
The Conservative Allocation Fund Custom Index consists of 65% Bloomberg Barclays US Aggregate Bond Index, 24.5% Russell 3000® Index and 10.5% MSCI ACWI ex-USA Index (net). See market index descriptions below.
The Moderate Allocation Fund Custom Index consists of 40% Bloomberg Barclays US Aggregate Bond Index, 42% Russell 3000® Index and 18% MSCI ACWI ex-USA Index (net). See market index descriptions below.
The Aggressive Allocation Fund Custom Index consists of 20% Bloomberg Barclays US Aggregate Bond Index, 56% Russell 3000® Index and 24% MSCI ACWI ex-USA Index (net). See market index descriptions below.
HYBRID FUND CUSTOM INDEXES*
The Custom Blended Index consists of 50% S&P 500® Index and 50% of Bank of America Merrill Lynch U.S. Corporate, Government and Mortgage Index. See market indexes’ descriptions below.
*The Custom Indexes are calculated using a monthly re-balancing frequency (i.e., rebalanced back to original constituent weight every calendar month-end).
MARKET INDEXES
The ICE Bank of America Merrill Lynch U.S. Corporate, Government & Mortgage Index is a broad-based measure of the total rate of return performance of the U.S. investment-grade bond markets. The index is a capitalization-weighted aggregation of outstanding U.S. treasury, agency and supranational mortgage pass-through, and investment-grade corporate bonds meeting specified selection criteria.
The ICE Bank of America Merrill Lynch U.S. High Yield Constrained Index tracks the performance of below investment grade U.S. dollar denominated corporate bonds publicly issued in the U.S. domestic market, but limits any individual issuer to a maximum weighting of 2%.
The Bloomberg Barclays Intermediate Government Credit Index measures the investment grade, U.S. dollar-denominated, fixed-rate, taxable corporate and government related bond markets. It is composed of the U.S. corporate index and a non-corporate component that includes foreign agencies, sovereigns, supranationals and local authorities.
The Bloomberg Barclays U.S. Aggregate Bond Index is a broad-based flagship benchmark that measures the investment grade, U.S. dollar-denominated, fixed-rate taxable bond market. The index includes Treasuries, government-related and corporate securities, mortgage backed securities, asset backed securities and commercial mortgage-backed securities.
The MSCI EAFE (Europe, Australasia & Far East) Index (net) is a free float-adjusted market capitalization index that is designed to measure developed market equity performance, excluding the U.S. and Canada. The MSCI EAFE Index (net) is calculated on a total return basis with dividends reinvested after the deduction of withholding taxes.
The MSCI ACWI ex USA Index is a free float-adjusted market capitalization weighted index that is designed to measure the equity market performance of developed and emerging markets. The MSCI ACWI ex USA (net) is calculated on a total return basis with dividends reinvested after the deduction of withholding taxes.
The Russell 1000® Growth Index is a large-cap market index which measures the performance of those Russell 1000 companies with higher price-to-book ratios and higher forecasted growth values.
The Russell 1000® Value Index is a large-cap market index which measures the performance of those Russell 1000 companies with lower price-to-book ratios and lower forecasted growth values.
The Russell 3000® Index measures the performance of the 3,000 largest U.S. companies based on total market capitalization, which represents 98% of the investable U.S. equity market.
The Russell Midcap® Index is a mid-cap market index which measures the performance of the mid-cap segment of the U.S. equity universe.
Ultra Series Fund | Review of Period (unaudited) - concluded | June 30, 2018
The S&P 500® Index is a large-cap market index which measures the performance of a representative sample of 500 leading companies in leading industries in the U.S.
© Morningstar, Inc. All rights reserved. The information contained herein: (1) is proprietary to Morningstar and/or its content providers; (2) may not be copied or distributed; and (3) is not warranted to be accurate, complete, or timely. Neither Morningstar nor its content providers are responsible for any damages or losses arising from any use of this information.
Past performance is no guarantee of future results.
Russell Investment Group is the source and owner of the trademarks, service marks and copyrights related to the Russell Indexes. Russell® is a trademark of Russell Investment Group.
Ultra Series Fund | June 30, 2018 |
Conservative Allocation Fund Portfolio of Investments (unaudited) |
Shares | Value (Note 2) | ||||||
INVESTMENT COMPANIES - 99.9% | |||||||
Bond Funds - 62.5% | |||||||
Baird Aggregate Bond Fund Institutional Shares | 478,443 | $ | 5,042,785 | ||||
iShares 20+ Year Treasury Bond ETF (A) | 23,909 | 2,910,203 | |||||
iShares 7-10 Year Treasury Bond ETF | 27,863 | 2,856,236 | |||||
iShares TIPS Bond Fund ETF | 122,359 | 13,810,660 | |||||
Madison Core Bond Fund Class Y (B) | 3,370,781 | 32,561,747 | |||||
Madison Corporate Bond Fund Class Y (B) | 814,974 | 8,981,009 | |||||
Vanguard Short-Term Corporate Bond ETF | 89,279 | 6,972,690 | |||||
Vanguard Short-Term Treasury ETF | 94,701 | 5,674,484 | |||||
Virtus Seix Floating Rate High Income Fund, Class R6 | 862,511 | 7,477,973 | |||||
86,287,787 | |||||||
Foreign Stock Funds - 8.8% | |||||||
iShares MSCI Eurozone ETF | 49,016 | 2,010,146 | |||||
iShares MSCI Japan ETF | 5,821 | 337,094 | |||||
Vanguard FTSE All World ex-U.S. Small-Cap ETF (A) | 20,322 | 2,345,362 | |||||
Vanguard FTSE All-World ex-U.S. ETF | 51,342 | 2,661,569 | |||||
Vanguard FTSE Emerging Markets ETF | 7,757 | 327,345 | |||||
Vanguard FTSE Europe ETF | 18,315 | 1,028,021 | |||||
WisdomTree Japan Hedged Equity Fund | 12,426 | 670,756 | |||||
Xtrackers MSCI EAFE Hedged Equity ETF | 85,027 | 2,669,848 | |||||
12,050,141 | |||||||
Money Market Funds - 3.8% | |||||||
State Street Institutional U.S. Government Money Market Fund, 1.82%, Premier Class | 5,242,931 | 5,242,931 | |||||
Stock Funds - 24.8% | |||||||
Energy Select Sector SPDR Fund (A) | 18,027 | 1,368,970 | |||||
Invesco Optimum Yield Diversified Commodity Strategy | 137,421 | 2,536,792 | |||||
iShares Core S&P Mid-Cap ETF | 22,778 | 4,436,699 | |||||
Madison Dividend Income Fund Class Y (B) | 362,566 | 9,470,231 | |||||
Madison Investors Fund Class Y (B) | 438,243 | 10,110,265 | |||||
Madison Mid Cap Fund Class Y (B) | 99,797 | 1,016,930 | |||||
Vanguard Growth ETF | 35,506 | 5,319,155 | |||||
34,259,042 | |||||||
Total Investment Companies | |||||||
(Cost $133,224,390) | 137,839,901 | ||||||
COLLATERAL FOR SECURITIES ON LOAN (C) - 1.9% | |||||||
State Street Navigator Securities Lending Government Money Market Portfolio, 1.93% | 2,734,968 | 2,734,968 | |||||
Total Collateral for Securities on Loan | |||||||
(Cost $2,734,968) | 2,734,968 | ||||||
TOTAL INVESTMENTS - 101.8% (Cost $135,959,358**) | 140,574,869 | ||||||
NET OTHER ASSETS AND LIABILITIES - (1.8%) | (2,529,482 | ) | |||||
TOTAL NET ASSETS - 100.0% | $ | 138,045,387 | |||||
** | Aggregate cost for Federal tax purposes was $136,118,872. | |
(A) | A portion of securities on loan with an aggregate value of $4,010,245; cash collateral (included in liabilities) of $2,734,968 was received with which the Fund invested in the State Street Navigator Securities Lending Government Money Market Portfolio and non-cash collateral of $1,360,282 (see Note 8). | |
(B) | Affiliated Company (see Note 11). | |
(C) | Represents investments of cash collateral received in connection with securities lending. | |
ETF | Exchange Traded Fund. |
Ultra Series Fund | June 30, 2018 |
Moderate Allocation Fund Portfolio of Investments (unaudited) |
Shares | Value (Note 2) | ||||||
INVESTMENT COMPANIES - 99.8% | |||||||
Bond Funds - 37.6% | |||||||
Baird Aggregate Bond Fund Institutional Shares | 327,496 | $ | 3,451,809 | ||||
iShares 20+ Year Treasury Bond ETF (A) | 39,030 | 4,750,732 | |||||
iShares TIPS Bond Fund ETF | 141,169 | 15,933,745 | |||||
Madison Core Bond Fund Class Y (B) | 3,960,330 | 38,256,791 | |||||
Madison Corporate Bond Fund Class Y (B) | 437,539 | 4,821,677 | |||||
Vanguard Short-Term Treasury ETF | 159,751 | 9,572,280 | |||||
Virtus Seix Floating Rate High Income Fund, Class R6 | 835,576 | 7,244,445 | |||||
84,031,479 | |||||||
Foreign Stock Funds - 15.8% | |||||||
iShares MSCI Eurozone ETF | 160,199 | 6,569,761 | |||||
iShares MSCI Japan ETF | 28,456 | 1,647,887 | |||||
Vanguard FTSE All World ex-U.S. Small-Cap ETF | 56,737 | 6,548,017 | |||||
Vanguard FTSE All-World ex-U.S. ETF | 125,552 | 6,508,615 | |||||
Vanguard FTSE Emerging Markets ETF | 37,954 | 1,601,659 | |||||
Vanguard FTSE Europe ETF | 59,644 | 3,347,818 | |||||
WisdomTree Japan Hedged Equity Fund | 40,407 | 2,181,170 | |||||
Xtrackers MSCI EAFE Hedged Equity ETF | 225,548 | 7,082,207 | |||||
35,487,134 | |||||||
Money Market Funds - 4.5% | |||||||
State Street Institutional U.S. Government Money Market Fund, 1.82%, Premier Class | 9,972,890 | 9,972,890 | |||||
Stock Funds - 41.9% | |||||||
Energy Select Sector SPDR Fund (A) | 51,656 | 3,922,756 | |||||
Invesco Optimum Yield Diversified Commodity Strategy | 372,280 | 6,872,289 | |||||
iShares Core S&P Mid-Cap ETF | 42,942 | 8,364,243 | |||||
Madison Dividend Income Fund Class Y (B) | 927,525 | 24,226,955 | |||||
Madison Investors Fund Class Y (B) | 1,086,343 | 25,061,922 | |||||
Madison Large Cap Value Fund Class Y (B) | 496,307 | 7,320,526 | |||||
Madison Mid Cap Fund Class Y (B) | 320,747 | 3,268,410 | |||||
Vanguard Growth ETF | 89,465 | 13,402,752 | |||||
Vanguard Information Technology ETF (A) | 7,352 | 1,333,653 | |||||
93,773,506 | |||||||
Total Investment Companies | |||||||
(Cost $204,474,523) | 223,265,009 | ||||||
COLLATERAL FOR SECURITIES ON LOAN (C) - 2.6% | |||||||
State Street Navigator Securities Lending Government Money Market Portfolio, 1.93% | 5,654,383 | 5,654,383 | |||||
Total Collateral for Securities on Loan | |||||||
(Cost $5,654,383) | 5,654,383 | ||||||
TOTAL INVESTMENTS - 102.4% (Cost $210,128,906**) | 228,919,392 | ||||||
NET OTHER ASSETS AND LIABILITIES - (2.4%) | (5,298,303 | ) | |||||
TOTAL NET ASSETS - 100.0% | $ | 223,621,089 | |||||
** | Aggregate cost for Federal tax purposes was $210,479,127. | |
(A) | A portion of securities on loan with an aggregate value of $9,365,544; cash collateral (included in liabilities) of $5,654,383 was received with which the Fund invested in the State Street Navigator Securities Lending Government Money Market Portfolio and non-cash collateral of $3,897,894 (see Note 8). | |
(B) | Affiliated Company (see Note 11). | |
(C) | Represents investments of cash collateral received in connection with securities lending. | |
ETF | Exchange Traded Fund. |
Ultra Series Fund | June 30, 2018 |
Aggressive Allocation Fund Portfolio of Investments (unaudited) |
Shares | Value (Note 2) | ||||||
INVESTMENT COMPANIES - 99.9% | |||||||
Bond Funds - 18.5% | |||||||
iShares 20+ Year Treasury Bond ETF (A) | 10,481 | $ | 1,275,747 | ||||
iShares 7-10 Year Treasury Bond ETF | 22,280 | 2,283,923 | |||||
Madison Core Bond Fund Class Y (B) | 738,011 | 7,129,187 | |||||
Vanguard Short-Term Corporate Bond ETF | 18,248 | 1,425,169 | |||||
Vanguard Short-Term Treasury ETF | 37,535 | 2,249,097 | |||||
14,363,123 | |||||||
Foreign Stock Funds - 22.9% | |||||||
iShares MSCI Eurozone ETF | 76,814 | 3,150,142 | |||||
iShares MSCI Japan ETF | 13,528 | 783,406 | |||||
Vanguard FTSE All World ex-U.S. Small-Cap ETF (A) | 30,099 | 3,473,726 | |||||
Vanguard FTSE All-World ex-U.S. ETF | 54,785 | 2,840,054 | |||||
Vanguard FTSE Emerging Markets ETF | 26,628 | 1,123,702 | |||||
Vanguard FTSE Europe ETF | 28,323 | 1,589,770 | |||||
WisdomTree Japan Hedged Equity Fund | 21,069 | 1,137,305 | |||||
Xtrackers MSCI EAFE Hedged Equity ETF (A) | 117,282 | 3,682,655 | |||||
17,780,760 | |||||||
Money Market Funds - 4.7% | |||||||
State Street Institutional U.S. Government Money Market Fund, 1.82%, Premier Class | 3,648,721 | 3,648,721 | |||||
Stock Funds - 53.8% | |||||||
Energy Select Sector SPDR Fund (A) | 23,195 | 1,761,428 | |||||
Invesco Optimum Yield Diversified Commodity Strategy (A) | 156,735 | 2,893,328 | |||||
iShares Core S&P Mid-Cap ETF | 22,936 | 4,467,474 | |||||
Madison Dividend Income Fund Class Y (B) | 362,844 | 9,477,480 | |||||
Madison Investors Fund Class Y (B) | 415,900 | 9,594,805 | |||||
Madison Large Cap Value Fund Class Y (B) | 274,146 | 4,043,656 | |||||
Madison Mid Cap Fund Class Y (B) | 265,783 | 2,708,326 | |||||
Vanguard Growth ETF | 39,810 | 5,963,936 | |||||
Vanguard Information Technology ETF (A) | 5,203 | 943,824 | |||||
41,854,257 | |||||||
Total Investment Companies | |||||||
(Cost $68,184,663) | 77,646,861 | ||||||
COLLATERAL FOR SECURITIES ON LOAN (C) - 12.9% | |||||||
State Street Navigator Securities Lending Government Money Market Portfolio, 1.93% | 10,029,855 | 10,029,855 | |||||
Total Collateral for Securities on Loan | |||||||
(Cost $10,029,855) | 10,029,855 | ||||||
TOTAL INVESTMENTS - 112.8% (Cost $78,214,518**) | 87,676,716 | ||||||
NET OTHER ASSETS AND LIABILITIES - (12.8%) | (9,927,002 | ) | |||||
TOTAL NET ASSETS - 100.0% | $ | 77,749,714 | |||||
** | Aggregate cost for Federal tax purposes was $78,362,112. | |
(A) | A portion of securities on loan with an aggregate value of $11,555,784; cash collateral (included in liabilities) of $10,029,855 was received with which the Fund invested in the State Street Navigator Securities Lending Government Money Market Portfolio and non-cash collateral of $1,750,287 (see Note 8). | |
(B) | Affiliated Company (see Note 11). | |
(C) | Represents investments of cash collateral received in connection with securities lending. | |
ETF | Exchange Traded Fund. |
Ultra Series Fund | June 30, 2018 |
Core Bond Fund Portfolio of Investments (unaudited) |
Par Value | Value (Note 2) | ||||||
ASSET BACKED SECURITIES - 4.1% | |||||||
American Express Credit Account Master Trust, Series 2017-1, Class B, 2.1%, 9/15/22 | $ | 500,000 | $ | 493,357 | |||
BMW Floorplan Master Owner Trust, Series 2018-1, Class A2, (3M USD LIBOR + 0.875%) (A) (B), 2.35%, 5/15/23 | 275,000 | 275,000 | |||||
CarMax Auto Owner Trust, Series 2017-1, Class A2, 1.54%, 2/18/20 | 269,068 | 268,666 | |||||
CarMax Auto Owner Trust, Series 2015-2, Class A4, 1.8%, 3/15/21 | 550,000 | 545,980 | |||||
Chase Issuance Trust, Series 2017-A1, Class A, (1M LIBOR + 0.300%) (B), 2.373%, 1/18/22 | 500,000 | 501,142 | |||||
Chesapeake Funding II LLC, Series 2017-4A, Class A1 (A), 2.12%, 11/15/29 | 400,000 | 394,726 | |||||
Enterprise Fleet Financing LLC, Series 2015-2, Class A3 (A), 2.09%, 2/22/21 | 196,297 | 195,716 | |||||
Enterprise Fleet Financing LLC, Series 2017-2, Class A2 (A), 1.97%, 1/20/23 | 472,522 | 468,996 | |||||
Enterprise Fleet Financing LLC, Series 2017-3, Class A2 (A), 2.13%, 5/22/23 | 500,000 | 495,141 | |||||
Ford Credit Floorplan Master Owner Trust, Series 2015-4, Class A1, 1.77%, 8/15/20 | 500,000 | 499,553 | |||||
Santander Drive Auto Receivables Trust, Series 2014-5, Class C, 2.46%, 6/15/20 | 91,508 | 91,575 | |||||
Synchrony Credit Card Master Note Trust, Series 2017-1, Class B, 2.19%, 6/15/23 | 1,000,000 | 981,717 | |||||
Verizon Owner Trust, Series 2017-1A, Class A (A), 2.06%, 9/20/21 | 800,000 | 790,887 | |||||
Total Asset Backed Securities | |||||||
(Cost $6,015,784) | 6,002,456 | ||||||
COLLATERALIZED MORTGAGE OBLIGATIONS - 2.2% | |||||||
Fannie Mae REMICS, Series 2015-12, Class NI, IO, 3.5%, 3/25/30 | 2,139,279 | 241,025 | |||||
Fannie Mae REMICS, Series 2011-31, Class DB, 3.5%, 4/25/31 | 375,000 | 378,751 | |||||
Fannie Mae REMICS, Series 2011-36, Class QB, 4%, 5/25/31 | 500,000 | 516,142 | |||||
Fannie Mae REMICS, Series 2005-79, Class LT, 5.5%, 9/25/35 | 477,247 | 517,624 | |||||
Fannie Mae REMICS, Series 2011-101, Class NC, 2.5%, 4/25/40 | 282,535 | 279,141 | |||||
Fannie Mae REMICS, Series 2016-21, Class BA, 3%, 3/25/42 | 670,004 | 664,920 | |||||
Freddie Mac REMICS, Series 4066, Class DI, IO, 3%, 6/15/27 | 2,676,882 | 217,334 | |||||
Government National Mortgage Association, Series 2015-53, Class IL, IO, 3%, 9/20/44 | 1,992,038 | 405,458 | |||||
Total Collateralized Mortgage | 3,220,395 | ||||||
COMMERCIAL MORTGAGE-BACKED SECURITIES - 2.0% | |||||||
Fannie Mae-Aces, Series 2016-M2, Class X2, IO (B) (C), 1.184%, 1/25/23 | 10,418,281 | 394,660 | |||||
FHLMC Multifamily Structured Pass Through Certificates, Series K718, Class X1, IO (B) (C), 0.761%, 1/25/22 | 23,764,441 | 457,330 | |||||
FHLMC Multifamily Structured Pass Through Certificates, Series KJ17, Class A2, 2.982%, 11/25/25 | 300,000 | 295,146 | |||||
FHLMC Multifamily Structured Pass Through Certificates, Series K066, Class A2, 3.117%, 6/25/27 | 500,000 | 488,695 | |||||
FREMF Mortgage Trust, Series 2012-K708, Class B (A) (B) (C), 3.882%, 2/25/45 | 1,000,000 | 1,003,499 | |||||
WFRBS Commercial Mortgage Trust, Series 2014-LC14, Class A2, 2.862%, 3/15/47 | 322,201 | 322,266 | |||||
Total Commercial Mortgage-Backed | 2,961,596 | ||||||
CORPORATE NOTES AND BONDS - 34.5% | |||||||
Consumer Discretionary - 7.0% | |||||||
Advance Auto Parts Inc., 4.5%, 12/1/23 | 1,000,000 | 1,024,601 | |||||
CCO Holdings LLC / CCO Holdings Capital Corp. (A), 5.875%, 5/1/27 | 525,000 | 512,531 | |||||
Charter Communications Operating LLC / Charter Communications Operating Capital Corp., 4.464%, 7/23/22 | 400,000 | 404,915 | |||||
D.R. Horton Inc., 2.55%, 12/1/20 | 400,000 | 392,035 | |||||
Discovery Communications LLC, 5%, 9/20/37 | 500,000 | 481,426 | |||||
DISH DBS Corp., 6.75%, 6/1/21 | 150,000 | 150,188 | |||||
ERAC USA Finance LLC (A), 6.7%, 6/1/34 | 500,000 | 600,400 | |||||
Ford Motor Credit Co. LLC, MTN, 2.943%, 1/8/19 | 1,000,000 | 1,000,240 | |||||
GameStop Corp. (A) (D), 6.75%, 3/15/21 | 200,000 | 202,500 | |||||
General Motors Financial Co. Inc., 3.2%, 7/6/21 | 750,000 | 740,242 | |||||
GLP Capital L.P. / GLP Financing II Inc., 4.875%, 11/1/20 | 253,000 | 255,846 | |||||
Harman International Industries Inc., 4.15%, 5/15/25 | 400,000 | 398,720 | |||||
Lennar Corp., 4.75%, 4/1/21 | 500,000 | 507,125 | |||||
Lowe’s Cos. Inc., 2.5%, 4/15/26 | 500,000 | 457,377 | |||||
Marriott International Inc., 3.125%, 6/15/26 | 400,000 | 371,788 | |||||
McDonald’s Corp., MTN, 4.875%, 12/9/45 | 400,000 | 419,952 | |||||
Omnicom Group Inc / Omnicom Capital Inc., 3.6%, 4/15/26 | 750,000 | 717,672 | |||||
Sirius XM Radio Inc. (A), 6%, 7/15/24 | 350,000 | 356,563 | |||||
Toll Brothers Finance Corp., 4%, 12/31/18 | 500,000 | 499,937 | |||||
Walgreens Boots Alliance Inc., 3.45%, 6/1/26 | 850,000 | 792,246 | |||||
10,286,304 |
Ultra Series Fund | June 30, 2018 |
Core Bond Fund Portfolio of Investments (unaudited) - continued |
Par Value | Value (Note 2) | ||||||
CORPORATE NOTES AND BONDS - continued | |||||||
Consumer Staples - 1.6% | |||||||
Anheuser-Busch InBev Finance Inc., 4.9%, 2/1/46 | $ | 1,000,000 | $ | 1,028,378 | |||
B&G Foods Inc., 4.625%, 6/1/21 | 100,000 | 98,500 | |||||
Bunge Ltd. Finance Corp., 3.25%, 8/15/26 | 850,000 | 775,816 | |||||
Molson Coors Brewing Co., 2.1%, 7/15/21 | 400,000 | 383,571 | |||||
Tyson Foods Inc., 3.55%, 6/2/27 | 150,000 | 141,910 | |||||
2,428,175 | |||||||
Energy - 3.5% | |||||||
Antero Resources Corp., 5.625%, 6/1/23 | 300,000 | 303,750 | |||||
Concho Resources Inc., 4.3%, 8/15/28 | 200,000 | 200,465 | |||||
EnLink Midstream Partners L.P., 5.45%, 6/1/47 | 550,000 | 462,451 | |||||
Enterprise Products Operating LLC, 3.75%, 2/15/25 | 750,000 | 742,683 | |||||
Helmerich & Payne International Drilling Co., 4.65%, 3/15/25 | 400,000 | 413,005 | |||||
Jonah Energy LLC / Jonah Energy Finance Corp. (A), 7.25%, 10/15/25 | 300,000 | 242,250 | |||||
Kinder Morgan Inc., 5.55%, 6/1/45 | 800,000 | 805,307 | |||||
Marathon Oil Corp., 2.7%, 6/1/20 | 750,000 | 738,653 | |||||
Unit Corp., 6.625%, 5/15/21 | 450,000 | 448,875 | |||||
Valero Energy Partners L.P., 4.5%, 3/15/28 | 850,000 | 835,680 | |||||
5,193,119 | |||||||
Financials - 10.9% | |||||||
AerCap Ireland Capital DAC / AerCap Global Aviation Trust (E), 3.75%, 5/15/19 | 400,000 | 402,385 | |||||
Affiliated Managers Group Inc., 4.25%, 2/15/24 | 1,000,000 | 1,017,347 | |||||
Air Lease Corp., 3.875%, 4/1/21 | 500,000 | 503,667 | |||||
Air Lease Corp., 3.75%, 2/1/22 | 700,000 | 700,817 | |||||
American Express Co., 2.5%, 8/1/22 | 500,000 | 479,475 | |||||
American International Group Inc., 4.75%, 4/1/48 | 200,000 | 192,774 | |||||
Bank of America Corp., MTN, 2.503%, 10/21/22 | 400,000 | 383,139 | |||||
Bank of America Corp., MTN, (3M USD LIBOR + 0.930%) (B), 2.816%, 7/21/23 | 400,000 | 386,771 | |||||
Bank of Montreal, MTN (E), 1.9%, 8/27/21 | 1,000,000 | 956,381 | |||||
Bank of New York Mellon Corp./The, MTN, 2.2%, 8/16/23 | 500,000 | 469,316 | |||||
Boston Properties L.P., 2.75%, 10/1/26 | 1,000,000 | 901,597 | |||||
Capital One Financial Corp., 2.5%, 5/12/20 | 400,000 | 394,327 | |||||
Capital One Financial Corp., 3.3%, 10/30/24 | 400,000 | 379,929 | |||||
Cboe Global Markets Inc., 3.65%, 1/12/27 | 500,000 | 482,481 | |||||
Citigroup Inc.(3M USD LIBOR + 1.192%) (B), 4.075%, 4/23/29 | 450,000 | 441,518 | |||||
Discover Bank, 3.45%, 7/27/26 | 400,000 | 371,153 | |||||
Goldman Sachs Bank USA, 3.2%, 6/5/20 | 200,000 | 200,582 | |||||
Goldman Sachs Group Inc./The(3M USD LIBOR + 1.201%) (B), 3.272%, 9/29/25 | 700,000 | 664,666 | |||||
Goldman Sachs Group Inc./The, 3.5%, 11/16/26 | 500,000 | 471,107 | |||||
Huntington National Bank/The, 2.4%, 4/1/20 | 1,000,000 | 986,175 | |||||
Intercontinental Exchange Inc., 2.35%, 9/15/22 | 200,000 | 191,747 | |||||
JPMorgan Chase & Co., 3.125%, 1/23/25 | 900,000 | 860,678 | |||||
Liberty Mutual Group Inc. (A), 4.25%, 6/15/23 | 750,000 | 757,580 | |||||
Morgan Stanley, 4.3%, 1/27/45 | 1,000,000 | 946,164 | |||||
Nasdaq Inc., 3.85%, 6/30/26 | 100,000 | 96,844 | |||||
Old Republic International Corp., 3.875%, 8/26/26 | 500,000 | 480,956 | |||||
Regions Financial Corp., 3.2%, 2/8/21 | 750,000 | 746,116 | |||||
Regions Financial Corp., 2.75%, 8/14/22 | 400,000 | 385,736 | |||||
Synchrony Financial, 3.75%, 8/15/21 | 100,000 | 99,896 | |||||
Synchrony Financial, 3.7%, 8/4/26 | 400,000 | 367,464 | |||||
TD Ameritrade Holding Corp., 3.3%, 4/1/27 | 400,000 | 381,679 | |||||
16,100,467 | |||||||
Health Care - 2.9% | |||||||
Becton, Dickinson and Co., 2.894%, 6/6/22 | 500,000 | 483,617 | |||||
CVS Health Corp., 4.3%, 3/25/28 | 250,000 | 246,602 | |||||
CVS Health Corp., 5.125%, 7/20/45 | 1,000,000 | 1,013,280 | |||||
Forest Laboratories LLC (A), 5%, 12/15/21 | 250,000 | 258,662 | |||||
HCA Inc., 3.75%, 3/15/19 | 500,000 | 501,875 | |||||
Humana Inc., 2.5%, 12/15/20 | 400,000 | 392,606 | |||||
Laboratory Corp. of America Holdings, 3.6%, 9/1/27 | 300,000 | 285,091 | |||||
Shire Acquisitions Investments Ireland DAC (E), 1.9%, 9/23/19 | 750,000 | 738,215 | |||||
Zoetis Inc., 3%, 9/12/27 | 475,000 | 439,359 | |||||
4,359,307 | |||||||
Industrials - 1.4% | |||||||
Carlisle Cos. Inc., 3.5%, 12/1/24 | 200,000 | 193,043 | |||||
CRH America Inc. (A), 3.875%, 5/18/25 | 300,000 | 295,893 | |||||
Masco Corp., 4.375%, 4/1/26 | 650,000 | 647,655 | |||||
TransDigm Inc., 6%, 7/15/22 | 250,000 | 251,325 | |||||
Union Pacific Corp., 3.5%, 6/8/23 | 300,000 | 300,206 | |||||
United Rentals North America Inc., 4.625%, 7/15/23 | 400,000 | 399,000 | |||||
2,087,122 |
Ultra Series Fund | June 30, 2018 |
Core Bond Fund Portfolio of Investments (unaudited) - continued |
Par Value | Value (Note 2) | ||||||
CORPORATE NOTES AND BONDS - continued | |||||||
Information Technology - 3.2% | |||||||
Analog Devices Inc., 5.3%, 12/15/45 | $ | 600,000 | $ | 639,117 | |||
Broadridge Financial Solutions Inc., 3.95%, 9/1/20 | 1,000,000 | 1,014,370 | |||||
Citrix Systems Inc., 4.5%, 12/1/27 | 105,000 | 101,755 | |||||
Dell International LLC / EMC Corp. (A), 8.35%, 7/15/46 | 250,000 | 301,080 | |||||
Fidelity National Information Services Inc., 3%, 8/15/26 | 475,000 | 435,139 | |||||
Fidelity National Information Services Inc., Series 30Y, 4.75%, 5/15/48 | 300,000 | 289,811 | |||||
Fiserv Inc., 2.7%, 6/1/20 | 300,000 | 297,139 | |||||
Hewlett Packard Enterprise Co., 6.35%, 10/15/45 | 300,000 | 296,362 | |||||
Marvell Technology Group Ltd. (E), 4.2%, 6/22/23 | 400,000 | 399,939 | |||||
Oracle Corp., 4%, 7/15/46 | 750,000 | 707,686 | |||||
Salesforce.com Inc., 3.7%, 4/11/28 | 250,000 | 248,212 | |||||
4,730,610 | |||||||
Materials - 0.5% | |||||||
WestRock Co. (A), 3.75%, 3/15/25 | 750,000 | 735,281 | |||||
Real Estate - 2.1% | |||||||
Boston Properties L.P., 3.65%, 2/1/26 | 450,000 | 434,025 | |||||
Brixmor Operating Partnership L.P., 3.65%, 6/15/24 | 500,000 | 483,028 | |||||
Iron Mountain Inc. (A), 4.875%, 9/15/27 | 250,000 | 230,313 | |||||
Store Capital Corp., 4.5%, 3/15/28 | 550,000 | 538,061 | |||||
Welltower Inc., 4.5%, 1/15/24 | 1,000,000 | 1,016,848 | |||||
WP Carey Inc., 4.25%, 10/1/26 | 400,000 | 390,688 | |||||
3,092,963 | |||||||
Telecommunication Services - 1.0% | |||||||
Verizon Communications Inc. (A), 4.329%, 9/21/28 | 647,000 | 641,242 | |||||
Verizon Communications Inc., 4.4%, 11/1/34 | 300,000 | 279,790 | |||||
Vodafone Group PLC (E), 3.75%, 1/16/24 | 250,000 | 247,864 | |||||
Vodafone Group PLC (E), 5%, 5/30/38 | 250,000 | 246,522 | |||||
1,415,418 | |||||||
Utilities - 0.4% | |||||||
Duke Energy Corp., 3.75%, 9/1/46 | 650,000 | 572,526 | |||||
Total Corporate Notes and Bonds | |||||||
(Cost $52,056,902) | 51,001,292 | ||||||
LONG TERM MUNICIPAL BONDS - 4.6% | |||||||
General - 4.6% | |||||||
County of Pasco FL Water & Sewer Revenue, Series B | 1,000,000 | 1,046,200 | |||||
East Baton Rouge Sewerage Commission Revenue, Series B | 1,000,000 | 1,046,010 | |||||
Los Angeles Department of Water & Power Revenue | 1,000,000 | 1,062,210 | |||||
Metropolitan Transportation Authority Revenue | 1,000,000 | 1,238,850 | |||||
New York City Transitional Finance Authority Future Tax Secured Revenue | 500,000 | 516,290 | |||||
Palomar Community College District, General Obligation | 1,000,000 | 1,091,890 | |||||
Washington County School District #1 West Union, General Obligation | 800,000 | 847,640 | |||||
6,849,090 | |||||||
Total Long Term Municipal Bonds | |||||||
(Cost $6,902,610) | 6,849,090 | ||||||
MORTGAGE BACKED SECURITIES - 26.8% | |||||||
Fannie Mae - 16.7% | |||||||
1.125%, 10/19/18 Pool # IE MAE | 500,000 | 498,589 | |||||
3%, 9/1/30 Pool # 890696 | 1,234,686 | 1,231,836 | |||||
3%, 12/1/30 Pool # AL8924 | 511,735 | 511,655 | |||||
7%, 11/1/31 Pool # 607515 | 23,373 | 25,704 | |||||
3.5%, 12/1/31 Pool # MA0919 | 132,757 | 134,738 | |||||
6.5%, 3/1/32 Pool # 631377 | 31,401 | 34,613 | |||||
7%, 5/1/32 Pool # 644591 | 6,574 | 6,723 | |||||
6.5%, 6/1/32 Pool # 545691 | 286,218 | 317,547 | |||||
3.5%, 8/1/32 Pool # MA3098 | 221,717 | 224,601 | |||||
5.5%, 11/1/33 Pool # 555880 | 352,049 | 382,729 | |||||
7%, 7/1/34 Pool # 792636 | 36,833 | 37,771 | |||||
4%, 2/1/35 Pool # MA2177 | 1,377,077 | 1,424,859 | |||||
5%, 8/1/35 Pool # 829670 | 430,171 | 460,462 | |||||
5%, 9/1/35 Pool # 820347 | 550,630 | 594,911 | |||||
5%, 9/1/35 Pool # 835699 | 411,349 | 441,537 | |||||
3.5%, 12/1/35 Pool # MA2473 | 990,968 | 1,002,762 | |||||
5%, 12/1/35 Pool # 850561 | 153,290 | 164,175 | |||||
5.5%, 10/1/36 Pool # 901723 | 421,764 | 455,944 | |||||
6.5%, 10/1/36 Pool # 894118 | 325,545 | 358,851 | |||||
6%, 11/1/36 Pool # 902510 | 359,731 | 403,387 | |||||
6%, 10/1/37 Pool # 947563 | 451,180 | 504,258 | |||||
6.5%, 8/1/38 Pool # 987711 | 804,972 | 902,540 | |||||
4%, 1/1/41 Pool # AB2080 | 1,417,537 | 1,455,918 | |||||
4.5%, 7/1/41 Pool # AB3274 | 559,347 | 588,495 | |||||
5.5%, 7/1/41 Pool # AL6588 | 1,120,973 | 1,218,190 | |||||
4%, 9/1/41 Pool # AJ1406 | 979,246 | 1,006,340 | |||||
3.5%, 6/1/42 Pool # AO4136 | 1,526,051 | 1,531,450 | |||||
4%, 6/1/42 Pool # MA1087 | 380,519 | 390,802 | |||||
3.5%, 8/1/42 Pool # AP2133 | 694,369 | 696,703 | |||||
3.5%, 9/1/42 Pool # AB6228 | 1,222,599 | 1,226,046 | |||||
4%, 10/1/42 Pool # AP7363 | 894,842 | 918,710 |
Ultra Series Fund | June 30, 2018 |
Core Bond Fund Portfolio of Investments (unaudited) - continued |
Par Value | Value (Note 2) | ||||||
MORTGAGE BACKED SECURITIES - continued | |||||||
Fannie Mae - continued | |||||||
3.5%, 3/1/43 Pool # AT0310 | $ | 744,770 | $ | 747,143 | |||
4%, 1/1/45 Pool # AS4257 | 238,696 | 244,517 | |||||
4.5%, 2/1/45 Pool # MA2193 | 911,417 | 952,314 | |||||
3.5%, 8/1/45 Pool # AS5645 | 715,109 | 713,887 | |||||
3.5%, 11/1/45 Pool # BA4907 | 577,485 | 576,498 | |||||
3.5%, 12/1/45 Pool # AS6309 | 338,405 | 337,827 | |||||
4.5%, 10/1/46 Pool # MA2783 | 118,358 | 123,331 | |||||
4%, 12/1/46 Pool # BD2379 | 433,006 | 442,120 | |||||
3%, 1/1/47 Pool # BE0108 | 463,184 | 450,316 | |||||
4%, 7/1/48 Pool # MA3415 | 1,000,000 | 1,020,901 | |||||
24,761,700 | |||||||
Freddie Mac - 10.0% | |||||||
4.5%, 2/1/25 Pool # J11722 | 174,929 | 180,830 | |||||
4.5%, 5/1/25 Pool # J12247 | 321,539 | 332,378 | |||||
0.437%, 9/25/26 Series K059, Class X1, IO, VRN (B) (C), | 24,115,505 | 540,597 | |||||
8%, 6/1/30 Pool # C01005 | 12,601 | 14,467 | |||||
7%, 3/1/31 Pool # C48129 | 51,136 | 51,920 | |||||
5.5%, 11/1/34 Pool # A28282 | 719,608 | 787,563 | |||||
5.5%, 1/1/37 Pool # G04593 | 207,858 | 225,549 | |||||
5%, 10/1/39 Pool # G60465 | 1,662,929 | 1,774,896 | |||||
4%, 10/1/41 Pool # Q04092 | 665,562 | 684,266 | |||||
3%, 9/1/42 Pool # C04233 | 2,108,853 | 2,060,279 | |||||
3%, 4/1/43 Pool # V80025 | 1,879,394 | 1,835,009 | |||||
3%, 4/1/43 Pool # V80026 | 1,877,542 | 1,832,981 | |||||
3.5%, 8/1/44 Pool # Q27927 | 623,632 | 624,889 | |||||
3%, 7/1/45 Pool # G08653 | 944,662 | 917,661 | |||||
3.5%, 8/1/45 Pool # Q35614 | 1,097,182 | 1,097,091 | |||||
3%, 10/1/46 Pool # G60722 | 1,023,476 | 993,546 | |||||
4%, 3/1/47 Pool # Q46801 | 869,858 | 890,573 | |||||
14,844,495 | |||||||
Ginnie Mae - 0.1% | |||||||
6.5%, 2/20/29 Pool # 2714 | 50,245 | 56,580 | |||||
6.5%, 4/20/31 Pool # 3068 | 35,398 | 40,164 | |||||
96,744 | |||||||
Total Mortgage Backed Securities | |||||||
(Cost $40,302,056) | 39,702,939 | ||||||
U.S. GOVERNMENT AND AGENCY OBLIGATIONS - 23.6% | |||||||
Federal Farm Credit Bank - 0.3% | |||||||
3.470%, 5/7/24 | 500,000 | 500,067 | |||||
U.S. Treasury Bonds - 8.8% | |||||||
6.625%, 2/15/27 | 5,000,000 | 6,449,805 | |||||
4.500%, 5/15/38 | 2,000,000 | 2,479,141 | |||||
3.000%, 5/15/45 | 750,000 | 752,900 | |||||
2.500%, 5/15/46 | 1,000,000 | 908,672 | |||||
2.250%, 8/15/46 | 2,000,000 | 1,722,500 | |||||
3.000%, 5/15/47 | 750,000 | 752,197 | |||||
13,065,215 | |||||||
U.S. Treasury Notes - 14.5% | |||||||
2.625%, 11/15/20 | 4,725,000 | 4,729,614 | |||||
2.000%, 11/15/21 | 5,000,000 | 4,895,117 | |||||
2.500%, 8/15/23 | 2,500,000 | 2,470,605 | |||||
2.750%, 11/15/23 | 4,000,000 | 3,998,438 | |||||
2.125%, 3/31/24 | 3,000,000 | 2,895,820 | |||||
2.250%, 11/15/25 | 2,500,000 | 2,404,395 | |||||
21,393,989 | |||||||
Total U.S. Government and Agency | |||||||
Obligations (Cost $34,101,710) | 34,959,271 | ||||||
Shares | |||||||
SHORT-TERM INVESTMENTS - 0.9% | |||||||
State Street Institutional U.S. Government Money Market Fund, 1.82%, Premier Class | 1,404,440 | 1,404,440 | |||||
Total Short-Term Investments | |||||||
(Cost $1,404,440) | 1,404,440 | ||||||
COLLATERAL FOR SECURITIES ON LOAN (F) - 0.2% | |||||||
State Street Navigator Securities Lending Government Money Market Portfolio, 1.93% | 204,330 | 204,330 | |||||
Total Collateral for Securities on Loan | |||||||
(Cost $204,330) | 204,330 | ||||||
TOTAL INVESTMENTS - 98.9% (Cost $147,304,357**) | 146,305,809 | ||||||
NET OTHER ASSETS AND LIABILITIES - 1.1% | 1,676,364 | ||||||
TOTAL NET ASSETS - 100.0% | $ | 147,982,173 | |||||
** | Aggregate cost for Federal tax purposes was $147,304,357. | |
(A) | Security sold within terms of a private placement memorandum exempt from registration under section 144A of the Securities Act of 1933, as amended, and may be sold only to dealers in that program or other “qualified institutional buyers.” | |
(B) | Floating rate or variable rate note. Rate shown is as of June 30, 2018. | |
(C) | Coupon rate may change based on changes of the underlying collateral or prepayments of principal. The coupon rate shown represents the rate at period end. | |
(D) | A portion of securities on loan with an aggregate value of $202,272; cash collateral (included in liabilities) of $204,330 was received with which the Fund invested in the State Street Navigator Securities Lending Government Money Market Portfolio. | |
(E) | Notes and bonds, issued by foreign entities, denominated in U.S. dollars. The aggregate of these securities is 2.0% of total net assets. | |
(F) | Represents investments of cash collateral received in connection with securities lending. | |
LIBOR | London Interbank Offered Rate. | |
MTN | Medium Term Note. | |
PLC | Public Limited Company. |
Ultra Series Fund | June 30, 2018 |
High Income Fund Portfolio of Investments (unaudited) |
Par Value | Value (Note 2) | ||||||
CORPORATE NOTES AND BONDS - 92.5% | |||||||
Consumer Discretionary - 18.9% | |||||||
Cablevision Systems Corp. (A), 5.875%, 9/15/22 | $ | 250,000 | $ | 248,125 | |||
CCO Holdings LLC / CCO Holdings Capital Corp. (B), 5.125%, 5/1/23 | 350,000 | 345,520 | |||||
CCO Holdings LLC / CCO Holdings Capital Corp. (B), 5.875%, 4/1/24 | 200,000 | 200,500 | |||||
Deck Chassis Acquisition Inc. (B), 10%, 6/15/23 | 100,000 | 106,000 | |||||
Diamond Resorts International Inc. (A) (B), 7.75%, 9/1/23 | 250,000 | 261,560 | |||||
DISH DBS Corp., 6.75%, 6/1/21 | 300,000 | 300,375 | |||||
GameStop Corp. (A) (B), 6.75%, 3/15/21 | 335,000 | 339,187 | |||||
IRB Holding Corp. (B), 6.75%, 2/15/26 | 250,000 | 238,750 | |||||
Jack Ohio Finance LLC / Jack Ohio Finance 1 Corp. (B), 6.75%, 11/15/21 | 250,000 | 257,500 | |||||
Outfront Media Capital LLC / Outfront Media Capital Corp., 5.25%, 2/15/22 | 150,000 | 151,614 | |||||
Outfront Media Capital LLC / Outfront Media Capital Corp., 5.625%, 2/15/24 | 500,000 | 505,985 | |||||
Penske Automotive Group Inc., 5.75%, 10/1/22 | 250,000 | 253,125 | |||||
Pinnacle Entertainment Inc., 5.625%, 5/1/24 | 250,000 | 259,538 | |||||
Scientific Games International Inc. (B), 5%, 10/15/25 | 325,000 | 309,562 | |||||
Sinclair Television Group Inc., 6.125%, 10/1/22 | 250,000 | 254,375 | |||||
Sirius XM Radio Inc. (B), 4.625%, 5/15/23 | 250,000 | 243,750 | |||||
Univision Communications Inc. (B), 5.125%, 5/15/23 | 325,000 | 312,000 | |||||
4,587,466 | |||||||
Consumer Staples - 8.2% | |||||||
Avon International Operations Inc. (B), 7.875%, 8/15/22 | 250,000 | 247,800 | |||||
B&G Foods Inc., 4.625%, 6/1/21 | 250,000 | 246,250 | |||||
Dean Foods Co. (B), 6.5%, 3/15/23 | 250,000 | 240,000 | |||||
First Quality Finance Co. Inc. (B), 4.625%, 5/15/21 | 400,000 | 390,000 | |||||
Pilgrim’s Pride Corp. (B), 5.75%, 3/15/25 | 350,000 | 336,000 | |||||
Post Holdings Inc. (B), 5.5%, 3/1/25 | 250,000 | 244,063 | |||||
Simmons Foods Inc. (B), 5.75%, 11/1/24 | 325,000 | 281,937 | |||||
1,986,050 | |||||||
Energy - 11.5% | |||||||
American Midstream Partners L.P. / American Midstream Finance Corp. (B), 8.5%, 12/15/21 | 375,000 | 367,500 | |||||
Andeavor Logistics L.P. / Tesoro Logistics Finance Corp., 6.375%, 5/1/24 | 250,000 | 266,875 | |||||
Berry Petroleum Co. LLC (B), 7%, 2/15/26 | 125,000 | 127,813 | |||||
Carrizo Oil & Gas Inc. (A), 6.25%, 4/15/23 | 375,000 | 379,687 | |||||
Jonah Energy LLC / Jonah Energy Finance Corp. (B), 7.25%, 10/15/25 | 500,000 | 403,750 | |||||
Murphy Oil USA Inc., 5.625%, 5/1/27 | 400,000 | 391,000 | |||||
Sunoco L.P. / Sunoco Finance Corp. (B), 4.875%, 1/15/23 | 250,000 | 240,000 | |||||
Unit Corp., 6.625%, 5/15/21 | 600,000 | 598,500 | |||||
2,775,125 | |||||||
Financials - 9.1% | |||||||
Acrisure LLC / Acrisure Finance Inc. (B), 7%, 11/15/25 | 250,000 | 227,500 | |||||
Donnelley Financial Solutions Inc., 8.25%, 10/15/24 | 250,000 | 261,875 | |||||
Equinix Inc., 5.875%, 1/15/26 | 400,000 | 405,200 | |||||
FBM Finance Inc. (B), 8.25%, 8/15/21 | 250,000 | 260,312 | |||||
Jefferies Finance LLC / JFIN Co-Issuer Corp. (B), 7.25%, 8/15/24 | 250,000 | 245,000 | |||||
MPT Operating Partnership L.P. / MPT Finance Corp., 5%, 10/15/27 | 400,000 | 382,000 | |||||
Quicken Loans Inc. (B), 5.75%, 5/1/25 | 200,000 | 195,756 | |||||
Solera LLC / Solera Finance Inc. (B), 10.5%, 3/1/24 | 200,000 | 222,126 | |||||
2,199,769 | |||||||
Health Care - 7.6% | |||||||
Acadia Healthcare Co. Inc., 5.125%, 7/1/22 | 500,000 | 498,750 | |||||
Avantor Inc. (B), 6%, 10/1/24 | 200,000 | 197,840 | |||||
HCA Inc., 5.875%, 2/15/26 | 250,000 | 252,187 | |||||
Mallinckrodt International Finance S.A. / Mallinckrodt CB LLC (A) (B) (C), 4.875%, 4/15/20 | 500,000 | 491,250 | |||||
Valeant Pharmaceuticals International Inc. (B) (C), 5.625%, 12/1/21 | 400,000 | 393,500 | |||||
1,833,527 | |||||||
Industrials - 18.8% | |||||||
ARD Finance S.A., 7.125% Cash, 7.875 PIK (C), 7.125%, 9/15/23 | 300,000 | 300,750 | |||||
Avis Budget Car Rental LLC / Avis Budget Finance Inc. (B), 5.25%, 3/15/25 | 250,000 | 227,500 | |||||
Bombardier Inc. (B) (C), 8.75%, 12/1/21 | 250,000 | 275,000 | |||||
Covanta Holding Corp., 5.875%, 3/1/24 | 500,000 | 492,500 | |||||
DAE Funding LLC (B), 5%, 8/1/24 | 250,000 | 240,125 | |||||
FTI Consulting Inc., 6%, 11/15/22 | 500,000 | 513,125 | |||||
GFL Environmental Inc. (B) (C), 5.375%, 3/1/23 | 250,000 | 231,250 | |||||
Griffon Corp., 5.25%, 3/1/22 | 300,000 | 291,870 | |||||
Herc Rentals Inc. (B), 7.5%, 6/1/22 | 240,000 | 253,800 | |||||
Mueller Industries Inc., 6%, 3/1/27 | 250,000 | 245,000 | |||||
Nielsen Finance LLC / Nielsen Finance Co. (B), 5%, 4/15/22 | 425,000 | 417,605 |
Ultra Series Fund | June 30, 2018 |
High Income Fund Portfolio of Investments (unaudited) - continued |
Par Value | Value (Note 2) | ||||||
CORPORATE NOTES AND BONDS - continued | |||||||
Industrials - continued | |||||||
Prime Security Services Borrower LLC / Prime Finance Inc. (B), 9.25%, 5/15/23 | $ | 101,000 | $ | 107,535 | |||
Summit Materials LLC / Summit Materials Finance Corp., 8.5%, 4/15/22 | 250,000 | 267,837 | |||||
Tennant Co., 5.625%, 5/1/25 | 250,000 | 248,125 | |||||
TransDigm Inc., 6%, 7/15/22 | 250,000 | 251,325 | |||||
Waste Pro USA Inc. (B), 5.5%, 2/15/26 | 200,000 | 192,250 | |||||
4,555,597 | |||||||
Information Technology - 2.0% | |||||||
Diebold Nixdorf Inc., 8.5%, 4/15/24 | 395,000 | 378,343 | |||||
Match Group Inc. (A) (B), 5%, 12/15/27 | 125,000 | 116,250 | |||||
494,593 | |||||||
Materials - 4.8% | |||||||
Berry Global Inc., 5.125%, 7/15/23 | 250,000 | 247,813 | |||||
Rayonier AM Products Inc. (B), 5.5%, 6/1/24 | 545,000 | 512,300 | |||||
Sealed Air Corp. (B), 5.125%, 12/1/24 | 400,000 | 403,000 | |||||
1,163,113 | |||||||
Real Estate - 2.6% | |||||||
Iron Mountain Inc., 5.75%, 8/15/24 | 400,000 | 392,000 | |||||
Iron Mountain Inc. (B), 4.875%, 9/15/27 | 250,000 | 230,313 | |||||
622,313 | |||||||
Telecommunication Services - 3.8% | |||||||
Altice Luxembourg S.A. (A) (B) (C), 7.625%, 2/15/25 | 400,000 | 368,000 | |||||
Frontier Communications Corp. (A) (B), 8.5%, 4/1/26 | 150,000 | 144,750 | |||||
Inmarsat Finance PLC (B) (C), 6.5%, 10/1/24 | 300,000 | 300,750 | |||||
Sprint Spectrum Co. LLC / Sprint Spectrum Co. II LLC / Sprint Spectrum Co. III LLC (B), 3.36%, 3/20/23 | 121,875 | 120,504 | |||||
934,004 | |||||||
Utilities - 5.2% | |||||||
AES Corp., 5.5%, 4/15/25 | 415,000 | 418,112 | |||||
AmeriGas Partners L.P. / AmeriGas Finance Corp., 5.875%, 8/20/26 | 100,000 | 97,500 | |||||
Calpine Corp., 5.5%, 2/1/24 | 250,000 | 229,688 | |||||
NRG Energy Inc., 6.25%, 7/15/22 | 300,000 | 308,715 | |||||
NRG Energy Inc., 6.25%, 5/1/24 | 200,000 | 205,000 | |||||
1,259,015 | |||||||
Total Corporate Notes and Bonds | |||||||
(Cost $22,651,332) | 22,410,572 | ||||||
Shares | |||||||
SHORT-TERM INVESTMENTS - 6.3% | |||||||
State Street Institutional U.S. Government Money Market Fund, 1.82%, Premier Class | 1,524,078 | 1,524,078 | |||||
Total Short-Term Investments | |||||||
(Cost $1,524,078) | 1,524,078 | ||||||
COLLATERAL FOR SECURITIES ON LOAN (D) - 9.8% | |||||||
State Street Navigator Securities Lending Government Money Market Portfolio, 1.93% | 2,376,768 | 2,376,768 | |||||
Total Collateral for Securities on Loan | |||||||
(Cost $2,376,768) | 2,376,768 | ||||||
TOTAL INVESTMENTS - 108.6% (Cost $26,552,178**) | 26,311,418 | ||||||
NET OTHER ASSETS AND LIABILITIES - (8.6%) | (2,093,629 | ) | |||||
TOTAL NET ASSETS - 100.0% | $ | 24,217,789 | |||||
** | Aggregate cost for Federal tax purposes was $26,552,178. | |
(A) | A portion of securities on loan with an aggregate value of $2,337,978; cash collateral (included in liabilities) of $2,376,768 was received with which the Fund invested in the State Street Navigator Securities Lending Government Money Market Portfolio. | |
(B) | Security sold within terms of a private placement memorandum exempt from registration under section 144A of the Securities Act of 1933, as amended, and may be sold only to dealers in that program or other “qualified institutional buyers.” | |
(C) | Notes and bonds, issued by foreign entities, denominated in U.S. dollars. The aggregate of these securities is 9.7% of total net assets. | |
(D) | Represents investments of cash collateral received in connection with securities lending. | |
PIK | Payment in Kind. | |
PLC | Public Limited Company. |
Ultra Series Fund | June 30, 2018 |
Diversified Income Fund Portfolio of Investments (unaudited) |
Shares | Value (Note 2) | ||||||
COMMON STOCKS - 63.7% | |||||||
Consumer Discretionary - 6.8% | |||||||
Carnival Corp. | 50,000 | $ | 2,865,500 | ||||
Home Depot Inc./The | 23,000 | 4,487,300 | |||||
McDonald’s Corp. | 16,000 | 2,507,040 | |||||
Starbucks Corp. | 65,000 | 3,175,250 | |||||
TJX Cos. Inc./The | 44,500 | 4,235,510 | |||||
17,270,600 | |||||||
Consumer Staples - 6.2% | |||||||
Diageo PLC, ADR | 27,000 | 3,888,270 | |||||
JM Smucker Co./The | 14,500 | 1,558,460 | |||||
Nestle S.A., ADR | 50,000 | 3,871,500 | |||||
PepsiCo Inc. | 32,500 | 3,538,275 | |||||
Procter & Gamble Co./The | 39,500 | 3,083,370 | |||||
15,939,875 | |||||||
Energy - 6.6% | |||||||
Chevron Corp. | 40,800 | 5,158,344 | |||||
Exxon Mobil Corp. | 86,000 | 7,114,780 | |||||
Schlumberger Ltd. | 68,000 | 4,558,040 | |||||
16,831,164 | |||||||
Financials - 10.4% | |||||||
BB&T Corp. | 51,000 | 2,572,440 | |||||
Chubb Ltd. | 17,000 | 2,159,340 | |||||
CME Group Inc. | 33,000 | 5,409,360 | |||||
Northern Trust Corp. | 23,000 | 2,366,470 | |||||
PNC Financial Services Group Inc./The | 11,500 | 1,553,650 | |||||
Travelers Cos. Inc./The | 26,000 | 3,180,840 | |||||
US Bancorp | 97,000 | 4,851,940 | |||||
Wells Fargo & Co. | 82,500 | 4,573,800 | |||||
26,667,840 | |||||||
Health Care - 9.4% | |||||||
Amgen Inc. | 17,000 | 3,138,030 | |||||
Johnson & Johnson | 38,000 | 4,610,920 | |||||
Medtronic PLC | 64,500 | 5,521,845 | |||||
Merck & Co. Inc. | 52,000 | 3,156,400 | |||||
Novartis AG, ADR | 47,000 | 3,550,380 | |||||
Pfizer Inc. | 109,000 | 3,954,520 | |||||
23,932,095 | |||||||
Industrials - 8.1% | |||||||
3M Co. | 8,500 | 1,672,120 | |||||
Emerson Electric Co. | 51,000 | 3,526,140 | |||||
Fastenal Co. | 81,000 | 3,898,530 | |||||
Union Pacific Corp. | 20,500 | 2,904,440 | |||||
United Parcel Service Inc., Class B | 40,000 | 4,249,200 | |||||
United Technologies Corp. | 35,500 | 4,438,565 | |||||
20,688,995 | |||||||
Information Technology - 7.9% | |||||||
Accenture PLC, Class A | 14,500 | 2,372,055 | |||||
Analog Devices Inc. | 25,000 | 2,398,000 | |||||
Automatic Data Processing Inc. | 16,500 | 2,213,310 | |||||
Cisco Systems Inc. | 132,000 | 5,679,960 | |||||
Microsoft Corp. | 56,000 | 5,522,160 | |||||
Texas Instruments Inc. | 17,000 | 1,874,250 | |||||
20,059,735 | |||||||
Materials - 4.0% | |||||||
Nucor Corp. | 68,500 | 4,281,250 | |||||
Praxair Inc. | 37,000 | 5,851,550 | |||||
10,132,800 | |||||||
Telecommunication Service - 1.9% | |||||||
Verizon Communications Inc. | 98,000 | 4,930,380 | |||||
Utilities - 2.4% | |||||||
Dominion Energy Inc. | 38,500 | 2,624,930 | |||||
NextEra Energy Inc. | 21,000 | 3,507,630 | |||||
6,132,560 | |||||||
Total Common Stocks | |||||||
(Cost $116,314,187) | 162,586,044 | ||||||
Par Value | |||||||
ASSET BACKED SECURITIES - 1.3% | |||||||
American Express Credit Account Master Trust, Series 2017-1, Class B, 2.1%, 9/15/22 | $ | 250,000 | 246,679 | ||||
BMW Floorplan Master Owner Trust, Series 2018-1, Class A2 (A) (B), 2.35%, 5/15/23 | 150,000 | 150,000 | |||||
CarMax Auto Owner Trust, Series 2017-1, Class A2, 1.54%, 2/18/20 | 107,627 | 107,466 | |||||
CarMax Auto Owner Trust, Series 2015-2, Class A4, 1.8%, 3/15/21 | 500,000 | 496,346 | |||||
Chesapeake Funding II LLC, Series 2017-4A, Class A1 (A), 2.12%, 11/15/29 | 250,000 | 246,704 | |||||
Chesapeake Funding II LLC, Series 2018-1A, Class A1 (A), 3.04%, 4/15/30 | 250,000 | 249,163 | |||||
Enterprise Fleet Financing LLC, Series 2017-2, Class A2 (A), 1.97%, 1/20/23 | 463,257 | 459,800 | |||||
Ford Credit Floorplan Master Owner Trust, Series 2015-4, Class A1, 1.77%, 8/15/20 | 100,000 | 99,910 | |||||
Santander Drive Auto Receivables Trust, Series 2014-5, Class C, 2.46%, 6/15/20 | 130,725 | 130,821 | |||||
Synchrony Credit Card Master Note Trust, Series 2017-1, Class B, 2.19%, 6/15/23 | 500,000 | 490,859 | |||||
Verizon Owner Trust, Series 2017-1A, Class A (A), 2.06%, 9/20/21 | 600,000 | 593,165 | |||||
Total Asset Backed Securities | |||||||
(Cost $3,274,327) | 3,270,913 |
Ultra Series Fund | June 30, 2018 |
Diversified Income Fund Portfolio of Investments (unaudited) - continued |
Par Value | Value (Note 2) | ||||||
COLLATERALIZED MORTGAGE OBLIGATIONS - 1.2% | |||||||
Fannie Mae REMICS, Series 2011-31, Class DB, 3.5%, 4/25/31 | $ | 350,000 | $ | 353,501 | |||
Fannie Mae REMICS, Series 2011-36, Class QB, 4%, 5/25/31 | 481,000 | 496,529 | |||||
Fannie Mae REMICS, Series 2005-79, Class LT, 5.5%, 9/25/35 | 435,488 | 472,332 | |||||
Fannie Mae REMICS, Series 2011-101, Class NC, 2.5%, 4/25/40 | 484,346 | 478,527 | |||||
Fannie Mae REMICS, Series 2016-21, Class BA, 3%, 3/25/42 | 402,003 | 398,952 | |||||
Freddie Mac REMICS, Series 3825, Class CB, 3.5%, 3/15/26 | 400,000 | 407,642 | |||||
Freddie Mac REMICS, Series 4037, Class B, 3%, 4/15/27 | 450,000 | 438,086 | |||||
Total Collateralized Mortgage | |||||||
Obligations (Cost $3,178,557) | 3,045,569 | ||||||
COMMERCIAL MORTGAGE-BACKED SECURITIES - 0.5% | |||||||
Fannie Mae-Aces, Series 2016-M2, Class X2, IO (B) (C), 1.184%, 1/25/23 | 7,576,932 | 287,026 | |||||
FHLMC Multifamily Structured Pass Through Certificates, Series KJ17, Class A2, 2.982%, 11/25/25 | 200,000 | 196,764 | |||||
FHLMC Multifamily Structured Pass Through Certificates, Series K066, Class A2, 3.117%, 6/25/27 | 225,000 | 219,913 | |||||
FREMF Mortgage Trust, Series 2012-K708, Class B (A) (B) (C), 3.882%, 2/25/45 | 700,000 | 702,449 | |||||
Total Commercial Mortgage-Backed | |||||||
Securities (Cost $1,460,132) | 1,406,152 | ||||||
CORPORATE NOTES AND BONDS - 12.2% | |||||||
Consumer Discretionary - 2.6% | |||||||
Amazon.com Inc., 2.8%, 8/22/24 | 200,000 | 192,708 | |||||
CCO Holdings LLC / CCO Holdings Capital Corp. (A), 5.875%, 5/1/27 | 325,000 | 317,281 | |||||
Charter Communications Operating LLC / Charter Communications Operating Capital Corp., 4.464%, 7/23/22 | 300,000 | 303,686 | |||||
Discovery Communications LLC, 5%, 9/20/37 | 300,000 | 288,855 | |||||
DISH DBS Corp., 6.75%, 6/1/21 | 150,000 | 150,188 | |||||
ERAC USA Finance LLC (A), 6.7%, 6/1/34 | 875,000 | 1,050,700 | |||||
Ford Motor Credit Co. LLC, MTN, 2.943%, 1/8/19 | 500,000 | 500,120 | |||||
GameStop Corp. (A) (D), 6.75%, 3/15/21 | 200,000 | 202,500 | |||||
General Motors Financial Co. Inc., 3.2%, 7/6/21 | 650,000 | 641,543 | |||||
GLP Capital L.P. / GLP Financing II Inc., 4.875%, 11/1/20 | 450,000 | 455,062 | |||||
Lennar Corp., 4.75%, 4/1/21 | 350,000 | 354,988 | |||||
Lowe’s Cos. Inc., 2.5%, 4/15/26 | 400,000 | 365,901 | |||||
Marriott International Inc., 3.125%, 6/15/26 | 400,000 | 371,788 | |||||
Newell Brands Inc., 5.5%, 4/1/46 | 450,000 | 438,612 | |||||
Omnicom Group Inc / Omnicom Capital Inc., 3.6%, 4/15/26 | 650,000 | 621,982 | |||||
Walgreens Boots Alliance Inc., 3.45%, 6/1/26 | 350,000 | 326,219 | |||||
6,582,133 | |||||||
Consumer Staples - 0.5% | |||||||
Anheuser-Busch InBev Finance Inc., 4.9%, 2/1/46 | 500,000 | 514,189 | |||||
Bunge Ltd. Finance Corp., 3.25%, 8/15/26 | 600,000 | 547,635 | |||||
Tyson Foods Inc., 3.55%, 6/2/27 | 150,000 | 141,910 | |||||
1,203,734 | |||||||
Energy - 1.6% | |||||||
Antero Resources Corp., 5.625%, 6/1/23 | 200,000 | 202,500 | |||||
Enterprise Products Operating LLC, 3.75%, 2/15/25 | 400,000 | 396,098 | |||||
Exxon Mobil Corp., 4.114%, 3/1/46 | 500,000 | 508,921 | |||||
Jonah Energy LLC / Jonah Energy Finance Corp. (A), 7.25%, 10/15/25 | 200,000 | 161,500 | |||||
Kinder Morgan Inc., 5.55%, 6/1/45 | 500,000 | 503,317 | |||||
Marathon Oil Corp., 2.7%, 6/1/20 | 500,000 | 492,435 | |||||
Phillips 66, 4.65%, 11/15/34 | 500,000 | 504,428 | |||||
Schlumberger Holdings Corp. (A), 4%, 12/21/25 | 400,000 | 398,664 | |||||
Valero Energy Corp., 6.625%, 6/15/37 | 500,000 | 597,871 | |||||
Valero Energy Partners L.P., 4.5%, 3/15/28 | 350,000 | 344,104 | |||||
4,109,838 | |||||||
Financials - 3.7% | |||||||
Air Lease Corp., 3.75%, 2/1/22 | 500,000 | 500,584 | |||||
Air Lease Corp., 3.625%, 4/1/27 | 500,000 | 458,426 | |||||
American Express Co., 2.5%, 8/1/22 | 400,000 | 383,580 | |||||
Bank of America Corp., MTN, 2.503%, 10/21/22 | 400,000 | 383,139 | |||||
Bank of America Corp., MTN, (3M USD LIBOR + 0.930%) (B), 2.816%, 7/21/23 | 250,000 | 241,732 | |||||
Bank of America Corp., MTN, (3M USD LIBOR + 1.090%) (B), 3.093%, 10/1/25 | 200,000 | 190,446 | |||||
Bank of Montreal, MTN (E), 1.9%, 8/27/21 | 500,000 | 478,191 | |||||
Bank of New York Mellon Corp./The, MTN, 2.2%, 8/16/23 | 500,000 | 469,316 | |||||
Berkshire Hathaway Inc., 3.125%, 3/15/26 | 250,000 | 240,876 | |||||
Capital One Financial Corp., 3.3%, 10/30/24 | 400,000 | 379,929 | |||||
Cboe Global Markets Inc., 3.65%, 1/12/27 | 400,000 | 385,985 | |||||
Goldman Sachs Bank USA, 3.2%, 6/5/20 | 100,000 | 100,291 | |||||
Goldman Sachs Group Inc./The(3M USD LIBOR + 1.201%) (B), 3.272%, 9/29/25 | 750,000 | 712,142 | |||||
Huntington National Bank/The, 2.2%, 4/1/19 | 1,200,000 | 1,195,135 |
Ultra Series Fund | June 30, 2018 |
Diversified Income Fund Portfolio of Investments (unaudited) - continued |
Par Value | Value (Note 2) | ||||||
CORPORATE NOTES AND BONDS - continued | |||||||
Financials - continued | |||||||
JPMorgan Chase & Co., 2.972%, 1/15/23 | $ | 500,000 | $ | 486,980 | |||
JPMorgan Chase & Co., 2.95%, 10/1/26 | 650,000 | 603,781 | |||||
Morgan Stanley, MTN, 3.875%, 1/27/26 | 200,000 | 196,871 | |||||
Morgan Stanley, 4.3%, 1/27/45 | 500,000 | 473,082 | |||||
Nasdaq Inc., 3.85%, 6/30/26 | 75,000 | 72,633 | |||||
Old Republic International Corp., 3.875%, 8/26/26 | 450,000 | 432,861 | |||||
Regions Financial Corp., 3.2%, 2/8/21 | 500,000 | 497,411 | |||||
Regions Financial Corp., 2.75%, 8/14/22 | 250,000 | 241,085 | |||||
Synchrony Financial, 3.75%, 8/15/21 | 50,000 | 49,948 | |||||
Synchrony Financial, 3.7%, 8/4/26 | 400,000 | 367,464 | |||||
9,541,888 | |||||||
Health Care - 1.3% | |||||||
Allergan Funding SCS (E), 4.75%, 3/15/45 | 300,000 | 288,788 | |||||
CVS Health Corp., 5.125%, 7/20/45 | 400,000 | 405,312 | |||||
HCA Inc., 3.75%, 3/15/19 | 300,000 | 301,125 | |||||
Humana Inc., 2.5%, 12/15/20 | 300,000 | 294,454 | |||||
Shire Acquisitions Investments Ireland DAC (E), 1.9%, 9/23/19 | 750,000 | 738,215 | |||||
UnitedHealth Group Inc., 2.875%, 3/15/23 | 1,000,000 | 974,498 | |||||
Zoetis Inc., 3%, 9/12/27 | 225,000 | 208,117 | |||||
3,210,509 | |||||||
Industrials - 0.3% | |||||||
Masco Corp., 4.375%, 4/1/26 | 400,000 | 398,557 | |||||
Union Pacific Corp., 3.5%, 6/8/23 | 200,000 | 200,137 | |||||
United Rentals North America Inc., 4.625%, 7/15/23 | 300,000 | 299,250 | |||||
897,944 | |||||||
Information Technology - 1.0% | |||||||
Analog Devices Inc., 5.3%, 12/15/45 | 350,000 | 372,819 | |||||
Citrix Systems Inc., 4.5%, 12/1/27 | 85,000 | 82,373 | |||||
Dell International LLC / EMC Corp. (A), 8.35%, 7/15/46 | 175,000 | 210,756 | |||||
Fidelity National Information Services Inc., 3%, 8/15/26 | 450,000 | 412,237 | |||||
Intel Corp., 3.734%, 12/8/47 | 435,000 | 409,832 | |||||
Oracle Corp., 4%, 7/15/46 | 500,000 | 471,790 | |||||
Thomson Reuters Corp. (E), 4.3%, 11/23/23 | 600,000 | 612,271 | |||||
2,572,078 | |||||||
Real Estate - 0.7% | |||||||
Brixmor Operating Partnership L.P., 3.65%, 6/15/24 | 500,000 | 483,028 | |||||
Iron Mountain Inc. (A), 4.875%, 9/15/27 | 300,000 | 276,375 | |||||
Store Capital Corp., 4.5%, 3/15/28 | 300,000 | 293,488 | |||||
Welltower Inc., 4.5%, 1/15/24 | 725,000 | 737,215 | |||||
1,790,106 | |||||||
Telecommunication Services - 0.5% | |||||||
AT&T Inc., 4.75%, 5/15/46 | 500,000 | 446,638 | |||||
Verizon Communications Inc. (A), 4.329%, 9/21/28 | 809,000 | 801,801 | |||||
1,248,439 | |||||||
Total Corporate Notes and Bonds | |||||||
(Cost $31,689,849) | 31,156,669 | ||||||
LONG TERM MUNICIPAL BONDS - 2.6% | |||||||
General - 2.6% | |||||||
County of Pasco FL Water & Sewer Revenue, Series B, 6.76%, 10/1/39 | 1,000,000 | 1,046,200 | |||||
Los Angeles Department of Water & Power Revenue, 6.166%, 7/1/40 | 1,000,000 | 1,062,210 | |||||
Metropolitan Transportation Authority Revenue, 6.548%, 11/15/31 | 1,000,000 | 1,238,850 | |||||
New York City Transitional Finance Authority Future Tax Secured Revenue, 6.267%, 8/1/39 | 500,000 | 516,290 | |||||
Northside Independent School District, General Obligation, Series B, (PSF-GTD), 5.741%, 8/15/35 | 850,000 | 880,235 | |||||
Rancho Water District Financing Authority Revenue, 6.337%, 8/1/40 | 795,000 | 849,815 | |||||
Rancho Water District Financing Authority Revenue, (Prerefunded 8/1/20 @ $100), 6.337%, 8/1/40 | 5,000 | 5,350 | |||||
University of Massachusetts Building Authority Revenue, 6.573%, 5/1/39 | 1,000,000 | 1,030,410 | |||||
6,629,360 | |||||||
Total Long Term Municipal Bonds | |||||||
(Cost $6,679,223) | 6,629,360 | ||||||
MORTGAGE BACKED SECURITIES - 8.5% | |||||||
Fannie Mae - 5.5% | |||||||
3%, 9/1/30 Pool # 890696 | 584,851 | 583,501 | |||||
3%, 12/1/30 Pool # AL8924 | 409,388 | 409,324 | |||||
7%, 11/1/31 Pool # 607515 | 23,373 | 25,704 | |||||
3.5%, 12/1/31 Pool # MA0919 | 165,946 | 168,422 | |||||
7%, 5/1/32 Pool # 644591 | 3,614 | 3,696 | |||||
3.5%, 8/1/32 Pool # MA3098 | 221,717 | 224,601 | |||||
5.5%, 10/1/33 Pool # 254904 | 142,059 | 154,188 | |||||
5.5%, 11/1/33 Pool # 555880 | 352,049 | 382,729 | |||||
5%, 5/1/34 Pool # 780890 | 466,361 | 499,540 | |||||
7%, 7/1/34 Pool # 792636 | 17,630 | 18,079 | |||||
4%, 2/1/35 Pool # MA2177 | 662,056 | 685,029 | |||||
5%, 9/1/35 Pool # 820347 | 225,045 | 243,143 | |||||
5%, 9/1/35 Pool # 835699 | 172,186 | 184,822 | |||||
5%, 12/1/35 Pool # 850561 | 64,125 | 68,679 | |||||
5.5%, 9/1/36 Pool # 831820 | 346,596 | 381,619 | |||||
6%, 9/1/36 Pool # 831741 | 107,062 | 117,008 | |||||
5.5%, 10/1/36 Pool # 901723 | 158,161 | 170,979 |
Ultra Series Fund | June 30, 2018 |
Diversified Income Fund Portfolio of Investments (unaudited) - continued |
Par Value | Value (Note 2) | |||||||
MORTGAGE BACKED SECURITIES - continued | ||||||||
Fannie Mae - continued | ||||||||
5.5%, 12/1/36 Pool # 903059 | $ | 234,407 | $ | 251,907 | ||||
4%, 1/1/41 Pool # AB2080 | 630,017 | 647,075 | ||||||
4.5%, 7/1/41 Pool # AB3274 | 176,316 | 185,504 | ||||||
5.5%, 7/1/41 Pool # AL6588 | 646,715 | 702,802 | ||||||
4%, 9/1/41 Pool # AJ1406 | 435,221 | 447,262 | ||||||
4%, 10/1/41 Pool # AJ4046 | 561,967 | 577,935 | ||||||
3.5%, 6/1/42 Pool # AO4134 | 462,909 | 464,555 | ||||||
3.5%, 6/1/42 Pool # AO4136 | 572,269 | 574,294 | ||||||
3.5%, 8/1/42 Pool # AP2133 | 578,641 | 580,586 | ||||||
4%, 10/1/42 Pool # AP7363 | 470,969 | 483,531 | ||||||
3%, 2/1/43 Pool # AB8486 | 941,319 | 919,872 | ||||||
3%, 2/1/43 Pool # AL3072 | 716,040 | 700,220 | ||||||
3.5%, 3/1/43 Pool # AT0310 | 473,944 | 475,455 | ||||||
4%, 1/1/45 Pool # AS4257 | 172,392 | 176,596 | ||||||
4.5%, 2/1/45 Pool # MA2193 | 514,689 | 537,784 | ||||||
3.5%, 4/1/45 Pool # MA2229 | 464,544 | 463,750 | ||||||
3.5%, 11/1/45 Pool # BA4907 | 577,485 | 576,498 | ||||||
3.5%, 12/1/45 Pool # AS6309 | 126,902 | 126,685 | ||||||
4%, 7/1/48 Pool # MA3415 | 750,000 | 765,676 | ||||||
13,979,050 | ||||||||
Freddie Mac - 3.0% | ||||||||
4.5%, 2/1/25 Pool # J11722 | 104,958 | 108,498 | ||||||
4.5%, 5/1/25 Pool # J12247 | 90,433 | 93,481 | ||||||
8%, 6/1/30 Pool # C01005 | 10,081 | 11,573 | ||||||
6.5%, 1/1/32 Pool # C62333 | 77,318 | 86,072 | ||||||
5%, 10/1/39 Pool # G60465 | 1,050,255 | 1,120,970 | ||||||
3.5%, 11/1/40 Pool # G06168 | 293,547 | 294,434 | ||||||
4.5%, 9/1/41 Pool # Q03516 | 473,256 | 497,459 | ||||||
4%, 10/1/41 Pool # Q04092 | 665,562 | 684,266 | ||||||
3%, 9/1/42 Pool # C04233 | 1,084,553 | 1,059,572 | ||||||
3%, 4/1/43 Pool # V80025 | 751,758 | 734,003 | ||||||
3%, 4/1/43 Pool # V80026 | 751,017 | 733,193 | ||||||
3%, 7/1/45 Pool # G08653 | 226,719 | 220,239 | ||||||
3.5%, 8/1/45 Pool # Q35614 | 731,454 | 731,394 | ||||||
3%, 10/1/46 Pool # G60722 | 566,178 | 549,621 | ||||||
4%, 3/1/47 Pool # Q46801 | 695,886 | 712,458 | ||||||
7,637,233 | ||||||||
Ginnie Mae - 0.0% | ||||||||
6.5%, 4/20/31 Pool # 3068 | 29,151 | 33,076 | ||||||
Total Mortgage Backed Securities | ||||||||
(Cost $22,043,196) | 21,649,359 | |||||||
U.S. GOVERNMENT AND AGENCY OBLIGATIONS - 7.4% | ||||||||
Federal Farm Credit Bank - 0.2% | ||||||||
3.470%, 5/7/24 | 500,000 | 500,067 | ||||||
Federal Home Loan Bank - 0.1% | ||||||||
1.750%, 12/21/23 (F) | 350,000 | 346,248 | ||||||
U.S. Treasury Bonds - 2.6% | ||||||||
6.625%, 2/15/27 | 2,270,000 | 2,928,211 | ||||||
3.000%, 5/15/42 | 1,000,000 | 1,006,094 | ||||||
2.500%, 2/15/45 | 1,000,000 | 911,758 | ||||||
2.500%, 5/15/46 | 750,000 | 681,504 | ||||||
2.250%, 8/15/46 | 750,000 | 645,937 | ||||||
3.000%, 5/15/47 | 400,000 | 401,172 | ||||||
6,574,676 | ||||||||
U.S. Treasury Notes - 4.5% | ||||||||
2.000%, 7/31/20 | 1,000,000 | 988,789 | ||||||
2.625%, 11/15/20 | 2,850,000 | 2,852,783 | ||||||
2.000%, 11/15/21 | 1,000,000 | 979,023 | ||||||
2.000%, 2/15/22 | 1,250,000 | 1,221,143 | ||||||
1.750%, 5/15/22 | 1,750,000 | 1,689,639 | ||||||
2.500%, 8/15/23 | 3,000,000 | 2,964,727 | ||||||
2.125%, 3/31/24 | 1,000,000 | 965,273 | ||||||
11,661,377 | ||||||||
Total U.S. Government and Agency | 19,082,368 | |||||||
Shares | ||||||||
SHORT-TERM INVESTMENTS - 2.1% | ||||||||
State Street Institutional U.S. Government Money Market Fund, 1.82%, Premier Class | 5,372,647 | 5,372,647 | ||||||
Total Short-Term Investments | ||||||||
(Cost $5,372,647) | 5,372,647 | |||||||
COLLATERAL FOR SECURITIES ON LOAN (G) - 0.1% | ||||||||
State Street Navigator Securities Lending Government Money Market Portfolio, 1.93% | 204,330 | 204,330 | ||||||
Total Collateral for Securities on Loan | ||||||||
(Cost $204,330) | 204,330 | |||||||
TOTAL INVESTMENTS - 99.6% (Cost $209,094,376**) | 254,403,411 | |||||||
NET OTHER ASSETS AND LIABILITIES - 0.4% | 908,856 | |||||||
TOTAL NET ASSETS - 100.0% | $ | 255,312,267 | ||||||
See accompanying Notes to Financial Statements. |
22 |
Ultra Series Fund | June 30, 2018 |
Diversified Income Fund Portfolio of Investments (unaudited) - continued |
** | Aggregate cost for Federal tax purposes was $209,698,287. | |
(A) | Security sold within terms of a private placement memorandum exempt from registration under section 144A of the Securities Act of 1933, as amended, and may be sold only to dealers in that program or other “qualified institutional investors.” | |
(B) | Floating rate or variable rate note. Rate shown is as of June 30, 2018. | |
(C) | Coupon rate may change based on changes of the underlying collateral or prepayments of principal. The coupon rate shown represents the rate at period end. | |
(D) | A portion of securities on loan with an aggregate value of $202,272; cash collateral (included in liabilities) of $204,330 was received with which the Fund invested in the State Street Navigator Securities Lending Government Money Market Portfolio. | |
(E) | Notes and bonds, issued by foreign entities, denominated in U.S. dollars. The aggregate of these securities is 0.8% of total net assets. | |
(F) | Stepped rate security. Rate shown is as of June 30, 2018. | |
(G) | Represents investments of cash collateral received in connection with securities lending. | |
ADR | American Depositary Receipt. | |
LIBOR | London Interbank Offered Rate | |
MTN | Medium Term Note. | |
PLC | Public Limited Company. | |
PSF-GTD | Permanent School Fund Guaranteed. |
See accompanying Notes to Financial Statements. |
23 |
Ultra Series Fund | June 30, 2018 |
Large Cap Value Fund Portfolio of Investments (unaudited) |
Shares | Value (Note 2) | ||||||
COMMON STOCKS - 96.1% | |||||||
Consumer Staples - 3.7% | |||||||
Archer-Daniels-Midland Co. | 259,000 | $ | 11,869,970 | ||||
Energy - 16.1% | |||||||
Canadian Natural Resources Ltd. | 388,000 | 13,995,160 | |||||
Chevron Corp. | 57,000 | 7,206,510 | |||||
EOG Resources Inc. | 149,000 | 18,540,070 | |||||
Halliburton Co. | 273,000 | 12,301,380 | |||||
52,043,120 | |||||||
Financials - 16.9% | |||||||
Bank of America Corp. | 431,000 | 12,149,890 | |||||
Bank of New York Mellon Corp./The | 261,000 | 14,075,730 | |||||
JPMorgan Chase & Co. | 131,000 | 13,650,200 | |||||
Regions Financial Corp. | 384,000 | 6,827,520 | |||||
US Bancorp | 153,000 | 7,653,060 | |||||
54,356,400 | |||||||
Health Care - 9.9% | |||||||
Baxter International Inc. | 196,000 | 14,472,640 | |||||
Humana Inc. | 24,500 | 7,291,935 | |||||
Medtronic PLC | 120,000 | 10,273,200 | |||||
32,037,775 | |||||||
Industrials - 8.4% | |||||||
Jacobs Engineering Group Inc. | 192,000 | 12,190,080 | |||||
Textron Inc. | 227,000 | 14,961,570 | |||||
27,151,650 | |||||||
Information Technology - 7.1% | |||||||
First Data Corp., ‘A’ * | 595,000 | 12,453,350 | |||||
Seagate Technology PLC | 184,000 | 10,390,480 | |||||
22,843,830 | |||||||
Materials - 14.6% | |||||||
Cleveland-Cliffs Inc.* | 1,010,000 | 8,514,300 | |||||
DowDuPont Inc. | 98,000 | 6,460,160 | |||||
Newmont Mining Corp. | 252,000 | 9,502,920 | |||||
Rio Tinto PLC, ADR (A) | 244,000 | 13,537,120 | |||||
Southern Copper Corp. | 65,000 | 3,046,550 | |||||
Teck Resources Ltd., Class B | 238,000 | 6,057,100 | |||||
47,118,150 | |||||||
Real Estate - 4.3% | |||||||
Weyerhaeuser Co. | 376,000 | 13,708,960 | |||||
Telecommunication Service - 4.1% | |||||||
CenturyLink Inc. | 707,000 | 13,178,480 | |||||
Utilities - 11.0% | |||||||
AES Corp. | 1,208,000 | 16,199,280 | |||||
NRG Energy Inc. | 380,000 | 11,666,000 | |||||
Sempra Energy | 65,000 | 7,547,150 | |||||
35,412,430 | |||||||
Total Common Stocks | |||||||
(Cost $263,660,931) | 309,720,765 | ||||||
SHORT-TERM INVESTMENTS - 2.5% | |||||||
State Street Institutional U.S. Government Money Market Fund, 1.82%, Permier Class | 8,168,570 | 8,168,570 | |||||
Total Short-Term Investments | |||||||
(Cost $8,168,570) | 8,168,570 | ||||||
COLLATERAL FOR SECURITIES ON LOAN (B) - 0.5% | |||||||
State Street Navigator Securities Lending Government Money Market Portfolio, 1.93% | 1,359,276 | 1,359,276 | |||||
Total Collateral for Securities on Loan | |||||||
(Cost $1,359,276) | 1,359,276 | ||||||
TOTAL INVESTMENTS - 99.1% (Cost $273,188,777**) | 319,248,611 | ||||||
NET OTHER ASSETS AND LIABILITIES - 0.9% | 2,977,998 | ||||||
TOTAL NET ASSETS - 100.0% | $ | 322,226,609 | |||||
* | Non-income producing. | |
** | Aggregate cost for Federal tax purposes was $273,188,777. | |
(A) | A portion of securities on loan with an aggregate value of $1,328,857; cash collateral (included in liabilities) of $1,359,276 was received with which the Fund invested in the State Street Navigator Securities Lending Government Money Market Portfolio. | |
(B) | Represents investments of cash collateral received in connection with securities lending. | |
ADR | American Depositary Receipt. | |
PLC | Public Limited Company. |
Ultra Series Fund | June 30, 2018 |
Large Cap Growth Fund Portfolio of Investments (unaudited) |
Shares | Value (Note 2) | ||||||
COMMON STOCKS - 95.2% | |||||||
Consumer Discretionary - 18.5% | |||||||
CarMax Inc.* (A) | 119,833 | $ | 8,732,231 | ||||
Comcast Corp., Class A | 107,774 | 3,536,065 | |||||
O’Reilly Automotive Inc.* | 17,158 | 4,693,914 | |||||
Omnicom Group Inc. | 132,870 | 10,133,995 | |||||
Starbucks Corp. | 90,352 | 4,413,695 | |||||
TJX Cos. Inc./The | 123,720 | 11,775,669 | |||||
43,285,569 | |||||||
Consumer Staples - 4.1% | |||||||
Diageo PLC, ADR | 32,383 | 4,663,476 | |||||
JM Smucker Co./The | 46,185 | 4,963,964 | |||||
9,627,440 | |||||||
Financials - 13.9% | |||||||
Berkshire Hathaway Inc., Class B* | 47,094 | 8,790,095 | |||||
Brookfield Asset Management Inc., Class A | 223,976 | 9,079,987 | |||||
Charles Schwab Corp./The | 76,799 | 3,924,429 | |||||
US Bancorp | 215,095 | 10,759,052 | |||||
32,553,563 | |||||||
Health Care - 14.6% | |||||||
Danaher Corp. | 82,992 | 8,189,651 | |||||
Henry Schein Inc.* | 117,099 | 8,506,071 | |||||
Johnson & Johnson | 43,165 | 5,237,641 | |||||
Novartis AG, ADR | 119,154 | 9,000,893 | |||||
Varian Medical Systems Inc.* | 27,707 | 3,150,840 | |||||
34,085,096 | |||||||
Industrials - 6.5% | |||||||
Copart Inc.* | 63,829 | 3,610,168 | |||||
Jacobs Engineering Group Inc. | 181,909 | 11,549,403 | |||||
15,159,571 | |||||||
Information Technology - 24.9% | |||||||
Accenture PLC, Class A | 30,833 | 5,043,970 | |||||
Alphabet Inc., Class C* | 8,198 | 9,146,099 | |||||
Analog Devices Inc. | 59,319 | 5,689,878 | |||||
CDW Corp. | 80,381 | 6,493,981 | |||||
Cognizant Technology Solutions Corp. | 110,778 | 8,750,354 | |||||
Oracle Corp. | 195,729 | 8,623,820 | |||||
TE Connectivity Ltd. | 70,478 | 6,347,249 | |||||
Visa Inc., Class A | 62,735 | 8,309,251 | |||||
58,404,602 | |||||||
Materials - 9.1% | |||||||
PPG Industries Inc. | 114,801 | 11,908,308 | |||||
Praxair Inc. | 59,309 | 9,379,718 | |||||
21,288,026 | |||||||
Real Estate - 3.6% | |||||||
American Tower Corp. | 58,770 | 8,472,871 | |||||
Total Common Stocks | |||||||
(Cost $177,304,398) | 222,876,738 | ||||||
SHORT-TERM INVESTMENTS - 5.4% | |||||||
State Street Institutional U.S. Government Money Market Fund, 1.82%, Premier Class | 12,721,036 | 12,721,036 | |||||
Total Short-Term Investments | |||||||
(Cost $12,721,036) | 12,721,036 | ||||||
TOTAL INVESTMENTS - 100.6% (Cost $190,025,434**) | 235,597,774 | ||||||
NET OTHER ASSETS AND LIABILITIES - (0.6%) | (1,369,955 | ) | |||||
TOTAL NET ASSETS - 100.0% | $ | 234,227,819 | |||||
* | Non-income producing. | |
** | Aggregate cost for Federal tax purposes was $190,358,025. | |
(A) | A portion of securities on loan with an aggregate value of $477,881; cash collateral (included in liabilities) of $0 was received with which the Fund invested in the State Street Navigator Securities Lending Government Money Market Portfolio and non-cash collateral of $491,850 (see Note 8). | |
ADR | American Depositary Receipt. | |
PLC | Public Limited Company. |
Ultra Series Fund | June 30, 2018 |
Mid Cap Fund Portfolio of Investments (unaudited) |
Shares | Value (Note 2) | ||||||
COMMON STOCKS - 93.3% | |||||||
Consumer Discretionary - 23.5% | |||||||
CarMax Inc.* | 108,630 | $ | 7,915,868 | ||||
Liberty Broadband Corp., Class C* | 114,954 | 8,704,317 | |||||
Liberty Global PLC, Series C* | 159,746 | 4,250,841 | |||||
O’Reilly Automotive Inc.* | 23,707 | 6,485,524 | |||||
Omnicom Group Inc. | 88,690 | 6,764,386 | |||||
Ross Stores Inc. | 46,148 | 3,911,043 | |||||
TJX Cos. Inc./The | 72,764 | 6,925,678 | |||||
44,957,657 | |||||||
Consumer Staples - 0.9% | |||||||
Brown-Forman Corp., Class B | 34,799 | 1,705,499 | |||||
Energy - 1.1% | |||||||
Oceaneering International Inc. | 83,556 | 2,127,336 | |||||
Financials - 22.2% | |||||||
Arch Capital Group Ltd.* | 362,194 | 9,583,653 | |||||
Brookfield Asset Management Inc., Class A | 176,828 | 7,168,607 | |||||
Brown & Brown Inc. | 277,156 | 7,685,536 | |||||
Glacier Bancorp Inc. | 107,488 | 4,157,636 | |||||
Markel Corp.* | 8,300 | 9,000,105 | |||||
WR Berkley Corp. | 65,376 | 4,733,876 | |||||
42,329,413 | |||||||
Health Care - 13.2% | |||||||
DaVita Inc.* | 71,968 | 4,997,458 | |||||
Henry Schein Inc.* | 91,879 | 6,674,091 | |||||
Laboratory Corp. of America Holdings* | 41,206 | 7,397,713 | |||||
Zoetis Inc. | 71,733 | 6,110,934 | |||||
25,180,196 | |||||||
Industrials - 14.3% | |||||||
Copart Inc.* | 135,489 | 7,663,258 | |||||
Expeditors International of Washington Inc. | 109,275 | 7,988,002 | |||||
Fastenal Co. | 95,049 | 4,574,708 | |||||
IHS Markit Ltd.* | 136,228 | 7,028,003 | |||||
27,253,971 | |||||||
Information Technology - 6.7% | |||||||
Amphenol Corp., Class A | 42,332 | 3,689,234 | |||||
CDW Corp. | 113,857 | 9,198,507 | |||||
12,887,741 | |||||||
Materials - 8.7% | |||||||
Axalta Coating Systems Ltd.* | 212,140 | 6,429,963 | |||||
Crown Holdings Inc.* | 90,838 | 4,065,909 | |||||
NewMarket Corp. | 4,834 | 1,955,353 | |||||
RPM International Inc. | 71,541 | 4,172,271 | |||||
16,623,496 | |||||||
Real Estate - 2.7% | |||||||
Crown Castle International Corp. | 48,571 | 5,236,925 | |||||
Total Common Stocks | |||||||
(Cost $106,067,114) | 178,302,234 | ||||||
SHORT-TERM INVESTMENTS - 6.8% | |||||||
State Street Institutional U.S. Government Money Market Fund, 1.82%, Premier Class | 12,977,309 | 12,977,309 | |||||
Total Short-Term Investments | |||||||
(Cost $12,977,309) | 12,977,309 | ||||||
TOTAL INVESTMENTS - 100.1% (Cost $119,044,423**) | 191,279,543 | ||||||
NET OTHER ASSETS AND LIABILITIES - (0.1%) | (148,645 | ) | |||||
TOTAL NET ASSETS - 100.0% | $ | 191,130,898 | |||||
* | Non-income producing. | |
** | Aggregate cost for Federal tax purposes was $119,211,750. | |
PLC | Public Limited Company. |
Ultra Series Fund | June 30, 2018 |
International Stock Fund Portfolio of Investments (unaudited) |
Shares | Value (Note 2) | ||||||
COMMON STOCKS - 95.3% | |||||||
Australia - 2.8% | |||||||
BHP Billiton PLC | 45,601 | $ | 1,026,704 | ||||
Belgium - 1.6% | |||||||
Anheuser-Busch InBev S.A. | 5,735 | 579,319 | |||||
Brazil - 1.0% | |||||||
Cielo S.A. | 85,300 | 363,583 | |||||
Canada - 4.8% | |||||||
Canadian National Railway Co. | 4,300 | 351,713 | |||||
National Bank of Canada | 11,800 | 566,551 | |||||
Suncor Energy Inc. | 19,700 | 801,696 | |||||
1,719,960 | |||||||
Denmark - 1.3% | |||||||
Carlsberg AS, Class B | 4,063 | 478,648 | |||||
Finland - 1.4% | |||||||
Sampo Oyj, Class A | 10,132 | 494,584 | |||||
France - 11.0% | |||||||
Air Liquide S.A. | 2,739 | 344,490 | |||||
Capgemini SE | 4,396 | 591,396 | |||||
Cie de Saint-Gobain | 7,876 | 351,992 | |||||
Cie Generale des Etablissements Michelin | 4,768 | 580,750 | |||||
Safran S.A. | 5,473 | 665,022 | |||||
Societe Generale S.A. | 8,204 | 346,004 | |||||
Valeo S.A. | 6,786 | 371,034 | |||||
Vinci S.A. | 7,599 | 730,872 | |||||
3,981,560 | |||||||
Germany - 4.2% | |||||||
Fresenius SE & Co. KGaA | 6,421 | 515,893 | |||||
SAP SE | 8,722 | 1,007,860 | |||||
1,523,753 | |||||||
India - 0.9% | |||||||
ICICI Bank Ltd., ADR | 41,470 | 333,004 | |||||
Ireland - 5.6% | |||||||
Medtronic PLC | 9,390 | 803,878 | |||||
Ryanair Holdings PLC, ADR * | 4,520 | 516,319 | |||||
Shire PLC | 12,753 | 717,833 | |||||
2,038,030 | |||||||
Israel - 0.0% | |||||||
Bank Leumi Le-Israel BM (A) | 2,126 | 12,592 | |||||
Japan - 17.1% | |||||||
Daiwa House Industry Co. Ltd. | 25,635 | 874,297 | |||||
Don Quijote Holdings Co. Ltd. | 19,500 | 937,000 | |||||
Isuzu Motors Ltd. | 26,500 | 352,208 | |||||
Kao Corp. | 5,830 | 444,958 | |||||
KDDI Corp. | 16,800 | 459,927 | |||||
Makita Corp. | 15,800 | 708,549 | |||||
Nexon Co. Ltd.* | 32,500 | 472,316 | |||||
Shin-Etsu Chemical Co. Ltd. | 4,300 | 383,452 | |||||
Sony Corp. | 7,800 | 399,035 | |||||
Sumitomo Mitsui Financial Group Inc. | 14,900 | 579,501 | |||||
United Arrows Ltd. | 1,000 | 37,393 | |||||
Yamaha Corp. | 10,400 | 541,065 | |||||
6,189,701 | |||||||
Luxembourg - 0.8% | |||||||
Tenaris S.A. | 15,678 | 287,722 | |||||
Netherlands - 6.5% | |||||||
ABN AMRO Group N.V. (B) | 8,875 | 230,293 | |||||
Royal Dutch Shell PLC, Class A | 35,329 | 1,225,784 | |||||
Wolters Kluwer N.V. | 15,664 | 882,792 | |||||
2,338,869 | |||||||
Norway - 2.8% | |||||||
Statoil ASA | 16,589 | 440,779 | |||||
Telenor ASA | 28,345 | 581,737 | |||||
1,022,516 | |||||||
Singapore - 2.1% | |||||||
DBS Group Holdings Ltd. | 26,690 | 521,263 | |||||
NetLink NBN Trust | 434,900 | 236,203 | |||||
757,466 | |||||||
Spain - 1.4% | |||||||
Red Electrica Corp. S.A. (C) | 24,569 | 500,383 | |||||
Sweden - 3.6% | |||||||
Assa Abloy AB, Class B | 32,933 | 701,919 | |||||
Epiroc AB, Class A* | 11,431 | 119,954 | |||||
Nordea Bank AB | 50,307 | 484,605 | |||||
1,306,478 | |||||||
Switzerland - 6.9% | |||||||
Ferguson PLC | 10,988 | 891,837 | |||||
Julius Baer Group Ltd. * | 7,702 | 453,269 | |||||
Novartis AG | 14,917 | 1,133,951 | |||||
2,479,057 | |||||||
Taiwan - 1.0% | |||||||
Taiwan Semiconductor Manufacturing Co. Ltd., ADR | 9,400 | 343,664 | |||||
Turkey - 1.1% | |||||||
Turkcell Iletisim Hizmetleri AS | 149,242 | 395,371 | |||||
Ultra Series Fund | June 30, 2018 |
International Stock Fund Portfolio of Investments (unaudited) - continued |
Shares | Value (Note 2) | ||||||
COMMON STOCKS - 95.3% | |||||||
United Kingdom - 17.4% | |||||||
Aon PLC | 5,600 | $ | 768,152 | ||||
British American Tobacco PLC | 15,697 | 793,427 | |||||
Compass Group PLC | 34,330 | 733,294 | |||||
Diageo PLC | 10,456 | 375,617 | |||||
Howden Joinery Group PLC | 46,424 | 328,520 | |||||
Informa PLC | 43,570 | 480,138 | |||||
Melrose Industries PLC | 140,530 | 394,483 | |||||
Prudential PLC | 51,443 | 1,177,585 | |||||
RELX PLC | 6,898 | 147,707 | |||||
RSA Insurance Group PLC | 42,017 | 376,741 | |||||
Unilever PLC | 13,088 | 724,080 | |||||
6,299,744 | |||||||
Total Common Stocks | |||||||
(Cost $30,320,190) | 34,472,708 | ||||||
PREFERRED STOCK - 0.8% | |||||||
Germany - 0.8% | |||||||
Volkswagen AG | 1,670 | 277,361 | |||||
Total Preferred Stocks | |||||||
(Cost $357,756) | 277,361 | ||||||
SHORT-TERM INVESTMENTS - 4.0% | |||||||
United States - 4.0% | |||||||
State Street Institutional U.S. Government Money Market Fund, 1.82%, Premier Class | 1,455,756 | 1,455,756 | |||||
Total Short-Term Investments | |||||||
(Cost $1,455,756) | 1,455,756 | ||||||
COLLATERAL FOR SECURITIES ON LOAN (D) - 1.3% | |||||||
State Street Navigator Securities Lending Government Money Market Portfolio, 1.93% | 469,859 | 469,859 | |||||
Total Collateral for Securities on Loan | |||||||
(Cost $469,859) | 469,859 | ||||||
TOTAL INVESTMENTS - 101.4% (Cost $32,603,561**) | 36,675,684 | ||||||
NET OTHER ASSETS AND LIABILITIES - (1.4%) | (524,177 | ) | |||||
TOTAL NET ASSETS - 100.0% | $ | 36,151,507 | |||||
* | Non-income producing. | |
** | Aggregate cost for Federal tax purposes was $32,646,945. | |
(A) | Due to events that occurred between the close of the exchange on which this security is traded and that of the New York Stock Exchange, fair value was determined for this security using methods determined in good faith by or at the discretion of the Board of Trustees (see Note 3). | |
(B) | Security sold within terms of a private placement memorandum exempt from registration under section 144A of the Securities Act of 1933, as amended, and may be sold only to dealers in that program or other “qualified institutional investors.” The securities have been determined to be liquid under guidelines established by the Board of Trustees. | |
(C) | A portion of securities on loan with an aggregate value of $449,956; cash collateral (included in liabilities) of $469,859 was received with which the Fund invested in the State Street Navigator Securities Lending Government Money Market Portfolio. | |
(D) | Represents investments of cash collateral received in connection with securities lending. | |
ADR | American Depositary Receipt. | |
PLC | Public Limited Company. |
OTHER INFORMATION: | |||
Sector Concentration | % of Net Assets | ||
Collateral for Securities on Loan | 1.3% | ||
Consumer Discretionary | 15.9% | ||
Consumer Staples | 9.3% | ||
Energy | 7.6% | ||
Financials | 17.6% | ||
Health Care | 8.7% | ||
Industrials | 15.9% | ||
Information Technology | 7.7% | ||
Materials | 4.9% | ||
Money Market Funds | 4.0% | ||
Real Estate | 2.4% | ||
Telecommunication Services | 4.7% | ||
Utilities | 1.4% | ||
Net Other Assets and Liabilities | (1.4%) |
Ultra Series Fund | June 30, 2018 |
Statements of Assets and Liabilities as of June 30, 2018 (unaudited) |
Conservative | Moderate | Aggressive | Core | High | Diversified | |||||||||||||||||||
Allocation | Allocation | Allocation | Bond | Income | Income | |||||||||||||||||||
Fund | Fund | Fund | Fund | Fund | Fund | |||||||||||||||||||
Assets: | ||||||||||||||||||||||||
Investments in unaffiliated securities, at fair value†§ | $ | 78,434,687 | $ | 125,963,111 | $ | 54,723,262 | $ | 146,305,809 | $ | 26,311,418 | $ | 254,403,411 | ||||||||||||
Investments in affiliated securities, at fair value ‡1 | 62,140,182 | 102,956,281 | 32,953,454 | – | – | – | ||||||||||||||||||
Cash | – | – | – | 875,953 | – | – | ||||||||||||||||||
Receivables: | ||||||||||||||||||||||||
Investments sold | – | – | – | 805,744 | – | 488,121 | ||||||||||||||||||
Fund shares sold | 25,328 | 98,504 | 34,172 | 770 | 346 | 29,558 | ||||||||||||||||||
Dividends and interest | 227,741 | 327,921 | 87,061 | 1,122,839 | 337,493 | 957,243 | ||||||||||||||||||
Due from Adviser | 11,429 | 18,594 | 6,494 | – | – | – | ||||||||||||||||||
Total assets | 140,839,367 | 229,364,411 | 87,804,443 | 149,111,115 | 26,649,257 | 255,878,333 | ||||||||||||||||||
Liabilities: | ||||||||||||||||||||||||
Payables: | ||||||||||||||||||||||||
Investments purchased | – | – | – | 736,559 | – | – | ||||||||||||||||||
Fund shares repurchased | 10,904 | 14,741 | 108 | 104,803 | 36,999 | 189,382 | ||||||||||||||||||
Upon return of securities loaned | 2,734,968 | 5,654,383 | 10,029,855 | 204,330 | 2,376,768 | 204,330 | ||||||||||||||||||
Management fees | 34,286 | 55,782 | 19,481 | 67,390 | 15,164 | 149,015 | ||||||||||||||||||
Audit and trustees fees | 8,408 | 13,657 | 4,831 | 9,235 | 1,467 | 15,700 | ||||||||||||||||||
Distribution fees - Class II | 5,414 | 4,759 | 454 | 6,625 | 1,070 | 7,639 | ||||||||||||||||||
Total liabilities | 2,793,980 | 5,743,322 | 10,054,729 | 1,128,942 | 2,431,468 | 566,066 | ||||||||||||||||||
Net Assets applicable to outstanding capital stock | $ | 138,045,387 | $ | 223,621,089 | $ | 77,749,714 | $ | 147,982,173 | $ | 24,217,789 | $ | 255,312,267 | ||||||||||||
Net Assets consist of: | ||||||||||||||||||||||||
Paid-in capital in excess of par | $ | 128,628,819 | $ | 193,554,634 | $ | 63,246,113 | $ | 146,754,572 | $ | 25,473,076 | $ | 194,885,139 | ||||||||||||
Accumulated undistributed net investment income | 1,367,070 | 1,876,915 | 546,039 | 2,014,172 | 633,693 | 2,893,143 | ||||||||||||||||||
Accumulated net realized gain (loss) on investments sold and foreign currency related transactions | 3,433,987 | 9,399,054 | 4,495,364 | 211,977 | (1,648,220 | ) | 12,224,950 | |||||||||||||||||
Net unrealized appreciation (depreciation) of investments (including appreciation (depreciation) on foreign currency related transactions) | 4,615,511 | 18,790,486 | 9,462,198 | (998,548 | ) | (240,760 | ) | 45,309,035 | ||||||||||||||||
Net Assets | $ | 138,045,387 | $ | 223,621,089 | $ | 77,749,714 | $ | 147,982,173 | $ | 24,217,789 | $ | 255,312,267 | ||||||||||||
Class I Shares: | ||||||||||||||||||||||||
Net Assets | $ | 112,049,998 | $ | 200,396,767 | $ | 75,564,338 | $ | 115,899,826 | $ | 19,046,281 | $ | 218,778,543 | ||||||||||||
Shares of beneficial interest outstanding | 11,053,162 | 18,608,134 | 7,496,294 | 12,105,919 | 2,227,125 | 11,409,750 | ||||||||||||||||||
Net Asset Value and redemption price per share | $ | 10.14 | $ | 10.77 | $ | 10.08 | $ | 9.57 | $ | 8.55 | $ | 19.17 | ||||||||||||
Class II Shares: | ||||||||||||||||||||||||
Net Assets | $ | 25,995,389 | $ | 23,224,322 | $ | 2,185,376 | $ | 32,082,347 | $ | 5,171,508 | $ | 36,533,724 | ||||||||||||
Shares of beneficial interest outstanding | 2,564,882 | 2,161,076 | 217,667 | 3,363,260 | 604,230 | 1,919,514 | ||||||||||||||||||
Net Asset Value and redemption price per share | $ | 10.14 | $ | 10.75 | $ | 10.04 | $ | 9.54 | $ | 8.56 | $ | 19.03 | ||||||||||||
† Cost of Investments in unaffiliated securities | $ | 77,739,014 | $ | 122,171,641 | $ | 51,947,432 | $ | 147,304,357 | $ | 26,552,178 | $ | 209,094,376 | ||||||||||||
‡ Cost of investments in affiliated securities | $ | 58,220,344 | $ | 87,957,265 | $ | 26,267,086 | $ | – | $ | – | $ | – | ||||||||||||
§ Fair Value of securities on loan | $ | 4,010,245 | $ | 9,365,544 | $ | 11,555,784 | $ | 202,272 | $ | 2,337,978 | $ | 202,272 | ||||||||||||
1 See Note 11 for information on affiliated issuers. |
Ultra Series Fund | June 30, 2018 |
Statements of Assets and Liabilities as of June 30, 2018 (unaudited) |
Large Cap | Large Cap | International | ||||||||||||||
Value | Growth | Mid Cap | Stock | |||||||||||||
Fund | Fund | Fund | Fund | |||||||||||||
Assets: | ||||||||||||||||
Investments in unaffiliated securities, at fair value †§ | $ | 319,248,611 | $ | 235,597,774 | $ | 191,279,543 | $ | 36,675,684 | ||||||||
Investments in affiliated securities, at fair value ‡1 | – | – | – | – | ||||||||||||
Foreign currency (cost of $80,453) (Note 2) | – | – | – | 80,462 | ||||||||||||
Receivables: | ||||||||||||||||
Investments sold | 8,833,872 | – | – | 113,259 | ||||||||||||
Fund shares sold | 4,461 | 8,550 | 9,582 | 643 | ||||||||||||
Dividends and interest | 534,766 | 327,018 | 113,781 | 198,855 | ||||||||||||
Due from Adviser | – | – | – | – | ||||||||||||
Total assets | 328,621,710 | 235,933,342 | 191,402,906 | 37,068,903 | ||||||||||||
Liabilities: | ||||||||||||||||
Payables: | ||||||||||||||||
Investments purchased | 4,723,925 | 1,383,609 | – | 269,807 | ||||||||||||
Fund shares repurchased | 129,198 | 112,238 | 114,899 | 83,269 | ||||||||||||
Upon return of securities loaned | 1,359,276 | – | – | 469,859 | ||||||||||||
Management fees | 162,201 | 157,181 | 143,718 | 34,948 | ||||||||||||
Audit and trustees fees | 19,438 | 14,403 | 11,365 | 2,286 | ||||||||||||
Distribution fees - Class II | 1,063 | 4,362 | 2,026 | 2,410 | ||||||||||||
Dividends | – | 33,730 | – | 54,817 | ||||||||||||
Total liabilities | 6,395,101 | 1,705,523 | 272,008 | 917,396 | ||||||||||||
Net Assets applicable to outstanding capital stock | $ | 322,226,609 | $ | 234,227,819 | $ | 191,130,898 | $ | 36,151,507 | ||||||||
Net Assets consist of: | ||||||||||||||||
Paid-in capital in excess of par | $ | 244,908,984 | $ | 130,260,029 | $ | 102,916,011 | $ | 38,053,067 | ||||||||
Accumulated undistributed net investment income (loss) | 2,637,528 | 884,772 | (34,221 | ) | 468,336 | |||||||||||
Accumulated net realized gain (loss) on investments sold and foreign currency related transactions | 28,621,020 | 57,510,678 | 16,013,988 | (6,432,749 | ) | |||||||||||
Net unrealized appreciation (depreciation) of investments (including appreciation (depreciation) on foreign currency related transactions) | 46,059,077 | 45,572,340 | 72,235,120 | 4,062,853 | ||||||||||||
Net Assets | $ | 322,226,609 | $ | 234,227,819 | $ | 191,130,898 | $ | 36,151,507 | ||||||||
Class I Shares: | ||||||||||||||||
Net Assets | $ | 317,184,826 | $ | 213,525,628 | $ | 181,500,717 | $ | 24,688,562 | ||||||||
Shares of beneficial interest outstanding | 11,075,396 | 8,072,952 | 9,271,461 | 2,163,423 | ||||||||||||
Net Asset Value and redemption price per share | $ | 28.64 | $ | 26.45 | $ | 19.58 | $ | 11.41 | ||||||||
Class II Shares: | ||||||||||||||||
Net Assets | $ | 5,041,783 | $ | 20,702,191 | 9,630,181 | $ | 11,462,945 | |||||||||
Shares of beneficial interest outstanding | 178,169 | 793,212 | 502,469 | 1,010,080 | ||||||||||||
Net Asset Value and redemption price per share | $ | 28.30 | $ | 26.10 | $ | 19.17 | $ | 11.35 | ||||||||
† Cost of Investments in unaffiliated securities | $ | 273,188,777 | $ | 190,025,434 | $ | 119,044,423 | $ | 32,603,561 | ||||||||
‡ Cost of investments in affiliated securities | $ | – | $ | – | $ | – | $ | – | ||||||||
§ Fair Value of securities on loan | $ | 1,328,857 | $ | 477,881 | $ | – | $ | 449,956 | ||||||||
1 See Note 11 for information on affiliated issuers. |
Ultra Series Fund | June 30, 2018 |
Statements of Operations for the Period Ended June 30, 2018 (unaudited) |
Conservative | Moderate | Aggressive | Core | High | Diversified | |||||||||||||||||||
Allocation | Allocation | Allocation | Bond | Income | Income | |||||||||||||||||||
Fund | Fund | Fund | Fund | Fund | Fund | |||||||||||||||||||
Investment Income: | ||||||||||||||||||||||||
Interest | $ | 31,304 | $ | 49,734 | $ | 15,929 | $ | 2,493,473 | $ | 731,213 | 1,540,400 | |||||||||||||
Dividends | ||||||||||||||||||||||||
Unaffiliated issuers | 858,749 | 1,269,560 | 421,852 | – | – | 2,394,871 | ||||||||||||||||||
Affiliated issuers1 | 661,083 | 828,554 | 196,486 | – | – | – | ||||||||||||||||||
Less: Foreign taxes withheld/reclaimed | – | – | – | – | – | (39,255 | ) | |||||||||||||||||
Income from securities lending | 6,824 | 15,141 | 5,205 | 1,107 | 5,321 | 937 | ||||||||||||||||||
Total investment income | 1,557,960 | 2,162,989 | 639,472 | 2,494,580 | 736,534 | 3,896,953 | ||||||||||||||||||
Expenses:2 | ||||||||||||||||||||||||
Management fees | 213,459 | 348,690 | 123,799 | 422,832 | 93,767 | 929,172 | ||||||||||||||||||
Audit and trustee fees | 14,116 | 22,929 | 8,111 | 15,504 | 2,463 | 26,359 | ||||||||||||||||||
Distribution fees – Class II | 34,397 | 30,570 | 2,789 | 41,348 | 6,611 | 47,906 | ||||||||||||||||||
Other expenses | 71 | 115 | – | 723 | – | 373 | ||||||||||||||||||
Total expenses before reimbursement/waiver | 262,043 | 402,304 | 134,699 | 480,407 | 102,841 | 1,003,810 | ||||||||||||||||||
Less reimbursement/waiver2 | (71,153 | ) | (116,230 | ) | (41,266 | ) | – | – | – | |||||||||||||||
Total expenses net of waiver | 190,890 | 286,074 | 93,433 | 480,407 | 102,841 | 1,003,810 | ||||||||||||||||||
Net Investment Income (Loss) | 1,367,070 | 1,876,915 | 546,039 | 2,014,173 | 633,693 | 2,893,143 | ||||||||||||||||||
Net Realized and Unrealized Gain (Loss) on Investments | ||||||||||||||||||||||||
Net realized gain (loss) on investments (including net realized gain (loss) on foreign currency related transactions) | ||||||||||||||||||||||||
Options purchased | – | – | – | 38,613 | – | – | ||||||||||||||||||
Options written | – | – | – | (35,138 | ) | – | – | |||||||||||||||||
Unaffiliated issuers | 3,071,106 | 8,362,160 | 3,478,523 | 591,726 | 17,826 | 12,913,996 | ||||||||||||||||||
Affiliated issuers1 | 618,581 | 1,794,971 | 1,206,880 | – | – | – | ||||||||||||||||||
Net change in unrealized appreciation (depreciation )on investments (including net unrealized appreciation (depreciation) on foreign currency related transactions) | ||||||||||||||||||||||||
Unaffiliated issuers | (3,867,866 | ) | (9,568,955 | ) | (3,837,847 | ) | (5,645,076 | ) | (940,097 | ) | (19,859,434 | ) | ||||||||||||
Affiliated issuers1 | (2,227,689 | ) | (3,420,705 | ) | (1,435,490 | ) | – | – | – | |||||||||||||||
Net Realized and Unrealized Gain (Loss) on Investments | (2,405,868 | ) | (2,832,529 | ) | (587,934 | ) | (5,049,875 | ) | (922,271 | ) | (6,945,438 | ) | ||||||||||||
Net Increase (Decrease) in Net Assets from Operations | $ | (1,038,798 | ) | $ | (955,614 | ) | $ | (41,895 | ) | $ | (3,035,702 | ) | $ | (288,578 | ) | $ | (4,052,295 | ) | ||||||
1 See Note 11 for information on affiliated issuers. |
2 See Note 3 for information on expenses. |
Ultra Series Fund | June 30, 2018 |
Statements of Operations for the Period Ended June 30, 2018 (unaudited) |
Large Cap | Large Cap | Mid | International | |||||||||||||
Value | Growth | Cap | Stock | |||||||||||||
Fund | Fund | Fund | Fund | |||||||||||||
Investment Income: | ||||||||||||||||
Interest | $ | 56,280 | $ | 72,574 | $ | 96,970 | $ | 6,765 | ||||||||
Dividends | ||||||||||||||||
Unaffiliated issuers | 3,694,138 | 1,879,144 | 785,043 | 781,972 | ||||||||||||
Affiliated issuers1 | – | – | – | – | ||||||||||||
Less: Foreign taxes withheld/reclaimed | (64,040 | ) | (35,123 | ) | (8,355 | ) | (79,862 | ) | ||||||||
Income from securities lending | 229 | 549 | 249 | 2,888 | ||||||||||||
Total investment income | 3,686,607 | 1,917,144 | 873,907 | 711,763 | ||||||||||||
Expenses:2 | ||||||||||||||||
Management fees | 1,009,740 | 980,540 | 876,513 | 223,975 | ||||||||||||
Audit and trustee fees | 32,634 | 24,182 | 19,081 | 3,837 | ||||||||||||
Distribution fees – Class II | 6,705 | 27,650 | 12,534 | 15,629 | ||||||||||||
Other expenses | – | – | – | – | ||||||||||||
Total expenses before reimbursement/waiver | 1,049,079 | 1,032,372 | 908,128 | 243,441 | ||||||||||||
Less reimbursement/waiver2 | – | – | – | – | ||||||||||||
Total expenses net of waiver | 1,049,079 | 1,032,372 | 908,128 | 243,441 | ||||||||||||
Net Investment Income (Loss) | 2,637,528 | 884,772 | (34,221 | ) | 468,322 | |||||||||||
Net Realized and Unrealized Gain (Loss) on Investments | ||||||||||||||||
Net realized gain (loss) on investments (including net realized gain (loss) on foreign currency related transactions) | ||||||||||||||||
Options purchased | – | – | – | – | ||||||||||||
Options written | – | – | – | – | ||||||||||||
Unaffiliated issuers | 28,621,038 | 57,688,016 | 16,176,210 | 1,113,442 | ||||||||||||
Affiliated issuers1 | – | – | – | – | ||||||||||||
Net change in unrealized appreciation (depreciation )on investments (including net unrealized appreciation (depreciation) on foreign currency related transactions) | ||||||||||||||||
Unaffiliated issuers | (27,619,045 | ) | (56,444,403 | ) | (9,597,006 | ) | (2,572,376 | ) | ||||||||
Affiliated issuers1 | – | – | – | – | ||||||||||||
Net Realized and Unrealized Gain (Loss) on Investments | 1,001,993 | 1,243,613 | 6,579,204 | (1,458,934 | ) | |||||||||||
Net Increase (Decrease) in Net Assets from Operations | $ | 3,639,521 | $ | 2,128,385 | $ | 6,544,983 | $ | (990,612 | ) | |||||||
1 See Note 11 for information on affiliated issuers. |
2 See Note 3 for information on expenses. |
Ultra Series Fund | June 30, 2018 |
Statements of Changes in Net Assets |
Conservative Allocation Fund | Moderate Allocation Fund | |||||||||||||||
(unaudited) Six-Months Ended 6/30/18 | Year Ended 12/31/17 | (unaudited) Six-Months Ended 6/30/18 | Year Ended 12/31/17 | |||||||||||||
Net Assets at beginning of period | $ | 150,474,621 | $ | 152,466,453 | $ | 244,064,933 | $ | 263,051,727 | ||||||||
Increase (decrease) in net assets from operations: | ||||||||||||||||
Net investment income | 1,367,070 | 2,947,995 | 1,876,915 | 4,427,720 | ||||||||||||
Net realized gain | 3,689,687 | 4,405,819 | 10,157,131 | 14,049,738 | ||||||||||||
Net change in unrealized appreciation (depreciation) | (6,095,555 | ) | 6,837,805 | (12,989,660 | ) | 15,999,709 | ||||||||||
Net increase (decrease) in net assets from operations | (1,038,798 | ) | 14,191,619 | (955,614 | ) | 34,477,167 | ||||||||||
Distributions to shareholders from: | ||||||||||||||||
Net investment income | ||||||||||||||||
Class I | (121,915 | ) | (2,500,202 | ) | (71,563 | ) | (4,216,851 | ) | ||||||||
Class II | – | (529,648 | ) | – | (442,525 | ) | ||||||||||
Net realized gains | ||||||||||||||||
Class I | (19,810 | ) | (3,187,066 | ) | (522,786 | ) | (11,344,314 | ) | ||||||||
Class II | (4,638 | ) | (789,844 | ) | (59,691 | ) | (1,405,372 | ) | ||||||||
Total distributions | (146,363 | ) | (7,006,760 | ) | (654,040 | ) | (17,409,062 | ) | ||||||||
Capital Stock transactions: | ||||||||||||||||
Class I Shares | ||||||||||||||||
Shares sold | 3,521,059 | 21,249,852 | 4,615,088 | 22,851,026 | ||||||||||||
Issued to shareholders in reinvestment of distributions | 141,725 | 5,687,269 | 594,349 | 15,561,165 | ||||||||||||
Shares redeemed | (11,356,657 | ) | (33,248,239 | ) | (20,664,097 | ) | (71,458,848 | ) | ||||||||
Net decrease from capital stock transactions | (7,693,873 | ) | (6,311,118 | ) | (15,454,660 | ) | (33,046,657 | ) | ||||||||
Class II Shares | ||||||||||||||||
Shares sold | 69,479 | 1,905,666 | 1,231,500 | 1,476,470 | ||||||||||||
Issued to shareholders in reinvestment of distributions | 4,638 | 1,319,492 | 59,691 | 1,847,897 | ||||||||||||
Shares redeemed | (3,624,317 | ) | (6,090,731 | ) | (4,670,721 | ) | (6,332,609 | ) | ||||||||
Net increase (decrease) from capital stock transactions | (3,550,200 | ) | (2,865,573 | ) | (3,379,530 | ) | (3,008,242 | ) | ||||||||
Total decrease from capital stock transactions | (11,244,073 | ) | (9,176,691 | ) | (18,834,190 | ) | (36,054,899 | ) | ||||||||
Total increase (decrease) in net assets | (12,429,234 | ) | (1,991,832 | ) | (20,443,844 | ) | (18,986,794 | ) | ||||||||
Net Assets at end of period | $ | 138,045,387 | $ | 150,474,621 | $ | 223,621,089 | $ | 244,064,933 | ||||||||
Undistributed net investment income included in net assets | $ | 1,367,070 | $ | 21,915 | $ | 1,876,915 | $ | 71,563 | ||||||||
Capital Share transactions: | ||||||||||||||||
Class I Shares | ||||||||||||||||
Shares sold | 345,662 | 2,071,023 | 424,449 | 2,143,826 | ||||||||||||
Issued to shareholders in reinvestment of distributions | 13,891 | 556,409 | 54,444 | 1,434,551 | ||||||||||||
Shares redeemed | (1,115,819 | ) | (3,281,672 | ) | (1,905,438 | ) | (6,654,961 | ) | ||||||||
Net decrease from capital shares transactions | (756,266 | ) | (654,240 | ) | (1,426,545 | ) | (3,076,584 | ) | ||||||||
Class II Shares | ||||||||||||||||
Shares sold | 6,801 | 189,218 | 112,428 | 138,824 | ||||||||||||
Issued to shareholders in reinvestment of distributions | 455 | 129,103 | 5,479 | 170,566 | ||||||||||||
Shares redeemed | (355,361 | ) | (602,979 | ) | (427,423 | ) | (581,871 | ) | ||||||||
Net increase (decrease) from capital shares transactions | (348,105 | ) | (284,658 | ) | (309,516 | ) | (272,481 | ) | ||||||||
Ultra Series Fund | June 30, 2018 |
Statements of Changes in Net Assets |
Aggressive Allocation Fund | Core Bond Fund | |||||||||||||||
(unaudited) Six-Months Ended 6/30/18 | Year Ended 12/31/17 | (unaudited) Six-Months Ended 6/30/18 | Year Ended 12/31/17 | |||||||||||||
Net Assets at beginning of period | $ | 86,484,460 | $ | 90,949,828 | $ | 164,681,671 | $ | 184,945,243 | ||||||||
Increase (decrease) in net assets from operations: | ||||||||||||||||
Net investment income | 546,039 | 1,370,984 | 2,014,173 | 4,347,189 | ||||||||||||
Net realized gain | 4,685,403 | 6,192,705 | 595,201 | 390,382 | ||||||||||||
Net change in unrealized appreciation (depreciation) | (5,273,337 | ) | 7,267,306 | (5,645,076 | ) | 591,067 | ||||||||||
Net increase (decrease) in net assets from operations | (41,895 | ) | 14,830,995 | (3,035,702 | ) | 5,328,638 | ||||||||||
Distributions to shareholders from: | ||||||||||||||||
Net investment income | ||||||||||||||||
Class I | (28,779 | ) | (1,410,274 | ) | (89,395 | ) | (3,839,704 | ) | ||||||||
Class II | – | (31,646 | ) | – | (969,657 | ) | ||||||||||
Net realized gains | ||||||||||||||||
Class I | (231,153 | ) | (5,435,153 | ) | – | – | ||||||||||
Class II | (6,722 | ) | (147,158 | ) | – | – | ||||||||||
Total distributions | (266,654 | ) | (7,024,231 | ) | (89,395 | ) | (4,809,361 | ) | ||||||||
Capital Stock transactions: | ||||||||||||||||
Class I Shares | ||||||||||||||||
Shares sold | 3,774,832 | 14,299,948 | 1,355,394 | 6,624,555 | ||||||||||||
Issued to shareholders in reinvestment of distributions | 259,931 | 6,845,426 | 89,395 | 3,839,704 | ||||||||||||
Shares redeemed | (12,389,678 | ) | (33,484,730 | ) | (12,530,488 | ) | (28,233,982 | ) | ||||||||
Net decrease from capital stock transactions | (8,354,915 | ) | (12,339,356 | ) | (11,085,699 | ) | (17,769,723 | ) | ||||||||
Class II Shares | ||||||||||||||||
Shares sold | 79 | 213,038 | 364,283 | 2,264,909 | ||||||||||||
Issued to shareholders in reinvestment of distributions | 6,722 | 178,804 | – | 969,657 | ||||||||||||
Shares redeemed | (78,083 | ) | (324,618 | ) | (2,852,985 | ) | (6,247,692 | ) | ||||||||
Net increase (decrease) from capital stock transactions | (71,282 | ) | 67,224 | (2,488,702 | ) | (3,013,126 | ) | |||||||||
Total decrease from capital stock transactions | (8,426,197 | ) | (12,272,132 | ) | (13,574,401 | ) | (20,782,849 | ) | ||||||||
Total increase (decrease) in net assets | (8,734,746 | ) | (4,465,368 | ) | (16,699,498 | ) | (20,263,572 | ) | ||||||||
Net Assets at end of period | $ | 77,749,714 | $ | 86,484,460 | $ | 147,982,173 | $ | 164,681,671 | ||||||||
Undistributed net investment income included in net assets | $ | 546,039 | $ | 28,779 | $ | 2,014,172 | $ | 89,394 | ||||||||
Capital Share transactions: | ||||||||||||||||
Class I Shares | ||||||||||||||||
Shares sold | 370,676 | 1,455,389 | 141,320 | 670,205 | ||||||||||||
Issued to shareholders in reinvestment of distributions | 25,292 | 676,304 | 9,365 | 394,821 | ||||||||||||
Shares redeemed | (1,220,064 | ) | (3,375,439 | ) | (1,307,266 | ) | (2,850,687 | ) | ||||||||
Net decrease from capital shares transactions | (824,096 | ) | (1,243,746 | ) | (1,156,581 | ) | (1,785,661 | ) | ||||||||
Class II Shares | ||||||||||||||||
Shares sold | 8 | 20,096 | 38,278 | 229,954 | ||||||||||||
Issued to shareholders in reinvestment of distributions | 656 | 17,720 | – | 100,101 | ||||||||||||
Shares redeemed | (7,674 | ) | (32,466 | ) | (298,719 | ) | (629,907 | ) | ||||||||
Net increase (decrease) from capital shares transactions | (7,010 | ) | 5,350 | (260,441 | ) | (299,852 | ) | |||||||||
See accompanying Notes to Financial Statements. |
34 |
Ultra Series Fund | June 30, 2018 |
Statements of Changes in Net Assets |
High Income Fund | Diversified Income Fund | Large Cap Value Fund | Large Cap Growth Fund | |||||||||||||||||||||||||||
(unaudited) Six-Months Ended 6/30/18 | Year Ended 12/31/17 | (unaudited) Six-Months Ended 6/30/18 | Year Ended 12/31/17 | (unaudited) Six-Months Ended 6/30/18 | Year Ended 12/31/17 | (unaudited) Six-Months Ended 6/30/18 | Year Ended 12/31/17 | |||||||||||||||||||||||
$ | 26,163,019 | $ | 27,407,016 | $ | 279,738,859 | $ | 286,037,793 | $ | 346,751,911 | $ | 352,701,915 | $ | 255,807,316 | $ | 247,224,084 | |||||||||||||||
633,693 | 1,271,722 | 2,893,143 | 5,867,008 | 2,637,528 | 7,804,868 | 884,772 | 1,838,076 | |||||||||||||||||||||||
17,826 | 208,730 | 12,913,996 | 12,354,557 | 28,621,038 | 19,175,375 | 57,688,016 | 31,958,000 | |||||||||||||||||||||||
(940,097 | ) | 189,436 | (19,859,434 | ) | 16,682,463 | (27,619,045 | ) | 24,364,107 | (56,444,403 | ) | 17,042,657 | |||||||||||||||||||
(288,578 | ) | 1,669,888 | (4,052,295 | ) | 34,904,028 | 3,639,521 | 51,344,350 | 2,128,385 | 50,838,733 | |||||||||||||||||||||
(23,984 | ) | (1,016,210 | ) | (127,318 | ) | (5,154,317 | ) | (106,683 | ) | (7,698,319 | ) | (30,930 | ) | (1,700,965 | ) | |||||||||||||||
(550 | ) | (260,404 | ) | – | (826,409 | ) | – | (117,237 | ) | – | (139,953 | ) | ||||||||||||||||||
– | – | (810,053 | ) | (9,857,953 | ) | (1,328,993 | ) | (18,774,779 | ) | (2,417,697 | ) | (28,091,073 | ) | |||||||||||||||||
– | – | (137,018 | ) | (1,683,155 | ) | (21,454 | ) | (308,724 | ) | (239,216 | ) | (2,888,346 | ) | |||||||||||||||||
(24,534 | ) | (1,276,614 | ) | (1,074,389 | ) | (17,521,834 | ) | (1,457,130 | ) | (26,899,059 | ) | (2,687,843 | ) | (32,820,337 | ) | |||||||||||||||
134,242 | 528,995 | 2,005,557 | 10,710,442 | 1,932,895 | 10,247,248 | 1,854,934 | 9,778,133 | |||||||||||||||||||||||
23,984 | 1,016,210 | 937,371 | 15,012,270 | 1,435,676 | 26,473,098 | 2,448,627 | 29,792,038 | |||||||||||||||||||||||
(1,466,531 | ) | (3,361,108 | ) | (19,022,951 | ) | (46,853,243 | ) | (29,543,918 | ) | (67,580,492 | ) | (22,653,740 | ) | (46,921,100 | ) | |||||||||||||||
(1,308,305 | ) | (1,815,903 | ) | (16,080,023 | ) | (21,130,531 | ) | (26,175,347 | ) | (30,860,146 | ) | (18,350,179 | ) | (7,350,929 | ) | |||||||||||||||
58,190 | 783,472 | 110,740 | 2,884,175 | 6,985 | 1,255,348 | 17,072 | 275,075 | |||||||||||||||||||||||
550 | 260,404 | 137,018 | 2,509,564 | 21,454 | 425,960 | 239,216 | 3,028,299 | |||||||||||||||||||||||
(382,553 | ) | (865,244 | ) | (3,467,643 | ) | (7,944,336 | ) | (560,785 | ) | (1,216,457 | ) | (2,926,148 | ) | (5,387,609 | ) | |||||||||||||||
(323,813 | ) | 178,632 | (3,219,885 | ) | (2,550,597 | ) | (532,346 | ) | 464,851 | (2,669,860 | ) | (2,084,235 | ) | |||||||||||||||||
(1,632,118 | ) | (1,637,271 | ) | (19,299,908 | ) | (23,681,128 | ) | (26,707,693 | ) | (30,395,295 | ) | (21,020,039 | ) | (9,435,164 | ) | |||||||||||||||
(1,945,230 | ) | (1,243,997 | ) | (24,426,592 | ) | (6,298,934 | ) | (24,525,302 | ) | (5,950,004 | ) | (21,579,497 | ) | 8,583,232 | ||||||||||||||||
$ | 24,217,789 | $ | 26,163,019 | $ | 255,312,267 | $ | 279,738,859 | $ | 322,226,609 | $ | 346,751,911 | $ | 234,227,819 | $ | 255,807,316 | |||||||||||||||
$ | 633,693 | $ | 24,534 | $ | 2,893,143 | $ | 127,318 | $ | 2,637,528 | $ | 106,683 | $ | 884,772 | $ | 30,930 | |||||||||||||||
15,603 | 60,086 | 103,115 | 562,948 | 65,721 | 375,647 | 69,220 | 368,199 | |||||||||||||||||||||||
2,795 | 117,485 | 48,226 | 769,261 | 48,935 | 933,148 | 90,662 | 1,113,799 | |||||||||||||||||||||||
(170,900 | ) | (377,920 | ) | (980,498 | ) | (2,434,037 | ) | (1,019,298 | ) | (2,429,088 | ) | (842,687 | ) | (1,721,641 | ) | |||||||||||||||
(152,502 | ) | (200,349 | ) | (829,157 | ) | (1,101,828 | ) | (904,642 | ) | (1,120,293 | ) | (682,805 | ) | (239,643 | ) | |||||||||||||||
6,782 | 89,047 | 5,758 | 153,418 | 246 | 46,300 | 644 | 10,349 | |||||||||||||||||||||||
64 | 30,099 | 7,101 | 129,455 | 740 | 15,178 | 8,975 | 114,571 | |||||||||||||||||||||||
(44,481 | ) | (97,240 | ) | (180,820 | ) | (410,213 | ) | (19,449 | ) | (43,767 | ) | (110,606 | ) | (196,943 | ) | |||||||||||||||
(37,635 | ) | 21,906 | (167,961 | ) | (127,340 | ) | (18,463 | ) | 17,711 | (100,987 | ) | (72,023 | ) | |||||||||||||||||
See accompanying Notes to Financial Statements. |
35 |
Ultra Series Fund | June 30, 2018 |
Statements of Changes in Net Assets |
Mid Cap Fund | International Stock Fund | |||||||||||||||
(unaudited) Six-Months Ended 6/30/18 | Year Ended 12/31/17 | (unaudited) Six-Months Ended 6/30/18 | Year Ended 12/31/17 | |||||||||||||
Net Assets at beginning of period | $ | 202,649,040 | $ | 214,217,873 | $ | 40,773,442 | $ | 39,604,139 | ||||||||
Increase (decrease) in net assets from operations: | ||||||||||||||||
Net investment income (loss) | (34,221 | ) | (163,928 | ) | 468,322 | 484,574 | ||||||||||
Net realized gain | 16,176,210 | 19,610,591 | 1,113,442 | 228,731 | ||||||||||||
Net change in unrealized appreciation (depreciation) | (9,597,006 | ) | 10,329,405 | (2,572,376 | ) | 7,552,307 | ||||||||||
Net increase (decrease) in net assets from operations | 6,544,983 | 29,776,068 | (990,612 | ) | 8,265,612 | |||||||||||
Distributions to shareholders from: | ||||||||||||||||
Net investment income | ||||||||||||||||
Class I | – | – | (13,447 | ) | (333,652 | ) | ||||||||||
Class II | – | – | – | (140,056 | ) | |||||||||||
Net realized gains | ||||||||||||||||
Class I | (365,741 | ) | (18,232,719 | ) | – | – | ||||||||||
Class II | (19,937 | ) | (1,015,996 | ) | – | – | ||||||||||
Total distributions | (385,678 | ) | (19,248,715 | ) | (13,447 | ) | (473,708 | ) | ||||||||
Capital Stock transactions: | ||||||||||||||||
Class I Shares | ||||||||||||||||
Shares sold | 951,842 | 8,585,574 | 345,696 | 620,534 | ||||||||||||
Issued to shareholders in reinvestment of distributions | 365,741 | 18,232,719 | 13,447 | 333,652 | ||||||||||||
Shares redeemed | (17,808,959 | ) | (47,769,566 | ) | (2,503,290 | ) | (5,488,645 | ) | ||||||||
Net decrease from capital stock transactions | (16,491,376 | ) | (20,951,273 | ) | (2,144,147 | ) | (4,534,459 | ) | ||||||||
Class II Shares | ||||||||||||||||
Shares sold | 1,429 | 296,716 | 11,323 | 425,059 | ||||||||||||
Issued to shareholders in reinvestment of distributions | 19,937 | 1,015,996 | – | 140,056 | ||||||||||||
Shares redeemed | (1,207,437 | ) | (2,457,625 | ) | (1,485,052 | ) | (2,653,257 | ) | ||||||||
Net decrease from capital stock transactions | (1,186,071 | ) | (1,144,913 | ) | (1,473,729 | ) | (2,088,142 | ) | ||||||||
Total decrease from capital stock transactions | (17,677,447 | ) | (22,096,186 | ) | (3,617,876 | ) | (6,622,601 | ) | ||||||||
Total increase (decrease) in net assets | (11,518,142 | ) | (11,568,833 | ) | (4,621,935 | ) | 1,169,303 | |||||||||
Net Assets at end of period | $ | 191,130,898 | $ | 202,649,040 | $ | 36,151,507 | $ | 40,773,442 | ||||||||
Undistributed net investment income (loss) included in net assets | $ | (34,221 | ) | $ | – | $ | 468,336 | $ | 13,461 | |||||||
Capital Share transactions: | ||||||||||||||||
Class I Shares | ||||||||||||||||
Shares sold | 49,540 | 461,805 | 29,321 | 58,835 | ||||||||||||
Issued to shareholders in reinvestment of distributions | 18,385 | 964,367 | 1,154 | 28,685 | ||||||||||||
Shares redeemed | (926,045 | ) | (2,512,866 | ) | (212,930 | ) | (508,360 | ) | ||||||||
Net decrease from capital shares transactions | (858,120 | ) | (1,086,694 | ) | (182,455 | ) | (420,840 | ) | ||||||||
Class II Shares | ||||||||||||||||
Shares sold | 75 | 15,984 | 969 | 40,942 | ||||||||||||
Issued to shareholders in reinvestment of distributions | 1,024 | 54,813 | – | 12,069 | ||||||||||||
Shares redeemed | (63,782 | ) | (130,651 | ) | (126,621 | ) | (243,062 | ) | ||||||||
Net decrease from capital shares transactions | (62,683 | ) | (59,854 | ) | (125,652 | ) | (190,051 | ) | ||||||||
See accompanying Notes to Financial Statements. |
36 |
Ultra Series Fund | June 30, 2018 |
Financial Highlights for a Share of Beneficial Interest Outstanding |
CONSERVATIVE ALLOCATION FUND | ||||||||||||||||||||||||
(unaudited) | Year Ended December 31, | |||||||||||||||||||||||
CLASS I | Six-Months Ended 6/30/18 | 2017 | 2016 | 2015 | 2014 | 2013 | ||||||||||||||||||
Net Asset Value at beginning of period | $ | 10.22 | $ | 9.74 | $ | 9.56 | $ | 10.22 | $ | 10.70 | $ | 10.45 | ||||||||||||
Income from Investment Operations: | ||||||||||||||||||||||||
Net investment income | 0.10 | 0.21 | 0.17 | 1 | 0.16 | 1 | 0.19 | 1 | 0.25 | 1 | ||||||||||||||
Net realized and unrealized gain (loss) on investments | (0.17 | ) | 0.77 | 0.36 | (0.24 | ) | 0.46 | 0.55 | ||||||||||||||||
Total from investment operations | (0.07 | ) | 0.98 | 0.53 | (0.08 | ) | 0.65 | 0.80 | ||||||||||||||||
Less Distributions From: | ||||||||||||||||||||||||
Net investment income | (0.01 | ) | (0.22 | ) | (0.20 | ) | (0.20 | ) | (0.25 | ) | (0.27 | ) | ||||||||||||
Capital gains | 0.00 | 6 | (0.28 | ) | (0.15 | ) | (0.38 | ) | (0.88 | ) | (0.28 | ) | ||||||||||||
Total distributions | (0.01 | ) | (0.50 | ) | (0.35 | ) | (0.58 | ) | (1.13 | ) | (0.55 | ) | ||||||||||||
Net increase (decrease) in net asset value | (0.08 | ) | 0.48 | 0.18 | (0.66 | ) | (0.48 | ) | 0.25 | |||||||||||||||
Net Asset Value at end of period | $ | 10.14 | $ | 10.22 | $ | 9.74 | $ | 9.56 | $ | 10.22 | $ | 10.70 | ||||||||||||
Total Return (%)2 | (0.70 | )3 | 10.17 | 5.48 | (0.76 | ) | 6.03 | 7.61 | ||||||||||||||||
Ratios/Supplemental Data: | ||||||||||||||||||||||||
Net Assets at end of period (in 000’s) | $ | 112,050 | $ | 120,703 | $ | 121,351 | $ | 125,007 | $ | 156,054 | $ | 181,427 | ||||||||||||
Ratios of expenses to average net assets: | ||||||||||||||||||||||||
Before waiver of expenses by Adviser (%) | 0.32 | 4 | 0.32 | 0.32 | 0.32 | 0.31 | 0.31 | |||||||||||||||||
After waiver of expenses by Adviser (%) | 0.22 | 4 | 0.22 | 0.22 | 0.22 | 0.27 | 0.31 | |||||||||||||||||
Ratio of net investment income to average net assets (%) | 1.97 | 4 | 2.06 | 1.71 | 1.53 | 1.71 | 2.27 | |||||||||||||||||
Portfolio turnover (%)5 | 26 | 3 | 49 | 83 | 54 | 73 | 70 | |||||||||||||||||
(unaudited) | Year Ended December 31, | |||||||||||||||||||||||
CLASS II | Six-Months Ended 6/30/18 | 2017 | 2016 | 2015 | 2014 | 2013 | ||||||||||||||||||
Net Asset Value at beginning of period | $ | 10.22 | $ | 9.73 | $ | 9.55 | $ | 10.20 | $ | 10.68 | $ | 10.43 | ||||||||||||
Income from Investment Operations: | ||||||||||||||||||||||||
Net investment income | 0.07 | 0.18 | 0.14 | 1 | 0.15 | 1 | 0.18 | 1 | 0.22 | 1 | ||||||||||||||
Net realized and unrealized gain (loss) on investments | (0.15 | ) | 0.78 | 0.36 | (0.25 | ) | 0.43 | 0.55 | ||||||||||||||||
Total from investment operations | (0.08 | ) | 0.96 | 0.50 | (0.10 | ) | 0.61 | 0.77 | ||||||||||||||||
Less Distributions From: | ||||||||||||||||||||||||
Net investment income | – | (0.19 | ) | (0.17 | ) | (0.17 | ) | (0.21 | ) | (0.24 | ) | |||||||||||||
Capital gains | 0.00 | 6 | (0.28 | ) | (0.15 | ) | (0.38 | ) | (0.88 | ) | (0.28 | ) | ||||||||||||
Total distributions | 0.00 | 6 | (0.47 | ) | (0.32 | ) | (0.55 | ) | (1.09 | ) | (0.52 | ) | ||||||||||||
Net increase (decrease) in net asset value | (0.08 | ) | 0.49 | 0.18 | (0.65 | ) | (0.48 | ) | 0.25 | |||||||||||||||
Net Asset Value at end of period | $ | 10.14 | $ | 10.22 | $ | 9.73 | $ | 9.55 | $ | 10.20 | $ | 10.68 | ||||||||||||
Total Return (%)2 | (0.82 | )3 | 9.90 | 5.21 | (1.01 | ) | 5.77 | 7.34 | ||||||||||||||||
Ratios/Supplemental Data: | ||||||||||||||||||||||||
Net Assets at end of period (in 000’s) | $ | 25,995 | $ | 29,772 | $ | 31,116 | $ | 33,705 | $ | 37,837 | $ | 40,069 | ||||||||||||
Ratios of expenses to average net assets: | ||||||||||||||||||||||||
Before waiver of expenses by Adviser (%) | 0.57 | 4 | 0.57 | 0.57 | 0.57 | 0.56 | 0.56 | |||||||||||||||||
After waiver of expenses by Adviser (%) | 0.47 | 4 | 0.47 | 0.47 | 0.47 | 0.51 | 0.56 | |||||||||||||||||
Ratio of net investment income to average net assets (%) | 1.71 | 4 | 1.78 | 1.42 | 1.46 | 1.65 | 2.04 | |||||||||||||||||
Portfolio turnover (%)5 | 26 | 3 | 49 | 83 | 54 | 73 | 70 |
1 | Based on average shares outstanding during the year. | |
2 | These returns are after all charges at the mutual fund level have been subtracted. These returns are higher than the returns at the separate account level because charges made at the separate account level have not been subtracted. Total returns are not annualized for periods less than one year. | |
3 | Not annualized. | |
4 | Annualized. | |
5 | Portfolio turnover is calculated at the fund level and represents the entire fiscal year or period. | |
6 | Amounts represent less than $(0.005) per share. |
See accompanying Notes to Financial Statements. |
37 |
Ultra Series Fund | June 30, 2018 |
Financial Highlights for a Share of Beneficial Interest Outstanding |
MODERATE ALLOCATION FUND | ||||||||||||||||||||||||
(unaudited) | Year Ended December 31, | |||||||||||||||||||||||
CLASS I | Six-Months Ended 6/30/18 | 2017 | 2016 | 2015 | 2014 | 2013 | ||||||||||||||||||
Net Asset Value at beginning of period | $ | 10.85 | $ | 10.18 | $ | 9.92 | $ | 10.92 | $ | 11.48 | $ | 10.11 | ||||||||||||
Income from Investment Operations: | ||||||||||||||||||||||||
Net investment income | 0.09 | 0.22 | 0.15 | 1 | 0.14 | 1 | 0.16 | 1 | 0.19 | 1 | ||||||||||||||
Net realized and unrealized gain (loss) on investments | (0.14 | ) | 1.29 | 0.58 | (0.24 | ) | 0.62 | 1.39 | ||||||||||||||||
Total from investment operations | (0.05 | ) | 1.51 | 0.73 | (0.10 | ) | 0.78 | 1.58 | ||||||||||||||||
Less Distributions From: | ||||||||||||||||||||||||
Net investment income | (0.00 | )2 | (0.23 | ) | (0.20 | ) | (0.19 | ) | (0.25 | ) | (0.21 | ) | ||||||||||||
Capital gains | (0.03 | ) | (0.61 | ) | (0.27 | ) | (0.71 | ) | (1.09 | ) | – | |||||||||||||
Total distributions | (0.03 | ) | (0.84 | ) | (0.47 | ) | (0.90 | ) | (1.34 | ) | (0.21 | ) | ||||||||||||
Net increase (decrease) in net asset value | (0.08 | ) | 0.67 | 0.26 | (1.00 | ) | (0.56 | ) | 1.37 | |||||||||||||||
Net Asset Value at end of period | $ | 10.77 | $ | 10.85 | $ | 10.18 | $ | 9.92 | $ | 10.92 | $ | 11.48 | ||||||||||||
Total Return (%)3 | (0.43 | )4 | 14.80 | 7.39 | (0.93 | ) | 6.85 | 15.66 | ||||||||||||||||
Ratios/Supplemental Data: | ||||||||||||||||||||||||
Net Assets at end of period (in 000’s) | $ | 200,397 | $ | 217,301 | $ | 235,182 | $ | 245,807 | $ | 315,568 | $ | 370,954 | ||||||||||||
Ratios of expenses to average net assets: | ||||||||||||||||||||||||
Before waiver of expenses by Adviser (%) | 0.32 | 5 | 0.32 | 0.32 | 0.32 | 0.31 | 0.31 | |||||||||||||||||
After waiver of expenses by Adviser (%) | 0.22 | 5 | 0.22 | 0.22 | 0.22 | 0.27 | 0.31 | |||||||||||||||||
Ratio of net investment income to average net assets (%) | 1.64 | 5 | 1.80 | 1.49 | 1.30 | 1.37 | 1.75 | |||||||||||||||||
Portfolio turnover (%)6 | 32 | 4 | 39 | 91 | 52 | 73 | 66 | |||||||||||||||||
(unaudited) | Year Ended December 31, | |||||||||||||||||||||||
CLASS II | Six-Months Ended 6/30/18 | 2017 | 2016 | 2015 | 2014 | 2013 | ||||||||||||||||||
Net Asset Value at beginning of period | $ | 10.83 | $ | 10.16 | $ | 9.90 | $ | 10.89 | $ | 11.45 | $ | 10.08 | ||||||||||||
Income from Investment Operations: | ||||||||||||||||||||||||
Net investment income | 0.05 | 0.16 | 0.12 | 1 | 0.15 | 1 | 0.18 | 1 | 0.16 | 1 | ||||||||||||||
Net realized and unrealized gain (loss) on investments | (0.10 | ) | 1.31 | 0.58 | (0.27 | ) | 0.57 | 1.39 | ||||||||||||||||
Total from investment operations | (0.05 | ) | 1.47 | 0.70 | (0.12 | ) | 0.75 | 1.55 | ||||||||||||||||
Less Distributions From: | ||||||||||||||||||||||||
Net investment income | – | (0.19 | ) | (0.17 | ) | (0.16 | ) | (0.22 | ) | (0.18 | ) | |||||||||||||
Capital gains | (0.03 | ) | (0.61 | ) | (0.27 | ) | (0.71 | ) | (1.09 | ) | – | |||||||||||||
Total distributions | (0.03 | ) | (0.80 | ) | (0.44 | ) | (0.87 | ) | (1.31 | ) | (0.18 | ) | ||||||||||||
Net increase (decrease) in net asset value | (0.08 | ) | 0.67 | 0.26 | (0.99 | ) | (0.56 | ) | 1.37 | |||||||||||||||
Net Asset Value at end of period | $ | 10.75 | $ | 10.83 | $ | 10.16 | $ | 9.90 | $ | 10.89 | $ | 11.45 | ||||||||||||
Total Return (%)3 | (0.55 | )4 | 14.52 | 7.12 | (1.18 | ) | 6.58 | 15.37 | ||||||||||||||||
Ratios/Supplemental Data: | ||||||||||||||||||||||||
Net Assets at end of period (in 000’s) | $ | 23,224 | $ | 26,764 | $ | 27,870 | $ | 30,763 | $ | 34,134 | $ | 34,965 | ||||||||||||
Ratios of expenses to average net assets: | ||||||||||||||||||||||||
Before waiver of expenses by Adviser (%) | 0.57 | 5 | 0.57 | 0.57 | 0.57 | 0.56 | 0.56 | |||||||||||||||||
After waiver of expenses by Adviser (%) | 0.47 | 5 | 0.47 | 0.47 | 0.47 | 0.51 | 0.56 | |||||||||||||||||
Ratio of net investment income to average net assets (%) | 1.37 | 5 | 1.54 | 1.18 | 1.36 | 1.49 | 1.49 | |||||||||||||||||
Portfolio turnover (%)6 | 32 | 4 | 39 | 91 | 52 | 73 | 66 |
1 | Based on average shares outstanding during the year. | |
2 | Amounts represent less than $(0.005) per share. | |
3 | These returns are after all charges at the mutual fund level have been subtracted. These returns are higher than the returns at the separate account level because charges made at the separate account level have not been subtracted. Total returns are not annualized for periods less than one year. | |
4 | Not annualized. | |
5 | Annualized. | |
6 | Portfolio turnover is calculated at the fund level and represents the entire fiscal year or period. |
See accompanying Notes to Financial Statements. |
38 |
Ultra Series Fund | June 30, 2018 |
Financial Highlights for a Share of Beneficial Interest Outstanding |
AGGRESSIVE ALLOCATION FUND | ||||||||||||||||||||||||
(unaudited) | Year Ended December 31, | |||||||||||||||||||||||
CLASS I | Six-Months Ended 6/30/18 | 2017 | 2016 | 2015 | 2014 | 2013 | ||||||||||||||||||
Net Asset Value at beginning of period | $ | 10.12 | $ | 9.30 | $ | 8.85 | $ | 10.25 | $ | 11.66 | $ | 9.75 | ||||||||||||
Income from Investment Operations: | ||||||||||||||||||||||||
Net investment income | 0.07 | 0.17 | 0.12 | 1 | 0.11 | 1 | 0.14 | 1 | 0.12 | 1 | ||||||||||||||
Net realized and unrealized gain (loss) on investments | (0.08 | ) | 1.54 | 0.66 | (0.22 | ) | 0.72 | 2.07 | ||||||||||||||||
Total from investment operations | (0.01 | ) | 1.71 | 0.78 | (0.11 | ) | 0.86 | 2.19 | ||||||||||||||||
Less Distributions From: | ||||||||||||||||||||||||
Net investment income | (0.00 | )2 | (0.18 | ) | (0.17 | ) | (0.16 | ) | (0.24 | ) | (0.13 | ) | ||||||||||||
Capital gains | (0.03 | ) | (0.71 | ) | (0.16 | ) | (1.13 | ) | (2.03 | ) | (0.15 | ) | ||||||||||||
Total distributions | (0.03 | ) | (0.89 | ) | (0.33 | ) | (1.29 | ) | (2.27 | ) | (0.28 | ) | ||||||||||||
Net increase (decrease) in net asset value | (0.04 | ) | 0.82 | 0.45 | (1.40 | ) | (1.41 | ) | 1.91 | |||||||||||||||
Net Asset Value at end of period | $ | 10.08 | $ | 10.12 | $ | 9.30 | $ | 8.85 | $ | 10.25 | $ | 11.66 | ||||||||||||
Total Return (%)3 | (0.08 | )4 | 18.52 | 8.87 | (1.14 | ) | 7.46 | 22.35 | ||||||||||||||||
Ratios/Supplemental Data: | ||||||||||||||||||||||||
Net Assets at end of period (in 000’s) | $ | 75,564 | $ | 84,217 | $ | 88,917 | $ | 90,245 | $ | 124,838 | $ | 149,514 | ||||||||||||
Ratios of expenses to average net assets: | ||||||||||||||||||||||||
Before waiver of expenses by Adviser (%) | 0.32 | 5 | 0.32 | 0.32 | 0.32 | 0.31 | 0.31 | |||||||||||||||||
After waiver of expenses by Adviser (%) | 0.22 | 5 | 0.22 | 0.22 | 0.22 | 0.27 | 0.31 | |||||||||||||||||
Ratio of net investment income to average net assets (%) | 1.33 | 5 | 1.57 | 1.34 | 1.08 | 1.13 | 1.07 | |||||||||||||||||
Portfolio turnover (%)6 | 32 | 4 | 36 | 89 | 53 | 70 | 70 | |||||||||||||||||
(unaudited) | Year Ended December 31, | |||||||||||||||||||||||
CLASS II | Six-Months Ended 6/30/18 | 2017 | 2016 | 2015 | 2014 | 2013 | ||||||||||||||||||
Net Asset Value at beginning of period | $ | 10.09 | $ | 9.27 | $ | 8.82 | $ | 10.21 | $ | 11.62 | $ | 9.72 | ||||||||||||
Income from Investment Operations: | ||||||||||||||||||||||||
Net investment income | 0.06 | 0.15 | 0.13 | 1 | 0.17 | 1 | 0.17 | 1 | 0.09 | 1 | ||||||||||||||
Net realized and unrealized gain (loss) on investments | (0.08 | ) | 1.53 | 0.62 | (0.30 | ) | 0.66 | 2.06 | ||||||||||||||||
Total from investment operations | (0.02 | ) | 1.68 | 0.75 | (0.13 | ) | 0.83 | 2.15 | ||||||||||||||||
Less Distributions From: | ||||||||||||||||||||||||
Net investment income | – | (0.15 | ) | (0.14 | ) | (0.13 | ) | (0.21 | ) | (0.10 | ) | |||||||||||||
Capital gains | (0.03 | ) | (0.71 | ) | (0.16 | ) | (1.13 | ) | (2.03 | ) | (0.15 | ) | ||||||||||||
Total distributions | (0.03 | ) | (0.86 | ) | (0.30 | ) | (1.26 | ) | (2.24 | ) | (0.25 | ) | ||||||||||||
Net increase (decrease) in net asset value | (0.05 | ) | 0.82 | 0.45 | (1.39 | ) | (1.41 | ) | 1.90 | |||||||||||||||
Net Asset Value at end of period | $ | 10.04 | $ | 10.09 | $ | 9.27 | $ | 8.82 | $ | 10.21 | $ | 11.62 | ||||||||||||
Total Return (%)3 | (0.20 | )4 | 18.22 | 8.60 | (1.39 | ) | 7.19 | 22.05 | ||||||||||||||||
Ratios/Supplemental Data: | ||||||||||||||||||||||||
Net Assets at end of period (in 000’s) | $ | 2,185 | $ | 2,267 | $ | 2,032 | $ | 1,681 | $ | 1,809 | $ | 1,911 | ||||||||||||
Ratios of expenses to average net assets: | ||||||||||||||||||||||||
Before waiver of expenses by Adviser (%) | 0.57 | 5 | 0.57 | 0.57 | 0.57 | 0.56 | 0.56 | |||||||||||||||||
After waiver of expenses by Adviser (%) | 0.47 | 5 | 0.47 | 0.47 | 0.47 | 0.51 | 0.56 | |||||||||||||||||
Ratio of net investment income to average net assets (%) | 1.11 | 5 | 1.53 | 1.42 | 1.64 | 1.45 | 0.81 | |||||||||||||||||
Portfolio turnover (%)6 | 32 | 4 | 36 | 89 | 53 | 70 | 70 |
1 | Based on average shares outstanding during the year. | |
2 | Amounts represent less than $(0.005) per share. | |
3 | These returns are after all charges at the mutual fund level have been subtracted. These returns are higher than the returns at the separate account level because charges made at the separate account level have not been subtracted. Total returns are not annualized for periods less than one year. | |
4 | Not annualized. | |
5 | Annualized. | |
6 | Portfolio turnover is calculated at the fund level and represents the entire fiscal year or period. |
See accompanying Notes to Financial Statements. |
39 |
Ultra Series Fund | June 30, 2018 |
Financial Highlights for a Share of Beneficial Interest Outstanding |
CORE BOND FUND | ||||||||||||||||||||||||
(unaudited) | Year Ended December 31, | |||||||||||||||||||||||
CLASS I | Six-Months Ended 6/30/18 | 2017 | 2016 | 2015 | 2014 | 2013 | ||||||||||||||||||
Net Asset Value at beginning of period | $ | 9.76 | $ | 9.75 | $ | 9.80 | $ | 10.14 | $ | 9.97 | $ | 10.55 | ||||||||||||
Income from Investment Operations: | ||||||||||||||||||||||||
Net investment income | 0.15 | 0.29 | 0.26 | 1 | 0.28 | 1 | 0.30 | 1 | 0.31 | 1 | ||||||||||||||
Net realized and unrealized gain (loss) on investments | (0.33 | ) | 0.02 | (0.01 | ) | (0.29 | ) | 0.20 | (0.54 | ) | ||||||||||||||
Total from investment operations | (0.18 | ) | 0.31 | 0.25 | (0.01 | ) | 0.50 | (0.23 | ) | |||||||||||||||
Less Distributions From: | ||||||||||||||||||||||||
Net investment income | (0.01 | ) | (0.30 | ) | (0.30 | ) | (0.33 | ) | (0.33 | ) | (0.35 | ) | ||||||||||||
Net increase (decrease) in net asset value | (0.19 | ) | 0.01 | (0.05 | ) | (0.34 | ) | 0.17 | (0.58 | ) | ||||||||||||||
Net Asset Value at end of period | $ | 9.57 | $ | 9.76 | $ | 9.75 | $ | 9.80 | $ | 10.14 | $ | 9.97 | ||||||||||||
Total Return (%)2 | (1.83 | )3 | 3.11 | 2.67 | (0.15 | ) | 5.09 | (2.24 | ) | |||||||||||||||
Ratios/Supplemental Data: | ||||||||||||||||||||||||
Net Assets at end of period (in 000’s) | $ | 115,900 | $ | 129,429 | $ | 146,780 | $ | 173,927 | $ | 224,976 | $ | 270,289 | ||||||||||||
Ratios of expenses to average net assets (%) | 0.57 | 4 | 0.57 | 0.57 | 0.57 | 0.56 | 0.56 | |||||||||||||||||
Ratio of net investment income to average net assets (%) | 2.68 | 4 | 2.54 | 2.53 | 2.73 | 2.88 | 3.02 | |||||||||||||||||
Portfolio turnover (%)5 | 15 | 3 | 16 | 39 | 25 | 17 | 14 | |||||||||||||||||
(unaudited) | Year Ended December 31, | |||||||||||||||||||||||
CLASS II | Six-Months Ended 6/30/18 | 2017 | 2016 | 2015 | 2014 | 2013 | ||||||||||||||||||
Net Asset Value at beginning of period | $ | 9.73 | $ | 9.73 | $ | 9.78 | $ | 10.12 | $ | 9.95 | $ | 10.54 | ||||||||||||
Income from Investment Operations: | ||||||||||||||||||||||||
Net investment income | 0.08 | 0.22 | 0.23 | 1 | 0.25 | 1 | 0.27 | 1 | 0.29 | 1 | ||||||||||||||
Net realized and unrealized gain (loss) on investments | (0.27 | ) | 0.06 | – | (0.29 | ) | 0.21 | (0.56 | ) | |||||||||||||||
Total from investment operations | (0.19 | ) | 0.28 | 0.23 | (0.04 | ) | 0.48 | (0.27 | ) | |||||||||||||||
Less Distributions From: | ||||||||||||||||||||||||
Net investment income | – | (0.28 | ) | (0.28 | ) | (0.30 | ) | (0.31 | ) | (0.32 | ) | |||||||||||||
Net increase (decrease) in net asset value | (0.19 | ) | – | (0.05 | ) | (0.34 | ) | 0.17 | (0.59 | ) | ||||||||||||||
Net Asset Value at end of period | $ | 9.54 | $ | 9.73 | $ | 9.73 | $ | 9.78 | $ | 10.12 | $ | 9.95 | ||||||||||||
Total Return (%)2 | (1.95 | )3 | 2.85 | 2.41 | (0.40 | ) | 4.83 | (2.49 | ) | |||||||||||||||
Ratios/Supplemental Data: | ||||||||||||||||||||||||
Net Assets at end of period (in 000’s) | $ | 32,082 | $ | 35,252 | $ | 38,165 | $ | 44,151 | $ | 47,162 | $ | 46,991 | ||||||||||||
Ratios of expenses to average net assets (%) | 0.82 | 4 | 0.82 | 0.82 | 0.82 | 0.81 | 0.81 | |||||||||||||||||
Ratio of net investment income to average net assets (%) | 2.43 | 4 | 2.29 | 2.28 | 2.48 | 2.62 | 2.77 | |||||||||||||||||
Portfolio turnover (%)5 | 15 | 3 | 16 | 39 | 25 | 17 | 14 |
1 | Based on average shares outstanding during the year. | |
2 | These returns are after all charges at the mutual fund level have been subtracted. These returns are higher than the returns at the separate account level because charges made at the separate account level have not been subtracted. Total returns are not annualized for periods less than one year. | |
3 | Not annualized. | |
4 | Annualized. | |
5 | Portfolio turnover is calculated at the fund level and represents the entire fiscal year or period. |
See accompanying Notes to Financial Statements. |
40 |
Ultra Series Fund | June 30, 2018 |
Financial Highlights for a Share of Beneficial Interest Outstanding |
HIGH INCOME FUND | ||||||||||||||||||||||||
(unaudited) | Year Ended December 31, | |||||||||||||||||||||||
CLASS I | Six-Months Ended 6/30/18 | 2017 | 2016 | 2015 | 2014 | 2013 | ||||||||||||||||||
Net Asset Value at beginning of period | $ | 8.66 | $ | 8.56 | $ | 8.05 | $ | 8.78 | $ | 9.22 | $ | 9.37 | ||||||||||||
Income from Investment Operations: | ||||||||||||||||||||||||
Net investment income | 0.24 | 0.47 | 0.42 | 1 | 0.47 | 1 | 0.49 | 1 | 0.52 | 1 | ||||||||||||||
Net realized and unrealized gain (loss) on investments | (0.34 | ) | 0.08 | 0.55 | (0.68 | ) | (0.33 | ) | (0.01 | ) | ||||||||||||||
Total from investment operations | (0.10 | ) | 0.55 | 0.97 | (0.21 | ) | 0.16 | 0.51 | ||||||||||||||||
Less Distributions From: | ||||||||||||||||||||||||
Net investment income | (0.01 | ) | (0.45 | ) | (0.46 | ) | (0.52 | ) | (0.60 | ) | (0.66 | ) | ||||||||||||
Net increase (decrease) in net asset value | (0.11 | ) | 0.10 | 0.51 | (0.73 | ) | (0.44 | ) | (0.15 | ) | ||||||||||||||
Net Asset Value at end of period | $ | 8.55 | $ | 8.66 | $ | 8.56 | $ | 8.05 | $ | 8.78 | $ | 9.22 | ||||||||||||
Total Return (%)2 | (1.10 | )3 | 6.32 | 12.15 | (2.47 | ) | 1.74 | 5.49 | ||||||||||||||||
Ratios/Supplemental Data: | ||||||||||||||||||||||||
Net Assets at end of period (in 000’s) | $ | 19,046 | $ | 20,601 | $ | 22,093 | $ | 23,975 | $ | 30,455 | $ | 43,622 | ||||||||||||
Ratios of expenses to average net assets (%) | 0.77 | 4 | 0.77 | 0.77 | 0.77 | 0.76 | 0.76 | |||||||||||||||||
Ratio of net investment income to average net assets (%) | 5.12 | 4 | 4.72 | 4.91 | 5.23 | 5.12 | 5.42 | |||||||||||||||||
Portfolio turnover (%)5 | 18 | 3 | 39 | 58 | 27 | 53 | 32 | |||||||||||||||||
(unaudited) | Year Ended December 31, | |||||||||||||||||||||||
CLASS II | Six-Months Ended 6/30/18 | 2017 | 2016 | 2015 | 2014 | 2013 | ||||||||||||||||||
Net Asset Value at beginning of period | $ | 8.67 | $ | 8.57 | $ | 8.05 | $ | 8.79 | $ | 9.23 | $ | 9.37 | ||||||||||||
Income from Investment Operations: | ||||||||||||||||||||||||
Net investment income | 0.16 | 0.43 | 0.40 | 1 | 0.44 | 1 | 0.46 | 1 | 0.50 | 1 | ||||||||||||||
Net realized and unrealized gain (loss) on investments | (0.27 | ) | 0.09 | 0.56 | (0.68 | ) | (0.33 | ) | – | |||||||||||||||
Total from investment operations | (0.11 | ) | 0.52 | 0.96 | (0.24 | ) | 0.13 | 0.50 | ||||||||||||||||
Less Distributions From: | ||||||||||||||||||||||||
Net investment income | (0.00 | )6 | (0.42 | ) | (0.44 | ) | (0.50 | ) | (0.57 | ) | (0.64 | ) | ||||||||||||
Net increase (decrease) in net asset value | (0.11 | ) | 0.10 | 0.52 | (0.74 | ) | (0.44 | ) | (0.14 | ) | ||||||||||||||
Net Asset Value at end of period | $ | 8.56 | $ | 8.67 | $ | 8.57 | $ | 8.05 | $ | 8.79 | $ | 9.23 | ||||||||||||
Total Return (%)2 | (1.23 | )3 | 6.06 | 11.87 | (2.71 | ) | 1.48 | 5.23 | ||||||||||||||||
Ratios/Supplemental Data: | ||||||||||||||||||||||||
Net Assets at end of period (in 000’s) | $ | 5,172 | $ | 5,562 | $ | 5,314 | $ | 5,943 | $ | 6,685 | $ | 6,906 | ||||||||||||
Ratios of expenses to average net assets (%) | 1.02 | 4 | 1.02 | 1.02 | 1.02 | 1.01 | 1.01 | |||||||||||||||||
Ratio of net investment income to average net assets (%) | 4.87 | 4 | 4.47 | 4.66 | 4.98 | 4.88 | 5.17 | |||||||||||||||||
Portfolio turnover (%)5 | 18 | 3 | 39 | 58 | 27 | 53 | 32 |
1 | Based on average shares outstanding during the year. | |
2 | These returns are after all charges at the mutual fund level have been subtracted. These returns are higher than the returns at the separate account level because charges made at the separate account level have not been subtracted. Total returns are not annualized for periods less than one year. | |
3 | Not annualized. | |
4 | Annualized. | |
5 | Portfolio turnover is calculated at the fund level and represents the entire fiscal year or period. | |
6 | Amounts represent less than $(0.005) per share. |
See accompanying Notes to Financial Statements. |
41 |
Ultra Series Fund | June 30, 2018 |
Financial Highlights for a Share of Beneficial Interest Outstanding |
DIVERSIFIED INCOME FUND | ||||||||||||||||||||||||
(unaudited) | Year Ended December 31, | |||||||||||||||||||||||
CLASS I | Six-Months Ended 6/30/18 | 2017 | 2016 | 2015 | 2014 | 2013 | ||||||||||||||||||
Net Asset Value at beginning of period | $ | 19.55 | $ | 18.40 | $ | 18.64 | $ | 20.30 | $ | 20.76 | $ | 18.29 | ||||||||||||
Income from Investment Operations: | ||||||||||||||||||||||||
Net investment income | 0.23 | 0.45 | 0.44 | 1 | 0.46 | 1 | 0.47 | 1 | 0.46 | 1 | ||||||||||||||
Net realized and unrealized gain (loss) on investments | (0.53 | ) | 2.00 | 1.24 | (0.43 | ) | 1.02 | 2.48 | ||||||||||||||||
Total from investment operations | (0.30 | ) | 2.45 | 1.68 | 0.03 | 1.49 | 2.94 | |||||||||||||||||
Less Distributions From: | ||||||||||||||||||||||||
Net investment income | (0.01 | ) | (0.45 | ) | (0.49 | ) | (0.52 | ) | (0.52 | ) | (0.47 | ) | ||||||||||||
Capital gains | (0.07 | ) | (0.85 | ) | (1.43 | ) | (1.17 | ) | (1.43 | ) | – | |||||||||||||
Total distributions | (0.08 | ) | (1.30 | ) | (1.92 | ) | (1.69 | ) | (1.95 | ) | (0.47 | ) | ||||||||||||
Net increase (decrease) in net asset value | (0.38 | ) | 1.15 | (0.24 | ) | (1.66 | ) | (0.46 | ) | 2.47 | ||||||||||||||
Net Asset Value at end of period | $ | 19.17 | $ | 19.55 | $ | 18.40 | $ | 18.64 | $ | 20.30 | $ | 20.76 | ||||||||||||
Total Return (%)2 | (1.49 | )3 | 13.31 | 8.99 | 0.11 | 7.12 | 16.07 | |||||||||||||||||
Ratios/Supplemental Data: | ||||||||||||||||||||||||
Net Assets at end of period (in 000’s) | $ | 218,779 | $ | 239,212 | $ | 245,490 | $ | 267,001 | $ | 327,951 | $ | 378,807 | ||||||||||||
Ratios of expenses to average net assets (%) | 0.72 | 4 | 0.72 | 0.72 | 0.72 | 0.71 | 0.71 | |||||||||||||||||
Ratio of net investment income to average net assets (%) | 2.22 | 4 | 2.13 | 2.25 | 2.27 | 2.20 | 2.31 | |||||||||||||||||
Portfolio turnover (%)5 | 14 | 3 | 16 | 34 | 21 | 24 | 17 | |||||||||||||||||
(unaudited) | Year Ended December 31, | |||||||||||||||||||||||
CLASS II | Six-Months Ended 6/30/18 | 2017 | 2016 | 2015 | 2014 | 2013 | ||||||||||||||||||
Net Asset Value at beginning of period | $ | 19.41 | $ | 18.31 | $ | 18.57 | $ | 20.23 | $ | 20.71 | $ | 18.26 | ||||||||||||
Income from Investment Operations: | ||||||||||||||||||||||||
Net investment income | 0.16 | 0.37 | 0.39 | 1 | 0.41 | 1 | 0.41 | 1 | 0.41 | 1 | ||||||||||||||
Net realized and unrealized gain (loss) on investments | (0.47 | ) | 2.00 | 1.23 | (0.42 | ) | 1.02 | 2.47 | ||||||||||||||||
Total from investment operations | (0.31 | ) | 2.37 | 1.62 | (0.01 | ) | 1.43 | 2.88 | ||||||||||||||||
Less Distributions From: | ||||||||||||||||||||||||
Net investment income | – | (0.42 | ) | (0.45 | ) | (0.48 | ) | (0.48 | ) | (0.43 | ) | |||||||||||||
Capital gains | (0.07 | ) | (0.85 | ) | (1.43 | ) | (1.17 | ) | (1.43 | ) | – | |||||||||||||
Total distributions | (0.07 | ) | (1.27 | ) | (1.88 | ) | (1.65 | ) | (1.91 | ) | (0.43 | ) | ||||||||||||
Net increase (decrease) in net asset value | (0.38 | ) | 1.10 | (0.26 | ) | (1.66 | ) | (0.48 | ) | 2.45 | ||||||||||||||
Net Asset Value at end of period | $ | 19.03 | $ | 19.41 | $ | 18.31 | $ | 18.57 | $ | 20.23 | $ | 20.71 | ||||||||||||
Total Return (%)2 | (1.61 | )3 | 13.03 | 8.72 | (0.14 | ) | 6.85 | 15.78 | ||||||||||||||||
Ratios/Supplemental Data: | ||||||||||||||||||||||||
Net Assets at end of period (in 000’s) | $ | 36,534 | $ | 40,526 | $ | 40,548 | $ | 39,894 | $ | 44,772 | $ | 43,601 | ||||||||||||
Ratios of expenses to average net assets (%) | 0.97 | 4 | 0.97 | 0.97 | 0.97 | 0.96 | 0.96 | |||||||||||||||||
Ratio of net investment income to average net assets (%) | 1.97 | 4 | 1.88 | 1.99 | 2.02 | 1.95 | 2.05 | |||||||||||||||||
Portfolio turnover (%)5 | 14 | 3 | 16 | 34 | 21 | 24 | 17 |
1 | Based on average shares outstanding during the year. | |
2 | These returns are after all charges at the mutual fund level have been subtracted. These returns are higher than the returns at the separate account level because charges made at the separate account level have not been subtracted. Total returns are not annualized for periods less than one year. | |
3 | Not annualized. | |
4 | Annualized. | |
5 | Portfolio turnover is calculated at the fund level and represents the entire fiscal year or period. |
See accompanying Notes to Financial Statements. |
42 |
Ultra Series Fund | June 30, 2018 |
Financial Highlights for a Share of Beneficial Interest Outstanding |
LARGE CAP VALUE FUND | ||||||||||||||||||||||||
(unaudited) | Year Ended December 31, | |||||||||||||||||||||||
CLASS I | Six-Months Ended 6/30/18 | 2017 | 2016 | 2015 | 2014 | 2013 | ||||||||||||||||||
Net Asset Value at beginning of period | $ | 28.48 | $ | 26.56 | $ | 27.06 | $ | 33.10 | $ | 34.76 | $ | 27.12 | ||||||||||||
Income from Investment Operations: | ||||||||||||||||||||||||
Net investment income | 0.24 | 0.69 | 0.42 | 1 | 0.35 | 1 | 0.43 | 1 | 0.48 | 1 | ||||||||||||||
Net realized and unrealized gain (loss) on investments | 0.05 | 3.60 | 3.13 | (1.18 | ) | 3.97 | 7.67 | |||||||||||||||||
Total from investment operations | 0.29 | 4.29 | 3.55 | (0.83 | ) | 4.40 | 8.15 | |||||||||||||||||
Less Distributions From: | ||||||||||||||||||||||||
Net investment income | (0.01 | ) | (0.69 | ) | (0.44 | ) | (0.40 | ) | (0.51 | ) | (0.51 | ) | ||||||||||||
Capital gains | (0.12 | ) | (1.68 | ) | (3.61 | ) | (4.81 | ) | (5.55 | ) | – | |||||||||||||
Total distributions | (0.13 | ) | (2.37 | ) | (4.05 | ) | (5.21 | ) | (6.06 | ) | (0.51 | ) | ||||||||||||
Net increase (decrease) in net asset value | 0.16 | 1.92 | (0.50 | ) | (6.04 | ) | (1.66 | ) | 7.64 | |||||||||||||||
Net Asset Value at end of period | $ | 28.64 | $ | 28.48 | $ | 26.56 | $ | 27.06 | $ | 33.10 | $ | 34.76 | ||||||||||||
Total Return (%)2 | 0.99 | 3 | 16.23 | 13.01 | (2.68 | ) | 12.41 | 30.07 | ||||||||||||||||
Ratios/Supplemental Data: | ||||||||||||||||||||||||
Net Assets at end of period (in 000’s) | $ | 317,185 | $ | 341,213 | $ | 347,993 | $ | 365,385 | $ | 491,416 | $ | 576,731 | ||||||||||||
Ratios of expenses to average net assets (%) | 0.62 | 4 | 0.62 | 0.62 | 0.62 | 0.61 | 0.61 | |||||||||||||||||
Ratio of net investment income to average net assets (%) | 1.57 | 4 | 2.28 | 1.50 | 1.09 | 1.18 | 1.53 | |||||||||||||||||
Portfolio turnover (%)5 | 39 | 3 | 77 | 93 | 90 | 82 | 32 | |||||||||||||||||
(unaudited) | Year Ended December 31, | |||||||||||||||||||||||
CLASS II | Six-Months Ended 6/30/18 | 2017 | 2016 | 2015 | 2014 | 2013 | ||||||||||||||||||
Net Asset Value at beginning of period | $ | 28.17 | $ | 26.32 | $ | 26.87 | $ | 32.93 | $ | 34.64 | $ | 27.05 | ||||||||||||
Income from Investment Operations: | ||||||||||||||||||||||||
Net investment income | 0.14 | 0.65 | 0.34 | 1 | 0.27 | 1 | 0.34 | 1 | 0.40 | 1 | ||||||||||||||
Net realized and unrealized gain (loss) on investments | 0.11 | 3.52 | 3.11 | (1.17 | ) | 3.94 | 7.64 | |||||||||||||||||
Total from investment operations | 0.25 | 4.17 | 3.45 | (0.90 | ) | 4.28 | 8.04 | |||||||||||||||||
Less Distributions From: | ||||||||||||||||||||||||
Net investment income | – | (0.64 | ) | (0.39 | ) | (0.35 | ) | (0.44 | ) | (0.45 | ) | |||||||||||||
Capital gains | (0.12 | ) | (1.68 | ) | (3.61 | ) | (4.81 | ) | (5.55 | ) | – | |||||||||||||
Total distributions | (0.12 | ) | (2.32 | ) | (4.00 | ) | (5.16 | ) | (5.99 | ) | (0.45 | ) | ||||||||||||
Net increase (decrease) in net asset value | 0.13 | 1.85 | (0.55 | ) | (6.06 | ) | (1.71 | ) | 7.59 | |||||||||||||||
Net Asset Value at end of period | $ | 28.30 | $ | 28.17 | $ | 26.32 | $ | 26.87 | $ | 32.93 | $ | 34.64 | ||||||||||||
Total Return (%)2 | 0.87 | 3 | 15.94 | 12.73 | (2.92 | ) | 12.13 | 29.74 | ||||||||||||||||
Ratios/Supplemental Data: | ||||||||||||||||||||||||
Net Assets at end of period (in 000’s) | $ | 5,042 | $ | 5,539 | $ | 4,709 | $ | 5,509 | $ | 6,700 | $ | 6,875 | ||||||||||||
Ratios of expenses to average net assets (%) | 0.87 | 4 | 0.87 | 0.87 | 0.87 | 0.86 | 0.86 | |||||||||||||||||
Ratio of net investment income to average net assets (%) | 1.32 | 4 | 2.08 | 1.24 | 0.84 | 0.93 | 1.28 | |||||||||||||||||
Portfolio turnover (%)5 | 39 | 3 | 77 | 93 | 90 | 82 | 32 |
1 | Based on average shares outstanding during the year. | |
2 | These returns are after all charges at the mutual fund level have been subtracted. These returns are higher than the returns at the separate account level because charges made at the separate account level have not been subtracted. Total returns are not annualized for periods less than one year. | |
3 | Not annualized. | |
4 | Annualized. | |
5 | Portfolio turnover is calculated at the fund level and represents the entire fiscal year or period. |
See accompanying Notes to Financial Statements. |
43 |
Ultra Series Fund | June 30, 2018 |
Financial Highlights for a Share of Beneficial Interest Outstanding |
LARGE CAP GROWTH FUND | ||||||||||||||||||||||||
(unaudited) | Year Ended December 31, | |||||||||||||||||||||||
CLASS I | Six-Months Ended 6/30/18 | 2017 | 2016 | 2015 | 2014 | 2013 | ||||||||||||||||||
Net Asset Value at beginning of period | $ | 26.54 | $ | 24.84 | $ | 25.12 | $ | 27.27 | $ | 28.76 | $ | 24.09 | ||||||||||||
Income from Investment Operations: | ||||||||||||||||||||||||
Net investment income | 0.10 | 0.22 | 0.20 | 1 | 0.28 | 1 | 0.19 | 1 | 0.17 | 1 | ||||||||||||||
Net realized and unrealized gain (loss) on investments | 0.11 | 5.32 | 1.23 | 0.64 | 3.32 | 7.17 | ||||||||||||||||||
Total from investment operations | 0.21 | 5.54 | 1.43 | 0.92 | 3.51 | 7.34 | ||||||||||||||||||
Less Distributions From: | ||||||||||||||||||||||||
Net investment income | (0.00 | )2 | (0.22 | ) | (0.22 | ) | (0.32 | ) | (0.20 | ) | (0.18 | ) | ||||||||||||
Capital gains | (0.30 | ) | (3.62 | ) | (1.49 | ) | (2.75 | ) | (4.80 | ) | (2.49 | ) | ||||||||||||
Total distributions | (0.30 | ) | (3.84 | ) | (1.71 | ) | (3.07 | ) | (5.00 | ) | (2.67 | ) | ||||||||||||
Net increase (decrease) in net asset value | (0.09 | ) | 1.70 | (0.28 | ) | (2.15 | ) | (1.49 | ) | 4.67 | ||||||||||||||
Net Asset Value at end of period | $ | 26.45 | $ | 26.54 | $ | 24.84 | $ | 25.12 | $ | 27.27 | $ | 28.76 | ||||||||||||
Total Return (%)3 | 0.79 | 4 | 22.28 | 5.74 | 3.26 | 12.13 | 30.51 | |||||||||||||||||
Ratios/Supplemental Data: | ||||||||||||||||||||||||
Net Assets at end of period (in 000’s) | $ | 213,526 | $ | 232,362 | $ | 223,450 | $ | 251,524 | $ | 305,800 | $ | 359,959 | ||||||||||||
Ratios of expenses to average net assets (%) | 0.82 | 5 | 0.82 | 0.82 | 0.82 | 0.81 | 0.81 | |||||||||||||||||
Ratio of net investment income to average net assets (%) | 0.74 | 5 | 0.75 | 0.80 | 1.02 | 0.63 | 0.62 | |||||||||||||||||
Portfolio turnover (%)6 | 52 | 4 | 22 | 13 | 19 | 33 | 50 | |||||||||||||||||
(unaudited) | Year Ended December 31, | |||||||||||||||||||||||
CLASS II | Six-Months Ended 6/30/18 | 2017 | 2016 | 2015 | 2014 | 2013 | ||||||||||||||||||
Net Asset Value at beginning of period | $ | 26.22 | $ | 24.60 | $ | 24.92 | $ | 27.10 | $ | 28.63 | $ | 24.02 | ||||||||||||
Income from Investment Operations: | ||||||||||||||||||||||||
Net investment income | 0.03 | 0.14 | 0.14 | 1 | 0.21 | 1 | 0.11 | 1 | 0.10 | 1 | ||||||||||||||
Net realized and unrealized gain (loss) on investments | 0.15 | 5.28 | 1.21 | 0.63 | 3.32 | 7.13 | ||||||||||||||||||
Total from investment operations | 0.18 | 5.42 | 1.35 | 0.84 | 3.43 | 7.23 | ||||||||||||||||||
Less Distributions From: | ||||||||||||||||||||||||
Net investment income | – | (0.18 | ) | (0.18 | ) | (0.27 | ) | (0.16 | ) | (0.13 | ) | |||||||||||||
Capital gains | (0.30 | ) | (3.62 | ) | (1.49 | ) | (2.75 | ) | (4.80 | ) | (2.49 | ) | ||||||||||||
Total distributions | (0.30 | ) | (3.80 | ) | (1.67 | ) | (3.02 | ) | (4.96 | ) | (2.62 | ) | ||||||||||||
Net increase (decrease) in net asset value | (0.12 | ) | 1.62 | (0.32 | ) | (2.18 | ) | (1.53 | ) | 4.61 | ||||||||||||||
Net Asset Value at end of period | $ | 26.10 | $ | 26.22 | $ | 24.60 | $ | 24.92 | $ | 27.10 | $ | 28.63 | ||||||||||||
Total Return (%)3 | 0.66 | 4 | 21.98 | 5.47 | 3.00 | 11.85 | 30.18 | |||||||||||||||||
Ratios/Supplemental Data: | ||||||||||||||||||||||||
Net Assets at end of period (in 000’s) | $ | 20,702 | $ | 23,445 | $ | 23,774 | $ | 27,749 | $ | 32,168 | $ | 33,983 | ||||||||||||
Ratios of expenses to average net assets (%) | 1.07 | 5 | 1.07 | 1.07 | 1.07 | 1.06 | 1.06 | |||||||||||||||||
Ratio of net investment income to average net assets (%) | 0.49 | 5 | 0.50 | 0.55 | 0.77 | 0.38 | 0.37 | |||||||||||||||||
Portfolio turnover (%)6 | 52 | 4 | 22 | 13 | 19 | 33 | 50 |
1 | Based on average shares outstanding during the year. | |
2 | Amount represents less than $(0.005) per share. | |
3 | These returns are after all charges at the mutual fund level have been subtracted. These returns are higher than the returns at the separate account level because charges made at the separate account level have not been subtracted. Total returns are not annualized for periods less than one year. | |
4 | Not annualized. | |
5 | Annualized. | |
6 | Portfolio turnover is calculated at the fund level and represents the entire fiscal year or period. |
See accompanying Notes to Financial Statements. |
44 |
Ultra Series Fund | June 30, 2018 |
Financial Highlights for a Share of Beneficial Interest Outstanding |
MID CAP FUND | ||||||||||||||||||||||||
(unaudited) | Year Ended December 31, | |||||||||||||||||||||||
CLASS I | Six-Months Ended 6/30/18 | 2017 | 2016 | 2015 | 2014 | 2013 | ||||||||||||||||||
Net Asset Value at beginning of period | $ | 18.97 | $ | 18.11 | $ | 17.65 | $ | 19.30 | $ | 21.76 | $ | 17.09 | ||||||||||||
Income from Investment Operations: | ||||||||||||||||||||||||
Net investment income (loss) | – | (0.01 | ) | 0.01 | 1 | (0.05 | )1 | 0.02 | 1 | 0.00 | 1,2 | |||||||||||||
Net realized and unrealized gain on investments | 0.65 | 2.85 | 2.22 | 0.27 | 2.13 | 5.00 | ||||||||||||||||||
Total from investment operations | 0.65 | 2.84 | 2.23 | 0.22 | 2.15 | 5.00 | ||||||||||||||||||
Less Distributions From: | ||||||||||||||||||||||||
Net investment income | – | – | (0.00 | )2 | (0.01 | ) | (0.01 | ) | (0.00 | )2 | ||||||||||||||
Capital gains | (0.04 | ) | (1.98 | ) | (1.77 | ) | (1.86 | ) | (4.60 | ) | (0.33 | ) | ||||||||||||
Total distributions | (0.04 | ) | (1.98 | ) | (1.77 | ) | (1.87 | ) | (4.61 | ) | (0.33 | ) | ||||||||||||
Net increase (decrease) in net asset value | 0.61 | 0.86 | 0.46 | (1.65 | ) | (2.46 | ) | 4.67 | ||||||||||||||||
Net Asset Value at end of period | $ | 19.58 | $ | 18.97 | $ | 18.11 | $ | 17.65 | $ | 19.30 | $ | 21.76 | ||||||||||||
Total Return (%)3 | 3.40 | 4 | 15.74 | 12.84 | 1.04 | 9.82 | 29.28 | |||||||||||||||||
Ratios/Supplemental Data: | ||||||||||||||||||||||||
Net Assets at end of period (in 000’s) | $ | 181,501 | $ | 192,140 | $ | 203,076 | $ | 220,979 | $ | 286,704 | $ | 381,703 | ||||||||||||
Ratios of expenses to average net assets (%) | 0.92 | 5 | 0.92 | 0.92 | 0.92 | 0.91 | 0.91 | |||||||||||||||||
Ratio of net investment income to average net assets (%) | (0.02 | )5 | (0.07 | ) | 0.04 | (0.24 | ) | 0.10 | (0.01 | ) | ||||||||||||||
Portfolio turnover (%)6 | 9 | 4 | 22 | 21 | 28 | 35 | 28 | |||||||||||||||||
(unaudited) | Year Ended December 31, | |||||||||||||||||||||||
CLASS II | Six-Months Ended 6/30/18 | 2017 | 2016 | 2015 | 2014 | 2013 | ||||||||||||||||||
Net Asset Value at beginning of period | $ | 18.59 | $ | 17.83 | $ | 17.44 | $ | 19.13 | $ | 21.65 | $ | 17.05 | ||||||||||||
Income from Investment Operations: | ||||||||||||||||||||||||
Net investment loss | (0.06 | ) | (0.08 | ) | (0.04 | )1 | (0.09 | )1 | (0.03 | )1 | (0.05 | )1 | ||||||||||||
Net realized and unrealized gain on investments | 0.68 | 2.82 | 2.20 | 0.26 | 2.11 | 4.98 | ||||||||||||||||||
Total from investment operations | 0.62 | 2.74 | 2.16 | 0.17 | 2.08 | 4.93 | ||||||||||||||||||
Less Distributions From: | ||||||||||||||||||||||||
Capital gains | (0.04 | ) | (1.98 | ) | (1.77 | ) | (1.86 | ) | (4.60 | ) | (0.33 | ) | ||||||||||||
Total distributions | (0.04 | ) | (1.98 | ) | (1.77 | ) | (1.86 | ) | (4.60 | ) | (0.33 | ) | ||||||||||||
Net increase (decrease) in net asset value | 0.58 | 0.76 | 0.39 | (1.69 | ) | (2.52 | ) | 4.60 | ||||||||||||||||
Net Asset Value at end of period | $ | 19.17 | $ | 18.59 | $ | 17.83 | $ | 17.44 | $ | 19.13 | $ | 21.65 | ||||||||||||
Total Return (%)3 | 3.27 | 4 | 15.45 | 12.55 | 0.79 | 9.55 | 28.95 | |||||||||||||||||
Ratios/Supplemental Data: | ||||||||||||||||||||||||
Net Assets at end of period (in 000’s) | $ | 9,630 | $ | 10,509 | $ | 11,142 | $ | 12,710 | $ | 15,067 | $ | 15,762 | ||||||||||||
Ratios of expenses to average net assets (%) | 1.17 | 5 | 1.17 | 1.17 | 1.17 | 1.17 | 1.16 | |||||||||||||||||
Ratio of net investment income to average net assets (%) | (0.27 | )5 | (0.32 | ) | (0.21 | ) | (0.49 | ) | (0.15 | ) | (0.26 | ) | ||||||||||||
Portfolio turnover (%)6 | 9 | 4 | 22 | 21 | 28 | 35 | 28 |
1 | Based on average shares outstanding during the year. | |
2 | Amounts represent less than $(0.005) per share. | |
3 | These returns are after all charges at the mutual fund level have been subtracted. These returns are higher than the returns at the separate account level because charges made at the separate account level have not been subtracted. Total returns are not annualized for periods less than one year. | |
4 | Not annualized. | |
5 | Annualized. | |
6 | Portfolio turnover is calculated at the fund level and represents the entire fiscal year or period. |
See accompanying Notes to Financial Statements. |
45 |
Ultra Series Fund | June 30, 2018 |
Financial Highlights for a Share of Beneficial Interest Outstanding |
INTERNATIONAL STOCK FUND | ||||||||||||||||||||||||
(unaudited) | Year Ended December 31, | |||||||||||||||||||||||
CLASS I | Six-Months Ended 6/30/18 | 2017 | 2016 | 2015 | 2014 | 2013 | ||||||||||||||||||
Net Asset Value at beginning of period | $ | 11.73 | $ | 9.69 | $ | 10.16 | $ | 10.77 | $ | 12.99 | $ | 10.78 | ||||||||||||
Income from Investment Operations: | ||||||||||||||||||||||||
Net investment income | 0.17 | 0.17 | 0.18 | 1 | 0.19 | 1 | 0.27 | 1 | 0.16 | 1 | ||||||||||||||
Net realized and unrealized gain (loss) on investments | (0.48 | ) | 2.01 | (0.47 | ) | (0.56 | ) | (1.10 | ) | 2.07 | ||||||||||||||
Total from investment operations | (0.31 | ) | 2.18 | (0.29 | ) | (0.37 | ) | (0.83 | ) | 2.23 | ||||||||||||||
Less Distributions From: | ||||||||||||||||||||||||
Net investment income | (0.01 | ) | (0.14 | ) | (0.18 | ) | (0.22 | ) | (0.47 | ) | (0.02 | ) | ||||||||||||
Capital gains | – | – | – | (0.02 | ) | (0.92 | ) | – | ||||||||||||||||
Total distributions | (0.01 | ) | (0.14 | ) | (0.18 | ) | (0.24 | ) | (1.39 | ) | (0.02 | ) | ||||||||||||
Net increase (decrease) in net asset value | (0.32 | ) | 2.04 | (0.47 | ) | (0.61 | ) | (2.22 | ) | 2.21 | ||||||||||||||
Net Asset Value at end of period | $ | 11.41 | $ | 11.73 | $ | 9.69 | $ | 10.16 | $ | 10.77 | $ | 12.99 | ||||||||||||
Total Return (%)2 | (2.66 | )3 | 22.54 | (2.91 | ) | (3.45 | ) | (6.76 | ) | 20.76 | ||||||||||||||
Ratios/Supplemental Data: | ||||||||||||||||||||||||
Net Assets at end of period (in 000’s) | $ | 24,689 | $ | 27,516 | $ | 26,809 | $ | 32,560 | $ | 38,826 | $ | 75,808 | ||||||||||||
Ratios of expenses to average net assets (%) | 1.17 | 4 | 1.17 | 1.17 | 1.17 | 1.17 | 1.21 | |||||||||||||||||
Ratio of net investment income to average net assets (%) | 2.49 | 4 | 1.27 | 1.84 | 1.70 | 2.09 | 1.37 | |||||||||||||||||
Portfolio turnover (%)5 | 15 | 3 | 28 | 98 | 23 | 103 | 39 | |||||||||||||||||
(unaudited) | Year Ended December 31, | |||||||||||||||||||||||
CLASS II | Six-Months Ended 6/30/18 | 2017 | 2016 | 2015 | 2014 | 2013 | ||||||||||||||||||
Net Asset Value at beginning of period | $ | 11.67 | $ | 9.65 | $ | 10.14 | $ | 10.74 | $ | 12.96 | $ | 10.76 | ||||||||||||
Income from Investment Operations: | ||||||||||||||||||||||||
Net investment income | 0.10 | 0.08 | 0.16 | 1 | 0.16 | 1 | 0.22 | 1 | 0.13 | 1 | ||||||||||||||
Net realized and unrealized gain (loss) on investments | (0.42 | ) | 2.06 | (0.49 | ) | (0.55 | ) | (1.08 | ) | 2.07 | ||||||||||||||
Total from investment operations | (0.32 | ) | 2.14 | (0.33 | ) | (0.39 | ) | (0.86 | ) | 2.20 | ||||||||||||||
Less Distributions From: | ||||||||||||||||||||||||
Net investment income | – | (0.12 | ) | (0.16 | ) | (0.19 | ) | (0.44 | ) | (0.00 | )6 | |||||||||||||
Capital gains | – | – | – | (0.02 | ) | (0.92 | ) | – | ||||||||||||||||
Total distributions | – | (0.12 | ) | (0.16 | ) | (0.21 | ) | (1.36 | ) | (0.00 | )6 | |||||||||||||
Net increase (decrease) in net asset value | (0.32 | ) | 2.02 | (0.49 | ) | (0.60 | ) | (2.22 | ) | 2.20 | ||||||||||||||
Net Asset Value at end of period | $ | 11.35 | $ | 11.67 | $ | 9.65 | $ | 10.14 | $ | 10.74 | $ | 12.96 | ||||||||||||
Total Return (%)2 | (2.78 | )3 | 22.24 | (3.16 | ) | (3.69 | ) | (6.99 | ) | 20.45 | ||||||||||||||
Ratios/Supplemental Data: | ||||||||||||||||||||||||
Net Assets at end of period (in 000’s) | $ | 11,463 | $ | 13,257 | $ | 12,796 | $ | 14,641 | $ | 16,174 | $ | 19,134 | ||||||||||||
Ratios of expenses to average net assets (%) | 1.42 | 4 | 1.42 | 1.42 | 1.42 | 1.42 | 1.46 | |||||||||||||||||
Ratio of net investment income to average net assets (%) | 2.22 | 4 | 1.02 | 1.58 | 1.43 | 1.72 | 1.10 | |||||||||||||||||
Portfolio turnover (%)5 | 15 | 3 | 28 | 98 | 23 | 103 | 39 |
1 | Based on average shares outstanding during the year. |
2 | These returns are after all charges at the mutual fund level have been subtracted. These returns are higher than the returns at the separate account level because charges made at the separate account level have not been subtracted. Total returns are not annualized for periods less than one year. |
3 | Not annualized. |
4 | Annualized. |
5 | Portfolio turnover is calculated at the fund level and represents the entire fiscal year or period. |
6 | Amounts represent less than $(0.005) per share. |
Ultra Series Fund | June 30, 2018 |
Notes to Financial Statements (unaudited) |
1. ORGANIZATION
The Ultra Series Fund (the “Trust”), a Massachusetts business trust, is registered under the Investment Company Act of 1940 (the “1940 Act”), as amended, as a diversified, open-end management investment company. The Trust is a series trust with, at the end of the period covered by this report, 14 investment portfolios (individually, a “fund,” and collectively, the “funds”), each with different investment objectives and policies. The funds reported within this book at the end of the period were the Core Bond Fund, High Income Fund, Diversified Income Fund, Large Cap Value Fund, Large Cap Growth Fund, Mid Cap Fund and International Stock Fund (collectively, the “Core Funds”), and the Conservative Allocation Fund, Moderate Allocation Fund and Aggressive Allocation Fund (collectively, the “Target Allocation Funds”).
The Declaration of Trust permits the Board of Trustees to issue an unlimited number of full and fractional shares of the Trust without par value. All funds offer Class I and II shares. Each class of shares represents an interest in the assets of the respective fund and has identical voting, dividend, liquidation and other rights, except that each class of shares bears its own distribution fee, if any, and its proportional share of fund level expenses, and has exclusive voting rights on matters pertaining to Rule 12b-1 under the 1940 Act as it relates to that class and other class specific matters. Shares are offered to separate accounts (the “Accounts”) of CMFG Life Insurance Company and to qualified pension and retirement plans of CMFG Life Insurance Company or its affiliates (“CUNA Mutual Group”). The Trust may, in the future, offer other share classes to separate accounts of insurance companies and to qualified pension and retirement plans that are not affiliated with CUNA Mutual Group. The Trust does not offer shares directly to the general public.
The Trust has entered into a Management Agreement with Madison Asset Management, LLC (the “Investment Adviser” or “Madison”). The Investment Adviser, in turn, has entered into a subadvisory agreement with a subadviser (“Subadviser”) for the management of the investments of the International Stock Fund.
2. SIGNIFICANT ACCOUNTING POLICIES
The funds are investment companies that apply the accounting and reporting guidance in the Financial Accounting Standards Board (FASB) Accounting Standards Codification Topic 946, Financial Services-Investment Companies (ASC 946). The following is a summary of significant accounting policies consistently followed by each fund in the preparation of its financial statements.
Portfolio Valuation: The Trust and each series of the Trust referred to individually as a fund values securities and other investments as follows: Equity securities, including American Depositary Receipts (“ADRs”),Global Depositary Receipts (“GDRs”) and exchange-traded funds (“ETFs”) listed on any U.S. or foreign stock exchange or quoted on the National Association of Securities Dealers Automated Quotation System (“NASDAQ’’) are valued at the last quoted sale price or official closing price on that exchange or NASDAQ on the valuation day (provided that, for securities traded on NASDAQ, the funds utilize the NASDAQ Official Closing Price (“NOCP”). If no sale occurs, equities traded on a U.S. exchange, foreign exchange or on NASDAQ are valued at the bid price. Debt securities (other than short-term obligations) purchased with a remaining maturity of 61 days or more are valued on the basis of last available bid prices or current market quotations provided by dealers or pricing services approved by the Trust. In determining the value of a particular investment, pricing services may use certain information with respect to transactions in such investments, quotations from dealers, pricing matrixes, market transactions in comparable investments, various relationships observed in the market between investments and calculated yield measures based on valuation technology commonly employed in the market for such investments.
Municipal debt securities are traded via a network among dealers and brokers that connect buyers and sellers. Liquidity in the tax-exempt market is influenced by economic conditions, issuer financial strength, bond structure, trade size, supply
47 |
Ultra Series Fund | Notes to Financial Statements (unaudited) - continued | June 30, 2018
and demand, tax code and regulatory environment. There may be little trading in the secondary market for the particular bonds and other debt securities, making them more difficult to value or sell. Asset-backed and mortgage-backed securities are valued by independent pricing services using models that consider estimated cash flows of each tranche of the security, establish a benchmark yield and develop an estimated tranche specific spread to the benchmark yield based on the unique attributes of the tranche.
Investments in shares of open-end mutual funds, including money market funds, are valued at their daily net asset value (“NAV”) which is calculated as of the close of regular trading on the New York Stock Exchange (the “NYSE”) usually 4:00 p.m. Eastern Standard Time on each day on which the NYSE is open for business. NAV per share is determined by dividing each fund’s total net assets by the number of shares of such fund outstanding at the time of calculation. Because the assets of each Target Allocation Fund consist primarily of shares of other registered investment companies (the “Underlying Funds”), the NAV of each fund is determined based on the NAVs of the Underlying Funds. Total net assets are determined by adding the total current value of portfolio securities, cash, receivables, and other assets and subtracting liabilities. Short-term instruments having maturities of 60 days or less are valued on an amortized cost basis, which approximates market value.
Over-the-counter securities not listed or traded on NASDAQ are valued at the last sale price on the valuation day. If no sale occurs on the valuation day, an over-the-counter security is valued at the last bid price. Exchange-traded options are valued at the mean of the best bid and ask prices across all option exchanges. Financial futures contracts generally are valued at the settlement price established by the exchange(s) on which the contracts are primarily traded. Spot and forward foreign currency exchange contracts are valued based on quotations supplied by dealers in such contracts. Overnight repurchase agreements are valued at cost, and term repurchase agreements (i.e., those whose maturity exceeds seven days), swaps, caps, collars and floors, if any, are valued at the average of the closing bids obtained daily from at least one dealer.
Through the end of this reporting period, the value of all assets and liabilities expressed in foreign currencies was converted into U.S. dollar values using the then-current exchange rate at the close of regular trading on the NYSE.
All other securities for which either quotations are not readily available, no other sales have occurred, or in the Investment Adviser’s opinion, do not reflect the current market value, are appraised at their fair values as determined in good faith by the Pricing Committee (the “Committee”) and under the general supervision of the Board of Trustees. When fair value pricing of securities is employed, the prices of securities used by the funds to calculate NAV may differ from market quotations or NOCP. Because the Target Allocation Funds primarily invest in Underlying Funds, government securities and short-term paper, it is not anticipated that the Investment Adviser will need to “fair value” any of the investments of these funds. However, an Underlying Fund may need to “fair value” one or more of its investments, which may, in turn, require a Target Allocation Fund to do the same because of delays in obtaining the Underlying Fund’s NAV.
A fund’s investments (or Underlying Fund) will be valued at fair value if, in the judgment of the Committee, an event impacting the value of an investment occurred between the closing time of a security’s primary market or exchange (for example, a foreign exchange or market) and the time the fund’s share price is calculated as of the close of regular trading on the NYSE. Significant events may include, but are not limited to, the following: (1) significant fluctuations in domestic markets, foreign markets or foreign currencies; (2) occurrences not directly tied to the securities markets such as natural disasters, armed conflicts or significant government actions; and (3) major announcements affecting a single issuer or an entire market or market sector. In responding to a significant event, the Committee would determine the fair value of affected securities considering factors including, but not limited to: fundamental analytical data relating to the investment; the nature and duration of any restrictions on the disposition of the investment; and the forces influencing the market(s) in which the investment is purchased or sold.
In addition to independent fair value decisions made by the Committee noted above, the Committee also engages an independent fair valuation service to adjust the valuations of foreign equity securities based on specific market-movement
48 |
Ultra Series Fund | Notes to Financial Statements (unaudited) - continued | June 30, 2018
parameters established by the Committee and approved by the Trust. Such adjustments to the valuation of foreign securities are applied automatically upon market close if the parameters established are exceeded. A foreign security is also automatically fair valued if the exchange it is traded on is on holiday.
Security Transactions and Investment Income: Security transactions are accounted for on a trade date basis. Net realized gains or losses on sales are determined by the identified cost method. Interest income is recorded on an accrual basis. Dividend income is recorded on ex-dividend date, except that certain dividends from foreign securities may be recorded after the ex-dividend date based on when the fund is informed of the dividend. Interest income is recorded on an accrual basis and is increased by the accretion of discount and decreased by the amortization of premium. Amortization and accretion are recorded on the effective yield method.
Expenses: Expenses that are directly related to one fund are charged directly to that fund. Other operating expenses are prorated to the funds on the basis of relative net assets. Class-specific expenses are borne by that class.
Classes: Income and realized and unrealized gains/losses are allocated to the respective classes on the basis of relative net assets.
Repurchase Agreements: Each fund may engage in repurchase agreements. In a repurchase agreement, a security is purchased for a relatively short period (usually not more than seven days) subject to the obligation to sell it back to the issuer at a fixed time and price plus accrued interest. The funds will enter into repurchase agreements only with members of the Federal Reserve System and with “primary dealers” in U.S. Government securities.
The Trust has established a procedure providing that the securities serving as collateral for each repurchase agreement must be delivered to the Trust’s custodian either physically or in book-entry form and that the collateral must be marked to market daily to ensure that each repurchase agreement is fully collateralized at all times. In the event of bankruptcy or other default by a seller of a repurchase agreement, a fund could experience one of the following: delays in liquidating the underlying securities during the period in which the fund seeks to enforce its rights thereto, possible decreased levels of income, declines in value of the underlying securities, or lack of access to income during this period and the expense of enforcing its rights. As of June 30, 2018, none of the funds held open repurchase agreements.
Foreign Currency Transactions: The Trust’s books and records are maintained in U.S. dollars. Foreign currency-denominated transactions (i.e., market value of investment securities, assets and liabilities, purchases and sales of investment securities, and income and expenses) are translated into U.S. dollars at the current rate of exchange. The funds enter into contracts on the trade date to settle any securities transactions denominated in foreign currencies on behalf of the funds at the spot rate at settlement.
Each fund reports certain foreign currency-related transactions as components of realized gains or losses for financial reporting purposes, whereas such components are treated as ordinary income for federal income tax purposes. Realized gains or losses associated with currency transactions are included in the Statements of Operations under the heading “Net realized gain (loss) on investments.” The International Stock Fund and Large Cap Value Fund had net realized gains from foreign currency transactions.
The funds do not isolate the portion of gains and losses on investments in securities that is due to changes in the foreign exchange rates from that which is due to change in market prices of securities. Such amounts are categorized as gain or loss on investments for financial reporting purposes.
Forward Foreign Currency Exchange Contracts: Each fund may purchase and sell forward foreign currency exchange contracts for defensive or hedging purposes. When entering into forward foreign currency exchange contracts, the funds agree to receive or deliver a fixed quantity of foreign currency for an agreed-upon price on an agreed future date. These contracts are valued daily. The funds’ net assets reflect unrealized gains or losses on the contracts as measured by the
49 |
Ultra Series Fund | Notes to Financial Statements (unaudited) - continued | June 30, 2018
difference between the forward foreign currency exchange rates at the dates of entry into the contracts and the forward rates at the reporting date. The funds realize a gain or a loss at the time the forward foreign currency exchange contracts are settled or closed out with an offsetting contract. Contracts are traded over-the-counter directly with counterparty. Realized and unrealized gains and losses are included in the Statements of Operations. As of June 30, 2018, none of the funds had open forward foreign currency exchange contracts.
If a fund enters into a forward foreign currency exchange contract to buy foreign currency for any purpose, the fund will be required to place cash or other liquid assets in a segregated account with the fund’s custodian in an amount equal to the value of the fund’s total assets committed to the consummation of the forward contract. If the value of the securities in the segregated account declines, additional cash or securities will be placed in the segregated account so that the value of the account will equal the amount of the fund’s commitment with respect to the contract.
Cash Concentration: At times, the funds maintain cash balances at financial institutions in excess of federally insured limits. The funds monitor this credit risk and have not experienced any losses related to this risk.
Illiquid Securities: Each fund currently limits investments in illiquid securities to 15% of net assets at the time of purchase. An illiquid security is generally defined as any investment that may be difficult to sell within seven days for the price at which the fund values it. At June 30, 2018, there were no illiquid securities held in the funds. Pursuant to guidelines adopted by the Board of Trustees, certain unregistered securities are determined to be liquid and are not included within the percent limitations specified above.
Delayed Delivery Securities: Each fund may purchase securities on a when-issued or delayed delivery basis. “When-issued” refers to securities whose terms are available and for which a market exists, but that have not been issued. For when- issued or delayed delivery transactions, no payment is made until delivery date, which is typically longer than the normal course of settlement. When a fund enters into an agreement to purchase securities on a when-issued or delayed delivery basis, the fund segregates cash or other liquid securities, of any type or maturity, equal in value to the fund’s commitment. Losses may arise due to changes in the market value of the underlying securities, if the counterparty does not perform under the contract, or if the issuer does not issue the securities due to political, economic or other factors. As of June 30, 2018, none of the funds had entered into such transactions.
Indemnifications: Under the funds’ organizational documents, the funds’ officers and Trustees are indemnified against certain liabilities arising out of the performance of their duties to the funds. In the normal course of business, the funds enter into contracts that contain a variety of presentations and provide general indemnifications. The funds’ maximum liability exposure under these arrangements is unknown, as future claims that have not yet occurred may be made against the funds. However, based on experience, management expects the risk of loss to be remote.
Fair Value Measurements: Each fund has adopted Financial Accounting Standards Board (the “FASB”) guidance on fair value measurements. Fair value is defined as the price that each fund would receive upon selling an investment in a timely transaction to an independent buyer in the principal or most advantageous market of the investment. A three-tier hierarchy is used to maximize the use of observable market data “inputs” and minimize the use of unobservable “inputs” and to establish classification of fair value measurements for disclosure purposes. Inputs refer broadly to the assumptions that market participants would use in pricing the asset or liability, including assumptions about risk (for example, the risk inherent in a particular valuation technique used to measure fair value including such a pricing model and/or the risk inherent in the inputs used in the valuation technique). Inputs may be observable or unobservable.
Observable inputs are inputs that reflect the assumptions market participants would use in pricing the asset or liability developed based on market data obtained from sources independent of the reporting entity. Unobservable inputs are inputs that reflect the reporting entity’s own assumptions about the assumptions market participants would use in pricing the
50 |
Ultra Series Fund | Notes to Financial Statements (unaudited) - continued | June 30, 2018
asset or liability developed based on the best information available in the circumstances. The three-tier hierarchy of inputs is summarized in the three broad Levels listed below:
Level 1 - unadjusted quoted prices in active markets for identical investments
Level 2 - other significant observable inputs (including quoted prices for similar investments, interest rate volatilities, prepayment speeds, credit risk, benchmark yields, transactions, bids, offers, new issues, spreads, and other relationships observed in the markets among comparable securities, underlying equity of the issuer; and proprietary pricing models such as yield measures calculated using factors such as cash flows, financial or collateral performance, and other reference data, etc.)
Level 3 - significant unobservable inputs (including the fund’s own assumptions in determining the fair value of investments)
The valuation techniques used by the funds to measure fair value for the period ended June 30, 2018 maximized the use of observable inputs and minimized the use of unobservable inputs. The funds utilized the following fair value techniques: multi-dimensional relational pricing model and option adjusted spread pricing; the funds estimated the price that would have prevailed in a liquid market for an international equity security given information available at the time of valuation. As of June 30, 2018, none of the funds held securities deemed as a Level 3, and there were no transfers between classification levels.
The following is a summary of the inputs used as of June 30, 2018, in valuing the funds’ investments carried at fair value:
Fund1 | Quoted Prices in Active Markets for Identical Investments (Level 1) | Significant Other Observable Inputs (Level 2) | Significant Unobservable Inputs (Level 3) | Value at 6/30/18 | ||||||||
Conservative Allocation | ||||||||||||
Investment Companies | $ | 137,839,901 | $ | – | $ | – | $ | 137,839,901 | ||||
Collateral for Securities on Loan | 2,734,968 | – | – | 2,734,968 | ||||||||
140,574,869 | – | – | 140,574,869 | |||||||||
Moderate Allocation | ||||||||||||
Investment Companies | 223,265,009 | – | – | 223,265,009 | ||||||||
Collateral for Securities on Loan | 5,654,383 | – | – | 5,654,383 | ||||||||
228,919,392 | – | – | 228,919,392 | |||||||||
Aggressive Allocation | ||||||||||||
Investment Companies | 77,646,861 | – | – | 77,646,861 | ||||||||
Collateral for Securities on Loan | 10,029,855 | – | – | 10,029,855 | ||||||||
87,676,716 | – | – | 87,676,716 | |||||||||
Core Bond | ||||||||||||
Asset Backed Securities | – | 6,002,456 | – | 6,002,456 | ||||||||
Collateralized Mortgage Obligations | – | 3,220,395 | – | 3,220,395 | ||||||||
Commercial Mortgage-Backed Securities | – | 2,961,596 | – | 2,961,596 | ||||||||
Corporate Notes and Bonds | – | 51,001,292 | – | 51,001,292 | ||||||||
Long Term Municipal Bonds | – | 6,849,090 | – | 6,849,090 | ||||||||
Mortgage Backed Securities | – | 39,702,939 | – | 39,702,939 | ||||||||
U.S. Government and Agency Obligations | – | 34,959,271 | – | 34,959,271 | ||||||||
Short-Term Investments | 1,404,440 | – | – | 1,404,440 | ||||||||
Collateral for Securities on Loan | 204,330 | – | – | 204,330 | ||||||||
1,608,770 | 144,697,039 | – | 146,305,809 | |||||||||
High Income | ||||||||||||
Corporate Notes and Bonds | – | 22,410,572 | – | 22,410,572 | ||||||||
Short-Term Investments | 1,524,078 | – | – | 1,524,078 | ||||||||
Collateral for Securities on Loan | 2,376,768 | – | – | 2,376,768 | ||||||||
3,900,846 | 22,410,572 | – | 26,311,418 |
51 |
Ultra Series Fund | Notes to Financial Statements (unaudited) - continued | June 30, 2018
Fund1 | Quoted Prices in Active Markets for Identical Investments (Level 1) | Significant Other Observable Inputs (Level 2) | Significant Unobservable Inputs (Level 3) | Value at 6/30/18 | ||||||||
Diversified Income | ||||||||||||
Common Stocks | $ | 162,586,044 | $ | – | $ | – | $ | 162,586,044 | ||||
Asset Backed Securities | – | 3,270,913 | – | 3,270,913 | ||||||||
Collateralized Mortgage Obligations | – | 3,045,569 | – | 3,045,569 | ||||||||
Commercial Mortgage-Backed Securities | – | 1,406,152 | – | 1,406,152 | ||||||||
Corporate Notes and Bonds | – | 31,156,669 | – | 31,156,669 | ||||||||
Long Term Municipal Bonds | – | 6,629,360 | – | 6,629,360 | ||||||||
Mortgage Backed Securities | – | 21,649,359 | – | 21,649,359 | ||||||||
U.S. Government and Agency Obligations | – | 19,082,368 | – | 19,082,368 | ||||||||
Short-Term Investments | 5,372,647 | – | – | 5,372,647 | ||||||||
Collateral for Securities on Loan | 204,330 | – | – | 204,330 | ||||||||
168,163,021 | 86,240,390 | – | 254,403,411 | |||||||||
Large Cap Value | ||||||||||||
Common Stocks | 309,720,765 | – | – | 309,720,765 | ||||||||
Short-Term Investments | 8,168,570 | – | – | 8,168,570 | ||||||||
Collateral for Securities on Loan | 1,359,276 | – | – | 1,359,276 | ||||||||
319,248,611 | – | – | 319,248,611 | |||||||||
Large Cap Growth | ||||||||||||
Common Stocks | 222,876,738 | – | – | 222,876,738 | ||||||||
Short-Term Investments | 12,721,036 | – | – | 12,721,036 | ||||||||
235,597,774 | – | – | 235,597,774 | |||||||||
Mid Cap | ||||||||||||
Common Stocks | 178,302,234 | – | – | 178,302,234 | ||||||||
Short-Term Investments | 12,977,309 | – | – | 12,977,309 | ||||||||
191,279,543 | – | – | 191,279,543 | |||||||||
International Stock | ||||||||||||
Common Stocks | ||||||||||||
Australia | – | 1,026,704 | – | 1,026,704 | ||||||||
Belgium | – | 579,319 | – | 579,319 | ||||||||
Brazil | – | 363,583 | – | 363,583 | ||||||||
Canada | – | 1,719,960 | – | 1,719,960 | ||||||||
Denmark | – | 478,648 | – | 478,648 | ||||||||
Finland | – | 494,584 | – | 494,584 | ||||||||
France | – | 3,981,560 | – | 3,981,560 | ||||||||
Germany | – | 1,523,753 | – | 1,523,753 | ||||||||
India | 333,004 | – | – | 333,004 | ||||||||
Ireland | 1,320,197 | 717,833 | – | 2,038,030 | ||||||||
Israel | – | 12,592 | – | 12,592 | ||||||||
Japan | – | 6,189,701 | – | 6,189,701 | ||||||||
Luxembourg | – | 287,722 | – | 287,722 | ||||||||
Netherlands | – | 2,338,869 | – | 2,338,869 | ||||||||
Norway | – | 1,022,516 | – | 1,022,516 | ||||||||
Singapore | – | 757,466 | – | 757,466 | ||||||||
Spain | – | 500,383 | – | 500,383 | ||||||||
Sweden | – | 1,306,478 | – | 1,306,478 | ||||||||
Switzerland | – | 2,479,057 | – | 2,479,057 | ||||||||
Taiwan | 343,664 | – | – | 343,664 | ||||||||
Turkey | – | 395,371 | – | 395,371 |
52 |
Ultra Series Fund | Notes to Financial Statements (unaudited) - continued | June 30, 2018
Fund1 | Quoted Prices in Active Markets for Identical Investments (Level 1) | Significant Other Observable Inputs (Level 2) | Significant Unobservable Inputs (Level 3) | Value at 6/30/18 | ||||||||
International Stock - continued | ||||||||||||
Common Stocks | ||||||||||||
United Kingdom | $ | 768,152 | $ | 5,531,592 | $ | – | $ | 6,299,744 | ||||
Preferred Stocks | – | 277,361 | – | 277,361 | ||||||||
Short-Term Investments | 1,455,756 | – | – | 1,455,756 | ||||||||
Collateral for Securities on Loan | 469,859 | – | – | 469,859 | ||||||||
4,690,632 | 31,985,052 | – | 36,675,684 |
1See respective portfolio of investments for underlying holdings in each fund. For additional information on the underlying Funds held in the Conservative, Moderate and Aggressive allocation funds, including shareholder prospectuses and financial reports, please visit each Underlying Funds website or visit the Securities and Exchange Commission website http://www.sec.gov. |
Derivatives: The FASB issued guidance intended to enhance financial statement disclosure for derivative instruments and hedging activities and enable investors to understand: a) how and why a fund uses derivative investments, b) how derivative instruments and related hedge fund items are accounted for, and c) how derivative instruments and related hedge items affect a fund’s financial position, results of operations and cash flows.
The following table presents the effect of derivative instruments on the Statement of Operations for the period ended June 30, 2018:
Derivatives not accounted for as | ||||||
Fund | hedging Instruments | Realized Gain (Loss) on Derivatives: | Change in Unrealized Depreciation on Derivatives | |||
Core Bond | Equity contracts, Options purchased | $38,613 | $ – | |||
Equity contracts, Options written | (35,138) | – |
The average volume (based on the open positions at each month-end) of derivative activity during the period ended June 30, 2018:
Fund | Options Purchased Contracts(1) | Options Written Contracts(1) | ||||
Core Bond | 8 | 8 | ||||
(1)Number of Contracts |
Management has determined that there is no impact on the financial statements of the other funds held in the Trust as they currently do not hold derivative financial instruments.
Recently Issued Accounting Pronouncements. In March 2017, the FASB issued Accounting Standards Update (ASU) 2017-08 which changes the amortization period for a callable debt security from the maturity date to the earliest call date. The ASU is effective for annual periods beginning after December 15, 2018, and interim periods within those annual periods. At this time, management is still evaluating the impacts this ASU will have on the financial statements.
3. MANAGEMENT, DISTRIBUTION AGREEMENTS AND OTHER EXPENSES
Management Agreement: For services under the Management Agreement, the Investment Adviser is entitle to receive a management fee, which is calculated daily and paid monthly, at an annual rate based upon the following percentages of average daily net assets of each fund as follows as of June 30, 2018:
Fund | Management Fee | Fund | Management Fee | |||||||
Conservative Allocation | 0.30% | Diversified Income | 0.70% | |||||||
Moderate Allocation | 0.30% | Large Cap Value | 0.60% | |||||||
Aggressive Allocation | 0.30% | Large Cap Growth | 0.80% | |||||||
Core Bond | 0.55% | Mid Cap | 0.90% | |||||||
High Income | 0.75% | International Stock | 1.15% |
53 |
Ultra Series Fund | Notes to Financial Statements (unaudited) - continued | June 30, 2018
The Management Agreement requires the Investment Adviser to provide or arrange to provide overall management of the funds, including but not limited to, investment advisory services, custody, transfer agency, dividend disbursing, legal, accounting and administrative services.
The Investment Adviser is solely responsible for the payment of all fees to the Subadviser. Lazard Asset Management LLC served as the subadvisor for the International Stock Fund. The Investment Adviser manages the Core Bond Fund, High Income Fund, Diversified Income Fund, Large Cap Value Fund, Large Cap Growth Fund, Mid Cap Fund and the Target Allocation Funds.
The Investment Adviser may from time to time contractually or voluntarily agree to waive a portion of its fees or expenses related to the funds. Effective July 1, 2014, the Investment Adviser contractually agreed to waive a portion (0.10%) of its management fee of the Target Allocation Funds, which waiver is in effect until at least April 30, 2019. For the period ended June 30, 2018, the waivers were as follows:
Waived Fees or Expenses* | ||||||||||
Fund | Class I | Class II | Total Waivers | |||||||
Conservative Allocation | $ | 57,400 | $ | 13,753 | $ | 71,153 | ||||
Moderate Allocation | 104,001 | 12,229 | 116,230 | |||||||
Aggressive Allocation | 40,150 | 1,116 | 41,266 | |||||||
*The Investment Adviser does not have the right to recoup these waived fees. |
Distribution Agreement: MFD Distributor, LLC (“MFD”) serves as distributor of the funds. The Trust adopted a distribution and service plan with respect to the Trust’s Class II shares pursuant to Rule 12b-1 under the 1940 Act. Under the plan, the Trust will pay a service fee with regard to Class II shares at an annual rate of 0.25% each fund’s daily net assets.
MFD may from time to time voluntarily agree to waive a portion of its fees or expenses related to the funds. MFD does not have the right to recoup these waived fees.
Other Expenses: In addition to the management fee noted above, the Trust is responsible to pay the following expenses: expenses for independent audits; fees and expenses of the independent trustees and their independent counsel; brokerage commissions and other expenses incurred in the acquisition or disposition of any securities or other investments; costs of borrowing money, overdrafts (if any) and any potential taxes owed; and extraordinary expenses (including litigation and/or and consulting expenses) as approved by a majority of the independent trustees.
Audit and trustees fees are broken out separately from “other expenses” on the Statement of Operations.
Certain officers and trustees of the Trust are also officers of the Investment Adviser. The funds do not compensate their officers or affiliated trustees. The Nominating and Governance Committee of the Board may change trustee fees paid at any time.
4. DIVIDENDS FROM NET INCOME AND DISTRIBUTIONS OF CAPITAL GAINS
The funds declare dividends from net investment income and net realized gains from investment transactions, if any, annually, which are reinvested in additional full and fractional shares of the respective funds.
Income and capital gain distributions, if any, are determined in accordance with federal income tax regulations, which may differ from accounting principles generally accepted in the United States of America. Taxable distributions from income and realized capital gains of the funds may differ from book amounts earned during the period due to differences in the timing of capital gains recognition, and due to the reclassification of certain gains or losses from capital to income.
5. SECURITIES TRANSACTIONS
For the period ended June 30, 2018, aggregate cost of purchases and proceeds from sales of securities, other than short-term investment, were as follows:
54 |
Ultra Series Fund | Notes to Financial Statements (unaudited) - continued | June 30, 2018
U.S. Government Securities | Other Investment Securities | |||||||||||||
Fund | Purchases | Sales | Purchases | Sales | ||||||||||
Conservative Allocation | $ | – | $ | – | $ | 36,357,491 | $ | 48,210,062 | ||||||
Moderate Allocation | – | – | 73,311,293 | 97,965,976 | ||||||||||
Aggressive Allocation | – | – | 25,803,092 | 36,341,016 | ||||||||||
Core Bond | 8,762,333 | 18,973,554 | 13,548,578 | 13,360,936 | ||||||||||
High Income | – | – | 4,057,978 | 4,515,400 | ||||||||||
Diversified Income | 5,769,089 | 14,511,093 | 30,784,693 | 40,211,719 | ||||||||||
Large Cap Value | – | – | 128,252,119 | 161,725,135 | ||||||||||
Large Cap Growth | – | – | 123,957,305 | 151,360,853 | ||||||||||
Mid Cap | – | – | 16,206,139 | 36,812,799 | ||||||||||
International Stock | – | – | 5,628,248 | 9,379,588 |
6. FUTURES CONTRACTS AND OPTIONS ON FUTURES CONTRACTS
The Core Bond Fund may purchase and sell futures contracts and purchase and write options on futures contracts on a limited basis. The fund may purchase and sell futures contracts based on various securities (such as U.S. Government securities), securities indices, foreign currencies and other financial instruments and indices. The fund will engage in futures or related options transactions on a limited basis only for bona fide hedging purposes or for purposes of seeking to increase total returns to the extent permitted by regulations of the Commodity Futures Trading Commission.
Futures Contracts. The Core Bond Fund may use futures contracts to manage its exposure to the securities markets or to movements in interest rates and currency values. The primary risks associated with the use of futures contracts are the imperfect correlation between the change in market value of the securities held by the fund and the prices of futures contracts and the possibility of an illiquid market. Futures contracts are valued based upon their quoted daily settlement prices. Upon entering into a futures contract, the fund is required to deposit with its futures broker an amount of cash, U.S. Government and Agency Obligations, or other assets, in accordance with the initial margin requirements of the broker or exchange. Futures contracts are marked to market daily and based on such movements in the price of the contracts, an appropriate payable or receivable for the change in value may be posted or collected by the fund (“variation margin”). Gains or losses are recognized but not considered realized until the contracts expire or close. Futures contracts involve, to varying degrees, risk of loss in excess of the variation margin disclosed within exchange traded or centrally cleared financial derivative instruments on the Statement of Assets and Liabilities.
Options on Futures Contracts. The acquisition of put and call options on futures contracts will give the Core Bond Fund the right (but not the obligation) for a specified price, to sell or to purchase, respectively, the underlying futures contract at any time during the option period. As the purchaser of an option on a futures contract, the fund obtains the benefit of the futures position if prices move in a favorable direction but limits its risk of loss in the event of an unfavorable price movement to the loss of the premium and transaction costs.
The writing of a call option on a futures contract generates a premium which may partially offset a decline in the value of the fund’s assets. By writing a call option, the fund becomes obligated, in exchange for the premium, to sell a futures contract which may have a value higher than the exercise price. Conversely, the writing of a put option on a futures contract generates a premium, which may partially offset an increase in the price of securities that the fund intends to purchase. However, the fund becomes obligated to purchase a futures contract, which may have a value lower than the exercise price. Thus, the loss incurred by the fund in writing options on futures is potentially unlimited and may exceed the amount of the premium received.
7. FOREIGN SECURITIES
Each fund may invest in foreign securities. Foreign securities are defined as securities that are: (i) issued by companies organized outside the U.S. or whose principal operations are outside the U.S., or issued by foreign governments or their
55 |
Ultra Series Fund | Notes to Financial Statements (unaudited) - continued | June 30, 2018
agencies or instrumentalities (“foreign issuers”); (ii) principally traded outside of the U.S.; and/or (iii) quoted or denominated in a foreign currency (“non-dollar securities”). Foreign securities include American Depositary Receipts (“ADRs”), European Depositary Receipts (“EDRs”), Global Depositary Receipts (“GDRs”), Swedish Depositary Receipts (“SDRs”) and foreign money market securities. U.S. dollar-denominated securities that are part of the Merrill Lynch U.S. Domestic Master Index are not considered a foreign security.
Certain of the funds have reclaimed receivable balances, in which the funds are due a reclaim on the taxes that have been paid to some foreign jurisdictions. The values of all reclaims are not significant for any of the funds and are reflected in Other Assets on the Statements of Assets and Liabilities. These receivables are reviewed to ensure the current receivable balance is reflective of the amount deemed to be collectable.
8. SECURITIES LENDING
The Ultra Funds’ board has recently re-authorized the funds to engage in securities lending with State Street Bank and Trust Company as securities lending agent pursuant to a Securities Lending Authorization Agreement (the “Agreement”) and subject to certain securities lending policies and procedures. Under the terms of the Agreement, and subject to the policies and procedures, the authorized funds may lend portfolio securities to qualified borrowers in order to generate additional income, while managing risk associated with the securities lending program. The Agreement requires that loans are collateralized at all times by cash or U.S. Government securities, initially equal to at least 102% of the value of the securities. The loaned securities and collateral are marked to market daily to maintain collateral at 102% of the total loaned portfolio. Amounts earned as interest on investments of cash collateral, net of rebates and fees, if any, are included in the Statement of Operations. The primary risk associated with securities lending is if the borrower defaults on its obligation to return the securities loaned because of insolvency or other reasons, the fund could experience delays and costs in recovering securities loaned or in gaining access to the collateral. Under the Agreement, the securities lending agent has provided a limited indemnification in the event of a borrower default.
As of June 30, 2018, some of the fund’s had securities on loan to brokers/dealers, for which each such fund’s received cash collateral. In addition the fund’s received non-cash collateral securities consisting of U.S Equity securities as follows:
Market Value | |||
Conservative Allocation Fund | $ | 1,360,282 | |
Moderate Allocation Fund | 3,897,894 | ||
Aggressive Allocation Fund | 1,750,287 | ||
Large Cap Growth Fund | 491,850 |
The following table reflects a breakdown of transactions accounted for as secured borrowings, the gross obligation by the type of collateral pledged, and the remaining contractual maturity of those transactions as of June 30, 2018:
56 |
Ultra Series Fund | Notes to Financial Statements (unaudited) - continued | June 30, 2018
Remaining Contractual Maturity of the Agreements As of June 30, 2018 | ||||||||||||||||||||
Continuous and Overnight | Up to 30 days | 30 - 90 days | Greater than 90 days | Total | ||||||||||||||||
Securities Lending Transactions | ||||||||||||||||||||
Conservative Allocation Fund | ||||||||||||||||||||
Investment Companies | $ | 2,734,968 | $ | – | $ | – | $ | – | $ | 2,734,968 | ||||||||||
Moderate Allocation Fund | ||||||||||||||||||||
Investment Companies | 5,654,383 | – | – | – | 5,654,383 | |||||||||||||||
Aggressive Allocation Fund | ||||||||||||||||||||
Investment Companies | 10,029,855 | – | – | – | 10,029,855 | |||||||||||||||
Core Bond Fund | ||||||||||||||||||||
Corporate Notes and Bonds | 204,330 | – | – | – | 204,330 | |||||||||||||||
High Income Fund | ||||||||||||||||||||
Corporate Notes and Bonds | 2,376,768 | – | – | – | 2,376,768 | |||||||||||||||
Diversified Income Fund | ||||||||||||||||||||
Corporate Notes and Bonds | 204,330 | – | – | – | 204,330 | |||||||||||||||
Large Cap Value Fund | ||||||||||||||||||||
Common Stock | 1,359,276 | – | – | – | 1,359,276 | |||||||||||||||
International Stock Fund | ||||||||||||||||||||
Common Stock | 469,859 | – | – | – | 469,859 |
9. FEDERAL INCOME TAX INFORMATION
It is each fund’s policy to comply with the requirements of Subchapter M of the Internal Revenue Code of 1986, as amended, applicable to regulated investment companies and to distribute all its taxable income to its shareholders. Accordingly, no provisions for federal income taxes are recorded in the accompanying statements.
The funds have not recorded any liabilities for material unrecognized tax benefits as of June 30, 2018. It is each fund’s policy to recognize accrued interest and penalties related to uncertain tax benefits in income taxes, as appropriate. Tax years that remain open to examination by major tax jurisdictions include tax years ended December 31, 2014 through December 31, 2017.
For federal income tax purposes, the funds listed below have capital loss carryforwards as of December 31, 2017, which are available to offset future capital gains, if any, realized through the fiscal year listed:
Fund | 2018 | No Expiration Date Short Term | No Expiration Date Long Term | ||||||||||
Core Bond | $ | 346,309 | $ | 36,915 | $ | – | |||||||
International Stock | 1,312,565 | 865,856 | 5,274,010 |
The capital loss carryover for the International Stock Fund is subject to certain limitations upon availability, to offset future gains, pursuant to Section 382 of the Internal Revenue Code.
At June 30, 2018, the aggregate gross unrealized appreciation (depreciation) and net unrealized appreciation (depreciation) for all securities as computed on a federal income tax basis for each fund were as follows:
Fund | Appreciation | Depreciation | Net | |||||||||
Conservative Allocation | $ | 6,220,854 | $ | 1,764,857 | $ | 4,455,997 | ||||||
Moderate Allocation | 20,388,712 | 1,948,447 | 18,440,265 | |||||||||
Aggressive Allocation | 10,048,435 | 733,831 | 9,314,604 | |||||||||
Core Bond | 2,369,464 | 3,368,012 | (998,548 | ) | ||||||||
High Income | 323,442 | 564,201 | (240,759 | ) |
57 |
Ultra Series Fund | Notes to Financial Statements (unaudited) - continued | June 30, 2018
Fund | Appreciation | Depreciation | Net | |||||||||
Diversified Income | $ | 49,584,297 | $ | 4,879,173 | $ | 44,705,124 | ||||||
Large Cap Value | 50,264,853 | 4,205,019 | 46,059,834 | |||||||||
Large Cap Growth | 47,927,540 | 2,687,791 | 45,239,749 | |||||||||
Mid Cap | 73,670,549 | 1,602,756 | 72,067,793 | |||||||||
International Stock | 5,605,147 | 1,576,408 | 4,028,739 |
The differences between the book unrealized amounts reflected in the Statement of Assets and Liabilities and tax unrealized amounts (shown above) are due to the tax deferral of losses on wash sales.
10. CONCENTRATION OF RISKS
Investing in certain financial instruments, including forward foreign currency contracts, involves certain risks. Risks associated with these instruments include potential for an illiquid secondary market for the instruments or inability of counterparties to perform under the terms of the contracts, changes in the value of foreign currency relative to the U.S. dollar and volatility resulting from an imperfect correlation between the movements in the prices of the instruments and the prices of the underlying securities and interest rates being hedged. The International Stock Fund may enter into these contracts primarily to protect the fund from adverse currency movements.
Investing in foreign securities involves certain risks not necessarily found in U.S. markets. These include risks associated with adverse changes in economic, political, regulatory and other conditions, changes in currency exchange rates, exchange control regulations, expropriation of assets or nationalization, imposition of withholding taxes on dividend or interest payments or capital gains, and possible difficulty in obtaining and enforcing judgments against foreign entities. Further, issuers of foreign securities are subject to different, and often less comprehensive, accounting, reporting and disclosure requirements than domestic issuers.
The Core Bond Fund is subject to derivatives risk. The risk that loss may result from investments in options, forwards, futures, swaps and other derivatives instruments. These instruments may be illiquid, difficult to price and leveraged so that small changes in the value of the underlying instruments may produce disproportionate losses to the fund. Derivatives are also subject to counterparty risk, which is the risk that the other party to the transaction will not fulfill its contractual obligations
The High Income Fund invests in securities offering high current income which generally will include bonds in the below investment grade categories of recognized rating agencies (so-called “junk bonds”). These securities generally involve more credit risk than securities in the higher rating categories. In addition, the trading market for high yield securities may be relatively less liquid than the market for higher-rated securities. The fund generally invests at least 80% of its net assets in high yield securities.
The Target Allocation Funds are fund of funds, meaning that each invests primarily in Underlying Funds, including ETFs. Thus, each fund’s investment performance and its ability to achieve its investment goal are directly related to the performance of the Underlying Funds in which it invests; and the Underlying Fund’s performance, in turn, depends on the particular securities in which that Underlying Fund invests and the expenses of that fund. Accordingly, the Allocation Funds are subject to the risks of the Underlying Funds in direct proportion to the allocation of their respective assets among the Underlying Funds.
Additionally, the Target Allocation Funds are subject to asset allocation risk and manager risk. Manager risk (i.e., fund selection risk) is the risk that the Underlying Fund(s) selected to fulfill a particular asset class underperforms their peers. Asset allocation risk is the risk that the allocation of the fund’s assets among the various asset classes and market segments will cause the fund to underperform other funds with a similar investment objective.
The funds may be subject to interest rate risk which is the risk that the value of your investment will fluctuate with changes in interest rates. Typically, a rise in interest rates causes a decline in the market value of income-bearing securities. When interest rates rise, bond prices fall; generally the longer a bond’s maturity, the more sensitive it is to risk. Federal Reserve
58 |
Ultra Series Fund | Notes to Financial Statements (unaudited) - continued | June 30, 2018
policy changes may expose fixed-income and related markets to heightened volatility and may reduce liquidity for certain fund investments, which could cause the value of a fund’s investments and share price to decline. The Core Bond may invest in derivatives tied to fixed-income markets and may be more substantially exposed to these risks than a fund that does not invest in derivatives.
The funds are also subject to cybersecurity risk, which include the risks associated with computer systems, networks and devices to carry out routine business operations. These systems, networks and devices employ a variety of protections that are designed to prevent cyberattacks. Despite the various cyber protections utilized by the funds, the Investment Adviser, and other service providers, their systems, networks, or devices could potentially be breached. The funds, their shareholders, and the Investment Adviser could be negatively impacted as a result of a cybersecurity breach. The funds cannot control the cybersecurity plans and systems put in place by service providers or any other third parties whose operations may affect the funds. The funds do monitor this risk closely.
In addition to the other risks described above and in the prospectus, you should understand what we refer to as “unknown market risks.” While investments in securities have been keystones in wealth building and management, at times these investments have produced surprises. Those who enjoyed growth and income of their investments generally were rewarded for the risks they took by investing in the markets. Although the Investment Adviser seeks to appropriately address and manage the risks identified and disclosed to you in connection with the management of the securities in the funds, you should understand that the very nature of the securities markets includes the possibility that there may be additional risks of which we are not aware. We certainly seek to identify all applicable risks and then appropriately address them, take appropriate action to reasonably manage them and to make you aware of them so you can determine if they exceed your risk tolerance. Nevertheless, the often volatile nature of the securities markets and the global economy in which we work suggests that the risk of the unknown is something to consider in connection with an investment in securities. Unforeseen events could under certain circumstances produce a material loss of the value of some or all of the securities we manage for you in the funds.
11. CAPITAL SHARES AND AFFILIATED OWNERSHIP
All capital shares outstanding at June 30, 2018, are owned by separate investment accounts and/or pension plans of CMFG Life Insurance Company.
The Target Allocation Funds invest in Underlying Funds, such as the Madison Funds, which may be deemed to be under common control because of the same or affiliated investment adviser and membership in a common family of investment companies (the “Affiliated Underlying Funds”). Madison Funds’ historical financial information is available to you at no cost on the Securities and Exchange Commission’s website at www.sec.gov, by calling 1-800-877-6089 or by visiting the Madison Funds’ website at www.madisonfunds.com. A summary of the transactions with each Affiliated Underlying Fund during the period ended June 30, 2018 follows:
59 |
Ultra Series Fund | Notes to Financial Statements (unaudited) - concluded | June 30, 2018
Fund/Underlying Fund | Balance Value as of 12/31/17 | Gross Additions | Gross Sales | Realized Gain (Loss) | Change in Unrealized Appreciaton (Depreciation | Value at 6/30/18 | Shares | Dividend Income | Capital Gains Distributions Received1 | ||||||||||||||||||||||||||
Conservative Allocation Fund | |||||||||||||||||||||||||||||||||||
Madison Core Bond Fund Class Y | $ | 33,640,397 | $ | – | $ | – | $ | – | $ | (1,078,650 | ) | $ | 32,561,747 | 3,370,781 | $ | 429,552 | $ | 429,552 | |||||||||||||||||
Madison Corporate Bond Fund Class Y | 10,260,871 | – | (799,281 | ) | (5,750 | ) | (474,831 | ) | 8,981,009 | 814,974 | 143,289 | 143,289 | |||||||||||||||||||||||
Madison Dividend Income Fund Class Y | 10,703,348 | 243,996 | (1,257,700 | ) | 219,332 | (438,745 | ) | 9,470,231 | 362,566 | 88,242 | 88,242 | ||||||||||||||||||||||||
Madison Investors Fund Class Y | 10,662,079 | 150,000 | (796,927 | ) | 91,154 | 3,959 | 10,110,265 | 438,243 | – | – | |||||||||||||||||||||||||
Madison Mid Cap Fund Class Y | 2,365,565 | – | (1,423,057 | ) | 313,845 | (239,423 | ) | 1,016,930 | 99,797 | – | – | ||||||||||||||||||||||||
Totals | $ | 67,632,260 | $ | 393,996 | $ | (4,276,965 | ) | $ | 618,581 | $ | (2,227,690 | ) | $ | 62,140,182 | $ | 661,083 | $ | 661,083 | |||||||||||||||||
Moderate Allocation Fund | |||||||||||||||||||||||||||||||||||
Madison Core Bond Fund Class Y | $ | 42,598,706 | $ | – | $ | (2,997,726 | ) | $ | (142,932 | ) | $ | (1,201,257 | ) | $ | 38,256,791 | 3,960,330 | 520,744 | $ | 520,744 | ||||||||||||||||
Madison Corporate Bond Fund Class Y | 5,062,324 | – | – | – | (240,647 | ) | 4,821,677 | 437,539 | 71,695 | 71,695 | |||||||||||||||||||||||||
Madison Dividend Income Fund Class Y | 28,866,751 | 122,924 | (4,208,452 | ) | 733,358 | (1,287,626 | ) | 24,226,955 | 927,525 | 236,115 | 236,115 | ||||||||||||||||||||||||
Madison Investors Fund Class Y | 28,749,850 | – | (3,966,606 | ) | 786,510 | (507,832 | ) | 25,061,922 | 1,086,343 | – | – | ||||||||||||||||||||||||
Madison Large Cap Value Fund Class Y | 7,757,239 | – | (501,186 | ) | 19,422 | 45,051 | 7,320,526 | 496,307 | – | – | |||||||||||||||||||||||||
Madison Mid Cap Fund Class Y | 4,849,948 | – | (1,751,756 | ) | 398,613 | (228,395 | ) | 3,268,410 | 320,747 | – | – | ||||||||||||||||||||||||
Totals | $ | 117,884,818 | $ | 122,924 | $ | (13,425,726 | ) | $ | 1,794,971 | $ | (3,420,706 | ) | $ | 102,956,281 | $ | 828,554 | $ | 828,554 | |||||||||||||||||
Aggressive Allocation Fund | |||||||||||||||||||||||||||||||||||
Madison Core Bond Fund Class Y | $ | 8,393,210 | $ | – | $ | (1,001,037 | ) | $ | (48,405 | ) | $ | (214,581 | ) | $ | 7,129,187 | 738,011 | $ | 100,579 | $ | 100,579 | |||||||||||||||
Madison Dividend Income Fund Class Y | 11,553,878 | 51,628 | (1,901,249 | ) | 302,107 | (528,884 | ) | 9,477,480 | 362,844 | 95,907 | 95,907 | ||||||||||||||||||||||||
Madison Investors Fund Class Y | 11,490,182 | – | (2,002,361 | ) | 604,380 | (497,396 | ) | 9,594,805 | 415,900 | – | – | ||||||||||||||||||||||||
Madison Large Cap Value Fund Class Y | 4,259,230 | – | (250,170 | ) | 340 | 34,256 | 4,043,656 | 274,146 | – | – | |||||||||||||||||||||||||
Madison Mid Cap Fund Class Y | 4,230,159 | – | (1,641,406 | ) | 348,458 | (228,885 | ) | 2,708,326 | 265,783 | – | – | ||||||||||||||||||||||||
Totals | $ | 39,926,659 | $ | 51,628 | $ | (6,796,223 | ) | $ | 1,206,880 | $ | (1,435,490 | ) | $ | 32,953,454 | $ | 196,486 | $ | 196,486 | |||||||||||||||||
1Distributions received include distributions from net investment income and from capital gains from the underlying funds.
12. SUBSEQUENT EVENTS
Management has evaluated the impact of all subsequent events on the funds through the date the financial statements were available for issue. No other events have taken place that meet the definition of subsequent event that require adjustment to, or disclosure in the financial statements.
60 |
Ultra Series Fund | June 30, 2018 |
Other Information (unaudited) |
FUND EXPENSES PAID BY SHAREHOLDERS
As a shareholder of the funds, you pay no transaction costs, but do incur ongoing costs which include management fees; 12b-1 fees (Class II only); disinterested trustee fees and expenses; brokerage commissions and other expenses incurred in connection with the acquisition or disposition of investments; costs of borrowing money; expenses for independent audits, taxes, and extraordinary expenses as approved by a majority of the disinterested trustees. The examples in the table that follows are intended to help you understand your ongoing costs (in dollars) of investing in the funds and to compare these costs with the ongoing costs of investing in other mutual funds.
The examples below are based on an investment of $1,000 invested for the six-month period ended June 30, 2018. Expenses paid during the period in the table below are equal to each fund’s annualized expense ratio, multiplied by the average account value over the period, multiplied by 181/365 (to reflect the one-half fiscal year period).
Actual Expenses
The table below provides information about actual account values using actual expenses and actual returns for the funds. You may use the information in this table, together with the amount you invested, to estimate the expenses that you paid over the period. Simply divide your account value by $1,000 (for example, an $8,600 account value divided by $1,000 = 8.6), then multiply the result by the number in the table for the fund you own under the heading entitled “Expenses Paid During Period” to estimate the expenses you paid on your account during this period.
ACTUAL EXPENSES | ||||||||||||||||||||||||||||
CLASS I | CLASS II | |||||||||||||||||||||||||||
Fund | Beginning Account Value | Ending Account Value | Annual Expense Ratio | Expenses Paid During Period | Ending Account Value | Annual Expense Ratio | Expenses Paid During Period | |||||||||||||||||||||
Conservative Allocation* | $ | 1,000 | $ | 993.00 | 0.22% | $ | 1.09 | $ | 991.80 | 0.47% | $ | 2.32 | ||||||||||||||||
Moderate Allocation* | 1,000 | 995.70 | 0.22% | 1.09 | 994.50 | 0.47% | 2.32 | |||||||||||||||||||||
Aggressive Allocation* | 1,000 | 999.20 | 0.22% | 1.09 | 998.00 | 0.47% | 2.33 | |||||||||||||||||||||
Core Bond | 1,000 | 981.70 | 0.57% | 2.80 | 980.50 | 0.82% | 4.03 | |||||||||||||||||||||
High Income | 1,000 | 989.00 | 0.77% | 3.80 | 987.70 | 1.02% | 5.03 | |||||||||||||||||||||
Diversified Income | 1,000 | 985.10 | 0.72% | 3.54 | 983.90 | 0.97% | 4.77 | |||||||||||||||||||||
Large Cap Value | 1,000 | 1,009.90 | 0.62% | 3.09 | 1,008.70 | 0.87% | 4.33 | |||||||||||||||||||||
Large Cap Growth | 1,000 | 1,007.90 | 0.82% | 4.08 | 1,006.60 | 1.07% | 5.32 | |||||||||||||||||||||
Mid Cap | 1,000 | 1,034.00 | 0.92% | 4.64 | 1,032.70 | 1.17% | 5.90 | |||||||||||||||||||||
International Stock | 1,000 | 973.40 | 1.17% | 5.72 | 972.20 | 1.42% | 6.94 |
* The annual expense ratio does not include the expenses of the underlying funds.
61 |
Ultra Series Fund | Other Information (unaudited) - continued | June 30, 2018
Hypothetical Example for Comparison Purposes
The table below provides information about hypothetical account values and hypothetical expenses based on the funds’ actual expense ratios and an assumed rate of return of 5% per year before expenses, which are not the funds’ actual returns. The hypothetical account values and 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 costs of investing in the funds and other funds. To do so, compare the 5% hypothetical example of the funds you own with the 5% hypothetical examples that appear in the shareholder reports of other similar funds.
HYPOTHETICAL EXPENSES | ||||||||||||||||||||||||||||
CLASS I | CLASS II | |||||||||||||||||||||||||||
Fund | Beginning Account Value | Ending Account Value | Annual Expense Ratio | Expenses Paid During Period | Ending Account Value | Annual Expense Ratio | Expenses Paid During Period | |||||||||||||||||||||
Conservative Allocation* | $ | 1,000 | $ | 1,023.70 | 0.22% | $ | 1.10 | $ | 1,022.46 | 0.47% | $ | 2.36 | ||||||||||||||||
Moderate Allocation* | 1,000 | 1,023.70 | 0.22% | 1.10 | 1,022.46 | 0.47% | 2.36 | |||||||||||||||||||||
Aggressive Allocation* | 1,000 | 1,023.70 | 0.22% | 1.10 | 1,022.46 | 0.47% | 2.36 | |||||||||||||||||||||
Core Bond | 1,000 | 1,021.97 | 0.57% | 2.86 | 1,020.73 | 0.82% | 4.11 | |||||||||||||||||||||
High Income | 1,000 | 1,020.98 | 0.77% | 3.86 | 1,019.74 | 1.02% | 5.11 | |||||||||||||||||||||
Diversified Income | 1,000 | 1,021.22 | 0.72% | 3.61 | 1,019.98 | 0.97% | 4.86 | |||||||||||||||||||||
Large Cap Value | 1,000 | 1,021.72 | 0.62% | 3.11 | 1,020.48 | 0.87% | 4.36 | |||||||||||||||||||||
Large Cap Growth | 1,000 | 1,020.73 | 0.82% | 4.11 | 1,019.49 | 1.07% | 5.36 | |||||||||||||||||||||
Mid Cap | 1,000 | 1,020.23 | 0.92% | 4.61 | 1,018.99 | 1.17% | 5.86 | |||||||||||||||||||||
International Stock | 1,000 | 1,018.99 | 1.17% | 5.86 | 1,017.75 | 1.42% | 7.10 |
* The annual expense ratio does not include the expenses of the underlying funds.
Please note that the expenses shown in the table are meant to highlight your ongoing costs only and do not reflect any separate account fees, charges, or expenses imposed by the variable annuity or variable life insurance contracts, or retirement and pension plans that use the funds. The information provided in the hypothetical example table is useful in comparing ongoing fund costs only, and will not help you determine the relative total costs of owning different funds. In addition, if these fees, charges or expenses were included, your costs would have been higher.
AVAILABILITY OF QUARTERLY PORTFOLIO SCHEDULES
The Trust files its complete schedule of portfolio holdings with the SEC for the first and third quarters of each fiscal year on Form N-Q. Form N-Q is available to shareholders at no cost by calling 1-800-877-6089, or on the SEC’s website at www.sec.gov. Form N-Q may also be reviewed and copied at the Commission’s Public Reference Room in Washington, DC. More information on the operation of the Public Reference Room may be obtained by calling 1-800-SEC-0330. Form N-Q and other information about the Trust are available on the EDGAR database on the SEC’s Internet site at www.sec.gov. Copies of this information may also be obtained, upon payment of a duplicating fee, by electronic request at the following email address: publicinfo@sec.gov, or by writing the SEC’s Public Reference Section, Washington, DC 20549-0102.
PROXY VOTING POLICIES, PROCEDURES AND RECORDS
A description of the policies and procedures used by the Trust to vote proxies related to portfolio securities is available to shareholders at no cost by calling 1-800-877-6089, or on the SEC’s website at www.sec.gov and is also located in the funds’ Statement of Additional Information. The proxy voting records for the Trust for the most recent twelve-month period ended June 30 are available to shareholders at no cost on the SEC’s website at www.sec.gov.
62 |
Ultra Series Fund | Other Information (unaudited) - concluded | June 30, 2018
FORWARD-LOOKING STATEMENT DISCLOSURE
One of our most important responsibilities as investment company managers is to communicate with shareholders in an open and direct manner. Some of our comments in the Economic Overview and Market Outlook are based on current management expectations and are considered “forward-looking statements.” Actual future results, however, may prove to be different from our expectations. You can identify forward-looking statements by words such as “estimate,” “may,” “will,” “expect,” “believe,” “plan” and other similar terms. We cannot promise future returns. Our opinions are a reflection of our best judgment at the time this report is compiled, and we disclaim any obligation to update or after forward-looking statements as a result of new information, future events, or otherwise.
SEC File Number: 811-04815
63 |
This page was intentionally left blank.
Semi-Annual Report |
June 30, 2018 |
Ultra Series Madison Target Retirement 2020 Fund
Ultra Series Madison Target Retirement 2030 Fund
Ultra Series Madison Target Retirement 2040 Fund
Ultra Series Madison Target Retirement 2050 Fund
Ultra Series Fund | June 30, 2018
Table of Contents |
Page | ||
Economic Overview and Market Outlook | 2 | |
Review of Period | 2 | |
Madison Target Retirement 2020 Fund | 2 | |
Madison Target Retirement 2030 Fund | 2 | |
Madison Target Retirement 2040 Fund | 3 | |
Madison Target Retirement 2050 Fund | 3 | |
Benchmark Descriptions | 4 | |
Portfolios of Investments | ||
Madison Target Retirement 2020 Fund | 5 | |
Madison Target Retirement 2030 Fund | 5 | |
Madison Target Retirement 2040 Fund | 5 | |
Madison Target Retirement 2050 Fund | 5 | |
Financial Statements | ||
Statements of Assets and Liabilities | 6 | |
Statements of Operations | 7 | |
Statements of Changes in Net Assets | 8 | |
Financial Highlights for a Share of Beneficial Interest Outstanding | 9 | |
Notes to Financial Statements | 11 | |
Other Information | 15 |
Nondeposit investment products are not federally insured, involve investment risk, may lose value and are not obligations of or guaranteed by any financial institution. For more complete information about Ultra Series Fund, including charges and expenses, request a prospectus from your plan administrator or call CUNA Mutual Retirement Solutions at 1-800-999-8786. Consider the investment objectives, risks, and charges and expenses of any fund carefully before investing. The prospectus contains this and other information about the investment company. For more current Ultra Series Fund performance information, please call 1-800-670-3600. Current performance may be lower or higher than the performance data quoted within. Past performance does not guarantee future results. Nothing in this report represents a recommendation of a security by the investment adviser. Portfolio holdings may have changed since the date of this report.
1 |
Ultra Series Fund | June 30, 2018
Economic Overview and Market Outlook
Volatility continued in the second quarter with both stocks and bonds experiencing large swings as investors reacted to shifting interest rates, robust corporate earnings, trade tensions and continued tightening of U.S. monetary policy. Despite the rough ride, U.S. stocks posted gains with the S&P 500® Index advancing 3.43%, and the Russell Midcap® Index gaining 2.82%. Bond returns were flat to negative as interest rates increased, resulting in the Bloomberg Barclays Intermediate Gov./Credit Index advancing 0.01% and the Bloomberg Barclays U.S. Aggregate Bond Index declining (0.16)% during the quarter. Although U.S. equity markets were positive, continued concerns over trade policy led to losses in overseas stocks as the MSCI EAFE® Index (net) declined (1.24)% (+3.47% excluding currency effect).
Much of this year’s stock market gain has been fueled by technology companies. In fact, the trend has been so powerful that Amazon (up 45.4% YTD) alone has accounted for nearly one-third of the S&P 500®’s return. The top 10 contributors to the S&P 500® return so far in 2018 are all technology related companies. Without those companies, the Index return would be negative for the year. Somewhat reminiscent of the 2000’s tech bubble, this dominance has resulted in a skew of the S&P 500® Index away from defensive companies leaving investors in index-tracking funds overexposed to richly valued stocks that may be vulnerable to a market pull-back.
During the quarter, trade tensions were a key source of volatility. It remains unclear whether the most extreme threats of tariffs are merely the administration’s opening salvo or legitimately likely to occur. Most recently, the administration announced potential tariffs on an additional $200 billion of imports from China, on top of the $50 billion that had already been announced. Restrictions over Chinese investments in U.S. technology and a 20% tariff on European autos were also threatened. Without doubt, these actions have impacted markets as China’s Shanghai Composite Index declined over 20%, putting it into “bear” territory. The direct impact of these tariffs may be apparent. Less clear are the second-order effects, such as, the impact on business confidence, supply-chain disruptions, a stronger dollar and retaliatory actions. As we have pointed out in the past, while there are winners and losers in global trade, aggregate trade is beneficial to global economic growth. Any significant disruption of trade will likely result in a downshift of global growth expectations.
Meanwhile, the Federal Reserve (Fed) voted to raise its short-term interest rate by 0.25% (to a range of 1.75% to 2.00%) and continued to shrink its balance sheet. Since last September, the Fed’s holdings have declined by $128 billion (to $4.1 trillion). Starting in July, the pace of unwinding is scheduled to increase to a rate of $120 billion per quarter (up from $90 billion in the current quarter). At the same time the U.S. government is increasing its sale of Treasuries to cover the larger budget deficit from recent tax cuts. Projections indicate net issuance of $1.17 trillion this year and a similar amount in 2019. All things being equal, the additional supply of debt securities should continue to pressure interest rates higher.
As we pointed out last quarter, this year’s increase in volatility is just a return to a more typical pattern of ups and downs that the market traditionally exhibits. What makes it notable is the historic lack of volatility in 2017 that lulled investors into thinking there wasn’t much “risk” in “risky” assets. The S&P 500® first quarter earnings were excellent, with growth greater than 25% on a year-over-year basis, the best rate since 2010. While tax reform influenced these results, the biggest driver was accelerating economic growth. Data from the Manufacturing Sector indicated robust growth (ISM Index averaged near 60 on a year-to-date basis) and a 20% jump in oil prices helped drive strong results in the Energy Sector (the best performing sector in the S&P 500® for 2Q).
As we begin the second-half of 2018, continued volatility should be expected as the market weighs accelerating U.S. economic growth, robust earnings and strong employment figures against tighter monetary policy, higher interest rates and escalating trade tensions. The near record length economic expansion will come to an end at some point and markets will likely sell off in advance. Accurately predicting that point is nearly impossible, making market timing a futile endeavor. With this in mind, we continue to believe investors are best served by choosing risk assets based upon investment time horizon and risk tolerance. This approach, along with investing in stocks of lower-risk, higher-quality companies and shorter-duration, higher-quality bonds, should allow investors to participate in the market while providing some shelter as we experience more typical market volatility.
Review of Period (unaudited)
MADISON TARGET RETIREMENT 2020 FUND |
INVESTMENT STRATEGY HIGHLIGHTS |
The Ultra Series Madison Target Retirement 2020 Fund invests primarily in shares of registered investment companies according to an asset allocation strategy developed by the Fund’s investment adviser for investors planning to retire in or within a few years of 2020. Over time, the Fund’s asset allocation will gradually shift until it reaches the more conservative allocation target of approximately 10-30% in stock funds and 70-90% in bond funds. The asset allocation strategy is designed to reduce the volatility of investment returns in the later years while still providing the potential for higher total returns over the target period.
PERFORMANCE |
The Ultra Series Madison Target Retirement 2020 Fund (Class I) returned (0.43)% during the period, underperforming the S&P Target Date® To 2020 Index which returned 0.02% and the Morningstar Target Date 2020 Category peer group which returned (0.22)%.
GOLDMAN SACHS: TARGET DATE 2020 PORTFOLIO - UNDERLYING TARGET DATE FUND PORTFOLIO ALLOCATION AS A PERCENTAGE OF NET ASSETS AS OF 6/30/18 | ||
Alternative Funds | 1.5% | |
Bond Funds | 60.8% | |
Foreign Stock Funds | 10.3% | |
Stock Funds | 18.3% | |
Investment Companies | 4.5% | |
Other Assets in Excess of Liabilities | 4.6% |
MADISON TARGET RETIREMENT 2030 FUND |
INVESTMENT STRATEGY HIGHLIGHTS |
The Ultra Series Madison Target Retirement 2030 Fund invests primarily in shares of registered investment companies according to an asset allocation strategy developed by the Fund’s investment adviser for investors planning to retire in or within a few years of 2030. Over time, the Fund’s asset allocation will gradually shift until it reaches the more conservative allocation target of approximately 10-30% in stock funds and 70-90% in bond funds. The asset allocation strategy is designed to reduce the volatility of investment returns in the later years while still providing the potential for higher total returns over the target period.
PERFORMANCE |
The Ultra Series Madison Target Retirement 2030 Fund (Class I) returned 0.09% during the period, underperforming the S&P Target Date® To 2030 Index, which returned 0.28%, while matching the Morningstar Target Date 2030 Category peer group, which returned 0.09%.
2 |
Ultra Series Fund | Review of Period (unaudited) - continued | June 30, 2018
GOLDMAN SACHS: TARGET DATE 2030 PORTFOLIO - UNDERLYING TARGET DATE FUND PORTFOLIO ALLOCATION AS A PERCENTAGE OF NET ASSETS AS OF 6/30/18 | ||
Alternative Funds | 2.0% | |
Bond Funds | 34.6% | |
Foreign Stock Funds | 20.1% | |
Stock Funds | 36.0% | |
Investment Companies | 2.5% | |
Other Assets in Excess of Liabilities | 4.8% |
MADISON TARGET RETIREMENT 2040 FUND |
INVESTMENT STRATEGY HIGHLIGHTS |
The Ultra Series Madison Target Retirement 2040 Fund invests primarily in shares of registered investment companies according to an asset allocation strategy developed by the Fund’s investment adviser for investors planning to retire in or within a few years of 2040. Over time, the Fund’s asset allocation will gradually shift until it reaches the more conservative allocation target of approximately 10-30% in stock funds and 70-90% in bond funds. The asset allocation strategy is designed to reduce the volatility of investment returns in the later years while still providing the potential for higher total returns over the target period.
PERFORMANCE |
The Ultra Series Madison Target Retirement 2040 Fund (Class I) returned 0.29% during the period, underperforming the S&P Target Date® To 2040 Index, which returned 0.60% and the Morningstar Target Date 2040 Category peer group, which returned 0.38%.
GOLDMAN SACHS: TARGET DATE 2040 PORTFOLIO - UNDERLYING TARGET DATE FUND PORTFOLIO ALLOCATION AS A PERCENTAGE OF NET ASSETS AS OF 6/30/18 | ||
Alternative Funds | 2.0% | |
Bond Funds | 25.6% | |
Foreign Stock Funds | 23.6% | |
Stock Funds | 42.7% | |
Investment Companies | 1.5% | |
Other Assets in Excess of Liabilities | 4.6% |
MADISON TARGET RETIREMENT 2050 FUND |
INVESTMENT STRATEGY HIGHLIGHTS |
The Ultra Series Madison Target Retirement 2050 Fund invests primarily in shares of registered investment companies according to an asset allocation strategy developed by the Fund’s investment adviser for investors planning to retire in or within a few years of 2050. Over time, the Fund’s asset allocation will gradually shift until it reaches the more conservative allocation target of approximately 10-30% in stock funds and 70-90% in bond funds. The asset allocation strategy is designed to reduce the volatility of investment returns in the later years while still providing the potential for higher total returns over the target period.
PERFORMANCE |
The Ultra Series Madison Target Retirement 2050 Fund (Class I) returned 0.27% during the period, underperforming the S&P Target Date® To 2050 Index which returned 0.64% and the Morningstar Target Date 2050 Category peer group, which returned 0.61%.
GOLDMAN SACHS: TARGET DATE 2050 PORTFOLIO - UNDERLYING TARGET DATE FUND PORTFOLIO ALLOCATION AS A PERCENTAGE OF NET ASSETS AS OF 6/30/18 | ||
Alternative Funds | 2.0% | |
Bond Funds | 16.6% | |
Foreign Stock Funds | 27.3% | |
Stock Funds | 49.4% | |
Investment Companies | 0.5% | |
Other Assets in Excess of Liabilities | 4.2% |
3 |
Ultra Series Fund | Review of Period (unaudited) - concluded | June 30, 2018
BENCHMARK DESCRIPTIONS
The S&P Target Date® To Index Series
The S&P Target Date® “To” Index Series consists of multi-asset class indices, and corresponds to specific target retirement dates. The series reflects the consensus asset allocation and glide path of a subset of target date funds that generally pursue investment policies characterized by static total equity exposure after retirement and a relatively conservative total equity exposure near retirement. As the overall universe becomes more conservative with the approach of each target date year, so will the index. The asset allocation is based on market observations through an annual survey of “to” target date fund managers, and is categorized by S&P Dow Jones Indices.
• | The S&P Target Date® To 2020 Index is a benchmark for multi-class asset portfolios that corresponds to the target retirement date 2020. | |
• | The S&P Target Date® To 2030 Index is a benchmark for multi-class asset portfolios that corresponds to the target retirement date 2030. | |
• | The S&P Target Date® To 2040 Index is a benchmark for multi-class asset portfolios that corresponds to the target retirement date 2040. | |
• | The S&P Target Date® To 2050 Index is a benchmark for multi-class asset portfolios that corresponds to the target retirement date 2050. |
MARKET INDEXES
The Bloomberg Barclays Intermediate Government Credit Index measures the investment grade, U.S. dollar-denominated, fixed-rate, taxable corporate and government related bond markets. It is composed of the U.S. corporate index and a non-corporate component that includes foreign agencies, sovereigns, supranationals and local authorities.
The Bloomberg Barclays U.S. Aggregate Bond Index is a broad-based flagship benchmark that measures the investment grade, U.S. dollar-denominated, fixed-rate taxable bond market. The index includes Treasuries, government-related and corporate securities, mortgage backed securities, asset backed securities and commercial mortgage-backed securities.
The MSCI EAFE (Europe, Australasia & Far East) Index (net) is a free float-adjusted market capitalization index that is designed to measure developed market equity performance, excluding the U.S. and Canada. The MSCI EAFE Index (net) is calculated on a total return basis with dividends reinvested after the deduction of withholding taxes.
The Russell Midcap® Index is a mid-cap market index which measures the performance of the mid-cap segment of the U.S. equity universe.
The S&P 500® Index is a large-cap market index which measures the performance of a representative sample of 500 leading companies in leading industries in the U.S.
© Morningstar, Inc. All rights reserved. The information contained herein: (1) is proprietary to Morningstar and/or its content providers; (2) may not be copied or distributed; and (3) is not warranted to be accurate, complete, or timely. Neither Morningstar nor its content providers are responsible for any damages or losses arising from any use of this information.
Past performance is no guarantee of future results.
Russell Investment Group is the source and owner of the trademarks, service marks and copyrights related to the Russell Indexes. Russell® is a trademark of Russell Investment Group.
4 |
Ultra Series Fund | June 30, 2018
Madison Target Retirement 2020 Fund Portfolio of Investments (unaudited) |
Shares | Value (Note 2) | ||||||
INVESTMENT COMPANIES - 99.6% | |||||||
Target Date Fund - 99.6%* | |||||||
Goldman Sachs Target Date 2020 Portfolio, Class R6 | 4,685,656 | $ | 43,529,748 | ||||
TOTAL INVESTMENTS - 99.6% (Cost $42,481,263**) | 43,529,748 | ||||||
NET OTHER ASSETS AND LIABILITIES - 0.4% | 167,654 | ||||||
TOTAL NET ASSETS - 100.0% | $ | 43,697,402 | |||||
* | See Appendix A for a complete listing of holdings of the underlying Target Date Fund. | |
** | Aggregate cost for Federal tax purposes was $42,481,263. |
Madison Target Retirement 2030 Fund Portfolio of Investments (unaudited) |
Shares | Value (Note 2) | ||||||
INVESTMENT COMPANIES - 99.3% | |||||||
Target Date Fund - 99.3%* | |||||||
Goldman Sachs Target Date 2030 Portfolio, Class R6 | 7,632,544 | $ | 72,280,190 | ||||
TOTAL INVESTMENTS - 99.3% (Cost $66,415,822**) | 72,280,190 | ||||||
NET OTHER ASSETS AND LIABILITIES - 0.7% | 533,756 | ||||||
TOTAL NET ASSETS - 100.0% | $ | 72,813,946 | |||||
* | See Appendix A for a complete listing of holdings of the underlying Target Date Fund. | |
** | Aggregate cost for Federal tax purposes was $66,415,822. |
Madison Target Retirement 2040 Fund Portfolio of Investments (unaudited) |
Shares | Value (Note 2) | ||||||
INVESTMENT COMPANIES - 97.9% | |||||||
Target Date Fund - 97.9%* | |||||||
Goldman Sachs Target Date 2040 Portfolio, Class R6 | 5,265,196 | $ | 48,755,717 | ||||
TOTAL INVESTMENTS - 97.9% (Cost $44,429,818**) | 48,755,717 | ||||||
NET OTHER ASSETS AND LIABILITIES - 2.1% | 1,051,444 | ||||||
TOTAL NET ASSETS - 100.0% | $ | 49,807,161 | |||||
* | See Appendix A for a complete listing of holdings of the underlying Target Date Fund. | |
** | Aggregate cost for Federal tax purposes was $44,429,818. |
Madison Target Retirement 2050 Fund Portfolio of Investments (unaudited) |
Shares | Value (Note 2) | ||||||
INVESTMENT COMPANIES - 98.5% | |||||||
Target Date Fund - 98.5%* | |||||||
Goldman Sachs Target Date 2050 Portfolio, Class R6 | 2,688,716 | $ | 27,908,872 | ||||
TOTAL INVESTMENTS - 98.5% (Cost $23,896,905**) | 27,908,872 | ||||||
NET OTHER ASSETS AND LIABILITIES - 1.5% | 413,549 | ||||||
TOTAL NET ASSETS - 100.0% | $ | 28,322,421 | |||||
* | See Appendix A for a complete listing of holdings of the underlying Target Date Fund. | |
** | Aggregate cost for Federal tax purposes was $23,896,905. |
See accompanying Notes to Financial Statements. |
5 |
Ultra Series Fund | June 30, 2018
Statements of Assets and Liabilities as of June 30, 2018 (unaudited) |
Madison | Madison | Madison | Madison | |||||||||||||
Target | Target | Target | Target | |||||||||||||
Retirement | Retirement | Retirement | Retirement | |||||||||||||
2020 Fund | 2030 Fund | 2040 Fund | 2050 Fund | |||||||||||||
Assets: | ||||||||||||||||
Investments in unaffiliated securities, at fair value† | $ | 43,529,748 | $ | 72,280,190 | $ | 48,755,717 | $ | 27,908,872 | ||||||||
Cash | 118,776 | 489,180 | 989,024 | 361,653 | ||||||||||||
Receivables: | ||||||||||||||||
Fund shares sold | 48,878 | 44,576 | 62,420 | 51,896 | ||||||||||||
Total assets | 43,697,402 | 72,813,946 | 49,807,161 | 28,322,421 | ||||||||||||
Liabilities: | ||||||||||||||||
Total liabilities | – | – | – | – | ||||||||||||
Net Assets applicable to outstanding capital stock | $ | 43,697,402 | $ | 72,813,946 | $ | 49,807,161 | $ | 28,322,421 | ||||||||
Net Assets consist of: | ||||||||||||||||
Paid-in capital in excess of par | $ | 42,725,746 | $ | 66,993,748 | $ | 45,498,884 | $ | 24,326,460 | ||||||||
Accumulated net realized loss on investments sold | (76,829 | ) | (44,170 | ) | (17,622 | ) | (16,006 | ) | ||||||||
Net unrealized appreciation of investments | 1,048,485 | 5,864,368 | 4,325,899 | 4,011,967 | ||||||||||||
Net Assets | $ | 43,697,402 | $ | 72,813,946 | $ | 49,807,161 | $ | 28,322,421 | ||||||||
Net Assets | $ | 43,697,402 | $ | 72,813,946 | $ | 49,807,161 | $ | 28,322,421 | ||||||||
Shares of beneficial interest outstanding | 5,545,055 | 8,937,988 | 6,594,504 | 2,080,655 | ||||||||||||
Net Asset Value and redemption price per share | $ | 7.88 | $ | 8.15 | $ | 7.55 | $ | 13.61 | ||||||||
†Cost of Investments in unaffiliated securities | $ | 42,481,263 | $ | 66,415,822 | $ | 44,429,818 | $ | 23,896,905 |
See accompanying Notes to Financial Statements. |
6 |
Ultra Series Fund | June 30, 2018
Statements of Operations for the Six-Months Ended June 30, 2018 (unaudited) |
Madison | Madison | Madison | Madison | |||||||||||||
Target | Target | Target | Target | |||||||||||||
Retirement | Retirement | Retirement | Retirement | |||||||||||||
2020 Fund | 2030 Fund | 2040 Fund | 2050 Fund | |||||||||||||
Investment Income | ||||||||||||||||
Total investment income | $ | – | $ | – | $ | – | $ | – | ||||||||
Expenses1 | ||||||||||||||||
Total expenses | – | – | – | – | ||||||||||||
Net Investment Income | – | – | – | – | ||||||||||||
Net Realized and Unrealized Gain (Loss) on Investments | ||||||||||||||||
Net realized loss on investments | ||||||||||||||||
Unaffiliated issuers | (76,788 | ) | (44,100 | ) | (17,563 | ) | (15,807 | ) | ||||||||
Net change in unrealized appreciation (depreciation) on investments | ||||||||||||||||
Unaffiliated issuers | (141,969 | ) | 89,744 | 110,461 | 70,347 | |||||||||||
Net Realized and Unrealized Gain (Loss) on Investments | (218,757 | ) | 45,644 | 92,898 | 54,540 | |||||||||||
Net Increase (Decrease) in Net Assets from Operations | $ | (218,757 | ) | $ | 45,644 | $ | 92,898 | $ | 54,540 | |||||||
1 | See Note 3 for information on expenses. |
See accompanying Notes to Financial Statements. |
7 |
Ultra Series Fund | June 30, 2018
Statements of Changes in Net Assets |
Madison Target | Madison Target | Madison Target | Madison Target | |||||||||||||||||||||||||||||
Retirement 2020 Fund | Retirement 2030 Fund | Retirement 2040 Fund | Retirement 2050 Fund | |||||||||||||||||||||||||||||
(unaudited) Six-Months Ended 6/30/18 | Year Ended 12/31/17 | (unaudited) Six-Months Ended 6/30/18 | Year Ended 12/31/17 | (unaudited) Six-Months Ended 6/30/18 | Year Ended 12/31/17 | (unaudited) Six-Months Ended 6/30/18 | Year Ended 12/31/17 | |||||||||||||||||||||||||
Net Assets at beginning of period | $ | 47,510,099 | $ | 51,485,211 | $ | 74,415,412 | $ | 75,564,099 | $ | 49,909,305 | $ | 49,514,964 | $ | 28,231,062 | $ | 23,441,816 | ||||||||||||||||
Increase (decrease) in net assets from operations: | ||||||||||||||||||||||||||||||||
Net investment income | – | 919,244 | – | 1,318,624 | – | 881,184 | – | 464,321 | ||||||||||||||||||||||||
Net realized gain (loss) | (76,788 | ) | 3,453,107 | (44,100 | ) | 8,237,306 | (17,563 | ) | 6,387,722 | (15,807 | ) | 1,667,011 | ||||||||||||||||||||
Net change in unrealized appreciation (depreciation) | (141,969 | ) | (460,954 | ) | 89,744 | (360,994 | ) | 110,461 | (199,904 | ) | 70,347 | 1,914,989 | ||||||||||||||||||||
Net increase (decrease) in net assets from operations | (218,757 | ) | 3,911,397 | 45,644 | 9,194,936 | 92,898 | 7,069,002 | 54,540 | 4,046,321 | |||||||||||||||||||||||
Distributions to shareholders from: | ||||||||||||||||||||||||||||||||
Net investment income | (40,702 | ) | (2,015,556 | ) | (61,709 | ) | (3,054,046 | ) | (43,427 | ) | (2,151,191 | ) | (20,690 | ) | (1,024,758 | ) | ||||||||||||||||
Net realized gains | (46,785 | ) | (2,322,168 | ) | (129,478 | ) | (6,383,202 | ) | (102,008 | ) | (5,032,525 | ) | (21,955 | ) | (1,089,381 | ) | ||||||||||||||||
Total distributions | (87,487 | ) | (4,337,724 | ) | (191,187 | ) | (9,437,248 | ) | (145,435 | ) | (7,183,716 | ) | (42,645 | ) | (2,114,139 | ) | ||||||||||||||||
Capital Stock transactions: | ||||||||||||||||||||||||||||||||
Shares sold | 3,395,794 | 9,256,576 | 6,315,817 | 16,154,343 | 5,008,976 | 11,720,477 | 3,650,041 | 8,936,678 | ||||||||||||||||||||||||
Issued to shareholders in reinvestment of distributions | 87,487 | 4,337,724 | 191,187 | 9,437,248 | 145,435 | 7,183,716 | 42,645 | 2,114,139 | ||||||||||||||||||||||||
Shares redeemed | (6,989,734 | ) | (17,143,085 | ) | (7,962,927 | ) | (26,497,966 | ) | (5,204,018 | ) | (18,395,138 | ) | (3,613,222 | ) | (8,193,753 | ) | ||||||||||||||||
Total increase (decrease) from capital stock transactions | (3,506,453 | ) | (3,548,785 | ) | (1,455,923 | ) | (906,375 | ) | (49,607 | ) | 509,055 | 79,464 | 2,857,064 | |||||||||||||||||||
Total increase (decrease) in net assets | (3,812,697 | ) | (3,975,112 | ) | (1,601,466 | ) | (1,148,687 | ) | (102,144 | ) | 394,341 | 91,359 | 4,789,246 | |||||||||||||||||||
Net Assets at end of period | $ | 43,697,402 | $ | 47,510,099 | $ | 72,813,946 | $ | 74,415,412 | $ | 49,807,161 | $ | 49,909,305 | $ | 28,322,421 | $ | 28,231,062 | ||||||||||||||||
Undistributed net investment income included in net assets | $ | – | $ | 40,702 | $ | – | $ | 61,709 | $ | – | $ | 43,427 | $ | – | $ | 20,690 | ||||||||||||||||
Capital Share transactions: | ||||||||||||||||||||||||||||||||
Shares sold | 430,416 | 1,111,956 | 769,493 | 1,865,076 | 656,746 | 1,450,582 | 265,320 | 665,071 | ||||||||||||||||||||||||
Issued to shareholders in reinvestment of distributions | 11,066 | 546,600 | 23,200 | 1,155,850 | 18,974 | 950,506 | 3,074 | 155,502 | ||||||||||||||||||||||||
Shares redeemed | (887,359 | ) | (2,058,707 | ) | (974,017 | ) | (3,051,129 | ) | (689,449 | ) | (2,252,898 | ) | (264,180 | ) | (609,415 | ) | ||||||||||||||||
Net increase (decrease) from capital share transactions | (445,877 | ) | (400,151 | ) | (181,324 | ) | (30,203 | ) | (13,729 | ) | 148,190 | 4,214 | 211,158 | |||||||||||||||||||
See accompanying Notes to Financial Statements. |
8 |
Ultra Series Fund | June 30, 2018
Financial Highlights for a Share of Beneficial Interest Outstanding |
MADISON TARGET RETIREMENT 2020 FUND | ||||||||||||||||||||||||
(unaudited) | Year Ended December 31, | |||||||||||||||||||||||
Six-Months | ||||||||||||||||||||||||
Ended 6/30/18 | 2017 | 2016 | 2015 | 2014 | 2013 | |||||||||||||||||||
Net Asset Value at beginning of period | $ | 7.93 | $ | 8.06 | $ | 8.04 | $ | 8.67 | $ | 8.76 | $ | 8.31 | ||||||||||||
Income from Investment Operations: | ||||||||||||||||||||||||
Net investment income | – | 0.19 | 0.15 | 1 | 0.13 | 1 | 0.19 | 1 | 0.21 | 1 | ||||||||||||||
Net realized and unrealized gain (loss) on investments | (0.03 | ) | 0.48 | 0.32 | (0.15 | ) | 0.42 | 0.70 | ||||||||||||||||
Total from investment operations | (0.03 | ) | 0.67 | 0.47 | (0.02 | ) | 0.61 | 0.91 | ||||||||||||||||
Less Distributions From: | ||||||||||||||||||||||||
Net investment income | (0.01 | ) | (0.37 | ) | (0.18 | ) | (0.20 | ) | (0.24 | ) | (0.22 | ) | ||||||||||||
Capital gains | (0.01 | ) | (0.43 | ) | (0.27 | ) | (0.41 | ) | (0.46 | ) | (0.24 | ) | ||||||||||||
Total distributions | (0.02 | ) | (0.80 | ) | (0.45 | ) | (0.61 | ) | (0.70 | ) | (0.46 | ) | ||||||||||||
Net increase (decrease) in net asset value | (0.05 | ) | (0.13 | ) | 0.02 | (0.63 | ) | (0.09 | ) | 0.45 | ||||||||||||||
Net Asset Value at end of period | $ | 7.88 | $ | 7.93 | $ | 8.06 | $ | 8.04 | $ | 8.67 | $ | 8.76 | ||||||||||||
Total Return (%)2 | (0.43 | )3 | 8.34 | 5.68 | (0.34 | ) | 7.11 | 10.94 | ||||||||||||||||
Ratios/Supplemental Data: | ||||||||||||||||||||||||
Net Assets at end of period (in 000’s) | $ | 43,697 | $ | 47,510 | $ | 51,485 | $ | 52,858 | $ | 62,087 | $ | 70,472 | ||||||||||||
Ratios of expenses to average net assets: | ||||||||||||||||||||||||
Before reimbursement of expenses by Adviser (%) | 0.00 | 4,5 | 0.00 | 4 | 0.00 | 4 | 0.00 | 4,6 | 0.30 | 0.30 | ||||||||||||||
After reimbursement of expenses by Adviser (%) | 0.00 | 4,5 | 0.00 | 4 | 0.00 | 4 | 0.00 | 4,6 | 0.21 | 7 | 0.30 | |||||||||||||
Ratio of net investment income to average net assets (%) | 0.00 | 4,5 | 1.89 | 4 | 1.80 | 4 | 1.51 | 4 | 2.08 | 2.37 | ||||||||||||||
Portfolio turnover (%)8 | 1 | 3 | 9 | 7 | 7 | 142 | 167 |
MADISON TARGET RETIREMENT 2030 FUND | ||||||||||||||||||||||||
(unaudited) | Year Ended December 31, | |||||||||||||||||||||||
Six-Months | ||||||||||||||||||||||||
Ended 6/30/18 | 2017 | 2016 | 2015 | 2014 | 2013 | |||||||||||||||||||
Net Asset Value at beginning of period | $ | 8.16 | $ | 8.26 | $ | 8.08 | $ | 8.77 | $ | 8.92 | $ | 8.04 | ||||||||||||
Income from Investment Operations: | ||||||||||||||||||||||||
Net investment income | – | 0.19 | 0.16 | 1 | 0.13 | 1 | 0.18 | 1 | 0.19 | 1 | ||||||||||||||
Net realized and unrealized gain (loss) on investments | 0.01 | 0.89 | 0.44 | (0.21 | ) | 0.54 | 1.13 | |||||||||||||||||
Total from investment operations | 0.01 | 1.08 | 0.60 | (0.08 | ) | 0.72 | 1.32 | |||||||||||||||||
Less Distributions From: | ||||||||||||||||||||||||
Net investment income | (0.01 | ) | (0.38 | ) | (0.17 | ) | (0.18 | ) | (0.22 | ) | (0.18 | ) | ||||||||||||
Capital gains | (0.01 | ) | (0.80 | ) | (0.25 | ) | (0.43 | ) | (0.65 | ) | (0.26 | ) | ||||||||||||
Total distributions | (0.02 | ) | (1.18 | ) | (0.42 | ) | (0.61 | ) | (0.87 | ) | (0.44 | ) | ||||||||||||
Net increase (decrease) in net asset value | (0.01 | ) | (0.10 | ) | 0.18 | (0.69 | ) | (0.15 | ) | 0.88 | ||||||||||||||
Net Asset Value at end of period | $ | 8.15 | $ | 8.16 | $ | 8.26 | $ | 8.08 | $ | 8.77 | $ | 8.92 | ||||||||||||
Total Return (%)2 | 0.09 | 3 | 13.18 | 7.35 | (0.86 | ) | 8.06 | 16.56 | ||||||||||||||||
Ratios/Supplemental Data: | ||||||||||||||||||||||||
Net Assets at end of period (in 000’s) | $ | 72,814 | $ | 74,415 | $ | 75,564 | $ | 74,258 | $ | 84,935 | $ | 93,187 | ||||||||||||
Ratios of expenses to average net assets: | ||||||||||||||||||||||||
Before reimbursement of expenses by Adviser (%) | 0.00 | 4,5 | 0.00 | 4 | 0.00 | 4 | 0.00 | 4,6 | 0.30 | 0.30 | ||||||||||||||
After reimbursement of expenses by Adviser (%) | 0.00 | 4,5 | 0.00 | 4 | 0.00 | 4 | 0.00 | 4,6 | 0.21 | 7 | 0.30 | |||||||||||||
Ratio of net investment income to average net assets (%) | 0.00 | 4,5 | 1.78 | 4 | 1.95 | 4 | 1.51 | 4 | 1.98 | 2.16 | ||||||||||||||
Portfolio turnover (%)8 | 2 | 3 | 13 | 6 | 7 | 103 | 136 |
1 | Based on average shares outstanding during the year. |
2 | These returns are after all charges at the mutual fund level have been subtracted. These returns are higher than the returns at the separate account level because charges made at the separate account level have not been subtracted. Total returns are not annualized for periods less than one year. |
3 | Not annualized. |
4 | Amount does not include income or expenses of the underlying GS Target Date Portfolio, nor the underlying expenses of the funds held by the GS Target Date Portfolio. See Note 1 for an explanation of the Fund organizational structure and current prospectus for more complete information regarding the charges and expenses of the Fund. |
5 | Annualized. |
6 | Amounts represent less than 0.01%. |
7 | Amount includes fees waived by adviser (see Note 3). |
8 | Portfolio turnover is calculated at the fund level and represents the entire fiscal year or period. |
See accompanying Notes to Financial Statements. |
9 |
Ultra Series Fund | June 30, 2018
Financial Highlights for a Share of Beneficial Interest Outstanding |
MADISON TARGET RETIREMENT 2040 FUND | ||||||||||||||||||||||||
(unaudited) | Year Ended December 31, | |||||||||||||||||||||||
Six-Months | ||||||||||||||||||||||||
Ended 6/30/18 | 2017 | 2016 | 2015 | 2014 | 2013 | |||||||||||||||||||
Net Asset Value at beginning of period | $ | 7.55 | $ | 7.66 | $ | 7.54 | $ | 8.37 | $ | 8.68 | $ | 7.61 | ||||||||||||
Income from Investment Operations: | ||||||||||||||||||||||||
Net investment income | – | 0.19 | 0.16 | 1 | 0.13 | 1 | 0.17 | 1 | 0.17 | 1 | ||||||||||||||
Net realized and unrealized gain (loss) on investments | 0.03 | 0.97 | 0.46 | (0.20 | ) | 0.55 | 1.32 | |||||||||||||||||
Total from investment operations | 0.03 | 1.16 | 0.62 | (0.07 | ) | 0.72 | 1.49 | |||||||||||||||||
Less Distributions From: | ||||||||||||||||||||||||
Net investment income | (0.01 | ) | (0.38 | ) | (0.19 | ) | (0.19 | ) | (0.22 | ) | (0.16 | ) | ||||||||||||
Capital gains | (0.02 | ) | (0.89 | ) | (0.31 | ) | (0.57 | ) | (0.81 | ) | (0.26 | ) | ||||||||||||
Total distributions | (0.03 | ) | (1.27 | ) | (0.50 | ) | (0.76 | ) | (1.03 | ) | (0.42 | ) | ||||||||||||
Net increase (decrease) in net asset value | 0.00 | (0.11 | ) | 0.12 | (0.83 | ) | (0.31 | ) | 1.07 | |||||||||||||||
Net Asset Value at end of period | $ | 7.55 | $ | 7.55 | $ | 7.66 | $ | 7.54 | $ | 8.37 | $ | 8.68 | ||||||||||||
Total Return (%)2 | 0.29 | 3 | 15.16 | 8.31 | (1.01 | ) | 8.27 | 19.63 | ||||||||||||||||
Ratios/Supplemental Data: | ||||||||||||||||||||||||
Net Assets at end of period (in 000’s) | $ | 49,807 | $ | 49,909 | $ | 49,515 | $ | 49,576 | $ | 59,499 | $ | 68,917 | ||||||||||||
Ratios of expenses to average net assets: | ||||||||||||||||||||||||
Before reimbursement of expenses by Adviser (%) | 0.00 | 4,5 | 0.00 | 4 | 0.00 | 4 | 0.00 | 4.6 | 0.30 | 0.30 | ||||||||||||||
After reimbursement of expenses by Adviser (%) | 0.00 | 4,5 | 0.00 | 4 | 0.00 | 4 | 0.00 | 4.6 | 0.21 | 7 | 0.30 | |||||||||||||
Ratio of net investment income to average net assets (%) | 0.00 | 4,5 | 1.76 | 4 | 2.01 | 4 | 1.52 | 4 | 1.95 | 2.01 | ||||||||||||||
Portfolio turnover (%)8 | 1 | 3 | 16 | 7 | 8 | 108 | 151 |
MADISON TARGET RETIREMENT 2050 FUND | ||||||||||||||||||||||||
(unaudited) | Year Ended December 31, | |||||||||||||||||||||||
Six Months | ||||||||||||||||||||||||
Ended 6/30/18 | 2017 | 2016 | 2015 | 2014 | 2013 | |||||||||||||||||||
Net Asset Value at beginning of period | $ | 13.60 | $ | 12.57 | $ | 12.19 | $ | 12.97 | $ | 12.78 | $ | 10.69 | ||||||||||||
Income from Investment Operations: | ||||||||||||||||||||||||
Net investment income | – | 0.27 | 0.26 | 1 | 0.21 | 1 | 0.27 | 1 | 0.24 | 1 | ||||||||||||||
Net realized and unrealized gain (loss) on investments | 0.03 | 1.87 | 0.84 | (0.33 | ) | 0.82 | 2.19 | |||||||||||||||||
Total from investment operations | 0.03 | 2.14 | 1.10 | (0.12 | ) | 1.09 | 2.43 | |||||||||||||||||
Less Distributions From: | ||||||||||||||||||||||||
Net investment income | (0.01 | ) | (0.54 | ) | (0.31 | ) | (0.28 | ) | (0.27 | ) | (0.18 | ) | ||||||||||||
Capital gains | (0.01 | ) | (0.57 | ) | (0.41 | ) | (0.38 | ) | (0.63 | ) | (0.16 | ) | ||||||||||||
Total distributions | (0.02 | ) | (1.11 | ) | (0.72 | ) | (0.66 | ) | (0.90 | ) | (0.34 | ) | ||||||||||||
Net increase (decrease) in net asset value | 0.01 | 1.03 | 0.38 | (0.78 | ) | 0.19 | 2.09 | |||||||||||||||||
Net Asset Value at end of period | $ | 13.61 | $ | 13.60 | $ | 12.57 | $ | 12.19 | $ | 12.97 | $ | 12.78 | ||||||||||||
Total Return (%)2 | 0.27 | 3 | 16.99 | 8.97 | (0.91 | ) | 8.51 | 22.78 | ||||||||||||||||
Ratios/Supplemental Data: | ||||||||||||||||||||||||
Net Assets at end of period (in 000’s) | $ | 28,322 | $ | 28,231 | $ | 23,442 | $ | 21,173 | $ | 22,799 | $ | 18,123 | ||||||||||||
Ratios of expenses to average net assets: | ||||||||||||||||||||||||
Before reimbursement of expenses by Adviser (%) | 0.00 | 4,5 | 0.00 | 4 | 0.00 | 4 | 0.00 | 4,6 | 0.30 | 0.30 | ||||||||||||||
After reimbursement of expenses by Adviser (%) | 0.00 | 4,5 | 0.00 | 4 | 0.00 | 4 | 0.00 | 4,6 | 0.20 | 7 | 0.30 | |||||||||||||
Ratio of net investment income to average net assets (%) | 0.00 | 4,5 | 1.79 | 4 | 2.08 | 4 | 1.57 | 4 | 2.02 | 1.98 | ||||||||||||||
Portfolio turnover (%)8 | 4 | 3 | 8 | 6 | 13 | 133 | 215 |
1 | Based on average shares outstanding during the year. |
2 | These returns are after all charges at the mutual fund level have been subtracted. These returns are higher than the returns at the separate account level because charges made at the separate account level have not been subtracted. Total returns are not annualized for periods less than one year. |
3 | Not annualized. |
4 | Amount does not include income or expenses of the underlying GS Target Date Portfolio, nor the underlying expenses of the funds held by the GS Target Date Portfolio. See Note 1 for an explanation of the Fund organizational structure and current prospectus for more complete information regarding the charges and expenses of the Fund. |
5 | Annualized. |
6 | Amounts represent less than 0.01%. |
7 | Amount includes fees waived by adviser (see Note 3). |
8 | Portfolio turnover is calculated at the fund level and represents the entire fiscal year or period. |
See accompanying Notes to Financial Statements. |
10 |
Ultra Series Fund | June 30, 2018
Notes to Financial Statements (unaudited)
1. ORGANIZATION
The Ultra Series Fund (the “Trust”), a Massachusetts business trust, is registered under the investment company Act of 1940 (the “1940 Act”), as amended, as a diversified, open-end management investment company. The Trust is a series trust with, at the end of the period covered by this report, 14 investment portfolios (individually, a “fund,” and collectively, the “funds”), each with different investment objectives and policies. The funds currently reporting within this book at the end of the period were the Madison Target Retirement 2020 Fund, Madison Target Retirement 2030 Fund, Madison Target Retirement 2040 Fund, and Madison Target Retirement 2050 Fund, (collectively, the “Target Date Funds” or “Ultra Series Madison Target Retirement Funds” or “USF Target Date Funds”).
The Declaration of Trust permits the Board of Trustees to issue an unlimited number of full and fractional shares of the Trust without par value. The Target Date Funds only offer a single class of shares, Class I shares. The shares represent an interest in the assets of the respective fund with identical voting, dividend, liquidation and other rights, and its proportional share of fund level expenses. Shares are offered to the Group Variable Annuity Separate Accounts (“GVA Separate Accounts”) of CMFG Life Insurance Company (“CMFG Life”). The purchase of shares of the USF Target Date Funds is limited to separate accounts of insurance companies that exclusively support variable contracts that qualify as pension plan contracts under section 818(a) of the Internal Revenue Code (the “Code”). The Trust does not offer shares directly to the general public.
The Trust has entered into a Management Agreement with Madison Asset Management, LLC (the “Investment Adviser” or “Madison”).
Previously, the Ultra Series Madison Target Retirement Funds aimed to achieve their investment objectives by investing in the shares of the corresponding Madison Funds Target Retirement Fund series, other than cash required to process shareholder transactions. As of August 22, 2016, the Madison Funds Target Retirement Fund series were reorganized into the Goldman Sachs Target Date 2020 Portfolio, the Goldman Sachs Target Date 2030 Portfolio, the Goldman Sachs Target Date 2040 Portfolio and the Goldman Sachs Target Date 2050 Portfolio, respectively (collectively, the “GS Target Date Portfolios”), each which was a newly formed “shell” series of the Goldman Sachs Trust II.
The GS Target Date Portfolios’ principal investment objectives and strategies are substantially similar to those of the corresponding predecessor Madison Funds Target Retirement Fund. Goldman Sachs Asset Management, L.P. serves as the investment adviser of the GS Target Date Portfolios, and Madison, serves as the subadviser of the GS Target Date Portfolios. The predecessor Madison Funds Target Retirement Funds’ portfolio managers continue to manage the GS Target Date Portfolios.
As of June 30, 2018, the Ultra Series Madison Target Retirement 2020 Fund owned approximately 94.86% of the Goldman Sachs Target Date 2020 Portfolio, the Ultra Series Madison Target Retirement 2030 Fund owned approximately 93.72% of the Goldman Sachs Target Date 2030 Portfolio, the Ultra Series Madison Target Retirement 2040 Fund owned approximately 97.22% of the Goldman Sachs Target Date 2040 Portfolio, and the Ultra Series Madison Target Retirement 2050 Fund owned approximately 92.82% of the Goldman Sachs Target Date 2050 Portfolio. See also Appendix A, page 16 for the Portfolio of Investments, and Appendix B, page 18 for the Statements of Assets and Liabilities for the respective GS Target Date Portfolios.
2. SIGNIFICANT ACCOUNTING POLICIES
The funds are investment companies that apply the accounting and reporting guidance in the Financial Accounting Standards Board (FASB) Accounting Standards Codification Topic 946, Financial Services-Investment Companies (ASC 946). The following is a summary of significant accounting policies consistently followed by each fund in the preparation of its financial statements.
Portfolio Valuation: Equity securities, including exchange-traded funds (“ETFs”) listed on any U.S. or foreign stock exchange or quoted on the National Association of Securities Dealers Automated Quotation System (“NASDAQ’’) are valued at the last quoted sale price or official closing price on that exchange or NASDAQ on the valuation day (provided that, for securities traded on NASDAQ, the funds utilize the NASDAQ Official Closing Price (“NOCP”)). If no sale occurs, equities traded on a U.S. exchange, foreign exchange or on NASDAQ are valued at the bid price.
Investments in shares of open-end mutual funds are valued at their daily net asset value (“NAV”) which is calculated as of the close of regular trading on the New York Stock Exchange ((the “NYSE”), usually 4:00 p.m. Eastern Standard Time), on each day on which the NYSE is open for business. NAV per share is determined by dividing each fund’s total net assets by the number of shares of such fund outstanding at the time of calculation. Because the assets of each Target Date Fund consist primarily of shares of other registered investment companies (the “Underlying funds”), the NAV of each fund is determined based on the NAVs of the Underlying funds. Total net assets are determined by adding the total current value of portfolio securities, cash, receivables, and other assets and subtracting liabilities.
Over-the-counter securities not listed or traded on NASDAQ are valued at the last sale price on the valuation day. If no sale occurs on the valuation day, an over-the-counter security is valued at the last bid price. Exchange traded options are valued at the mean of the best bid and ask prices across all option exchanges. Financial futures contracts generally are valued at the settlement price established by the exchange(s) on which the contracts are primarily traded. Overnight repurchase agreements are valued at cost, and term repurchase agreements (i.e., those whose maturity exceeds seven days), swaps, caps, collars and floors, if any, are valued at the average of the closing bids obtained daily from at least one dealer.
Through the end of this reporting period, the value of all assets and liabilities expressed in foreign currencies was converted into U.S. dollar values using the then-current exchange rate at the close of regular trading on the NYSE.
All other securities for which either quotations are not readily available, no other sales have occurred, or in the Investment Adviser’s opinion, do not reflect the current market value, are appraised at their fair values as determined in good faith by the Pricing Committee (the “Committee”) and under the general supervision of the Board of Trustees. When fair value pricing of securities is employed, the prices of securities used by the funds to calculate NAV may differ from market quotations or NOCP. Because the Target Date Funds primarily invest in Underlying Funds, it is not anticipated that the Investment Adviser will need to “fair value” any of the investments of these funds. However, an Underlying Fund may need to “fair value” one or more of its investments, which may, in turn, require a Target Date Fund to do the same because of delays in obtaining the Underlying Fund’s NAV.
A fund’s investments (or Underlying Fund) will be valued at fair value if, in the judgment of the Committee, an event impacting the value of an investment occurred between the closing time of a security’s primary market or exchange (for example, a foreign exchange or market) and the time the fund’s share price is calculated as of the close of regular trading on the NYSE. Significant events may include, but are not limited to, the following: (1) significant fluctuations in domestic markets, foreign markets or foreign currencies; (2) occurrences not directly tied to the securities markets such as natural disasters, armed conflicts or significant government actions; and (3) major announcements affecting a single issuer or an entire market or market sector. In responding to a significant event, the Committee would determine the fair value of affected securities considering factors including, but not limited to: fundamental analytical data relating to the investment; the
11 |
Ultra Series Fund | Notes to the Financial Statements (unaudited) - continued | June 30, 2018
nature and duration of any restrictions on the disposition of the investment; and the forces influencing the market(s) in which the investment is purchased or sold.
In addition to independent fair value decisions made by the Committee noted above, the Committee also engages an independent fair valuation service to adjust the valuations of foreign equity securities based on specific market-movement parameters established by the Committee and approved by the Trust. Such adjustments to the valuation of foreign securities are applied automatically upon market close if the parameters established are exceeded. A foreign security is also automatically fair valued if the exchange it is traded in is on holiday.
Security Transactions and Investment Income: Security transactions are accounted for on a trade date basis. Net realized gains or losses on sales are determined by the identified cost method. Interest income is recorded on an accrual basis. Dividend income is recorded on ex-dividend date, except that certain dividends from foreign securities may be recorded after the ex-dividend date based on when the fund is informed of the dividend. Interest income is recorded on an accrual basis and is increased by the accretion of discount and decreased by the amortization of premium. Amortization and accretion are recorded on the effective yield method.
Expenses: Expenses that are directly related to one fund are charged directly to that fund. Other operating expenses are prorated to the funds on the basis of relative net assets.
Repurchase Agreements: Each fund may engage in repurchase agreements. In a repurchase agreement, a security is purchased for a relatively short period (usually not more than seven days) subject to the obligation to sell it back to the issuer at a fixed time and price plus accrued interest. The funds will enter into repurchase agreements only with members of the Federal Reserve System and with “primary dealers” in U.S. Government securities.
The Trust has established a procedure providing that the securities serving as collateral for each repurchase agreement must be delivered to the Trust’s custodian either physically or in book-entry form and that the collateral must be marked to market daily to ensure that each repurchase agreement is fully collateralized at all times. In the event of bankruptcy or other default by a seller of a repurchase agreement, a fund could experience one of the following: delays in liquidating the underlying securities during the period in which the fund seeks to enforce its rights thereto, possible decreased levels of income, declines in value of the underlying securities, or lack of access to income during this period and the expense of enforcing its rights. As of June 30, 2018, none of the funds held open repurchase agreements.
Foreign Currency Transactions: The Trust’s books and records are maintained in U.S. dollars. Foreign currency denominated transactions (i.e., market value of investment securities, assets and liabilities, purchases and sales of investment securities, and income and expenses) are translated into U.S. dollars at the current rate of exchange. The funds enter into contracts on the trade date to settle any securities transactions denominated in foreign currencies on behalf of the funds at the spot rate at settlement.
Each fund reports certain foreign currency-related transactions as components of realized gains or losses for financial reporting purposes, whereas such components are treated as ordinary income for federal income tax purposes.
The funds do not isolate the portion of gains and losses on investments in securities that is due to changes in the foreign exchange rates from that which is due to changes in market prices of securities. Such amounts are categorized as gain or loss on investments for financial reporting purposes.
Cash Concentration: At times, the funds maintain cash balances at financial institutions in excess of federally insured limits. The funds monitor this credit risk and have not experienced any losses related to this risk.
Indemnifications: Under the funds’ organizational documents, the funds’ officers and Trustees are indemnified against certain liabilities arising out of the performance of their duties to the funds. In the normal course of business, the funds enter into contracts that contain a variety of representations and provide general indemnifications. The funds’ maximum liability exposure under these arrangements is unknown, as future claims that have not yet occurred may be made against the funds. However, based on experience, management expects the risk of loss to be remote.
Fair Value Measurements: Each fund has adopted Financial Accounting Standards Board (the “FASB”) guidance on fair value measurements. Fair value is defined as the price that each fund would receive upon selling an investment in a timely transaction to an independent buyer in the principal or most advantageous market of the investment. A three-tier hierarchy is used to maximize the use of observable market data “inputs” and minimize the use of unobservable “inputs” and to establish classification of fair value measurements for disclosure purposes. Inputs refer broadly to the assumptions that market participants would use in pricing the asset or liability, including assumptions about risk (for example, the risk inherent in a particular valuation technique used to measure fair value including such a pricing model and/or the risk inherent in the inputs used in the valuation technique). Inputs may be observable or unobservable.
Observable inputs are inputs that reflect the assumptions market participants would use in pricing the asset or liability developed based on market data obtained from sources independent of the reporting entity. Unobservable inputs are inputs that reflect the reporting entity’s own assumptions about the assumptions market participants would use in pricing the asset or liability developed based on the best information available in the circumstances. The three-tier hierarchy of inputs is summarized in the three broad Levels listed below:
Level 1 - unadjusted quoted prices in active markets for identical investments
Level 2 - other significant observable inputs (including quoted prices for similar investments, interest rate volatilities, prepayment speeds, credit risk, benchmark yields, transactions, bids, offers, new issues, spreads and other relationships observed in the markets among comparable securities, underlying equity of the issuer; and proprietary pricing models such as yield measures calculated using factors such as cash flows, financial or collateral performance and other reference data, etc.)
Level 3 - significant unobservable inputs (including the Fund’s own assumptions in determining the fair value of investments)
The valuation techniques used by the funds to measure fair value for the period ended June 30, 2018 maximized the use of observable inputs and minimized the use of unobservable inputs. The funds utilized the following fair value techniques: multi-dimensional relational pricing model and option adjusted spread pricing; the funds estimated the price that would have prevailed in a liquid market for an international equity security given information available at the time of valuation. As of June 30, 2018, none of the funds held securities deemed as a Level 3, and there were no transfers between classification levels.
The following is a summary of the inputs used as of June 30, 2018 in valuing the funds’ investments carried at fair value (please see the Portfolio of Investments for each fund for a listing of all securities within each category):
12 |
Ultra Series Fund | Notes to the Financial Statements (unaudited) - continued | June 30, 2018
Fund | Quoted Prices in Active Markets for Identical Investments (Level 1) | Significant Other Observable Inputs (Level 2) | Significant Unobservable Inputs (Level 3) | Value at 6/30/18 | |||||||||||
Ultra Series Madison Target Retirement 2020: Goldman Sachs Target Date 2020 Portfolio1 | $ | 43,529,748 | $ | – | $ | – | $ | 43,529,748 | |||||||
Ultra Series Madison Target Retirement 2030: Goldman Sachs Target Date 2030 Portfolio1 | $ | 72,280,190 | $ | – | $ | – | $ | 72,280,190 | |||||||
Ultra Series Madison Target Retirement 2040: Goldman Sachs Target Date 2040 Portfolio1 | $ | 48,755,717 | $ | – | $ | – | $ | 48,755,717 | |||||||
Ultra Series Madison Target Retirement 2050: Goldman Sachs Target Date 2050 Portfolio1 | $ | 27,908,872 | $ | – | $ | – | $ | 27,908,872 |
Recently Issued Accounting Pronouncements. In March 2017, the FASB issued Accounting Standards Update (ASU) 2017-08 which changes the amortization period for a callable debt security from the maturity date to the earliest call date. The ASU is effective for annual periods beginning after December 15, 2018, and interim periods within those annual periods. At this time, management is still evaluating the impacts this ASU will have on the financial statements.
3. MANAGEMENT AND SERVICES AGREEMENTS AND OTHER EXPENSES
Management Agreement: For services under the Management Agreement, the Investment Adviser is entitled to receive a management fee, which is calculated daily and paid monthly, at an annual rate of 0.25% of each fund’s average daily net assets. Effective with the launch of the Madison Funds Madison Target Date Funds (see Note 1), the funds invested substantially all of their assets in these Madison Funds. In order to avoid charging duplicate fees, from August 30, 2014 through December 31, 2014, these fees were waived by the Investment Adviser. The Investment Adviser does not have the right to recoup any of these waived fees. In that same regard, effective January 1, 2015 through August 21, 2016, while each USF Target Date Fund invested substantially all of its assets in the underlying Madison Target Date Fund discussed above, the USF Target Date Funds did not pay any management fees to the Investment Adviser in recognition of the fees paid to the Investment Adviser by the corresponding Madison Funds Madison Target Date Funds to avoid charging duplicate fees. Effective August 22, 2016, Goldman Sachs Asset Management L.P. (“GSAM”), the Investment Adviser of the GS Target Date Portfolio’s, charges 0.25% of each GS Target Date Portfolio’s average daily net assets. In order to avoid charging duplicate fees to USF Target Date Funds, for as long as the USF Target Date Fund invests substantially all of its assets in the corresponding GS Target Date Portfolio, no management fees will be paid by USF Target Date Fund. This arrangement will remain in effect through at least August 22, 2018, and prior to such date, GSAM may not terminate the arrangements without the approval of the Board of Trustees of the GS Target Date Portfolios.
Services Agreement: The Investment Adviser provides or arranges for each fund to have all of the necessary operational and support services it needs for a fee, which is calculated daily and paid monthly, at an annual rate of 0.024% of each fund’s average daily net assets. Effective with the launch of the GS Target Date Portfolios (See Note 1), the funds invested substantially all of their assets in these GS Target Date Portfolios. Prior to August 21, 2016, the funds invested substantially all their assets in the Madison Funds Madison Target Date Funds. In order to avoid charging duplicate fees, from August 30, 2014 through December 31, 2014, these fees were waived by the Investment Adviser. The Investment Adviser does not have the right to recoup any of these waived fees. In that same regard, effective January 1, 2015 through August 21, 2016, while each USF Target Date Fund invested substantially all of its assets in the underlying Madison Target Date Fund discussed above, the USF Target Date Funds did not pay any service fees to the Investment Adviser in recognition of the fees paid to the Investment Adviser by the corresponding Madison Funds Madison Target Date Funds to avoid charging duplicate fees. GSAM has agreed to limit its fees and expenses (excluding acquired (underlying) fund fees and expenses, transfer agency fees and expenses, taxes, interest, brokerage fees, shareholder meeting, litigation, indemnification and extraordinary expenses) to 0.024% of each GS Target Date Portfolio’s average daily net assets until December 29, 2018.
Other Expenses: In addition to the fees described above, the Trust is responsible for brokerage commissions and other expenses incurred in connection with the acquisition or disposition of investments, overdrafts, any potential taxes owed and extraordinary expenses as approved by a majority of independent trustees.
Certain officers and trustees of the Trust are also officers of the Investment Adviser. The funds do not compensate their officers or affiliated trustees. The Nominating and Governance Committee of the Board may change trustee fees paid at any time.
4. DIVIDENDS FROM NET INCOME AND DISTRIBUTIONS OF CAPITAL GAINS
The funds declare dividends from net investment income and net realized gains from investment transactions, if any, annually, which are reinvested in additional full and fractional shares of the respective funds.
Income and capital gain distributions, if any, are determined in accordance with federal income tax regulations, which may differ from accounting principles generally accepted in the United States of America. Taxable distributions from income and realized capital gains of the funds may differ from book amounts earned during the period due to differences in the timing of capital gains recognition, and due to the reclassification of certain gains or losses from capital to income.
5. SECURITIES TRANSACTIONS
For the period ended June 30, 2018, aggregate cost of purchases and proceeds from sales of securities, other than short-term investment, were as follows:
Fund | Purchases | Sales | |||||||
Ultra Series Madison Target Retirement 2020 | $ | 500,000 | $ | 3,340,243 | |||||
Ultra Series Madison Target Retirement 2030 | 1,500,000 | 2,439,934 | |||||||
Ultra Series Madison Target Retirement 2040 | 500,000 | 896,726 | |||||||
Ultra Series Madison Target Retirement 2050 | 1,525,000 | 1,235,674 |
6. FEDERAL INCOME TAX INFORMATION
It is each fund’s policy to comply with the requirements of Subchapter M of the Code applicable to regulated investment companies and to distribute all its taxable income to its shareholders. Accordingly, no provisions for federal income taxes are recorded in the accompanying statements.
The funds have not recorded any liabilities for material unrecognized tax benefits as of June 30, 2018. It is each fund’s policy to recognize accrued interest and penalties related to uncertain tax benefits in income taxes, as appropriate. Tax years that remain open to examination by major tax jurisdictions include tax years ended December 31, 2014 through December 31, 2017.
13 |
Ultra Series Fund | Notes to the Financial Statements (unaudited) - concluded | June 30, 2018
At June 30, 2018, the aggregate gross unrealized appreciation (depreciation) and net unrealized appreciation (depreciation) for all securities as computed on a federal income tax basis for each fund were as follows:
Fund | Appreciation | Depreciation | Net | |||||||||
Ultra Series Madison Target Retirement 2020 | $ | 1,048,485 | $ | – | $ | 1,048,485 | ||||||
Ultra Series Madison Target Retirement 2030 | 5,864,368 | – | 5,864,368 | |||||||||
Ultra Series Madison Target Retirement 2040 | 4,325,899 | – | 4,325,899 | |||||||||
Ultra Series Madison Target Retirement 2050 | 4,011,967 | – | 4,011,967 |
7. INVESTMENT RISKS
Investing in certain financial instruments, including forward foreign currency contracts, involves certain risks. Risks associated with these instruments include potential for an illiquid secondary market for the instruments or inability of counterparties to perform under the terms of the contracts, changes in the value of foreign currency relative to the U.S. dollar and volatility resulting from an imperfect correlation between the movements in the prices of the instruments and the prices of the underlying securities and interest rates being hedged.
Investing in foreign securities involves certain risks not necessarily found in U.S. markets. These include risks associated with adverse changes in economic, political, regulatory and other conditions, changes in currency exchange rates, exchange control regulations, expropriation of assets or nationalization, imposition of withholding taxes on dividend or interest payments or capital gains, and possible difficulty in obtaining and enforcing judgments against foreign entities. Further, issuers of foreign securities are subject to different, and often less comprehensive, accounting, reporting and disclosure requirements than domestic issuers.
The Target Date Funds are fund of funds, meaning that they invest primarily in the shares of the GS Target Date Portfolios, including exchange traded funds (“ETFs”). Thus, each fund’s investment performance and its ability to achieve its investment goal are directly related to the performance of the GS Target Date Portfolios in which it invests; and the GS Target Date Portfolio’s performance, in turn, depends on the particular securities in which that GS Target Date Portfolio invests and the expenses of that GS Target Date Portfolio. Accordingly, these funds are subject to the risks of the GS Target Date Portfolios in direct proportion to the allocation of their respective assets among the GS Target Date Portfolio.
Additionally, the Target Date Funds are subject to asset allocation risk and manager risk. Manager risk (i.e., fund selection risk) is the risk that the underlying fund selected to fulfill a particular asset class underperforms its peers. Asset allocation risk is the risk that the allocation of the fund’s assets among the various asset classes and market segments will cause the fund to underperform other funds with a similar investment objective.
The funds are also subject to cybersecurity risk, which include the risks associated with computer systems, networks and devices to carry out routine business operations. These system, networks and devices employ a variety of protections that are designed to prevent cyberattacks. Despite the various cyber protections utilized by the funds, the Investment Adviser, and other service providers, their systems, networks, or devices could potentially be breached. The funds, their shareholders, and the Investment Adviser could be negatively impacted as a result of a cyber security breach. The funds cannot control the cybersecurity plans and systems put in place by service providers or any other third parties whose operations may affect the funds. The funds do monitor this risk closely.
In addition to the other risks described above and in the prospectus, you should understand what we refer to as “unknown market risks.” While investments in securities have been keystones in wealth building and management, at times these investments have produced surprises. Those who enjoyed growth and income of their investments generally were rewarded for the risks they took by investing in the markets. Although the Investment Adviser seeks to appropriately address and manage the risks identified and disclosed to you in connection with the management of the securities in the funds, you should understand that the very nature of the securities markets includes the possibility that there may be additional risks of which we are not aware. We certainly seek to identify all applicable risks and then appropriately address them, take appropriate action to reasonably manage them and to make you aware of them so you can determine if they exceed your risk tolerance. Nevertheless, the often volatile nature of the securities markets and the global economy in which we work suggests that the risk of the unknown is something to consider in connection with an investment in securities. Unforeseen events could under certain circumstances produce a material loss of the value of some or all of the securities we manage for you in the funds.
8. CAPITAL SHARES AND AFFILIATED OWNERSHIP
All capital shares outstanding at June 30, 2018 are owned by separate investment accounts and/or pension plans of CMFG Life Insurance Company. There were no affiliate’s investment for the period ended June 30, 2018.
9. SUBSEQUENT EVENTS
Management has evaluated the impact of all subsequent events on the funds through the date the financial statements were available for issue. No other events have taken place that meet the definition of subsequent event that require adjustment to, or disclosure in the financial statements.
14 |
Ultra Series Fund | June 30, 2018
Other Information (unaudited)
FUND EXPENSES PAID BY SHAREHOLDERS
As a shareholder of the funds, you pay no transaction costs, but may indirectly (see Note 3 to the Financial Statements) incur ongoing costs which include management fees; disinterested trustee fees; brokerage commissions and other expenses incurred in connection with the acquisition or disposition of investments; costs of borrowing money; expenses for independent audits, taxes, and extraordinary expenses as approved by a majority of the disinterested trustees. The examples in the table that follows are intended to help you understand your ongoing costs (in dollars) of investing in the funds and to compare these costs with the ongoing costs of investing in other mutual funds.
The examples below are based on an investment of $1,000 invested for the six-month period ended June 30, 2018. Expenses paid during the period in the table below are equal to each fund’s annualized expense ratio, multiplied by the average account value over the period, multiplied by 181/365 (to reflect the one-half fiscal year period).
Actual Expenses
The table below provides information about actual account values using actual expenses and actual returns for the funds. You may use the information in this table, together with the amount you invested, to estimate the expenses that you paid over the period. Simply divide your account value by $1,000 (for example, an $8,600 account value divided by $1,000 = 8.6), then multiply the result by the number in the table for the fund you own under the heading entitled “Expenses Paid During Period ” to estimate the expenses you paid on your account during this period.
Beginning | Ending | Annual | Expenses Paid | |||||||||||||
Fund | Account Value | Account Value | Expense Ratio1 | During Period1 | ||||||||||||
Ultra Series Target Retirement 2020 Fund | $1,000 | $ | 995.70 | 0.30 | % | $1.50 | ||||||||||
Ultra Series Target Retirement 2030 Fund | 1,000 | 1,000.90 | 0.30 | % | 1.52 | |||||||||||
Ultra Series Target Retirement 2040 Fund | 1,000 | 1,002.90 | 0.30 | % | 1.53 | |||||||||||
Ultra Series Target Retirement 2050 Fund | 1,000 | 1,002.70 | 0.30 | % | 1.53 |
Hypothetical Example for Comparison Purposes
The table below provides information about hypothetical account values and hypothetical expenses based on the funds’ actual expense ratios and an assumed rate of return of 5% per year before expenses, which are not the funds’ actual returns. The hypothetical account values and 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 costs of investing in the funds and other funds. To do so, compare the 5% hypothetical example of the funds you own with the 5% hypothetical examples that appear in the shareholder reports of other similar funds.
Beginning | Ending | Annual | Expenses Paid | |||||||||||||
Fund | Account Value | Account Value | Expense Ratio1 | During Period1 | ||||||||||||
Ultra Series Target Retirement 2020 Fund | $1,000 | $ | 1,024.79 | 0.30 | % | $1.51 | ||||||||||
Ultra Series Target Retirement 2030 Fund | 1,000 | 1,024.79 | 0.30 | % | 1.51 | |||||||||||
Ultra Series Target Retirement 2040 Fund | 1,000 | 1,024.79 | 0.30 | % | 1.51 | |||||||||||
Ultra Series Target Retirement 2050 Fund | 1,000 | 1,024.79 | 0.30 | % | 1.51 |
1Amounts include expenses of the underlying GS Target Date Portfolio, and the underlying expense of the funds held by the GS Target Date Portfolio. See Note 1 for an explanation of the Fund organizational structure, Note 3 for a description of the expense structure, and the current prospectus for more complete information regarding the charges and expenses of the Target Date Funds.
Please note that the expenses shown in the tables are meant to highlight your ongoing costs only and do not reflect any separate account fees, charges, or expenses imposed by the group variable annuity contracts, or retirement and pension plans that use the funds. The information provided in the hypothetical example table is useful in comparing ongoing Target Date Fund costs only, and will not help you determine the relative total costs of owning different funds. In addition, if these fees, charges or expenses were included, your costs would have been higher.
AVAILABILITY OF QUARTERLY PORTFOLIO SCHEDULES
The Trust files its complete schedule of portfolio holdings with the SEC for the first and third quarters of each fiscal year on Form N-Q. Form N-Q is available to shareholders at no cost by calling 1-800-877-6089, or on the SEC’s website at www.sec.gov. Form N-Q may also be reviewed and copied at the Commission’s Public Reference Room in Washington, DC. More information on the operation of the Public Reference Room may be obtained by calling 1-800-SEC-0330. Form N-Q and other information about the Trust are available on the EDGAR database on the SEC’s Internet site at www.sec.gov. Copies of this information may also be obtained, upon payment of a duplicating fee, by electronic request at the following email address: publicinfo@sec.gov, or by writing the SEC’s Public Reference Section, Washington, DC 20549-0102.
PROXY VOTING POLICIES, PROCEDURES AND RECORDS
A description of the policies and procedures used by the Trust to vote proxies related to portfolio securities is available to shareholders at no cost on calling 1-800-877-6089, or on the SEC’s website at www.sec.gov and is also located in the funds’ Statement of Additional Information. The proxy voting records for the Trust for the most recent twelve-month period ended June 30 are available to shareholders at no cost on the SEC’s website at www.sec.gov.
FORWARD-LOOKING STATEMENT DISCLOSURE
One of our most important responsibilities as investment company managers is to communicate with shareholders in an open and direct manner. Some of our comments in the Management’s Economic Overview are based on current management expectations and are considered “forward-looking statements.” Actual future results, however, may prove to be different from our expectations. You can identify forward-looking statements by words such as “estimate,” “may,” “will,” “expect,” “believe,” “plan” and other similar terms. We cannot promise future returns. Our opinions are a reflection of our best judgment at the time this report is compiled, and we disclaim any obligation to update or alter forward-looking statements as a result of new information, future events, or otherwise.
15 |
Ultra Series Fund | Other Information (unaudited) - continued | June 30, 2018
APPENDIX A: GOLDMAN SACHS FUNDS: GOLDMAN SACHS TARGET DATE PORTFOLIOS SCHEDULES OF INVESTMENTS - Target Date Funds (unaudited) – June 30, 2018
Goldman Sachs Target Date 2020 Portfolio Schedule of Investments1
Shares | Value | ||||||
EXCHANGE TRADED FUNDS - 98.4% | |||||||
Bond Funds - 70.3% | |||||||
iShares 20+ Year Treasury Bond ETF | 9,439 | $ | 1,148,915 | ||||
iShares 7-10 Year Treasury Bond ETF | 67,419 | 6,911,122 | |||||
iShares Floating Rate Bond ETF | 31,603 | 1,611,753 | |||||
Schwab Intermediate-Term U.S. Treasury ETF | 96,994 | 5,075,696 | |||||
Schwab U.S. TIPS ETF | 151,088 | 8,296,242 | |||||
Vanguard Short-Term Corporate Bond ETF | 118,064 | 9,220,798 | |||||
32,264,526 | |||||||
Foreign Stock Funds - 7.1% | |||||||
iShares Edge MSCI Minimum Volatility Emerging Markets ETF | 15,959 | 923,068 | |||||
Vanguard FTSE All World ex-US Small-Cap ETF | 2,004 | 231,282 | |||||
Vanguard FTSE All-World ex-U.S. ETF | 8,888 | 460,754 | |||||
Vanguard FTSE Europe ETF | 16,407 | 920,925 | |||||
WisdomTree Japan Hedged Equity Fund | 4,285 | 231,304 | |||||
Xtrackers MSCI EAFE Hedged Equity ETF | 14,712 | 461,957 | |||||
3,229,290 | |||||||
Stock Funds - 21.0% | |||||||
Energy Select Sector SPDR Fund | 6,043 | 458,906 | |||||
Invesco Dynamic Pharmaceuticals ETF | 6,828 | 458,910 | |||||
Invesco Optimum Yield Diversified Commodity Strategy No. K-1 ETF | 74,710 | 1,379,147 | |||||
Invesco S&P 500 Quality ETF | 7,628 | 228,916 | |||||
iShares Core S&P 500 ETF | 6,715 | 1,833,531 | |||||
iShares Core S&P Mid-Cap ETF | 3,531 | 687,768 | |||||
iShares MSCI Japan ETF | 3,944 | 228,397 | |||||
Schwab U.S. Dividend Equity ETF | 32,569 | 1,605,326 | |||||
Vanguard Communication Services ETF | 2,694 | 228,775 | |||||
Vanguard Financials ETF | 13,569 | 915,229 | |||||
Vanguard Growth ETF | 3,061 | 458,568 | |||||
Vanguard Information Technology ETF | 5,061 | 918,065 | |||||
Vanguard Materials ETF | 1,738 | 228,651 | |||||
9,630,189 | |||||||
TOTAL EXCHANGE TRADED FUNDS (Cost $43,912,310) | 45,124,005 | ||||||
Distribution Rate | Shares | Value | ||||||||||
Investment Company(a) - 0.0% | ||||||||||||
Goldman Sachs Financial Square Government Fund - Institutional Shares | 1.869% | 8,348 | 8,348 | |||||||||
Total Investment Company (Cost $8,348) | ||||||||||||
TOTAL INVESTMENTS - 98.4% (Cost $43,920,658) | 45,132,353 | |||||||||||
OTHER ASSETS IN EXCESS OF IABILITIES - 1.6% | 756,270 | |||||||||||
NET ASSETS - 100.0% | $ | 45,888,623 | ||||||||||
The percentage shown for each investment category reflects the value of investments in that category as a percentage of net assets.
1 | Reported on a cash basis and therefore may not include unsettled shareholder trades from the feeder fund. For additional information on the underlying funds, including shareholder prospectuses and financial reports, please visit each underlying fund’s website or visit the Securities and Exchange Commission’s website at http://www.sec.gov. | ||
(a) | Represents an Affiliated Issuer. | ||
Investment Abbreviations: | |||
ETF - Exchange Traded Fund | |||
TIPs - Treasury Inflation Protected Securities | |||
Goldman Sachs Target Date 2030 Portfolio Schedule of Investments1
Shares | Value | ||||||
EXCHANGE TRADED FUNDS - 98.1% | |||||||
Bond Funds - 42.1% | |||||||
iShares 20+ Year Treasury Bond ETF | 15,825 | $ | 1,926,219 | ||||
iShares 7-10 Year Treasury Bond ETF | 37,724 | 3,867,087 | |||||
iShares Floating Rate Bond ETF | 7,595 | 387,345 | |||||
Schwab Intermediate-Term U.S. Treasury ETF | 133,216 | 6,971,194 | |||||
Schwab U.S. TIPS ETF | 126,812 | 6,963,247 | |||||
Vanguard Short-Term Corporate Bond ETF | 158,551 | 12,382,833 | |||||
32,497,925 | |||||||
Foreign Stock Funds - 14.8% | |||||||
iShares Edge MSCI Minimum Volatility Emerging Markets ETF | 40,185 | 2,324,300 | |||||
Vanguard FTSE All World ex-US Small-Cap ETF | 6,710 | 774,401 | |||||
Vanguard FTSE All-World ex-U.S. ETF | 52,219 | 2,707,033 | |||||
Vanguard FTSE Europe ETF | 48,199 | 2,705,410 | |||||
WisdomTree Japan Hedged Equity Fund | 17,859 | 964,029 | |||||
Xtrackers MSCI EAFE Hedged Equity ETF | 61,435 | 1,929,059 | |||||
11,404,232 | |||||||
Stock Funds - 41.2% | |||||||
Energy Select Sector SPDR Fund | 20,290 | 1,540,823 | |||||
Invesco Dynamic Pharmaceuticals ETF | 11,462 | 770,361 | |||||
Invesco Optimum Yield Diversified Commodity Strategy No. K-1 ETF | 125,412 | 2,315,105 | |||||
Invesco S&P 500 Quality ETF | 12,790 | 383,828 | |||||
iShares Core S&P 500 ETF | 49,317 | 13,466,007 | |||||
iShares Core S&P Mid-Cap ETF | 15,804 | 3,078,303 | |||||
iShares MSCI Japan ETF | 6,616 | 383,133 | |||||
Schwab U.S. Dividend Equity ETF | 85,912 | 4,234,602 | |||||
Vanguard Communication Services ETF | 6,762 | 574,229 | |||||
Vanguard Financials ETF | 22,719 | 1,532,397 | |||||
Vanguard Growth ETF | 5,156 | 772,420 | |||||
Vanguard Information Technology ETF | 11,700 | 2,122,380 | |||||
Vanguard Materials ETF | 4,369 | 574,786 | |||||
31,748,374 | |||||||
TOTAL EXCHANGE TRADED FUNDS (Cost $69,428,579) | 75,650,531 | ||||||
Distribution Rate | Shares | Value | ||||||||||
Investment Company(a) - 0.1% | ||||||||||||
Goldman Sachs Financial Square Government Fund - Institutional Shares | 1.869% | 56,245 | 56,245 | |||||||||
Total Investment Company (Cost $56,245) | ||||||||||||
TOTAL INVESTMENTS - 98.2% (Cost $69,484,824) | 75,706,776 | |||||||||||
OTHER ASSETS IN EXCESS OF IABILITIES - 1.8% | 1,413,773 | |||||||||||
NET ASSETS - 100.0% | $ | 77,120,549 | ||||||||||
The percentage shown for each investment category reflects the value of investments in that category as a percentage of net assets.
1 | Reported on a cash basis and therefore may not include unsettled shareholder trades from the feeder fund. For additional information on the underlying funds, including shareholder prospectuses and financial reports, please visit each underlying fund’s website or visit the Securities and Exchange Commission’s website at http://www.sec.gov. | ||
(a) | Represents an Affiliated Issuer. | ||
Investment Abbreviations: | |||
ETF - Exchange Traded Fund | |||
TIPs - Treasury Inflation Protected Securities | |||
16 |
Ultra Series Fund | Other Information (unaudited) - continued | June 30, 2018
APPENDIX A: MADISON FUNDS: MADISON TARGET DATE FUNDS PORTFOLIOS OF INVESTMENTS - Master Funds (unaudited) - June 30, 2018 - continued
Goldman Sachs Target Date 2040 Portfolio Schedule of Investments1
Shares | Value | ||||||
EXCHANGE TRADED FUNDS - 98.2% | |||||||
Bond Funds - 32.1% | |||||||
iShares 20+ Year Treasury Bond ETF | 10,305 | $ | 1,254,325 | ||||
iShares 7-10 Year Treasury Bond ETF | 14,739 | 1,510,895 | |||||
iShares Floating Rate Bond ETF | 4,946 | 252,246 | |||||
Schwab Intermediate-Term U.S. Treasury ETF | 67,470 | 3,530,705 | |||||
Schwab U.S. TIPS ETF | 64,227 | 3,526,705 | |||||
Vanguard Short-Term Corporate Bond ETF | 77,434 | 6,047,595 | |||||
16,122,471 | |||||||
Foreign Stock Funds - 18.6% | |||||||
iShares Edge MSCI Minimum Volatility Emerging Markets ETF | 34,890 | 2,018,038 | |||||
Vanguard FTSE All World ex-US Small-Cap ETF | 6,550 | 755,935 | |||||
Vanguard FTSE All-World ex-U.S. ETF | 36,432 | 1,888,635 | |||||
Vanguard FTSE Europe ETF | 40,354 | 2,265,070 | |||||
WisdomTree Japan Hedged Equity Fund | 16,281 | 878,848 | |||||
Xtrackers MSCI EAFE Hedged Equity ETF | 47,977 | 1,506,478 | |||||
9,313,004 | |||||||
Stock Funds - 47.5% | |||||||
Energy Select Sector SPDR Fund | 16,551 | 1,256,883 | |||||
Invesco Dynamic Pharmaceuticals ETF | 7,503 | 504,277 | |||||
Invesco Optimum Yield Diversified Commodity Strategy No. K-1 ETF | 81,665 | 1,507,536 | |||||
Invesco S&P 500 Quality ETF | 8,287 | 248,693 | |||||
iShares Core S&P 500 ETF | 35,784 | 9,770,821 | |||||
iShares Core S&P Mid-Cap ETF | 12,855 | 2,503,897 | |||||
iShares MSCI Japan ETF | 4,313 | 249,766 | |||||
Schwab U.S. Dividend Equity ETF | 61,030 | 3,008,169 | |||||
Vanguard Communication Services ETF | 5,907 | 501,622 | |||||
Vanguard Financials ETF | 16,633 | 1,121,896 | |||||
Vanguard Growth ETF | 5,034 | 754,143 | |||||
Vanguard Information Technology ETF | 9,681 | 1,756,133 | |||||
Vanguard Materials ETF | 4,739 | 623,463 | |||||
23,807,299 | |||||||
TOTAL EXCHANGE TRADED FUNDS (Cost $44,520,567) | 49,242,774 | ||||||
Distribution Rate | Shares | Value | ||||||||||
Investment Company(a) - 0.1% | ||||||||||||
Goldman Sachs Financial Square Government Fund - Institutional Shares | 1.869% | 37,127 | 37,127 | |||||||||
Total Investment Company (Cost $37,127) | ||||||||||||
TOTAL INVESTMENTS - 98.3% (Cost $44,557,694) | 49,279,901 | |||||||||||
OTHER ASSETS IN EXCESS OF IABILITIES - 1.7% | 870,584 | |||||||||||
NET ASSETS - 100.0% | $ | 50,150,485 | ||||||||||
The percentage shown for each investment category reflects the value of investments in that category as a percentage of net assets.
1 | Reported on a cash basis and therefore may not include unsettled shareholder trades from the feeder fund. For additional information on the underlying funds, including shareholder prospectuses and financial reports, please visit each underlying fund’s website or visit the Securities and Exchange Commission’s website at http://www.sec.gov. | ||
(a) | Represents an Affiliated Issuer. | ||
Investment Abbreviations: | |||
ETF - Exchange Traded Fund | |||
TIPs - Treasury Inflation Protected Securities | |||
Goldman Sachs Target Date 2050 Portfolio Schedule of Investments1
Shares | Value | ||||||
EXCHANGE TRADED FUNDS - 98.3% | |||||||
Bond Funds - 22.6% | |||||||
iShares 20+ Year Treasury Bond ETF | 6,192 | $ | 753,690 | ||||
iShares 7-10 Year Treasury Bond ETF | 2,944 | 301,789 | |||||
iShares Floating Rate Bond ETF | 2,954 | 150,654 | |||||
Schwab Intermediate-Term U.S. Treasury ETF | 34,765 | 1,819,253 | |||||
Schwab U.S. TIPS ETF | 24,809 | 1,362,262 | |||||
Vanguard Short-Term Corporate Bond ETF | 31,029 | 2,423,365 | |||||
6,811,013 | |||||||
Foreign Stock Funds - 21.6% | |||||||
iShares Edge MSCI Minimum Volatility Emerging Markets ETF | 26,205 | 1,515,697 | |||||
Vanguard FTSE All World ex-US Small-Cap ETF | 3,938 | 454,484 | |||||
Vanguard FTSE All-World ex-U.S. ETF | 23,351 | 1,210,516 | |||||
Vanguard FTSE Europe ETF | 29,636 | 1,663,469 | |||||
WisdomTree Japan Hedged Equity Fund | 11,201 | 604,630 | |||||
Xtrackers MSCI EAFE Hedged Equity ETF | 33,669 | 1,057,207 | |||||
6,506,003 | |||||||
Stock Funds - 54.1% | |||||||
Energy Select Sector SPDR Fund | 11,918 | 905,053 | |||||
Invesco Dynamic Pharmaceuticals ETF | 4,485 | 301,437 | |||||
Invesco Optimum Yield Diversified Commodity Strategy No. K-1 ETF | 49,070 | 905,832 | |||||
Invesco S&P 500 Quality ETF | 7,524 | 225,795 | |||||
iShares Core S&P 500 ETF | 23,707 | 6,473,196 | |||||
iShares Core S&P Mid-Cap ETF | 8,498 | 1,655,241 | |||||
iShares MSCI Japan ETF | 5,223 | 302,464 | |||||
Schwab U.S. Dividend Equity ETF | 39,727 | 1,958,144 | |||||
Vanguard Communication Services ETF | 3,550 | 301,466 | |||||
Vanguard Financials ETF | 11,098 | 748,560 | |||||
Vanguard Growth ETF | 4,021 | 602,386 | |||||
Vanguard Information Technology ETF | 7,479 | 1,356,691 | |||||
Vanguard Materials ETF | 3,999 | 526,108 | |||||
16,262,373 | |||||||
TOTAL EXCHANGE TRADED FUNDS (Cost $26,312,981) | 29,579,389 | ||||||
Distribution Rate | Shares | Value | ||||||||||
Investment Company(a) - 0.1% | ||||||||||||
Goldman Sachs Financial Square Government Fund - Institutional Shares | 1.869% | 20,127 | 20,127 | |||||||||
Total Investment Company (Cost $20,127) | ||||||||||||
TOTAL INVESTMENTS - 98.4% (Cost $26,333,108) | 29,599,516 | |||||||||||
OTHER ASSETS IN EXCESS OF IABILITIES - 1.6% | 468,443 | |||||||||||
NET ASSETS - 100.0% | $ | 30,067,959 | ||||||||||
The percentage shown for each investment category reflects the value of investments in that category as a percentage of net assets.
1 | Reported on a cash basis and therefore may not include unsettled shareholder trades from the feeder fund. For additional information on the underlying funds, including shareholder prospectuses and financial reports, please visit each underlying fund’s website or visit the Securities and Exchange Commission’s website at http://www.sec.gov. | ||
(a) | Represents an Affiliated Issuer. | ||
Investment Abbreviations: | |||
ETF - Exchange Traded Fund | |||
TIPs - Treasury Inflation Protected Securities | |||
17 |
Ultra Series Funds | Other Information (unaudited) - concluded | June 30, 2018
APPENDIX B: GOLDMAN SACHS FUNDS: GOLDMAN SACHS TARGET DATE FUNDS STATEMENTS OF ASSETS AND LIABILITIES (unaudited) - June 30, 2018
Target Date | Target Date | Target Date | Target Date | |||||||||||||
2020 Portfolio | 2030 Portfolio | 2040 Portfolio | 2050 Portfolio | |||||||||||||
Assets: | ||||||||||||||||
Investments of unaffiliated issuers, at value (cost $43,912,310, $69,428,579, $44,520,567 and $26,312,981) | $ | 45,124,005 | $ | 75,650,531 | $ | 49,242,774 | $ | 29,579,389 | ||||||||
Investments of affiliated issuers, at value (cost $8,348, $56,245, $37,127 and $20,127) | 8,348 | 56,245 | 37,127 | 20,127 | ||||||||||||
Cash | 917,133 | 1,540,031 | 1,001,038 | 599,936 | ||||||||||||
Receivables: | ||||||||||||||||
Investments sold | 305,268 | 494,152 | 325,407 | 267,783 | ||||||||||||
Dividends | 23,128 | 103,058 | 75,431 | 51,735 | ||||||||||||
Fund shares sold | 2,698 | 3,482 | 2,683 | 2,486 | ||||||||||||
Other assets | 25,086 | 26,515 | 25,117 | 23,990 | ||||||||||||
Total assets | 46,405,666 | 77,874,014 | 50,709,577 | 30,545,446 | ||||||||||||
Liabilities: | ||||||||||||||||
Payables: | ||||||||||||||||
Investments purchased | 310,214 | 539,399 | 354,029 | 282,679 | ||||||||||||
Management fees | 9,496 | 15,962 | 10,380 | 6,279 | ||||||||||||
Distribution and Service fees and Transfer Agency fees | 894 | 1,610 | 948 | 690 | ||||||||||||
Fund shares redeemed | 89 | 288 | 129 | 82 | ||||||||||||
Accrued expenses | 196,350 | 196,206 | 193,606 | 187,757 | ||||||||||||
Total liabilities | 517,043 | 753,465 | 559,092 | 477,487 | ||||||||||||
Net Assets: | ||||||||||||||||
Paid-in capital | $ | 43,625,160 | $ | 69,339,867 | $ | 43,852,421 | $ | 26,012,132 | ||||||||
Undistributed net investment income | 328,371 | 609,807 | 411,092 | 245,593 | ||||||||||||
Accumulated net realized gain | 723,397 | 948,923 | 1,164,765 | 543,826 | ||||||||||||
Net unrealized gain | 1,211,695 | 6,221,952 | 4,722,207 | 3,266,408 | ||||||||||||
NET ASSETS | $ | 45,888,623 | $ | 77,120,549 | $ | 50,150,485 | $ | 30,067,959 | ||||||||
Net Assets: | ||||||||||||||||
Class A | $ | 31,411 | $ | 349,589 | $ | 45,442 | $ | 197,585 | ||||||||
Institutional | 10,691 | 11,381 | 11,666 | 11,954 | ||||||||||||
Service | 10,592 | 11,275 | 11,557 | 11,843 | ||||||||||||
Investor(a) | 861,265 | 1,489,796 | 598,739 | 798,253 | ||||||||||||
Class R | 11,264 | 27,968 | 33,725 | 11,836 | ||||||||||||
Class R6 | 44,963,400 | 75,230,540 | 49,449,356 | 29,036,488 | ||||||||||||
Total Net Assets | $ | 45,888,623 | $ | 77,120,549 | $ | 50,150,485 | $ | 30,067,959 | ||||||||
Shares Outstanding $0.001 par value (unlimited number of shares authorized): | ||||||||||||||||
Class A | 3,394 | 37,073 | 4,933 | 19,120 | ||||||||||||
Institutional | 1,151 | 1,202 | 1,261 | 1,151 | ||||||||||||
Service | 1,144 | 1,195 | 1,254 | 1,144 | ||||||||||||
Investor(a) | 92,905 | 157,740 | 64,863 | 77,035 | ||||||||||||
Class R | 1,218 | 2,970 | 3,668 | 1,145 | ||||||||||||
Class R6 | 4,839,602 | 7,947,146 | 5,341,190 | 2,796,155 | ||||||||||||
Net asset value, offering and redemption price per share:(b) | ||||||||||||||||
Class A | $ | 9.26 | (c) | $ | 9.43 | $ | 9.21 | $ | 10.33 | |||||||
Institutional | 9.29 | 9.47 | 9.25 | 10.38 | (c) | |||||||||||
Service | 9.26 | 9.44 | 9.22 | 10.35 | ||||||||||||
Investor(a) | 9.27 | 9.44 | 9.23 | 10.36 | ||||||||||||
Class R | 9.25 | 9.42 | 9.19 | 10.34 | ||||||||||||
Class R6 | 9.29 | 9.47 | 9.26 | 10.38 |
(a) | Effective October 10, 2017, Class IR Shares changed its name to Investor Shares. |
(b) | Maximum public offering price per share for Class A Shares of the, Target Date 2020, Target Date 2030, Target Date 2040, and Target Date 2050 Portfolios is $9.80, $9.98, $9.75 and $10.93, respectively. |
(c) | Net asset value may not recalculate due to rounding of fractional shares. |
SEC File Number: 811-04815
18 |
Goldman Sachs Funds | ||||||
![]() | ||||||
Semi-Annual Report | February 28, 2018 | |||||
Target Date Portfolios | ||||||
Target Date 2020 | ||||||
Target Date 2025 | ||||||
Target Date 2030 | ||||||
Target Date 2035 | ||||||
Target Date 2040 | ||||||
Target Date 2045 | ||||||
Target Date 2050 | ||||||
Target Date 2055 | ||||||
![]() | ||||||
Goldman Sachs Target Date Portfolios
• TARGET DATE 2020
• TARGET DATE 2025
• TARGET DATE 2030
• TARGET DATE 2035
• TARGET DATE 2040
• TARGET DATE 2045
• TARGET DATE 2050
• TARGET DATE 2055
TABLE OF CONTENTS | |
Market Review | 1 |
Portfolio Management Discussions and Performance Summaries | 4 |
Schedules of Investments | 28 |
Financial Statements | 36 |
Financial Highlights | 46 |
Notes to Financial Statements | 62 |
Other Information | 79 |
NOT FDIC-INSURED | May Lose Value | No Bank Guarantee |
MARKET REVIEW | |
Target Date Portfolios |
Market Review
Global equities advanced during the six months ended February 28, 2018 (the “Reporting Period”), fueled by global economic growth indicators, rising corporate earnings and a general lack of negative financial headlines. U.S. stocks and emerging markets stocks posted double-digit gains, outpacing international developed markets stocks, which also generated positive returns. The fixed income markets recorded negative returns, with performance driven primarily by continuing global economic growth and shifting investor expectations about central bank monetary policy.
Equity Markets
When the Reporting Period began in September 2017, U.S. and international stocks gained. In the U.S., economic activity and labor market data showed consistent strength, with the reversal in August of five consecutive downside inflation surprises, the unemployment rate down to 4.2% in September and the Gross Domestic Product (“GDP”) growing at an annualized rate above 3% during the third calendar quarter. The European Central Bank (“ECB”) kept monetary policy unchanged at its September meeting and revised downward its inflation forecast. Investor sentiment in Japan deteriorated amid North Korean missile launches and escalating geopolitical tensions, while in Europe, the disputed independence referendum in Catalonia, Spain was negative for risk sentiment. Meanwhile, emerging markets equities underperformed developed markets equities in September 2017 for the first time during the calendar year as investors generally favored less risky assets.
During October 2017, emerging markets stocks advanced despite strength in the U.S. dollar. In Japan, the Prime Minister’s landslide victory reassured investors, signaling a continuation of current policies. Progress on U.S. tax reform and strong economic activity data was supportive of U.S. stocks during October and November 2017. In November 2017, a robust earnings season boosted emerging markets stocks, which overcame weakness driven by a global selloff in technology stocks. In December, the U.S. Federal Reserve (the “Fed”) delivered its third interest rate hike of 2017, having previously raised short-term interest rates in March and June, and maintained its projections for three hikes in 2018. U.S. equities gained additional momentum toward the end of 2017 from the passage of tax reform legislation that reduced the corporate tax rate from 35% to 21%.
U.S. and international equities saw a strong start to 2018, driven by positive economic data, the $1.5 trillion U.S. tax reform plan and robust corporate earnings across the U.S., Europe and Japan. Fourth quarter 2017 U.S. GDP came in below the economic growth rates recorded in the second and third calendar quarters but was still at a respectable annualized rate of 2.5%. In January 2018, labor market data highlighted the tightening of slack in the U.S. economy. In Japan, concerns around a strengthening yen increased, driven by the Bank of Japan’s announcement of reduced Japanese government bond purchases, which were interpreted by the markets as a withdrawal from ultra-accommodative monetary policy. Emerging markets equities outperformed developed markets equities during January 2018, bolstered by global economic growth, rising crude oil prices and a softer U.S. dollar.
In February 2018, global equities sold off on market speculation about a faster pace of Fed interest rate hikes, which led to a sharp rise in yields and volatility. Robust U.S. labor market data sparked the initial “risk-off” sentiment, or reduced risk appetite. Concerns about Fed monetary policy tightening were further exacerbated by solid U.S. inflation data. New Fed Chair Jerome Powell’s testimony before the U.S. Congress, positing a more optimistic economic outlook since the December 2017 Fed policy meeting, surprised the markets with
1 |
MARKET REVIEW
its hawkish tilt. (Hawkish tilt suggests higher interest rates; opposite of dovish.) Renewed concerns about increasingly hostile exchanges between North Korea and the White House – as well as heightened European political risk ahead of Italian general elections and a grand coalition referendum in Germany – also fueled volatility. On February 5, 2018, the CBOE Volatility Index® (“VIX®”), a measure of volatility in the U.S. equity market, recorded its largest ever one day increase. The U.S. equity markets rallied after February 8th, and the VIX® declined from a month high of 50.30 to end the Reporting Period at 19.85.
Fixed Income Markets
In September 2017, when the Reporting Period began, government bond sectors sold off and spread (or non-government bond) sectors generally advanced. The Fed kept its monetary policy unchanged but unveiled its plans for balance sheet normalization. (Balance sheet normalization refers to the steps the Fed is taking to reverse quantitative easing and remove the substantial monetary accommodation it has provided to the economy since the financial crisis began in 2007.) This prompted some hawkish market reaction, with the U.S. dollar strengthening and yields on U.S. government bonds rising, though the move had been largely anticipated given earlier signaling by policymakers. The central banks of other developed countries also set the stage for less accommodative monetary policy. The Bank of England (“BoE”) noted “a majority” of its policymakers were in favor of tightening policy “over the coming months,” while the Bank of Canada (“BoC”) surprised the markets with its second interest rate hike of 2017. The market’s expectations for a BoE rate hike in November 2017, along with a constructive tone for Brexit negotiations, drove the British pound higher versus the U.S. dollar. (Brexit refers to the U.K.’s efforts to leave the European Union.)
During the fourth calendar quarter, spread sector performance was broadly positive, supported by ongoing strength in the global macroeconomic environment and contained market, macro and political volatility. Passage of U.S. tax legislation and solid corporate earnings were particularly supportive of U.S. corporate credit. In October 2017, the ECB announced it would reduce its monthly asset purchases from 60 billion to 30 billion for nine months beginning in January 2018, mainly by purchasing fewer sovereign government bonds. The ECB also said its policy rates would remain low for “an extended period of time, and well past the horizon of the net asset purchases.” During the same month, the BoE reversed an emergency interest rate cut, made in August 2016 following the Brexit referendum, and signaled that future monetary policy tightening would be limited, gradual and dependent on the economic reaction to the U.K.’s eventual departure from the European Union. In December 2017, the Fed delivered its third short-term interest rate hike of 2017. The Fed’s dot plot, which shows rate projections of the members of the Fed’s Open Market Committee, indicated that three rate increases were on tap for 2018 and potentially two more in 2019. The U.S. dollar weakened versus many major currencies during the fourth quarter of 2017.
Ongoing momentum in global economic growth and accommodative financial conditions supported spread sectors in January 2018, though a pickup in interest rate volatility near month end and into February tempered performance. The Fed and ECB kept their respective monetary policies unchanged, while the BoC delivered another interest rate hike. Fed policymakers noted they expect “further” gradual adjustments in monetary policy, suggesting there may be scope for upward revisions to their median projections for three rate hikes in 2018. The U.S. dollar continued to weaken relative to most developed markets currencies in January 2018, despite higher U.S. interest rates.
2 |
MARKET REVIEW |
The equity market volatility at the start of February 2018 upset long-standing correlations between asset classes and among currencies. In this environment, spread sectors turned in mixed results. The new Fed chair, Jerome Powell, noted an improvement in the outlook for the U.S. economy since the Fed’s December 2017 policy meeting. His comments were met with a hawkish market reaction, with U.S. Treasury yields climbing amid raised investor expectations for a shift in the Fed’s dot plot at its March 2018 meeting. In the developed markets broadly, manufacturing data suggested some slowing in economic momentum, though most readings remained comfortably in expansionary territory. The U.S. dollar strengthened against most developed markets currencies, except the Japanese yen.
Looking Ahead
At the end of the Reporting Period, we were focused on three macro themes. First, we expected the global economic expansion to continue in 2018. We believed the economies of emerging markets countries were likely to outperform, which should widen the gap between their economic growth and that of developed market countries broadly. Second, we thought the tax legislation passed by the U.S. Congress in December 2017 was likely to stimulate U.S. economic growth and riskier asset classes assets in the short term, which should in turn boost optimism about corporate earnings. In the long term, however, we believe that further deterioration in the U.S.’s fiscal deficit when the economy has little slack raises the possibility of overheating. (A fiscal deficit occurs when a government’s total expenditures exceed the revenue that it generates, excluding money from borrowings. An overheating economy is one that has experienced a prolonged period of economic growth, leading to high levels of inflation.) Third, with inflation inching closer to central bank targets, it appeared more developed markets policymakers were either preparing to or were already normalizing interest rates. That said, tighter monetary policy had yet to flow through to financial conditions, in our view, which could cause economic growth to moderate. Relative to Fed policy at the end of the Reporting Period, we expected three or four interest rate hikes in 2018.
3 |
PORTFOLIO RESULTS |
Goldman Sachs Target Date 2020 Portfolio, |
Goldman Sachs Target Date 2025 Portfolio, |
Goldman Sachs Target Date 2030 Portfolio, |
Goldman Sachs Target Date 2035 Portfolio, |
Goldman Sachs Target Date 2040 Portfolio, |
Goldman Sachs Target Date 2045 Portfolio, |
Goldman Sachs Target Date 2050 Portfolio and |
Goldman Sachs Target Date 2055 Portfolio |
Investment Process and Principal Strategies The Goldman Sachs Target Date 2020 Portfolio, the Goldman Sachs Target Date 2025 Portfolio, the Goldman Sachs Target Date 2030 Portfolio, the Goldman Sachs Target Date 2035 Portfolio, the Goldman Sachs Target Date 2040 Portfolio, the Goldman Sachs Target Date 2045 Portfolio, the Goldman Sachs Target Date 2050 Portfolio and the Goldman Sachs Target Date 2055 Portfolio (collectively, the “Portfolios”) seek to provide capital appreciation and current income consistent with each respective Portfolio’s current asset allocation. The Portfolios employ asset allocation strategies designed for investors who plan to retire and to begin gradually withdrawing their investment beginning in or around 2020, 2025, 2030, 2035, 2040, 2045, 2050 and 2055. The Portfolios generally seek to achieve their investment objective by investing in shares of exchangetraded funds (“ETFs”) and other registered investment companies (collectively, the “Underlying Funds”), according to an asset allocation strategy developed by Madison Asset Management, LLC, the sub-adviser, who is unaffiliated with Goldman Sachs Asset Management, L.P., the investment adviser for the Portfolios. |
Portfolio Management Discussion and Analysis
Below, the Madison Asset Management, LLC portfolio management team, the Goldman Sachs Target Date Portfolios’ sub-adviser, discusses the Portfolios’ performance and positioning for the six-month period ended February 28, 2018 (the “Reporting Period”).
Q | How did the Portfolios perform during the Reporting Period? | |
A | Goldman Sachs Target Date 2020 Portfolio — During the Reporting Period, the Target Date 2020 Portfolio’s Class A, Institutional, Service, Investor, R and R6 Shares generated cumulative total returns of 1.03%, 1.13%, 0.87%, 1.11%, 0.85% and 1.14%, respectively. These returns compare to the 3.05% cumulative total return of the Portfolio’s benchmark, the S&P Target Date To 2020 Index (Total Return, Unhedged, USD) during the same period. | |
Goldman Sachs Target Date 2025 Portfolio — During the Reporting Period, the Target Date 2025 Portfolio’s Class A, Institutional, Service, Investor, R and R6 Shares generated cumulative total returns of 2.82%, 2.90%, 2.61%, 2.88%, 2.56% and 2.93%, respectively. These returns compare to the 4.05% cumulative total return of the Portfolio’s benchmark, |
the S&P Target Date To 2025 Index (Total Return, Unhedged, USD) during the same period. |
Goldman Sachs Target Date 2030 Portfolio — During the Reporting Period, the Target Date 2030 Portfolio’s Class A, Institutional, Service, Investor, R and R6 Shares generated cumulative total returns of 3.72%, 3.97%, 3.62%, 3.85%, 3.61% and 3.98%, respectively. These returns compare to the 5.09% cumulative total return of the Portfolio’s benchmark, the S&P Target Date To 2030 Index (Total Return, Unhedged, USD) during the same period. |
Goldman Sachs Target Date 2035 Portfolio — During the Reporting Period, the Target Date 2035 Portfolio’s Class A, Institutional, Service, Investor, R and R6 Shares generated cumulative total returns of 4.22%, 4.50%, 4.22%, 4.39%, 4.17% and 4.53%, respectively. These returns compare to the 5.98% cumulative total return of the Portfolio’s benchmark, |
4 |
PORTFOLIO RESULTS |
the S&P Target Date To 2035 Index (Total Return, Unhedged, USD) during the same period. | ||
Goldman Sachs Target Date 2040 Portfolio — During the Reporting Period, the Target Date 2040 Portfolio’s Class A, Institutional, Service, Investor, R and R6 Shares generated cumulative total returns of 4.81%, 4.95%, 4.83%, 4.92%, 4.72% and 5.06%, respectively. These returns compare to the 6.87% cumulative total return of the Portfolio’s benchmark, the S&P Target Date To 2040 Index (Total Return, Unhedged, USD) during the same period. | ||
Goldman Sachs Target Date 2045 Portfolio — During the Reporting Period, the Target Date 2045 Portfolio’s Class A, Institutional, Service, Investor, R and R6 Shares generated cumulative total returns of 5.45%, 5.55%, 5.36%, 5.53%, 5.26% and 5.58%, respectively. These returns compare to the 7.26% cumulative total return of the Portfolio’s benchmark, the S&P Target Date To 2045 Index (Total Return, Unhedged, USD) during the same period. | ||
Goldman Sachs Target Date 2050 Portfolio — During the Reporting Period, the Target Date 2050 Portfolio’s Class A, Institutional, Service, Investor, R and R6 Shares generated cumulative total returns of 5.97%, 6.20%, 5.85%, 6.09%, 5.80% and 6.21%, respectively. These returns compare to the 7.42% cumulative total return of the Portfolio’s benchmark, the S&P Target Date To 2050 Index (Total Return, Unhedged, USD) during the same period. | ||
Goldman Sachs Target Date 2055 Portfolio — During the Reporting Period, the Target Date 2055 Portfolio’s Class A, Institutional, Service, Investor, R and R6 Shares generated cumulative total returns of 6.55%, 6.73%, 6.55%, 6.72%, 6.46% and 6.76%, respectively. These returns compare to the 7.68% cumulative total return of the Portfolio’s benchmark, the S&P Target Date To 2055 Index (Total Return, Unhedged, USD) during the same period. | ||
Q | What key factors affected the Portfolios’ performance during the Reporting Period? | |
A | During the Reporting Period, the Portfolios were hurt by our asset allocation decisions to favor certain asset classes through the Underlying Funds. Security selection also detracted from performance during the Reporting Period. |
Q | How did the Portfolios’ asset allocations affect performance during the Reporting Period? | |
A | Within the Portfolios’ strategic allocations, our preference for equities over fixed income had a rather neutral impact on results. Within equities, the Portfolios were hampered by their strategic allocations to non-U.S. stocks, which lagged U.S. stocks during the Reporting Period. In particular, strategic allocations to European equities detracted from performance. Strategic allocations to long-term U.S. government bonds also dampened results. Additionally, the Portfolios were hurt — especially during February 2018 — by their exposure to the U.S. energy sector. Although crude oil prices rose approximately 25% during the Reporting Period, U.S. energy stocks did not experience a similar advance. On the positive side, the Portfolios benefited from their strategic allocations to emerging markets equities, which outpaced developed markets stocks during the Reporting Period. | |
Within the Portfolio’s tactical equity allocations, our decision to modestly increase exposure to U.S. financial stocks contributed most positively. The Portfolios also benefited from their slight bias to U.S. information technology stocks. Financials and information technology were the top performing sectors in the S&P 500® Index during the Reporting Period. In addition, the Portfolios’ tactical underweights in the health care, real estate and utilities sectors bolstered results. Real estate and utilities produced negative returns within the S&P 500® Index during the Reporting Period, while the health care sector generated weak, though modestly positive, returns. Within non-U.S. equities, the Portfolios were helped by their tactical overweights in Japanese equities. | ||
Within tactical fixed income allocations, the Portfolios’ exposure to long-maturity U.S. Treasuries detracted from performance, as long-term U.S. Treasury yields rose during the Reporting Period. Conversely, the Portfolios were aided by their tactical exposure to corporate bonds, especially short-term maturities and investment grade floating rate corporate bonds. | ||
Q | Did the Underlying Funds help or hurt the Portfolios’ performance during the Reporting Period? | |
A | During the Reporting Period, the Portfolios’ Underlying Funds detracted from performance overall. | |
Within the Portfolios’ equity-related Underlying Funds, a tactical overweight to the energy sector hurt results. The Energy Select Sector SPDR® ETF, which had been up significantly between the beginning of the Reporting Period and January 31, 2018, underperformed its benchmark index during February and for the Reporting Period as a whole. Tactical exposure to European equities through the Vanguard |
5 |
PORTFOLIO RESULTS |
FTSE Europe ETF dampened returns, as Europe’s economic growth moderated and the euro strengthened. Although the Portfolios benefited from their tactical underweights in the health care sector, they were hindered by their allocations to the Vanguard Health Care ETF, which trailed its benchmark index. In addition, tactical allocations to higher quality companies (i.e., those with higher returns on equity and higher returns on assets) through the iShares® Edge MSCI Minimum Volatility Emerging Markets ETF detracted from performance. | ||
On the positive side, the Portfolios benefited from tactical exposure to the U.S. financial sector through the Vanguard Financials ETF, as financials stocks advanced and interest rates rose. Tactical exposure to the information technology sector through the Vanguard Information Technology ETF also added to the Portfolios’ performance. In addition, tactical exposure to Japan through the iShares® MSCI Japan ETF and the Wisdom Tree Japan Hedged Equity ETF bolstered returns, as Japan’s economic prospects improved. The Portfolios’ broad exposure to U.S. stocks through the iShares® Core S&P 500 ETF contributed positively. | ||
Of the Portfolios’ fixed income-related Underlying Funds, the iShares® 20+ Year Treasury Bond ETF, the iShares® 7-10 Year Treasury Bond ETF and the Schwab Intermediate-Term U.S. Treasury ETF™, all of which provide tactical exposure to U.S. government yields, detracted from results. Conversely, the Portfolios benefited from their tactical exposure to corporate bonds through the Vanguard Short- Term Corporate Bond ETF and the Vanguard Long-Term Corporate Bond ETF, as U.S. economic conditions continued to improve and credit spreads tightened. (Spreads are yield differentials between bonds of comparable maturity.) Furthermore, the iShares® Floating Rate Bond ETF added to returns, as interest rates rose during the Reporting Period overall. | ||
Of the Portfolios’ commodities-related Underlying Funds, the PowerShares Optimum Yield Diversified Commodity Strategy ETF contributed positively to performance, as commodity prices, especially crude oil prices, moved higher. | ||
Q | How did the Portfolios use derivatives and similar instruments during the Reporting Period? | |
A | The Portfolios do not directly invest in derivatives. However, some of the Underlying Funds may have used derivatives to allow them to track their respective benchmark indices with more precision. These may have included options, forwards, futures, swaps, structured securities and other derivative instruments. | |
Q | What changes did you make to the Portfolios’ strategic allocations during the Reporting Period? | |
A | During the Reporting Period, we eliminated the Portfolios’ strategic overweights in European equities and added strategic overweights in Japanese stocks. We reduced the Portfolios’ strategic allocations to U.S. mid-cap and small-cap stocks, ending the Reporting Period with a small strategic overweight in U.S. large-cap stocks. In our view, larger companies are more internationally focused than mid-cap and small-cap companies, and we expect them to perform better given U.S. dollar weakness. Additionally, we decreased the Portfolios’ strategic allocations to international equities during the Reporting Period and increased their strategic allocations to emerging markets equities. We also reduced the Portfolios’ strategic allocations to intermediate-term U.S. Treasuries in favor of Treasury Inflation Protected Securities (“TIPS”) because we believe investors expect inflation to increase. Finally, we added to the Portfolios’ strategic allocations to corporate bonds because we think higher interest rates give them a yield advantage over U.S. Treasury securities. | |
Q | What is the Portfolios’ tactical view and strategy for the months ahead? | |
A | In the near term, we expect to see low returns from virtually all asset classes. Therefore, we believe managing risk is likely to be of greater importance going forward. We plan to maintain a modestly defensive posture in the Portfolios, with a continued emphasis on seeking to generate strong riskadjusted returns. | |
6 |
PORTFOLIO RESULTS |
Index Definitions
S&P 500® Index is the Standard & Poor’s 500 composite index of 500 stocks, an unmanaged index of common stock prices.
CBOE Volatility Index® (“VIX®”) is a key measure of market expectations of near-term volatility conveyed by S&P 500® stock index option prices. Since its introduction in 1993, VIX® has been considered by many to be the world’s premier barometer of investor sentiment and market volatility.
It is not possible to invest directly in an unmanaged index.
7 |
FUND BASICS |
Target Date 2020 Portfolio
as of February 28, 2018
PERFORMANCE REVIEW | ||||||
S&P Target Date To 2020 (Total Return, Unhedged, USD)2 | ||||||
Portfolio Total Return (based on NAV)1 | ||||||
September 1, 2017–February 28, 2018 | ||||||
Class A | 1.03 | % | 3.05 | % | ||
Institutional | 1.13 | 3.05 | ||||
Service | 0.87 | 3.05 | ||||
Investor | 1.11 | 3.05 | ||||
Class R | 0.85 | 3.05 | ||||
Class R6 | 1.14 | 3.05 | ||||
1 The net asset value (“NAV”) represents the net assets of the class of the Portfolio (ex-dividend) divided by the total number of shares of the class outstanding. The Portfolio’s performance assumes the reinvestment of dividends and other distributions. The Portfolio’s performance does not reflect the deduction of any applicable sales charges. |
8 |
FUND BASICS |
STANDARDIZED TOTAL RETURNS3 |
For the period ended 12/31/17 | One Year | Five Years | Ten Years | Since Inception | Inception Date | |||||||||||||||
Class A | 1.92 | % | N/A | N/A | 0.64 | % | 8/22/16 | |||||||||||||
Institutional | 8.44 | N/A | N/A | 5.38 | 8/22/16 | |||||||||||||||
Service | 7.83 | N/A | N/A | 4.81 | 8/22/16 | |||||||||||||||
Investor | 8.30 | N/A | N/A | 5.24 | 8/22/16 | |||||||||||||||
Class R | 7.70 | N/A | N/A | 4.68 | 8/22/16 | |||||||||||||||
Class R6 | 8.44 | 6.30 | % | 3.31 | % | 3.01 | 10/01/07 | |||||||||||||
3 | The Standardized Total Returns are average annual total returns or cumulative total returns (only if the performance period is one year or less) as of the most recent calendar quarter-end. They assume reinvestment of all distributions at NAV. These returns reflect a maximum initial sales charge of 5.5% for Class A Shares. Because Institutional, Service, Investor, Class R and Class R6 Shares do not involve a sales charge, such a charge is not applied to their Standardized Total Returns. |
Effective August 22, 2016, the Madison Target Retirement 2020 Fund (the “Predecessor Fund”) was reorganized into the Portfolio. The Portfolio has assumed the Predecessor Fund’s historical performance. The returns for the Predecessor Fund for periods prior to August 29, 2014 reflect the performance of the Madison Target Retirement 2020 Fund’s Class I Shares, a series of Ultra Series Fund (the “Ultra Predecessor Fund”). As of August 29, 2014, the inception date of the Predecessor Fund, the Ultra Predecessor Fund exchanged in kind substantially all of its portfolio holdings for Class R6 shares of the Predecessor Fund. As a result, the Predecessor Fund assumed the performance of the Ultra Predecessor Fund. Performance reflects applicable fee waivers and/or expense limitations in effect during the periods shown. Past performance does not guarantee future results, which may vary. The value of investments and the income derived from investments will fluctuate and can go down as well as up. A loss of principal may occur. | |
The returns set forth in the table above represent past performance. Past performance does not guarantee future results. The Portfolio’s investment return and principal value will fluctuate so that an investor’s shares, when redeemed, may be worth more or less than their original cost. Current performance may be lower or higher than the performance quoted above. Please visit our web site at www.GSAMFUNDS.com to obtain the most recent month-end returns. Performance reflects applicable fee waivers and/or expense limitations in effect during the periods shown. In their absence, performance would be reduced. Returns do not reflect the deduction of taxes that a shareholder would pay on Portfolio distributions or the redemption of Portfolio shares. Returns less than 12 months are cumulative, not annualized. |
EXPENSE RATIOS4 |
Net Expense Ratio (Current) | Gross Expense Ratio (Before Waivers) | ||||||
Class A | 0.87 | % | 1.52 | % | |||
Institutional | 0.48 | 1.13 | |||||
Service | 0.98 | 1.63 | |||||
Investor | 0.62 | 1.27 | |||||
Class R | 1.12 | 1.77 | |||||
Class R6 | 0.47 | 1.12 | |||||
4 | The expense ratios of the Portfolio, both current (net of applicable fee waivers and/or expense limitations) and before waivers (gross of applicable fee waivers and/or expense limitations) are as set forth above according to the most recent publicly available Prospectus for the Portfolio and will differ from the expense ratios disclosed in the Financial Highlights in this report due to the inclusion of Underlying Fund fees and expenses, which are not included in the operating expenses of the Portfolio reflected in the Financial Highlights. Pursuant to a contractual arrangement, the Portfolio’s waivers and/or expense limitations will remain in place through at least December 29, 2018, and prior to such date, the Investment Adviser may not terminate the arrangements without the approval of the Portfolio’s Board of Trustees. If these arrangements are discontinued in the future, the expense ratios may change without shareholder approval. |
9 |
FUND BASICS |
TOP TEN HOLDINGS AS OF 2/28/185 |
Holding | % of Net Assets | Line of Business | ||||||
iShares 7-10 Year Treasury Bond ETF | 20.1 | % | Exchange Traded Funds | |||||
Vanguard Short-Term Corporate Bond ETF | 18.1 | Exchange Traded Funds | ||||||
Schwab U.S. TIPs ETF | 15.1 | Exchange Traded Funds | ||||||
Schwab Intermediate-Term U.S. Treasury ETF | 9.1 | Exchange Traded Funds | ||||||
iShares Floating Rate Bond ETF | 6.0 | Exchange Traded Funds | ||||||
iShares Core S&P 500 ETF | 5.0 | Exchange Traded Funds | ||||||
iShares 20+ Year Treasury Bond ETF | 2.5 | Exchange Traded Funds | ||||||
iShares Edge MSCI Minimum Volatility | 2.5 | Exchange Traded Funds | ||||||
Emerging Markets ETF Vanguard FTSE Europe ETF | 2.0 | Exchange Traded Funds | ||||||
Vanguard FTSE All-World ex-U.S. ETF | 2.0 | Exchange Traded Funds | ||||||
5 | The top 10 holdings may not be representative of the Portfolio’s future investments. The top 10 holdings exclude investments in money market funds. |
PORTFOLIO COMPOSITION 6 |
Holding | As of February 28, 2018 | As of August 31, 2017 | |||||||
Bond Funds | 71.5 | % | 65.1 | % | |||||
Stock Funds | 17.3 | 20.3 | |||||||
Foreign Stock Funds | 7.5 | 7.8 | |||||||
Investment Companies | 1.1 | 3.2 | |||||||
Alternative Funds | 1.0 | 3.0 | |||||||
6 | The Portfolio is actively managed and, as such, its composition may differ over time. The percentage shown for each fund type reflects the value of that fund type as a percentage of the Portfolio’s net assets. Figures above may not sum to 100% due to rounding and/or exclusion of other assets and liabilities. |
10
FUND BASICS
Target Date 2025 Portfolio
as of February 28, 2018
![](https://capedge.com/proxy/N-CSRS/0001209286-18-000561/e147655_tdfpg11.jpg)
PERFORMANCE REVIEW |
S&P Target Date To | ||||||||||
Portfolio Total Return | 2025 (Total Return, | |||||||||
September 1, 2017–February 28, 2018 | (based on NAV)1 | Unhedged, USD)2 | ||||||||
Class A | 2.82 | % | 4.05 | % | ||||||
Institutional | 2.90 | 4.05 | ||||||||
Service | 2.61 | 4.05 | ||||||||
Investor | 2.88 | 4.05 | ||||||||
Class R | 2.56 | 4.05 | ||||||||
Class R6 | 2.93 | 4.05 | ||||||||
1 | The net asset value (“NAV”) represents the net assets of the class of the Portfolio (ex-dividend) divided by the total number of shares of the class outstanding. The Portfolio’s performance assumes the reinvestment of dividends and other distributions. The Portfolio’s performance does not reflect the deduction of any applicable sales charges. |
2 | The S&P Target Date Index Series is a component of the S&P Target Allocation Index Family, and is related to the S&P Target Risk Index Series. Both series are broadly representative of the investment opportunity available to investors in target date and target risk funds, respectively. The index series reflects the market consensus for asset allocations for different target date horizons. In particular, each index is representative of the investment opportunity available to investors for the corresponding target date horizon, with asset class exposures driven by a survey of available target date funds for that horizon. |
STANDARDIZED TOTAL RETURNS3 |
For the period ended 12/31/17 | One Year | Since Inception | Inception Date | |||||||||||
Class A | 4.87 | % | 3.42 | % | 8/22/16 | |||||||||
Institutional | 11.41 | 8.18 | 8/22/16 | |||||||||||
Service | 10.89 | 7.67 | 8/22/16 | |||||||||||
Investor | 11.29 | 8.05 | 8/22/16 | |||||||||||
Class R | 10.74 | 7.52 | 8/22/16 | |||||||||||
Class R6 | 11.44 | 8.20 | 8/22/16 | |||||||||||
3 | The Standardized Total Returns are average annual total returns or cumulative total returns (only if the performance period is one year or less) as of the most recent calendar quarter-end. They assume reinvestment of all distributions at NAV. These returns reflect a maximum initial sales charge of 5.5% for Class A Shares. Because Institutional, Service, Investor, Class R and Class R6 Shares do not involve a sales charge, such a charge is not applied to their Standardized Total Returns. |
The returns set forth in the tables above represent past performance. Past performance does not guarantee future results. The Portfolio’s investment return and principal value will fluctuate so that an investor’s shares, when redeemed, may be worth more or less than their original cost. Current performance may be lower or higher than the performance quoted above. Please visit our web site at www.GSAMFUNDS.com to obtain the most recent month-end returns. Performance reflects applicable fee waivers and/or expense limitations in effect during the periods shown. In their absence, performance would be reduced. Returns do not reflect the deduction of taxes that a shareholder would pay on Portfolio distributions or the redemption of Portfolio shares. Returns less than 12 months are cumulative, not annualized. |
11
FUND BASICS
EXPENSE RATIOS4 |
Net Expense Ratio (Current) | Gross Expense Ratio (Before Waivers) | ||||||||
Class A | 0.87 | % | 3.29 | % | |||||
Institutional | 0.48 | 2.90 | |||||||
Service | 0.98 | 3.40 | |||||||
Investor | 0.62 | 3.04 | |||||||
Class R | 1.12 | 3.54 | |||||||
Class R6 | 0.47 | 2.89 | |||||||
4 | The expense ratios of the Portfolio, both current (net of applicable fee waivers and/or expense limitations) and before waivers (gross of applicable fee waivers and/or expense limitations) are as set forth above according to the most recent publicly available Prospectus for the Portfolio and will differ from the expense ratios disclosed in the Financial Highlights in this report due to the inclusion of Underlying Fund fees and expenses, which are not included in the operating expenses of the Portfolio reflected in the Financial Highlights. Pursuant to a contractual arrangement, the Portfolio’s waivers and/or expense limitations will remain in place through at least December 29, 2018, and prior to such date, the Investment Adviser may not terminate the arrangements without the approval of the Portfolio’s Board of Trustees. If these arrangements are discontinued in the future, the expense ratios may change without shareholder approval. |
TOP TEN HOLDINGS AS OF 2/28/185 |
Holding | % of Net Assets | Line of Business | |||||||
Vanguard Short-Term Corporate Bond ETF | 16.2 | % | Exchange Traded Funds | ||||||
iShares Core S&P 500 ETF | 14.9 | Exchange Traded Funds | |||||||
iShares 7-10 Year Treasury Bond ETF | 13.6 | Exchange Traded Funds | |||||||
Schwab U.S. TIPs ETF | 11.1 | Exchange Traded Funds | |||||||
Schwab Intermediate-Term U.S. Treasury ETF | 8.1 | Exchange Traded Funds | |||||||
Vanguard FTSE All-World ex-U.S. ETF | 5.0 | Exchange Traded Funds | |||||||
iShares Edge MSCI Minimum Volatility | 3.5 | Exchange Traded Funds | |||||||
Emerging Markets ETF iShares Floating Rate Bond ETF | 3.0 | Exchange Traded Funds | |||||||
Vanguard FTSE Europe ETF | 3.0 | Exchange Traded Funds | |||||||
iShares 20+ Year Treasury Bond ETF | 2.5 | Exchange Traded Funds | |||||||
5 | The top 10 holdings may not be representative of the Portfolio’s future investments. The top 10 holdings exclude investments in money market funds. |
PORTFOLIO COMPOSITION6 |
Holding | As of February 28, 2018 | As of August 31, 2017 | ||||||
Bond Funds | 54.5 | % | 48.5 | % | ||||
Stock Funds | 28.9 | 31.5 | ||||||
Foreign Stock Funds | 12.5 | 13.1 | ||||||
Alternative Funds | 1.5 | 3.5 | ||||||
Investment Companies | 1.2 | 3.0 | ||||||
6 | The Portfolio is actively managed and, as such, its composition may differ over time. The percentage shown for each fund type reflects the value of that fund type as a percentage of the Portfolio’s net assets. Figures above may not sum to 100% due to rounding and/or exclusion of other assets and liabilities. |
12
FUND BASICS
Target Date 2030 Portfolio
as of February 28, 2018
![](https://capedge.com/proxy/N-CSRS/0001209286-18-000561/e147655_tdfpg13.jpg)
PERFORMANCE REVIEW |
S&P Target Date To | |||||||||
Portfolio Total Return | 2030 (Total Return, | ||||||||
September 1, 2017–February 28, 2018 | (based on NAV)1 | Unhedged, USD)2 | |||||||
Class A | 3.72 | % | 5.09 | % | |||||
Institutional | 3.97 | 5.09 | |||||||
Service | 3.62 | 5.09 | |||||||
Investor | 3.85 | 5.09 | |||||||
Class R | 3.61 | 5.09 | |||||||
Class R6 | 3.98 | 5.09 | |||||||
1 | The net asset value (“NAV”) represents the net assets of the class of the Portfolio (ex-dividend) divided by the total number of shares of the class outstanding. The Portfolio’s performance assumes the reinvestment of dividends and other distributions. The Portfolio’s performance does not reflect the deduction of any applicable sales charges. |
2 | The S&P Target Date Index Series is a component of the S&P Target Allocation Index Family, and is related to the S&P Target Risk Index Series. Both series are broadly representative of the investment opportunity available to investors in target date and target risk funds, respectively. The index series reflects the market consensus for asset allocations for different target date horizons. In particular, each index is representative of the investment opportunity available to investors for the corresponding target date horizon, with asset class exposures driven by a survey of available target date funds for that horizon. |
The returns set forth in the table above represent past performance. Past performance does not guarantee future results. The Portfolio’s investment return and principal value will fluctuate so that an investor’s shares, when redeemed, may be worth more or less than their original cost. Current performance may be lower or higher than the performance quoted above. Please visit our web site at www.GSAMFUNDS.com to obtain the most recent month-end returns. Performance reflects fee waivers and/or expense limitations in effect. In their absence, performance would be reduced. Returns do not reflect the deduction of taxes that a shareholder would pay on Portfolio distributions or the redemption of Portfolio shares. Returns less than 12 months are cumulative, not annualized. |
13
FUND BASICS
STANDARDIZED TOTAL RETURNS3 |
For the period ended 12/31/17 | One Year | Five Years | Ten Years | Since Inception | Inception Date | ||||||||||||||
Class A | 6.68 | % | N/A | N/A | 4.91 | % | 8/22/16 | ||||||||||||
Institutional | 13.49 | N/A | N/A | 9.95 | 8/22/16 | ||||||||||||||
Service | 12.89 | N/A | N/A | 9.39 | 8/22/16 | ||||||||||||||
Investor | 13.25 | N/A | N/A | 9.74 | 8/22/16 | ||||||||||||||
Class R | 12.65 | N/A | N/A | 9.17 | 8/22/16 | ||||||||||||||
Class R6 | 13.38 | 8.75 | % | 4.21 | % | 3.85 | 10/01/07 | ||||||||||||
3 | The Standardized Total Returns are average annual total returns or cumulative total returns (only if the performance period is one year or less) as of the most recent calendar quarter-end. They assume reinvestment of all distributions at NAV. These returns reflect a maximum initial sales charge of 5.5% for Class A Shares. Because Institutional, Service, Investor, Class R and Class R6 Shares do not involve a sales charge, such a charge is not applied to their Standardized Total Returns. |
Effective August 22, 2016, the Madison Target Retirement 2030 Fund (the “Predecessor Fund”) was reorganized into the Portfolio. The Portfolio has assumed the Predecessor Fund’s historical performance. The returns for the Predecessor Fund for periods prior to August 29, 2014 reflect the performance of the Madison Target Retirement 2030 Fund’s Class I Shares, a series of Ultra Series Fund (the “Ultra Predecessor Fund”). As of August 29, 2014, the inception date of the Predecessor Fund, the Ultra Predecessor Fund exchanged in kind substantially all of its portfolio holdings for Class R6 shares of the Predecessor Fund. As a result, the Predecessor Fund assumed the performance of the Ultra Predecessor Fund. Performance reflects applicable fee waivers and/or expense limitations in effect during the periods shown. Past performance does not guarantee future results, which may vary. The value of investments and the income derived from investments will fluctuate and can go down as well as up. A loss of principal may occur. | |
The returns set forth in the table above represent past performance. Past performance does not guarantee future results. The Portfolio’s investment return and principal value will fluctuate so that an investor’s shares, when redeemed, may be worth more or less than their original cost. Current performance may be lower or higher than the performance quoted above. Please visit our web site at www.GSAMFUNDS.com to obtain the most recent month-end returns. Performance reflects applicable fee waivers and/or expense limitations in effect during the periods shown. In their absence, performance would be reduced. Returns do not reflect the deduction of taxes that a shareholder would pay on Portfolio distributions or the redemption of Portfolio shares. Returns less than 12 months are cumulative, not annualized. |
EXPENSE RATIOS4 |
Net Expense Ratio (Current) | Gross Expense Ratio (Before Waivers) | |||||||
Class A | 0.87 | % | 1.34 | % | ||||
Institutional | 0.48 | 0.95 | ||||||
Service | 0.98 | 1.45 | ||||||
Investor | 0.62 | 1.09 | ||||||
Class R | 1.12 | 1.59 | ||||||
Class R6 | 0.47 | 0.94 | ||||||
4 | The expense ratios of the Portfolio, both current (net of applicable fee waivers and/or expense limitations) and before waivers (gross of applicable fee waivers and/or expense limitations) are as set forth above according to the most recent publicly available Prospectus for the Portfolio and will differ from the expense ratios disclosed in the Financial Highlights in this report due to the inclusion of Underlying Fund fees and expenses, which are not included in the operating expenses of the Portfolio reflected in the Financial Highlights. Pursuant to a contractual arrangement, the Portfolio’s waivers and/or expense limitations will remain in place through at least December 29, 2018, and prior to such date, the Investment Adviser may not terminate the arrangements without the approval of the Portfolio’s Board of Trustees. If these arrangements are discontinued in the future, the expense ratios may change without shareholder approval. |
14
FUND BASICS
TOP TEN HOLDINGS AS OF 2/28/185 |
Holding | % of Net Assets | Line of Business | |||||||
iShares Core S&P 500 ETF | 19.9 | % | Exchange Traded Funds | ||||||
Vanguard Short-Term Corporate Bond ETF | 14.1 | Exchange Traded Funds | |||||||
Schwab U.S. TIPs ETF | 8.1 | Exchange Traded Funds | |||||||
Schwab Intermediate-Term U.S. Treasury ETF | 7.6 | Exchange Traded Funds | |||||||
Vanguard FTSE All-World ex-U.S. ETF | 7.5 | Exchange Traded Funds | |||||||
iShares 7-10 Year Treasury Bond ETF | 7.1 | Exchange Traded Funds | |||||||
iShares Edge MSCI Minimum Volatility | 4.0 | Exchange Traded Funds | |||||||
Emerging Markets ETF Vanguard FTSE Europe ETF | 3.5 | Exchange Traded Funds | |||||||
iShares Floating Rate Bond ETF | 3.0 | Exchange Traded Funds | |||||||
iShares 20+ Year Treasury Bond ETF | 2.5 | Exchange Traded Funds | |||||||
5 | The top 10 holdings may not be representative of the Portfolio’s future investments. The top 10 holdings exclude investments in money market funds. |
PORTFOLIO COMPOSITION6 |
Holding | As of February 28, 2018 | As of August 31, 2017 | ||||||
Bond Funds | 42.4 | % | 39.3 | % | ||||
Stock Funds | 36.8 | 36.3 | ||||||
Foreign Stock Funds | 16.0 | 16.4 | ||||||
Alternative Funds | 2.0 | 3.0 | ||||||
Investment Companies | 1.0 | 2.0 | ||||||
6 | The Portfolio is actively managed and, as such, its composition may differ over time. The percentage shown for each fund type reflects the value of that fund type as a percentage of the Portfolio’s net assets. Figures above may not sum to 100% due to rounding and/or exclusion of other assets and liabilities. |
15
FUND BASICS
Target Date 2035 Portfolio
as of February 28, 2018
![](https://capedge.com/proxy/N-CSRS/0001209286-18-000561/e147655_tdfpg16.jpg)
PERFORMANCE REVIEW |
S&P Target Date To | |||||||||
Portfolio Total Return | 2035 (Total Return, | ||||||||
September 1, 2017–February 28, 2018 | (based on NAV)1 | Unhedged, USD)2 | |||||||
Class A | 4.22 | % | 5.98 | % | |||||
Institutional | 4.50 | 5.98 | |||||||
Service | 4.22 | 5.98 | |||||||
Investor | 4.39 | 5.98 | |||||||
Class R | 4.17 | 5.98 | |||||||
Class R6 | 4.53 | 5.98 | |||||||
1 | The net asset value (“NAV”) represents the net assets of the class of the Portfolio (ex-dividend) divided by the total number of shares of the class outstanding. The Portfolio’s performance assumes the reinvestment of dividends and other distributions. The Portfolio’s performance does not reflect the deduction of any applicable sales charges. |
2 | The S&P Target Date Index Series is a component of the S&P Target Allocation Index Family, and is related to the S&P Target Risk Index Series. Both series are broadly representative of the investment opportunity available to investors in target date and target risk funds, respectively. The index series reflects the market consensus for asset allocations for different target date horizons. In particular, each index is representative of the investment opportunity available to investors for the corresponding target date horizon, with asset class exposures driven by a survey of available target date funds for that horizon. |
STANDARDIZED TOTAL RETURNS3 |
For the period ended 12/31/17 | One Year | Since Inception | Inception Date | ||||||||
Class A | 7.67 | % | 5.91 | % | 8/22/16 | ||||||
Institutional | 14.35 | 10.79 | 8/22/16 | ||||||||
Service | 13.83 | 10.28 | 8/22/16 | ||||||||
Investor | 14.13 | 10.59 | 8/22/16 | ||||||||
Class R | 13.67 | 10.12 | 8/22/16 | ||||||||
Class R6 | 14.38 | 10.82 | 8/22/16 | ||||||||
3 | The Standardized Total Returns are average annual total returns or cumulative total returns (only if the performance period is one year or less) as of the most recent calendar quarter-end. They assume reinvestment of all distributions at NAV. These returns reflect a maximum initial sales charge of 5.5% for Class A Shares. Because Institutional, Service, Investor, Class R and Class R6 Shares do not involve a sales charge, such a charge is not applied to their Standardized Total Returns. |
The returns set forth in the tables above represent past performance. Past performance does not guarantee future results. The Portfolio’s investment return and principal value will fluctuate so that an investor’s shares, when redeemed, may be worth more or less than their original cost. Current performance may be lower or higher than the performance quoted above. Please visit our web site at www.GSAMFUNDS.com to obtain the most recent month-end returns. Performance reflects applicable fee waivers and/or expense limitations in effect during the periods shown. In their absence, performance would be reduced. Returns do not reflect the deduction of taxes that a shareholder would pay on Portfolio distributions or the redemption of Portfolio shares. Returns less than 12 months are cumulative, not annualized. |
16
FUND BASICS
EXPENSE RATIOS4 |
Net Expense Ratio (Current) | Gross Expense Ratio (Before Waivers) | |||||||
Class A | 0.87 | % | 3.26 | % | ||||
Institutional | 0.48 | 2.87 | ||||||
Service | 0.98 | 3.37 | ||||||
Investor | 0.62 | 3.01 | ||||||
Class R | 1.12 | 3.51 | ||||||
Class R6 | 0.47 | 2.86 | ||||||
4 | The expense ratios of the Portfolio, both current (net of applicable fee waivers and/or expense limitations) and before waivers (gross of applicable fee waivers and/or expense limitations) are as set forth above according to the most recent publicly available Prospectus for the Portfolio and will differ from the expense ratios disclosed in the Financial Highlights in this report due to the inclusion of Underlying Fund fees and expenses, which are not included in the operating expenses of the Portfolio reflected in the Financial Highlights. Pursuant to a contractual arrangement, the Portfolio’s waivers and/or expense limitations will remain in place through at least December 29, 2018, and prior to such date, the Investment Adviser may not terminate the arrangements without the approval of the Portfolio’s Board of Trustees. If these arrangements are discontinued in the future, the expense ratios may change without shareholder approval. |
TOP TEN HOLDINGS AS OF 2/28/185 |
Holding | % of Net Assets | Line of Business | ||||||
iShares Core S&P 500 ETF | 20.9 | % | Exchange Traded Funds | |||||
Vanguard Short-Term Corporate Bond ETF | 12.1 | Exchange Traded Funds | ||||||
Vanguard FTSE All-World ex-U.S. ETF | 8.1 | Exchange Traded Funds | ||||||
Schwab U.S. TIPs ETF | 7.1 | Exchange Traded Funds | ||||||
Schwab Intermediate-Term U.S. Treasury ETF | 7.1 | Exchange Traded Funds | ||||||
iShares 7-10 Year Treasury Bond ETF | 6.1 | Exchange Traded Funds | ||||||
iShares Edge MSCI Minimum Volatility | 4.5 | Exchange Traded Funds | ||||||
Emerging Markets ETF Vanguard FTSE Europe ETF | 4.0 | Exchange Traded Funds | ||||||
iShares Floating Rate Bond ETF | 3.0 | Exchange Traded Funds | ||||||
iShares Core S&P Mid-Cap ETF | 3.0 | Exchange Traded Funds | ||||||
5 | The top 10 holdings may not be representative of the Portfolio’s future investments. The top 10 holdings exclude investments in money market funds. |
PORTFOLIO COMPOSITION6 |
Holding | As of February 28, 2018 | As of August 31, 2017 | ||||||
Bond Funds | 37.9 | % | 34.5 | % | ||||
Stock Funds | 36.9 | 39.6 | ||||||
Foreign Stock Funds | 20.1 | 18.5 | ||||||
Alternative Funds | 2.5 | 3.0 | ||||||
Investment Companies | 1.2 | 3.5 | ||||||
6 | The Portfolio is actively managed and, as such, its composition may differ over time. The percentage shown for each fund type reflects the value of that fund type as a percentage of the Portfolio’s net assets. Figures above may not sum to 100% due to rounding and/or exclusion of other assets and liabilities. |
17
FUND BASICS
Target Date 2040 Portfolio
as of February 28, 2018
![](https://capedge.com/proxy/N-CSRS/0001209286-18-000561/e147655_tdfpg18.jpg)
PERFORMANCE REVIEW |
S&P Target Date To | ||||||||
Portfolio Total Return | 2040 (Total Return, | |||||||
September 1, 2017–February 28, 2018 | (based on NAV)1 | Unhedged, USD)2 | ||||||
Class A | 4.81 | % | 6.87 | % | ||||
Institutional | 4.95 | 6.87 | ||||||
Service | 4.83 | 6.87 | ||||||
Investor | 4.92 | 6.87 | ||||||
Class R | 4.72 | 6.87 | ||||||
Class R6 | 5.06 | 6.87 | ||||||
1 | The net asset value (“NAV”) represents the net assets of the class of the Portfolio (ex-dividend) divided by the total number of shares of the class outstanding. The Portfolio’s performance assumes the reinvestment of dividends and other distributions. The Portfolio’s performance does not reflect the deduction of any applicable sales charges. |
2 | The S&P Target Date Index Series is a component of the S&P Target Allocation Index Family, and is related to the S&P Target Risk Index Series. Both series are broadly representative of the investment opportunity available to investors in target date and target risk funds, respectively. The index series reflects the market consensus for asset allocations for different target date horizons. In particular, each index is representative of the investment opportunity available to investors for the corresponding target date horizon, with asset class exposures driven by a survey of available target date funds for that horizon. |
The returns set forth in the table above represent past performance. Past performance does not guarantee future results. The Portfolio’s investment return and principal value will fluctuate so that an investor’s shares, when redeemed, may be worth more or less than their original cost. Current performance may be lower or higher than the performance quoted above. Please visit our web site at www.GSAMFUNDS.com to obtain the most recent month-end returns. Performance reflects fee waivers and/or expense limitations in effect. In their absence, performance would be reduced. Returns do not reflect the deduction of taxes that a shareholder would pay on Portfolio distributions or the redemption of Portfolio shares. Returns less than 12 months are cumulative, not annualized. |
18
FUND BASICS
STANDARDIZED TOTAL RETURNS3 |
For the period ended 12/31/17 | One Year | Five Years | Ten Years | Since Inception | Inception Date | |||||||||||||||
Class A | 8.59 | % | N/A | N/A | 6.87 | % | 8/22/16 | |||||||||||||
Institutional | 15.44 | N/A | N/A | 11.87 | 8/22/16 | |||||||||||||||
Service | 14.85 | N/A | N/A | 11.31 | 8/22/16 | |||||||||||||||
Investor | 15.18 | N/A | N/A | 11.64 | 8/22/16 | |||||||||||||||
Class R | 14.62 | N/A | N/A | 11.11 | 8/22/16 | |||||||||||||||
Class R6 | 15.44 | 9.92 | % | 4.26 | % | 3.86 | 10/01/07 | |||||||||||||
3 | The Standardized Total Returns are average annual total returns or cumulative total returns (only if the performance period is one year or less) as of the most recent calendar quarter-end. They assume reinvestment of all distributions at NAV. These returns reflect a maximum initial sales charge of 5.5% for Class A Shares. Because Institutional, Service, Investor, Class R and Class R6 Shares do not involve a sales charge, such a charge is not applied to their Standardized Total Returns. |
Effective August 22, 2016, the Madison Target Retirement 2040 Fund (the “Predecessor Fund”) was reorganized into the Portfolio. The Portfolio has assumed the Predecessor Fund’s historical performance. The returns for the Predecessor Fund for periods prior to August 29, 2014 reflect the performance of the Madison Target Retirement 2040 Fund’s Class I Shares, a series of Ultra Series Fund (the “Ultra Predecessor Fund”). As of August 29, 2014, the inception date of the Predecessor Fund, the Ultra Predecessor Fund exchanged in kind substantially all of its portfolio holdings for Class R6 shares of the Predecessor Fund. As a result, the Predecessor Fund assumed the performance of the Ultra Predecessor Fund. Performance reflects applicable fee waivers and/or expense limitations in effect during the periods shown. Past performance does not guarantee future results, which may vary. The value of investments and the income derived from investments will fluctuate and can go down as well as up. A loss of principal may occur. | |
The returns set forth in the table above represent past performance. Past performance does not guarantee future results. The Portfolio’s investment return and principal value will fluctuate so that an investor’s shares, when redeemed, may be worth more or less than their original cost. Current performance may be lower or higher than the performance quoted above. Please visit our web site at www.GSAMFUNDS.com to obtain the most recent month-end returns. Performance reflects applicable fee waivers and/or expense limitations in effect during the periods shown. In their absence, performance would be reduced. Returns do not reflect the deduction of taxes that a shareholder would pay on Portfolio distributions or the redemption of Portfolio shares. Returns less than 12 months are cumulative, not annualized. |
EXPENSE RATIOS4 |
Net Expense Ratio (Current) | Gross Expense Ratio (Before Waivers) | |||||||
Class A | 0.88 | % | 1.45 | % | ||||
Institutional | 0.49 | 1.06 | ||||||
Service | 0.99 | 1.56 | ||||||
Investor | 0.63 | 1.20 | ||||||
Class R | 1.13 | 1.70 | ||||||
Class R6 | 0.48 | 1.05 | ||||||
4 | The expense ratios of the Portfolio, both current (net of applicable fee waivers and/or expense limitations) and before waivers (gross of applicable fee waivers and/or expense limitations) are as set forth above according to the most recent publicly available Prospectus for the Portfolio and will differ from the expense ratios disclosed in the Financial Highlights in this report due to the inclusion of Underlying Fund fees and expenses, which are not included in the operating expenses of the Portfolio reflected in the Financial Highlights. Pursuant to a contractual arrangement, the Portfolio’s waivers and/or expense limitations will remain in place through at least December 29, 2018, and prior to such date, the Investment Adviser may not terminate the arrangements without the approval of the Portfolio’s Board of Trustees. If these arrangements are discontinued in the future, the expense ratios may change without shareholder approval. |
19
FUND BASICS
TOP TEN HOLDINGS AS OF 2/28/185 |
Holding | % of Net Assets | Line of Business | ||||||
iShares Core S&P 500 ETF | 21.9 | % | Exchange Traded Funds | |||||
Vanguard Short-Term Corporate Bond ETF | 10.1 | Exchange Traded Funds | ||||||
Vanguard FTSE All-World ex-U.S. ETF | 8.5 | Exchange Traded Funds | ||||||
Schwab U.S. TIPs ETF | 6.1 | Exchange Traded Funds | ||||||
Schwab Intermediate-Term U.S. Treasury ETF | 6.1 | Exchange Traded Funds | ||||||
iShares 7-10 Year Treasury Bond ETF | 5.1 | Exchange Traded Funds | ||||||
iShares Edge MSCI Minimum Volatility | 5.0 | Exchange Traded Funds | ||||||
Emerging Markets ETF Vanguard FTSE Europe ETF | 4.5 | Exchange Traded Funds | ||||||
iShares Core S&P Mid-Cap ETF | 3.5 | Exchange Traded Funds | ||||||
iShares Floating Rate Bond ETF | 3.0 | Exchange Traded Funds | ||||||
5 | The top 10 holdings may not be representative of the Portfolio’s future investments. The top 10 holdings exclude investments in money market funds. |
PORTFOLIO COMPOSITION6 |
Holding | As of February 28, 2018 | As of August 31, 2017 | ||||||
Stock Funds | 42.9 | % | 43.1 | % | ||||
Bond Funds | 32.9 | 29.6 | ||||||
Foreign Stock Funds | 19.0 | 20.0 | ||||||
Alternative Funds | 2.5 | 3.0 | ||||||
Investment Companies | 1.1 | 2.3 | ||||||
6 | The Portfolio is actively managed and, as such, its composition may differ over time. The percentage shown for each fund type reflects the value of that fund type as a percentage of the Portfolio’s net assets. Figures above may not sum to 100% due to rounding and/or exclusion of other assets and liabilities. |
20
FUND BASICS
Target Date 2045 Portfolio
as of February 28, 2018
![](https://capedge.com/proxy/N-CSRS/0001209286-18-000561/e147655_tdfpg21.jpg)
PERFORMANCE REVIEW |
S&P Target Date To | ||||||||
Portfolio Total Return | 2045 (Total Return, | |||||||
September 1, 2017–February 28, 2018 | (based on NAV)1 | Unhedged, USD)2 | ||||||
Class A | 5.45 | % | 7.26 | % | ||||
Institutional | 5.55 | 7.26 | ||||||
Service | 5.36 | 7.26 | ||||||
Investor | 5.53 | 7.26 | ||||||
Class R | 5.26 | 7.26 | ||||||
Class R6 | 5.58 | 7.26 | ||||||
1 | The net asset value (“NAV”) represents the net assets of the class of the Portfolio (ex-dividend) divided by the total number of shares of the class outstanding. The Portfolio’s performance assumes the reinvestment of dividends and other distributions. The Portfolio’s performance does not reflect the deduction of any applicable sales charges. |
2 | The S&P Target Date Index Series is a component of the S&P Target Allocation Index Family, and is related to the S&P Target Risk Index Series. Both series are broadly representative of the investment opportunity available to investors in target date and target risk funds, respectively. The index series reflects the market consensus for asset allocations for different target date horizons. In particular, each index is representative of the investment opportunity available to investors for the corresponding target date horizon, with asset class exposures driven by a survey of available target date funds for that horizon. |
STANDARDIZED TOTAL RETURNS3 |
For the period ended 12/31/17 | One Year | Since Inception | Inception Date | |||||||||
Class A | 9.62 | % | 7.77 | % | 8/22/16 | |||||||
Institutional | 16.38 | 12.75 | 8/22/16 | |||||||||
Service | 15.76 | 12.16 | 8/22/16 | |||||||||
Investor | 16.15 | 12.54 | 8/22/16 | |||||||||
Class R | 15.64 | 12.04 | 8/22/16 | |||||||||
Class R6 | 16.31 | 12.70 | 8/22/16 | |||||||||
3 | The Standardized Total Returns are average annual total returns or cumulative total returns (only if the performance period is one year or less) as of the most recent calendar quarter-end. They assume reinvestment of all distributions at NAV. These returns reflect a maximum initial sales charge of 5.5% for Class A Shares. Because Institutional, Service, Investor, Class R and Class R6 Shares do not involve a sales charge, such a charge is not applied to their Standardized Total Returns. |
The returns set forth in the tables above represent past performance. Past performance does not guarantee future results. The Portfolio’s investment return and principal value will fluctuate so that an investor’s shares, when redeemed, may be worth more or less than their original cost. Current performance may be lower or higher than the performance quoted above. Please visit our web site at www.GSAMFUNDS.com to obtain the most recent month-end returns. Performance reflects applicable fee waivers and/or expense limitations in effect during the periods shown. In their absence, performance would be reduced. Returns do not reflect the deduction of taxes that a shareholder would pay on Portfolio distributions or the redemption of Portfolio shares. Returns less than 12 months are cumulative, not annualized. |
21
FUND BASICS
EXPENSE RATIOS4 |
Net Expense Ratio (Current) | Gross Expense Ratio (Before Waivers) | |||||||
Class A | 0.88 | % | 3.23 | % | ||||
Institutional | 0.49 | 2.84 | ||||||
Service | 0.99 | 3.34 | ||||||
Investor | 0.63 | 2.98 | ||||||
Class R | 1.13 | 3.48 | ||||||
Class R6 | 0.48 | 2.83 | ||||||
4 | The expense ratios of the Portfolio, both current (net of applicable fee waivers and/or expense limitations) and before waivers (gross of applicable fee waivers and/or expense limitations) are as set forth above according to the most recent publicly available Prospectus for the Portfolio and will differ from the expense ratios disclosed in the Financial Highlights in this report due to the inclusion of Underlying Fund fees and expenses, which are not included in the operating expenses of the Portfolio reflected in the Financial Highlights. Pursuant to a contractual arrangement, the Portfolio’s waivers and/or expense limitations will remain in place through at least December 29, 2018, and prior to such date, the Investment Adviser may not terminate the arrangements without the approval of the Portfolio’s Board of Trustees. If these arrangements are discontinued in the future, the expense ratios may change without shareholder approval. |
TOP TEN HOLDINGS AS OF 2/28/185 |
Holding | % of Net Assets | Line of Business | ||||||
iShares Core S&P 500 ETF | 23.0 | % | Exchange Traded Funds | |||||
Vanguard FTSE All-World ex-U.S. ETF | 9.0 | Exchange Traded Funds | ||||||
Vanguard Short-Term Corporate Bond ETF | 8.1 | Exchange Traded Funds | ||||||
Vanguard FTSE Europe ETF | 5.3 | Exchange Traded Funds | ||||||
Schwab U.S. TIPs ETF | 5.1 | Exchange Traded Funds | ||||||
Schwab Intermediate-Term U.S. Treasury ETF | 5.1 | Exchange Traded Funds | ||||||
iShares Edge MSCI Minimum Volatility | 4.8 | Exchange Traded Funds | ||||||
Emerging Markets ETF iShares 7-10 Year Treasury Bond ETF | 4.1 | Exchange Traded Funds | ||||||
iShares Core S&P Mid-Cap ETF | 4.0 | Exchange Traded Funds | ||||||
iShares MSCI Japan ETF | 3.3 | Exchange Traded Funds | ||||||
5 | The top 10 holdings may not be representative of the Portfolio’s future investments. The top 10 holdings exclude investments in money market funds. |
PORTFOLIO COMPOSITION6 |
Holding | As of February 28, 2018 | As of August 31, 2017 | |||||
Stock Funds | 46.2 | % | 45.3 | % | |||
Bond Funds | 27.9 | 25.5 | |||||
Foreign Stock Funds | 20.8 | 21.7 | |||||
Alternative Funds | 2.5 | 3.0 | |||||
Investment Companies | 1.2 | 3.5 | |||||
6 | The Portfolio is actively managed and, as such, its composition may differ over time. The percentage shown for each fund type reflects the value of that fund type as a percentage of the Portfolio’s net assets. Figures above may not sum to 100% due to rounding and/or exclusion of other assets and liabilities. |
22
FUND BASICS
Target Date 2050 Portfolio
as of February 28, 2018
![](https://capedge.com/proxy/N-CSRS/0001209286-18-000561/e147655_tdfpg23.jpg)
PERFORMANCE REVIEW |
S&P Target Date To | ||||||||
Portfolio Total Return | 2050 (Total Return, | |||||||
September 1, 2017–February 28, 2018 | (based on NAV)1 | Unhedged, USD)2 | ||||||
Class A | 5.97 | % | 7.42 | % | ||||
Institutional | 6.20 | 7.42 | ||||||
Service | 5.85 | 7.42 | ||||||
Investor | 6.09 | 7.42 | ||||||
Class R | 5.80 | 7.42 | ||||||
Class R6 | 6.21 | 7.42 | ||||||
1 | The net asset value (“NAV”) represents the net assets of the class of the Portfolio (ex-dividend) divided by the total number of shares of the class outstanding. The Portfolio’s performance assumes the reinvestment of dividends and other distributions. The Portfolio’s performance does not reflect the deduction of any applicable sales charges. |
2 | The S&P Target Date Index Series is a component of the S&P Target Allocation Index Family, and is related to the S&P Target Risk Index Series. Both series are broadly representative of the investment opportunity available to investors in target date and target risk funds, respectively. The index series reflects the market consensus for asset allocations for different target date horizons. In particular, each index is representative of the investment opportunity available to investors for the corresponding target date horizon, with asset class exposures driven by a survey of available target date funds for that horizon. |
The returns set forth in the table above represent past performance. Past performance does not guarantee future results. The Portfolio’s investment return and principal value will fluctuate so that an investor’s shares, when redeemed, may be worth more or less than their original cost. Current performance may be lower or higher than the performance quoted above. Please visit our web site at www.GSAMFUNDS.com to obtain the most recent month-end returns. Performance reflects fee waivers and/or expense limitations in effect. In their absence, performance would be reduced. Returns do not reflect the deduction of taxes that a shareholder would pay on Portfolio distributions or the redemption of Portfolio shares. Returns less than 12 months are cumulative, not annualized. |
23
FUND BASICS
STANDARDIZED TOTAL RETURNS3 |
For the period ended 12/31/17 | One Year | Five Years | Since Inception | Inception Date | |||||||||||
Class A | 10.48 | % | N/A | 8.75 | % | 8/22/16 | |||||||||
Institutional | 17.43 | N/A | 13.81 | 8/22/16 | |||||||||||
Service | 16.82 | N/A | 13.23 | 8/22/16 | |||||||||||
Investor | 17.31 | N/A | 13.68 | 8/22/16 | |||||||||||
Class R | 16.66 | N/A | 13.08 | 8/22/16 | |||||||||||
Class R6 | 17.44 | 11.11 | % | 9.42 | 1/3/11 | ||||||||||
3 | The Standardized Total Returns are average annual total returns or cumulative total returns (only if the performance period is one year or less) as of the most recent calendar quarter-end. They assume reinvestment of all distributions at NAV. These returns reflect a maximum initial sales charge of 5.5% for Class A Shares. Because Institutional, Service, Investor, Class R and Class R6 Shares do not involve a sales charge, such a charge is not applied to their Standardized Total Returns. |
Effective August 22, 2016, the Madison Target Retirement 2050 Fund (the “Predecessor Fund”) was reorganized into the Portfolio. The Portfolio has assumed the Predecessor Fund’s historical performance. The returns for the Predecessor Fund for periods prior to August 29, 2014 reflect the performance of the Madison Target Retirement 2050 Fund’s Class I Shares, a series of Ultra Series Fund (the “Ultra Predecessor Fund”). As of August 29, 2014, the inception date of the Predecessor Fund, the Ultra Predecessor Fund exchanged in kind substantially all of its portfolio holdings for Class R6 shares of the Predecessor Fund. As a result, the Predecessor Fund assumed the performance of the Ultra Predecessor Fund. Performance reflects applicable fee waivers and/or expense limitations in effect during the periods shown. Past performance does not guarantee future results, which may vary. The value of investments and the income derived from investments will fluctuate and can go down as well as up. A loss of principal may occur. | |
The returns set forth in the table above represent past performance. Past performance does not guarantee future results. The Portfolio’s investment return and principal value will fluctuate so that an investor’s shares, when redeemed, may be worth more or less than their original cost. Current performance may be lower or higher than the performance quoted above. Please visit our web site at www.GSAMFUNDS.com to obtain the most recent month-end returns. Performance reflects applicable fee waivers and/or expense limitations in effect during the periods shown. In their absence, performance would be reduced. Returns do not reflect the deduction of taxes that a shareholder would pay on Portfolio distributions or the redemption of Portfolio shares. Returns less than 12 months are cumulative, not annualized. |
EXPENSE RATIOS4 |
Net Expense Ratio (Current) | Gross Expense Ratio (Before Waivers) | |||||||
Class A | 0.87 | % | 2.16 | % | ||||
Institutional | 0.48 | 1.77 | ||||||
Service | 0.98 | 2.27 | ||||||
Investor | 0.62 | 1.91 | ||||||
Class R | 1.12 | 2.41 | ||||||
Class R6 | 0.47 | 1.76 | ||||||
4 | The expense ratios of the Portfolio, both current (net of applicable fee waivers and/or expense limitations) and before waivers (gross of applicable fee waivers and/or expense limitations) are as set forth above according to the most recent publicly available Prospectus for the Portfolio and will differ from the expense ratios disclosed in the Financial Highlights in this report due to the inclusion of Underlying Fund fees and expenses, which are not included in the operating expenses of the Portfolio reflected in the Financial Highlights. Pursuant to a contractual arrangement, the Portfolio’s waivers and/or expense limitations will remain in place through at least December 29, 2018, and prior to such date, the Investment Adviser may not terminate the arrangements without the approval of the Portfolio’s Board of Trustees. If these arrangements are discontinued in the future, the expense ratios may change without shareholder approval. |
24
FUND BASICS
TOP TEN HOLDINGS AS OF 2/28/185 |
Holding | % of Net Assets | Line of Business | ||||||
iShares Core S&P 500 ETF | 24.0 | % | Exchange Traded Funds | |||||
Vanguard FTSE All-World ex-U.S. ETF | 9.6 | Exchange Traded Funds | ||||||
Vanguard Short-Term Corporate Bond ETF | 6.1 | Exchange Traded Funds | ||||||
Vanguard FTSE Europe ETF | 6.0 | Exchange Traded Funds | ||||||
iShares Edge MSCI Minimum Volatility | 4.8 | Exchange Traded Funds | ||||||
Emerging Markets ETF iShares Core S&P Mid-Cap ETF | 4.5 | Exchange Traded Funds | ||||||
Schwab U.S. TIPs ETF | 4.1 | Exchange Traded Funds | ||||||
Schwab Intermediate-Term U.S. Treasury ETF | 4.1 | Exchange Traded Funds | ||||||
iShares MSCI Japan ETF | 3.5 | Exchange Traded Funds | ||||||
Vanguard Growth ETF | 3.5 | Exchange Traded Funds | ||||||
5 | The top 10 holdings may not be representative of the Portfolio’s future investments. The top 10 holdings exclude investments in money market funds. |
PORTFOLIO COMPOSITION6 |
Holding | As of February 28, 2018 | As of August 31, 2017 | ||||||
Stock Funds | 49.5 | % | 48.4 | % | ||||
Bond Funds | 22.8 | 20.5 | ||||||
Foreign Stock Funds | 22.6 | 23.8 | ||||||
Alternative Funds | 2.5 | 3.0 | ||||||
Investment Companies | 1.1 | 3.5 | ||||||
6 | The Portfolio is actively managed and, as such, its composition may differ over time. The percentage shown for each fund type reflects the value of that fund type as a percentage of the Portfolio’s net assets. Figures above may not sum to 100% due to rounding and/or exclusion of other assets and liabilities. |
25
FUND BASICS
Target Date 2055 Portfolio
as of February 28, 2018
![](https://capedge.com/proxy/N-CSRS/0001209286-18-000561/e147655_tdfpg12.jpg)
PERFORMANCE REVIEW |
S&P Target Date To | ||||||||
Portfolio Total Return | 2055 (Total Return, | |||||||
September 1, 2017–February 28, 2018 | (based on NAV)1 | Unhedged, USD)2 | ||||||
Class A | 6.55 | % | 7.68 | % | ||||
Institutional | 6.73 | 7.68 | ||||||
Service | 6.55 | 7.68 | ||||||
Investor | 6.72 | 7.68 | ||||||
Class R | 6.46 | 7.68 | ||||||
Class R6 | 6.76 | 7.68 | ||||||
1 | The net asset value (“NAV”) represents the net assets of the class of the Portfolio (ex-dividend) divided by the total number of shares of the class outstanding. The Portfolio’s performance assumes the reinvestment of dividends and other distributions. The Portfolio’s performance does not reflect the deduction of any applicable sales charges. |
2 | The S&P Target Date Index Series is a component of the S&P Target Allocation Index Family, and is related to the S&P Target Risk Index Series. Both series are broadly representative of the investment opportunity available to investors in target date and target risk funds, respectively. The index series reflects the market consensus for asset allocations for different target date horizons. In particular, each index is representative of the investment opportunity available to investors for the corresponding target date horizon, with asset class exposures driven by a survey of available target date funds for that horizon. |
STANDARDIZED TOTAL RETURNS3 |
For the period ended 12/31/17 | One Year | Since Inception | Inception Date | |||||||||
Class A | 11.34 | % | 9.60 | % | 8/22/16 | |||||||
Institutional | 18.37 | 14.69 | 8/22/16 | |||||||||
Service | 17.75 | 14.10 | 8/22/16 | |||||||||
Investor | 18.25 | 14.56 | 8/22/16 | |||||||||
Class R | 17.64 | 13.98 | 8/22/16 | |||||||||
Class R6 | 18.30 | 14.64 | 8/22/16 | |||||||||
3 | The Standardized Total Returns are average annual total returns or cumulative total returns (only if the performance period is one year or less) as of the most recent calendar quarter-end. They assume reinvestment of all distributions at NAV. These returns reflect a maximum initial sales charge of 5.5% for Class A Shares. Because Institutional, Service, Investor, Class R and Class R6 Shares do not involve a sales charge, such a charge is not applied to their Standardized Total Returns. |
The returns set forth in the tables above represent past performance. Past performance does not guarantee future results. The Portfolio’s investment return and principal value will fluctuate so that an investor’s shares, when redeemed, may be worth more or less than their original cost. Current performance may be lower or higher than the performance quoted above. Please visit our web site at www.GSAMFUNDS.com to obtain the most recent month-end returns. Performance reflects applicable fee waivers and/or expense limitations in effect during the periods shown. In their absence, performance would be reduced. Returns do not reflect the deduction of taxes that a shareholder would pay on Portfolio distributions or the redemption of Portfolio shares. Returns less than 12 months are cumulative, not annualized. |
26
FUND BASICS
EXPENSE RATIOS4 |
Net Expense Ratio (Current) | Gross Expense Ratio (Before Waivers) | |||||||
Class A | 0.86 | % | 3.44 | % | ||||
Institutional | 0.47 | 3.05 | ||||||
Service | 0.97 | 3.55 | ||||||
Investor | 0.61 | 3.19 | ||||||
Class R | 1.11 | 3.69 | ||||||
Class R6 | 0.46 | 3.04 | ||||||
4 | The expense ratios of the Portfolio, both current (net of applicable fee waivers and/or expense limitations) and before waivers (gross of applicable fee waivers and/or expense limitations) are as set forth above according to the most recent publicly available Prospectus for the Portfolio and will differ from the expense ratios disclosed in the Financial Highlights in this report due to the inclusion of Underlying Fund fees and expenses, which are not included in the operating expenses of the Portfolio reflected in the Financial Highlights. Pursuant to a contractual arrangement, the Portfolio’s waivers and/or expense limitations will remain in place through at least December 29, 2018, and prior to such date, the Investment Adviser may not terminate the arrangements without the approval of the Portfolio’s Board of Trustees. If these arrangements are discontinued in the future, the expense ratios may change without shareholder approval. |
TOP TEN HOLDINGS AS OF 2/28/185 |
Holding | % of Net Assets | Line of Business | ||||||
iShares Core S&P 500 ETF | 25.0 | % | Exchange Traded Funds | |||||
Vanguard FTSE All-World ex-U.S. ETF | 10.1 | Exchange Traded Funds | ||||||
Vanguard FTSE Europe ETF | 7.0 | Exchange Traded Funds | ||||||
iShares Core S&P Mid-Cap ETF | 5.0 | Exchange Traded Funds | ||||||
iShares Edge MSCI Minimum Volatility | 4.5 | Exchange Traded Funds | ||||||
Emerging Markets ETF Vanguard Short-Term Corporate Bond ETF | 4.1 | Exchange Traded Funds | ||||||
iShares MSCI Japan ETF | 4.0 | Exchange Traded Funds | ||||||
Vanguard Growth ETF | 4.0 | Exchange Traded Funds | ||||||
Schwab U.S. Dividend Equity ETF | 4.0 | Exchange Traded Funds | ||||||
Schwab U.S. TIPs ETF | 3.0 | Exchange Traded Funds | ||||||
5 | The top 10 holdings may not be representative of the Portfolio’s future investments. The top 10 holdings exclude investments in money market funds. |
PORTFOLIO COMPOSITION6 |
Holding | As of February 28, 2018 | As of August 31, 2017 | ||||||
Stock Funds | 53.0 | % | 51.5 | % | ||||
Foreign Stock Funds | 24.1 | 25.5 | ||||||
Bond Funds | 17.8 | 15.5 | ||||||
Alternative Funds | 2.5 | 3.0 | ||||||
Investment Companies | 1.2 | 3.5 | ||||||
6 | The Portfolio is actively managed and, as such, its composition may differ over time. The percentage shown for each fund type reflects the value of that fund type as a percentage of the Portfolio’s net assets. Figures above may not sum to 100% due to rounding and/or exclusion of other assets and liabilities. |
27
GOLDMAN SACHS TARGET DATE 2020 PORTFOLIO
Schedule of Investments |
February 28, 2018 (Unaudited) |
Value | Description | Shares |
Exchange Traded Funds – 97.3% | ||||||
Alternative Funds – 1.0% | ||||||
27,193 | PowerShares Optimum Yield Diversified Commodity Strategy No. K-1 Portfolio | $ | 473,158 | |||
Bond Funds – 71.5% | ||||||
10,064 | iShares 20+ Year Treasury Bond ETF | 1,195,100 | ||||
93,489 | iShares 7-10 Year Treasury Bond ETF | 9,551,771 | ||||
56,129 | iShares Floating Rate Bond ETF | 2,863,140 | ||||
82,203 | Schwab Intermediate-Term U.S. Treasury ETF | 4,295,107 | ||||
131,612 | Schwab U.S. TIPS ETF | 7,163,641 | ||||
109,459 | Vanguard Short-Term Corporate Bond ETF | 8,588,153 | ||||
27,306 | Virtus Seix Floating Rate High Income Fund | 238,383 | ||||
33,895,295 | ||||||
Foreign Stock Funds – 7.5% | ||||||
19,308 | iShares Edge MSCI Minimum Volatility Emerging Markets ETF | 1,181,843 | ||||
1,991 | Vanguard FTSE All World ex-US Small-Cap ETF | 236,929 | ||||
17,272 | Vanguard FTSE All-World ex-U.S. ETF | 945,987 | ||||
16,153 | Vanguard FTSE Europe ETF | 947,212 | ||||
4,134 | WisdomTree Japan Hedged Equity Fund | 236,175 | ||||
3,548,146 | ||||||
Stock Funds – 17.3% | ||||||
3,521 | Energy Select Sector SPDR ETF | 234,992 | ||||
8,605 | iShares Core S&P 500 ETF | 2,352,091 | ||||
3,780 | iShares Core S&P Mid-Cap ETF | 704,819 | ||||
7,745 | iShares MSCI Japan ETF | 472,987 | ||||
15,319 | PowerShares S&P 500 Quality Portfolio | 470,446 | ||||
18,627 | Schwab U.S. Dividend Equity ETF | 940,477 | ||||
13,008 | Vanguard Financials ETF | 936,966 | ||||
6,434 | Vanguard Growth ETF | 938,463 | ||||
1,650 | Vanguard Industrials ETF | 234,927 | ||||
2,655 | Vanguard Information Technology ETF | 470,838 | ||||
1,747 | Vanguard Materials ETF | 234,378 | ||||
2,712 | Vanguard Telecommunication Services ETF | 235,727 | ||||
8,227,111 | ||||||
TOTAL EXCHANGE TRADED FUNDS | ||||||
(Cost $44,635,426) | $ | 46,143,710 | ||||
Distribution | ||||
Rate |
Investment Company(a) – 1.1% | ||||||
Goldman Sachs Financial Square Government Fund – Institutional Shares | ||||||
508,521 | 1.262 | % | $ | 508,521 | ||
(Cost $508,521) | ||||||
TOTAL INVESTMENTS – 98.4% | ||||||
(Cost $45,143,947) | $ | 46,652,231 | ||||
OTHER ASSETS IN EXCESS OF LIABILITIES – 1.6% | 756,574 | |||||
NET ASSETS – 100.0% | $ | 47,408,805 | ||||
The percentage shown for each investment category reflects the value of investments in that category as a percentage of net assets. |
(a) Represents an affiliated fund. |
Investment Abbreviations: |
ETF —Exchange Traded Fund |
TIPS—Treasury Inflation Protected Securities |
28 | The accompanying notes are an integral part of these financial statements. |
GOLDMAN SACHS TARGET DATE 2025 PORTFOLIO
Schedule of Investments |
February 28, 2018 (Unaudited) |
Shares | Description | Value |
Exchange Traded Funds – 97.4% | ||||||
Alternative Funds – 1.5% | ||||||
10,068 | PowerShares Optimum Yield Diversified Commodity Strategy No. K-1 Portfolio | $ | 175,183 | |||
Bond Funds – 54.5% | ||||||
2,478 | iShares 20+ Year Treasury Bond ETF | 294,262 | ||||
15,540 | iShares 7-10 Year Treasury Bond ETF | 1,587,722 | ||||
6,911 | iShares Floating Rate Bond ETF | 352,530 | ||||
17,994 | Schwab Intermediate-Term U.S. Treasury ETF | 940,186 | ||||
23,767 | Schwab U.S. TIPS ETF | 1,293,638 | ||||
23,960 | Vanguard Short-Term Corporate Bond ETF | 1,879,902 | ||||
6,348,240 | ||||||
Foreign Stock Funds – 12.5% | ||||||
6,657 | iShares Edge MSCI Minimum Volatility Emerging Markets ETF | 407,475 | ||||
489 | Vanguard FTSE All World ex-US Small-Cap ETF | 58,191 | ||||
10,633 | Vanguard FTSE All-World ex-U.S. ETF | 582,370 | ||||
5,967 | Vanguard FTSE Europe ETF | 349,905 | ||||
1,009 | WisdomTree Japan Hedged Equity Fund | 57,644 | ||||
1,455,585 | ||||||
Stock Funds – 28.9% | ||||||
1,302 | Energy Select Sector SPDR Fund | 86,895 | ||||
6,357 | iShares Core S&P 500 ETF | 1,737,622 | ||||
1,241 | iShares Core S&P Mid-Cap ETF | 231,397 | ||||
2,858 | iShares MSCI Japan ETF | 174,538 | ||||
3,765 | PowerShares S&P 500 Quality Portfolio | 115,623 | ||||
4,587 | Schwab U.S. Dividend Equity ETF | 231,598 | ||||
3,204 | Vanguard Financials ETF | 230,784 | ||||
1,587 | Vanguard Growth ETF | 231,480 | ||||
406 | Vanguard Industrials ETF | 57,806 | ||||
655 | Vanguard Information Technology ETF | 116,158 | ||||
649 | Vanguard Materials ETF | 87,070 | ||||
663 | Vanguard Telecommunication Services ETF | 57,628 | ||||
3,358,599 | ||||||
TOTAL EXCHANGE TRADED FUNDS | ||||||
(Cost $10,776,253) | $ | 11,337,607 | ||||
Distribution | ||||
Rate |
Investment Company(a) – 1.2% | ||||||
Goldman Sachs Financial Square Government Fund – Institutional Shares | ||||||
139,695 | 1.262 | % | $ | 139,695 | ||
(Cost $139,695) | ||||||
TOTAL INVESTMENTS – 98.6% | ||||||
(Cost $10,915,948) | $ | 11,477,302 | ||||
OTHER ASSETS IN EXCESS OF LIABILITIES – 1.4% | 159,275 | |||||
NET ASSETS – 100.0% | $ | 11,636,577 | ||||
The percentage shown for each investment category reflects the value of investments in that category as a percentage of net assets. |
(a) Represents an affiliated fund. |
Investment Abbreviations: |
ETF —Exchange Traded Fund |
TIPS—Treasury Inflation Protected Securities |
The accompanying notes are an integral part of these financial statements. | 29 |
GOLDMAN SACHS TARGET DATE 2030 PORTFOLIO
Schedule of Investments |
February 28, 2018 (Unaudited) |
Shares | Description | Value |
Exchange Traded Funds – 97.2% | ||||||
Alternative Funds – 2.0% | ||||||
90,636 | PowerShares Optimum Yield Diversified Commodity Strategy No. K-1 Portfolio | $ | 1,577,066 | |||
Bond Funds – 42.4% | ||||||
16,808 | iShares 20+ Year Treasury Bond ETF | 1,995,950 | ||||
54,682 | iShares 7-10 Year Treasury Bond ETF | 5,586,860 | ||||
46,873 | iShares Floating Rate Bond ETF | 2,390,992 | ||||
114,413 | Schwab Intermediate-Term U.S. Treasury ETF | 5,978,079 | ||||
117,236 | Schwab U.S. TIPS ETF | 6,381,156 | ||||
142,192 | Vanguard Short-Term Corporate Bond ETF | 11,156,384 | ||||
33,489,421 | ||||||
Foreign Stock Funds – 16.0% | ||||||
51,598 | iShares Edge MSCI Minimum Volatility Emerging Markets ETF | 3,158,313 | ||||
3,322 | Vanguard FTSE All World ex-US Small-Cap ETF | 395,318 | ||||
108,179 | Vanguard FTSE All-World ex- U.S. ETF | 5,924,964 | ||||
47,213 | Vanguard FTSE Europe ETF | 2,768,570 | ||||
6,851 | WisdomTree Japan Hedged Equity Fund | 391,398 | ||||
12,638,563 | ||||||
Stock Funds – 36.8% | ||||||
11,761 | Energy Select Sector SPDR Fund | 784,929 | ||||
57,489 | iShares Core S&P 500 ETF | 15,714,043 | ||||
10,523 | iShares Core S&P Mid-Cap ETF | 1,962,119 | ||||
25,870 | iShares MSCI Japan ETF | 1,579,881 | ||||
38,379 | PowerShares S&P 500 Quality Portfolio | 1,178,619 | ||||
35,000 | Schwab U.S. Dividend Equity ETF | 1,767,150 | ||||
24,442 | Vanguard Financials ETF | 1,760,557 | ||||
12,124 | Vanguard Growth ETF | 1,768,407 | ||||
2,756 | Vanguard Industrials ETF | 392,399 | ||||
5,558 | Vanguard Information Technology ETF | 985,655 | ||||
5,822 | Vanguard Materials ETF | 781,080 | ||||
4,529 | Vanguard Telecommunication Services ETF | 393,661 | ||||
29,068,500 | ||||||
TOTAL EXCHANGE TRADED FUNDS | ||||||
(Cost $69,768,064) | $ | 76,773,550 | ||||
Distribution | ||||
Rate |
Investment Company(a) – 1.0% | ||||||
Goldman Sachs Financial Square Government Fund – Institutional Shares | ||||||
805,000 | 1.262 | % | $ | 805,000 | ||
(Cost $805,000) | ||||||
TOTAL INVESTMENTS – 98.2% | ||||||
(Cost $70,573,064) | $ | 77,578,550 | ||||
OTHER ASSETS IN EXCESS OF LIABILITIES – 1.8% | 1,415,549 | |||||
NET ASSETS – 100.0% | $ | 78,994,099 | ||||
The percentage shown for each investment category reflects the value of investments in that category as a percentage of net assets. |
(a) Represents an affiliated fund. |
Investment Abbreviations: |
ETF —Exchange Traded Fund |
TIPS—Treasury Inflation Protected Securities |
30 | The accompanying notes are an integral part of these financial statements. |
GOLDMAN SACHS TARGET DATE 2035 PORTFOLIO
Schedule of Investments |
February 28, 2018 (Unaudited) |
Shares | Description | Value |
Exchange Traded Funds – 97.4% | ||||||
Alternative Funds – 2.5% | ||||||
17,898 | PowerShares Optimum Yield Diversified Commodity Strategy No. K-1 Portfolio | $ | 311,425 | |||
Bond Funds – 37.9% | ||||||
2,654 | iShares 20+ Year Treasury Bond ETF | 315,162 | ||||
7,398 | iShares 7-10 Year Treasury Bond ETF | 755,854 | ||||
7,402 | iShares Floating Rate Bond ETF | 377,576 | ||||
16,864 | Schwab Intermediate-Term U.S. Treasury ETF | 881,144 | ||||
16,200 | Schwab U.S. TIPS ETF | 881,766 | ||||
19,248 | Vanguard Short-Term Corporate Bond ETF | 1,510,198 | ||||
4,721,700 | ||||||
Foreign Stock Funds – 20.1% | ||||||
9,167 | iShares Edge MSCI Minimum Volatility Emerging Markets ETF | 561,112 | ||||
5,104 | iShares MSCI Japan ETF | 311,701 | ||||
524 | Vanguard FTSE All World ex-US Small-Cap ETF | 62,356 | ||||
18,223 | Vanguard FTSE All-World ex-U.S. ETF | 998,074 | ||||
8,521 | Vanguard FTSE Europe ETF | 499,671 | ||||
1,082 | WisdomTree Japan Hedged Equity Fund | 61,815 | ||||
2,494,729 | ||||||
Stock Funds – 36.9% | ||||||
1,857 | Energy Select Sector SPDR Fund | 123,936 | ||||
9,533 | iShares Core S&P 500 ETF | 2,605,750 | ||||
1,994 | iShares Core S&P Mid-Cap ETF | 371,801 | ||||
6,063 | PowerShares S&P 500 Quality Portfolio | 186,195 | ||||
6,142 | Schwab U.S. Dividend Equity ETF | 310,110 | ||||
3,864 | Vanguard Financials ETF | 278,324 | ||||
2,128 | Vanguard Growth ETF | 310,390 | ||||
435 | Vanguard Industrials ETF | 61,935 | ||||
878 | Vanguard Information Technology ETF | 155,705 | ||||
924 | Vanguard Materials ETF | 123,964 | ||||
713 | Vanguard Telecommunication Services ETF | 61,974 | ||||
4,590,084 | ||||||
TOTAL EXCHANGE TRADED FUNDS | ||||||
(Cost $11,148,558) | $ | 12,117,938 | ||||
Distribution | ||||
Rate |
Investment Company(a) – 1.2% | ||||||
Goldman Sachs Financial Square Government Fund – Institutional Shares | ||||||
150,485 | 1.262 | % | $ | 150,485 | ||
(Cost $150,485) | ||||||
TOTAL INVESTMENTS – 98.6% | ||||||
(Cost $11,299,043) | $ | 12,268,423 | ||||
OTHER ASSETS IN EXCESS OF LIABILITIES – 1.4% | 174,518 | |||||
NET ASSETS – 100.0% | $ | 12,442,941 | ||||
The percentage shown for each investment category reflects the value of investments in that category as a percentage of net assets. |
(a) Represents an affiliated fund. |
Investment Abbreviations: |
ETF —Exchange Traded Fund |
TIPS—Treasury Inflation Protected Securities |
The accompanying notes are an integral part of these financial statements. | 31 |
GOLDMAN SACHS TARGET DATE 2040 PORTFOLIO
Schedule of Investments |
February 28, 2018 (Unaudited) |
Shares | Description | Value |
Exchange Traded Funds – 97.3% | ||||||
Alternative Funds – 2.5% | ||||||
73,004 | PowerShares Optimum Yield Diversified Commodity Strategy No. K-1 Portfolio | $ | 1,270,269 | |||
Bond Funds – 32.9% | ||||||
10,807 | iShares 20+ Year Treasury Bond ETF | 1,283,331 | ||||
25,099 | iShares 7-10 Year Treasury Bond ETF | 2,564,365 | ||||
30,137 | iShares Floating Rate Bond ETF | 1,537,288 | ||||
58,850 | Schwab Intermediate-Term U.S. Treasury ETF | 3,074,913 | ||||
56,533 | Schwab U.S. TIPS ETF | 3,077,091 | ||||
65,302 | Vanguard Short-Term Corporate Bond ETF | 5,123,595 | ||||
16,660,583 | ||||||
Foreign Stock Funds – 19.0% | ||||||
41,469 | iShares Edge MSCI Minimum Volatility Emerging Markets ETF | 2,538,317 | ||||
2,133 | Vanguard FTSE All World ex-US Small-Cap ETF | 253,827 | ||||
78,828 | Vanguard FTSE All-World ex-U.S. ETF | 4,317,409 | ||||
39,029 | Vanguard FTSE Europe ETF | 2,288,661 | ||||
4,413 | WisdomTree Japan Hedged Equity Fund | 252,115 | ||||
9,650,329 | ||||||
Stock Funds – 42.9% | ||||||
9,452 | Energy Select Sector SPDR Fund | 630,826 | ||||
40,659 | iShares Core S&P 500 ETF | 11,113,731 | ||||
9,473 | iShares Core S&P Mid-Cap ETF | 1,766,336 | ||||
24,950 | iShares MSCI Japan ETF | 1,523,697 | ||||
24,718 | PowerShares S&P 500 Quality Portfolio | 759,090 | ||||
27,465 | Schwab U.S. Dividend Equity ETF | 1,386,708 | ||||
17,489 | Vanguard Financials ETF | 1,259,733 | ||||
9,521 | Vanguard Growth ETF | 1,388,733 | ||||
1,772 | Vanguard Industrials ETF | 252,297 | ||||
4,268 | Vanguard Information Technology ETF | 756,887 | ||||
4,702 | Vanguard Materials ETF | 630,820 | ||||
2,912 | Vanguard Telecommunication Services ETF | 253,111 | ||||
21,721,969 | ||||||
TOTAL EXCHANGE TRADED FUNDS | ||||||
(Cost $43,853,376) | $ | 49,303,150 | ||||
Distribution | ||||
Rate |
Investment Company(a) – 1.1% | ||||||
Goldman Sachs Financial Square Government Fund – Institutional Shares | ||||||
532,728 | 1.262 | % | $ | 532,728 | ||
(Cost $532,728) | ||||||
TOTAL INVESTMENTS – 98.4% | ||||||
(Cost $44,386,104) | $ | 49,835,878 | ||||
OTHER ASSETS IN EXCESS OF LIABILITIES – 1.6% | 835,764 | |||||
NET ASSETS – 100.0% | $ | 50,671,642 | ||||
The percentage shown for each investment category reflects the value of investments in that category as a percentage of net assets. |
(a) Represents an affiliated fund. |
Investment Abbreviations: |
ETF —Exchange Traded Fund |
TIPS—Treasury Inflation Protected Securities |
32 | The accompanying notes are an integral part of these financial statements. |
GOLDMAN SACHS TARGET DATE 2045 PORTFOLIO
Schedule of Investments |
February 28, 2018 (Unaudited) |
Shares | Description | Value |
Exchange Traded Funds – 97.4% | ||||||
Alternative Funds – 2.5% | ||||||
18,051 | PowerShares Optimum Yield Diversified Commodity Strategy No. K-1 Portfolio | $ | 314,087 | |||
Bond Funds – 27.9% | ||||||
2,670 | iShares 20+ Year Treasury Bond ETF | 317,063 | ||||
4,961 | iShares 7-10 Year Treasury Bond ETF | 506,865 | ||||
7,446 | iShares Floating Rate Bond ETF | 379,820 | ||||
12,116 | Schwab Intermediate-Term U.S. Treasury ETF | 633,061 | ||||
11,639 | Schwab U.S. TIPS ETF | 633,511 | ||||
12,907 | Vanguard Short-Term Corporate Bond ETF | 1,012,683 | ||||
3,483,003 | ||||||
Foreign Stock Funds – 20.8% | ||||||
9,733 | iShares Edge MSCI Minimum Volatility Emerging Markets ETF | 595,757 | ||||
792 | Vanguard FTSE All World ex-US Small-Cap ETF | 94,248 | ||||
20,620 | Vanguard FTSE All-World ex-U.S. ETF | 1,129,358 | ||||
1,315 | Vanguard FTSE Emerging Markets ETF | 62,029 | ||||
11,249 | Vanguard FTSE Europe ETF | 659,641 | ||||
1,103 | WisdomTree Japan Hedged Equity Fund | 63,014 | ||||
2,604,047 | ||||||
Stock Funds – 46.2% | ||||||
2,335 | Energy Select Sector SPDR Fund | 155,838 | ||||
10,502 | iShares Core S&P 500 ETF | 2,870,617 | ||||
2,676 | iShares Core S&P Mid-Cap ETF | 498,967 | ||||
6,678 | iShares MSCI Japan ETF | 407,825 | ||||
6,094 | PowerShares S&P 500 Quality Portfolio | 187,147 | ||||
7,405 | Schwab U.S. Dividend Equity ETF | 373,878 | ||||
4,755 | Vanguard Financials ETF | 342,503 | ||||
2,566 | Vanguard Growth ETF | 374,277 | ||||
651 | Vanguard Industrials ETF | 92,689 | ||||
1,230 | Vanguard Information Technology ETF | 218,128 | ||||
1,162 | Vanguard Materials ETF | 155,894 | ||||
1,079 | Vanguard Telecommunication Services ETF | 93,787 | ||||
5,771,550 | ||||||
TOTAL EXCHANGE TRADED FUNDS | ||||||
(Cost $11,018,762) | $ | 12,172,687 | ||||
Distribution | ||||
Rate |
Investment Companies(a) – 1.2% | ||||||
Goldman Sachs Financial Square Government Fund – Institutional Shares | ||||||
155,607 | 1.262 | % | $ | 155,607 | ||
(Cost $155,607) | ||||||
TOTAL INVESTMENTS – 98.6% | ||||||
(Cost $11,174,369) | $ | 12,328,294 | ||||
OTHER ASSETS IN EXCESS OF LIABILITIES – 1.4% | 170,220 | |||||
NET ASSETS – 100.0% | $ | 12,498,514 | ||||
The percentage shown for each investment category reflects the value of investments in that category as a percentage of net assets. |
(a) Represents an affiliated fund. |
Investment Abbreviations: |
ETF —Exchange Traded Fund |
TIPS—Treasury Inflation Protected Securities |
The accompanying notes are an integral part of these financial statements. | 33 |
GOLDMAN SACHS TARGET DATE 2050 PORTFOLIO
Schedule of Investments |
February 28, 2018 (Unaudited) |
Shares | Description | Value |
Exchange Traded Funds – 97.4% | ||||||
Alternative Funds – 2.5% | ||||||
44,373 | PowerShares Optimum Yield Diversified Commodity Strategy No. K-1 Portfolio | $ | 772,090 | |||
Bond Funds – 22.8% | ||||||
6,579 | iShares 20+ Year Treasury Bond ETF | 781,256 | ||||
9,167 | iShares 7-10 Year Treasury Bond ETF | 936,592 | ||||
18,346 | iShares Floating Rate Bond ETF | 935,830 | ||||
23,884 | Schwab Intermediate-Term U.S. Treasury ETF | 1,247,939 | ||||
22,944 | Schwab U.S. TIPS ETF | 1,248,842 | ||||
23,852 | Vanguard Short-Term Corporate Bond ETF | 1,871,428 | ||||
7,021,887 | ||||||
Foreign Stock Funds – 22.6% | ||||||
23,983 | iShares Edge MSCI Minimum Volatility Emerging Markets ETF | 1,467,999 | ||||
2,601 | Vanguard FTSE All World ex-US Small-Cap ETF | 309,519 | ||||
53,633 | Vanguard FTSE All-World ex-U.S. ETF | 2,937,479 | ||||
4,895 | Vanguard FTSE Emerging Markets ETF | 230,897 | ||||
31,679 | Vanguard FTSE Europe ETF | 1,857,657 | ||||
2,704 | WisdomTree Japan Hedged Equity Fund | 154,480 | ||||
6,958,031 | ||||||
Stock Funds – 49.5% | ||||||
5,754 | Energy Select Sector SPDR Fund | 384,022 | ||||
27,002 | iShares Core S&P 500 ETF | 7,380,727 | ||||
7,420 | iShares Core S&P Mid-Cap ETF | 1,383,533 | ||||
17,720 | iShares MSCI Japan ETF | 1,082,160 | ||||
15,026 | PowerShares S&P 500 Quality Portfolio | 461,448 | ||||
21,295 | Schwab U.S. Dividend Equity ETF | 1,075,185 | ||||
12,756 | Vanguard Financials ETF | 918,815 | ||||
7,376 | Vanguard Growth ETF | 1,075,863 | ||||
1,618 | Vanguard Industrials ETF | 230,371 | ||||
3,464 | Vanguard Information Technology ETF | 614,306 | ||||
2,863 | Vanguard Materials ETF | 384,100 | ||||
2,659 | Vanguard Telecommunication Services ETF | 231,120 | ||||
15,221,650 | ||||||
TOTAL EXCHANGE TRADED FUNDS | ||||||
(Cost $26,217,928) | $ | 29,973,658 | ||||
Distribution | ||||
Rate |
Investment Companies(a) – 1.1% | ||||||
Goldman Sachs Financial Square Government Fund – Institutional Shares | ||||||
329,162 | 1.262 | % | $ | 329,162 | ||
(Cost $329,162) | ||||||
TOTAL INVESTMENTS – 98.5% | ||||||
(Cost $26,547,090) | $ | 30,302,820 | ||||
OTHER ASSETS IN EXCESS OF LIABILITIES – 1.5% | 446,723 | |||||
NET ASSETS – 100.0% | $ | 30,749,543 | ||||
The percentage shown for each investment category reflects the value of investments in that category as a percentage of net assets. |
(a) Represents an affiliated fund. |
Investment Abbreviations: |
ETF —Exchange Traded Fund |
TIPS—Treasury Inflation Protected Securities |
34 | The accompanying notes are an integral part of these financial statements. |
GOLDMAN SACHS TARGET DATE 2055 PORTFOLIO
Schedule of Investments |
February 28, 2018 (Unaudited) |
Shares | Description | Value |
Exchange Traded Funds – 97.4% | ||||||
Alternative Funds – 2.5% | ||||||
18,163 | PowerShares Optimum Yield Diversified Commodity Strategy No. K-1 Portfolio | $ | 316,036 | |||
Bond Funds – 17.8% | ||||||
2,692 | iShares 20+ Year Treasury Bond ETF | 319,675 | ||||
2,501 | iShares 7-10 Year Treasury Bond ETF | 255,527 | ||||
7,507 | iShares Floating Rate Bond ETF | 382,932 | ||||
7,330 | Schwab Intermediate-Term U.S. Treasury ETF | 382,993 | ||||
7,041 | Schwab U.S. TIPS ETF | 383,242 | ||||
6,507 | Vanguard Short-Term Corporate Bond ETF | 510,539 | ||||
2,234,908 | ||||||
Foreign Stock Funds – 24.1% | ||||||
9,297 | iShares Edge MSCI Minimum Volatility Emerging Markets ETF | 569,069 | ||||
1,061 | Vanguard FTSE All World ex-US Small-Cap ETF | 126,259 | ||||
23,102 | Vanguard FTSE All-World ex-U.S. ETF | 1,265,297 | ||||
2,671 | Vanguard FTSE Emerging Markets ETF | 125,991 | ||||
15,124 | Vanguard FTSE Europe ETF | 886,871 | ||||
1,114 | WisdomTree Japan Hedged Equity Fund | 63,643 | ||||
3,037,130 | ||||||
Stock Funds – 53.0% | ||||||
2,355 | Energy Select Sector SPDR Fund | 157,173 | ||||
11,510 | iShares Core S&P 500 ETF | 3,146,144 | ||||
3,374 | iShares Core S&P Mid-Cap ETF | 629,116 | ||||
8,287 | iShares MSCI Japan ETF | 506,087 | ||||
6,147 | PowerShares S&P 500 Quality Portfolio | 188,774 | ||||
9,962 | Schwab U.S. Dividend Equity ETF | 502,981 | ||||
5,233 | Vanguard Financials ETF | 376,933 | ||||
3,450 | Vanguard Growth ETF | 503,217 | ||||
876 | Vanguard Industrials ETF | 124,725 | ||||
1,418 | Vanguard Information Technology ETF | 251,468 | ||||
1,171 | Vanguard Materials ETF | 157,101 | ||||
1,451 | Vanguard Telecommunication Services ETF | 126,121 | ||||
6,669,840 | ||||||
TOTAL EXCHANGE TRADED FUNDS | ||||||
(Cost $10,856,464) | $ | 12,257,914 | ||||
Distribution | ||||
Rate |
Investment Company(a) – 1.2% | ||||||
Goldman Sachs Financial Square Government Fund – Institutional Shares | ||||||
149,465 | 1.262 | % | $ | 149,465 | ||
(Cost $149,465) | ||||||
TOTAL INVESTMENTS – 98.6% | ||||||
(Cost $11,005,929) | $ | 12,407,379 | ||||
OTHER ASSETS IN EXCESS OF LIABILITIES – 1.4% | 181,107 | |||||
NET ASSETS – 100.0% | $ | 12,588,486 | ||||
The percentage shown for each investment category reflects the value of investments in that category as a percentage of net assets. |
(a) Represents an affiliated fund. |
Investment Abbreviations: |
ETF —Exchange Traded Fund |
TIPS—Treasury Inflation Protected Securities |
The accompanying notes are an integral part of these financial statements. | 35 |
GOLDMAN SACHS TARGET DATE PORTFOLIOS
Statements of Assets and Liabilities |
February 28, 2018 (Unaudited) |
Target Date 2020 | ||||
Portfolio | ||||
Assets: | ||||
Investments of unaffiliated issuers, at value (Cost $44,635,426, $10,776,253, $69,768,064, $11,148,558, $43,853,376, | ||||
$11,018,762, $26,217,928 and $10,856,464) | $ | 46,143,710 | ||
Investments of affiliated issuers, at value (Cost $508,521, $139,695, $805,000, $150,485, $532,728, $155,607, $329,162 and $149,465) | 508,521 | |||
Cash | 950,008 | |||
Receivables: | ||||
Investments sold | 382,564 | |||
Reimbursement from investment adviser | 17,740 | |||
Dividends | 1,587 | |||
Portfolio shares sold | 1,121 | |||
Other assets | 2,752 | |||
Total assets | 48,008,003 | |||
Liabilities: | ||||
Payables: | ||||
Investments purchased | 407,091 | |||
Management fees | 9,140 | |||
Distribution and Service fees and Transfer Agency fees | 1,218 | |||
Offering expense | – | |||
Accrued expenses | 181,749 | |||
Total liabilities | 599,198 | |||
NET ASSETS: | ||||
Paid-in capital | 45,477,919 | |||
Undistributed (distributions in excess of) net investment income | (6,485 | ) | ||
Accumulated net realized gain | 429,087 | |||
Net unrealized gain | 1,508,284 | |||
NET ASSETS | $ | 47,408,805 |
Net Assets: | ||||
Class A | $ | 16,963 | ||
Institutional | 10,617 | |||
Service | 10,535 | |||
Investor(b) | 870,790 | |||
Class R | 10,513 | |||
Class R6 | 46,489,387 | |||
Total Net Assets | $ | 47,408,805 | ||
Shares Outstanding $0.001 par value (unlimited number of shares authorized): | ||||
Class A | 1,843 | |||
Institutional | 1,151 | |||
Service | 1,144 | |||
Investor(b) | 94,552 | |||
Class R | 1,142 | |||
Class R6 | 5,039,709 | |||
Net asset value, offering and redemption price per share:(a) | ||||
Class A | $ | 9.21 | ||
Institutional | 9.22 | |||
Service | 9.21 | |||
Investor(b) | 9.21 | |||
Class R | 9.21 | |||
Class R6 | 9.22 |
(a) | Maximum public offering price per share for Class A Shares of the Target Date 2020, Target Date 2025, Target Date 2030, Target Date 2035, Target Date 2040, Target Date 2045, Target Date 2050, and Target Date 2055 Portfolios is $9.75, $11.28, $9.94, $11.63, $9.72, $11.87, $10.93 and $12.12, respectively. |
(b) | Effective October 10, 2017, Class IR Shares changed its name to Investor Shares. |
36 | The accompanying notes are an integral part of these financial statements. |
GOLDMAN SACHS TARGET DATE PORTFOLIOS
Target Date 2025 Portfolio | Target Date 2030 Portfolio | Target Date 2035 Portfolio | Target Date 2040 Portfolio | Target Date 2045 Portfolio | Target Date 2050 Portfolio | Target Date 2055 Portfolio | ||||||||||||||||||||
$ | 11,337,607 | $ | 76,773,550 | $ | 12,117,938 | $ | 49,303,150 | $ | 12,172,687 | $ | 29,973,658 | $ | 12,257,914 | |||||||||||||
139,695 | 805,000 | 150,485 | 532,728 | 155,607 | 329,162 | 149,465 | ||||||||||||||||||||
233,714 | 1,589,073 | 250,412 | 1,020,561 | 251,891 | 620,068 | 254,006 | ||||||||||||||||||||
91,414 | 779,040 | 114,171 | 494,465 | 170,765 | 420,712 | 198,372 | ||||||||||||||||||||
15,629 | 17,284 | 15,604 | 17,653 | 15,511 | 16,743 | 15,597 | ||||||||||||||||||||
113 | 3,815 | 111 | 434 | 105 | 392 | 355 | ||||||||||||||||||||
— | 1,021 | 1,206 | 1,202 | — | 2,208 | 160 | ||||||||||||||||||||
859 | 4,598 | 920 | 3,052 | 925 | 2,002 | 935 | ||||||||||||||||||||
11,819,031 | 79,973,381 | 12,650,847 | 51,373,245 | 12,767,491 | 31,364,945 | 12,876,804 | ||||||||||||||||||||
111,672 | 779,167 | 137,044 | 509,474 | 198,565 | 433,176 | 219,139 | ||||||||||||||||||||
2,217 | 15,103 | 2,375 | 9,691 | 2,389 | 5,750 | 2,409 | ||||||||||||||||||||
440 | 2,104 | 488 | 1,264 | 490 | 842 | 476 | ||||||||||||||||||||
37,870 | — | 37,871 | — | 37,871 | — | 36,473 | ||||||||||||||||||||
30,255 | 182,908 | 30,128 | 181,174 | 29,662 | 175,634 | 29,821 | ||||||||||||||||||||
182,454 | 979,282 | 207,906 | 701,603 | 268,977 | 615,402 | 288,318 | ||||||||||||||||||||
10,989,357 | 71,634,990 | 11,429,705 | 44,574,516 | 11,238,989 | 26,782,857 | 11,081,292 | ||||||||||||||||||||
509 | (8,104 | ) | (1,061 | ) | (9,279 | ) | (2,304 | ) | (20,562 | ) | (4,245 | ) | ||||||||||||||
85,357 | 361,727 | 44,917 | 656,631 | 107,904 | 231,518 | 109,989 | ||||||||||||||||||||
561,354 | 7,005,486 | 969,380 | 5,449,774 | 1,153,925 | 3,755,730 | 1,401,450 | ||||||||||||||||||||
$ | 11,636,577 | $ | 78,994,099 | $ | 12,442,941 | $ | 50,671,642 | $ | 12,498,514 | $ | 30,749,543 | $ | 12,588,486 |
$ | 139,718 | $ | 320,235 | $ | 41,440 | $ | 27,252 | $ | 94,517 | $ | 127,297 | $ | 98,580 | |||||||||||||
10,995,845 | 11,320 | 11,402,068 | 11,619 | 11,698,255 | 11,927 | 12,004,790 | ||||||||||||||||||||
10,969 | 11,233 | 11,373 | 11,530 | 11,669 | 11,836 | 11,975 | ||||||||||||||||||||
367,967 | 1,450,934 | 791,622 | 584,003 | 534,896 | 840,756 | 359,342 | ||||||||||||||||||||
10,944 | 26,201 | 11,419 | 30,367 | 35,108 | 11,836 | 34,014 | ||||||||||||||||||||
111,134 | 77,174,176 | 185,019 | 50,006,871 | 124,069 | 29,745,891 | 79,785 | ||||||||||||||||||||
$ | 11,636,577 | $ | 78,994,099 | $ | 12,442,941 | $ | 50,671,642 | $ | 12,498,514 | $ | 30,749,543 | $ | 12,588,486 | |||||||||||||
13,111 | 34,095 | 3,769 | 2,966 | 8,427 | 12,329 | 8,607 | ||||||||||||||||||||
1,033,072 | 1,202 | 1,036,269 | 1,261 | 1,040,529 | 1,151 | 1,045,472 | ||||||||||||||||||||
1,032 | 1,195 | 1,035 | 1,254 | 1,039 | 1,144 | 1,044 | ||||||||||||||||||||
34,612 | 154,372 | 72,092 | 63,495 | 47,635 | 81,279 | 31,334 | ||||||||||||||||||||
1,030 | 2,791 | 1,040 | 3,309 | 3,132 | 1,145 | 2,976 | ||||||||||||||||||||
10,441 | 8,196,836 | 16,815 | 5,424,060 | 11,040 | 2,871,155 | 6,950 | ||||||||||||||||||||
$ | 10.66 | $ | 9.39 | $ | 10.99 | $ | 9.19 | $ | 11.22 | $ | 10.33 | $ | 11.45 | |||||||||||||
10.64 | 9.42 | 11.00 | 9.21 | 11.24 | 10.36 | 11.48 | ||||||||||||||||||||
10.63 | 9.40 | 10.99 | 9.20 | 11.23 | 10.34 | 11.47 | ||||||||||||||||||||
10.63 | 9.40 | 10.98 | 9.20 | 11.23 | 10.34 | 11.47 | ||||||||||||||||||||
10.63 | 9.39 | 10.99 | 9.18 | 11.21 | 10.34 | 11.43 | ||||||||||||||||||||
10.64 | 9.42 | 11.00 | 9.22 | 11.24 | 10.36 | 11.48 |
The accompanying notes are an integral part of these financial statements. | 37 |
GOLDMAN SACHS TARGET DATE PORTFOLIOS
Statements of Operations |
For the Six Months Ended February 28, 2018 (Unaudited) |
Target Date 2020 | ||||
Portfolio | ||||
Investment income: | ||||
Dividends — unaffiliated issuers | $ | 530,177 | ||
Dividends — affiliated issuers | 2,096 | |||
Total investment income | 532,273 | |||
Expenses: | ||||
Registration fees | 65,727 | |||
Management fees | 60,174 | |||
Professional fees | 33,730 | |||
Custody, accounting and administrative services | 29,166 | |||
Trustee fees | 11,729 | |||
Printing and mailing costs | 8,856 | |||
Transfer Agency fees(a) | 7,360 | |||
Distribution and Service fees(a) | 73 | |||
Other | 7,077 | |||
Total expenses | 223,892 | |||
Less — expense reductions | (150,847 | ) | ||
Net expenses | 73,045 | |||
NET INVESTMENT INCOME | 459,228 | |||
Realized and unrealized gain (loss): | ||||
Net realized gain (loss) from investments | 1,214,579 | |||
Net change in unrealized gain (loss) from investments | (1,126,043 | ) | ||
Net realized and unrealized gain | 88,536 | |||
NET INCREASE IN NET ASSETS RESULTING FROM OPERATIONS | $ | 547,764 | ||
(a) Class specific Distribution and Service and Transfer Agency fees were as follows: |
Distribution and Service Fees | Transfer Agency Fees | |||||||||||||||||||||||||||||||||||
Portfolio | Class A | Service | Class R | Class A | Institutional | Service | Investor(b) | Class R | Class R6 | |||||||||||||||||||||||||||
Target Date 2020 | $ | 21 | $ | 26 | $ | 26 | $ | 15 | $ | 2 | $ | 2 | $ | 723 | $ | 9 | $ | 6,609 | ||||||||||||||||||
Target Date 2025 | 70 | 27 | 27 | 51 | 2,173 | 2 | 289 | 10 | 11 | |||||||||||||||||||||||||||
Target Date 2030 | 305 | 28 | 62 | 223 | 2 | 2 | 1,206 | 22 | 10,614 | |||||||||||||||||||||||||||
Target Date 2035 | 42 | 28 | 28 | 31 | 2,241 | 2 | 601 | 11 | 13 | |||||||||||||||||||||||||||
Target Date 2040 | 23 | 28 | 67 | 16 | 2 | 2 | 452 | 24 | 6,963 | |||||||||||||||||||||||||||
Target Date 2045 | 112 | 29 | 80 | 82 | 2,292 | 2 | 395 | 29 | 10 | |||||||||||||||||||||||||||
Target Date 2050 | 104 | 29 | 29 | 76 | 2 | 2 | 688 | 11 | 3,883 | |||||||||||||||||||||||||||
Target Date 2055 | 117 | 29 | 70 | 85 | 2,343 | 2 | 273 | 25 | 8 |
(b) Effective October 10, 2017, Class IR Shares changed its name to Investor Shares. |
38 | The accompanying notes are an integral part of these financial statements. |
GOLDMAN SACHS TARGET DATE PORTFOLIOS
Target Date 2025 Portfolio | Target Date 2030 Portfolio | Target Date 2035 Portfolio | Target Date 2040 Portfolio | Target Date 2045 Portfolio | Target Date 2050 Portfolio | Target Date 2055 Portfolio | ||||||||||||||||||||
$ | 122,994 | $ | 827,009 | $ | 128,483 | $ | 528,511 | $ | 127,824 | $ | 297,023 | $ | 126,897 | |||||||||||||
394 | 4,201 | 632 | 2,815 | 627 | 1,980 | 603 | ||||||||||||||||||||
123,388 | 831,210 | 129,115 | 531,326 | 128,451 | 299,003 | 127,500 | ||||||||||||||||||||
37,032 | 65,730 | 37,033 | 65,727 | 37,035 | 65,727 | 37,119 | ||||||||||||||||||||
14,178 | 96,888 | 15,024 | 62,915 | 15,120 | 35,693 | 15,253 | ||||||||||||||||||||
33,112 | 33,730 | 33,112 | 33,730 | 33,112 | 33,730 | 33,112 | ||||||||||||||||||||
20,851 | 28,716 | 20,762 | 28,954 | 20,393 | 22,532 | 20,625 | ||||||||||||||||||||
11,044 | 12,208 | 11,051 | 11,734 | 11,052 | 11,321 | 11,053 | ||||||||||||||||||||
4,341 | 10,034 | 4,307 | 8,796 | 4,308 | 7,539 | 4,346 | ||||||||||||||||||||
2,536 | 12,069 | 2,899 | 7,459 | 2,810 | 4,662 | 2,736 | ||||||||||||||||||||
124 | 395 | 98 | 118 | 221 | 162 | 216 | ||||||||||||||||||||
3,130 | 8,704 | 3,133 | 6,699 | 3,137 | 4,786 | 3,142 | ||||||||||||||||||||
126,348 | 268,474 | 127,419 | 226,132 | 127,188 | 186,152 | 127,602 | ||||||||||||||||||||
(108,782 | ) | (150,505 | ) | (108,662 | ) | (150,058 | ) | (108,295 | ) | (142,510 | ) | (108,643 | ) | |||||||||||||
17,566 | 117,969 | 18,757 | 76,074 | 18,893 | 43,642 | 18,959 | ||||||||||||||||||||
105,822 | 713,241 | 110,358 | 455,252 | 109,558 | 255,361 | 108,541 | ||||||||||||||||||||
222,457 | 1,691,859 | 170,214 | 1,571,277 | 226,925 | 632,572 | 245,633 | ||||||||||||||||||||
(8,433 | ) | 546,400 | 238,479 | 442,472 | 312,206 | 770,765 | 436,821 | |||||||||||||||||||
214,024 | 2,238,259 | 408,693 | 2,013,749 | 539,131 | 1,403,337 | 682,454 | ||||||||||||||||||||
$ | 319,846 | $ | 2,951,500 | $ | 519,051 | $ | 2,469,001 | $ | 648,689 | $ | 1,658,698 | $ | 790,995 | |||||||||||||
The accompanying notes are an integral part of these financial statements. | 39 |
GOLDMAN SACHS TARGET DATE PORTFOLIOS
Statements of Changes in Net Assets
Target Date 2020 Portfolio | ||||||||||||
For the Six Months Ended February 28, 2018 (Unaudited) | For the Period November 1, 2016 – August 31, 2017* | For the Fiscal Year Ended October 31, 2016 | ||||||||||
From operations: | ||||||||||||
Net investment income | $ | 459,228 | $ | 749,850 | $ | 969,310 | ||||||
Net realized gain (loss) | 1,214,579 | 2,911,207 | 2,304,750 | |||||||||
Net change in unrealized gain (loss) | (1,126,043 | ) | (350,687 | ) | (1,317,333 | ) | ||||||
Net increase (decrease) in net assets resulting from operations | 547,764 | 3,310,370 | 1,956,727 | |||||||||
Distributions to shareholders: | ||||||||||||
From net investment income | ||||||||||||
Class A Shares(a) | (282 | ) | (167 | ) | — | |||||||
Institutional Shares(a) | (211 | ) | (182 | ) | — | |||||||
Service Shares(a) | (159 | ) | (164 | ) | — | |||||||
Investor Shares(a)(b) | (16,543 | ) | (177 | ) | — | |||||||
Class R Shares(a) | (145 | ) | (159 | ) | — | |||||||
Class R6 Shares | (936,697 | ) | (1,005,896 | ) | (899,589 | ) | ||||||
From net realized gains | ||||||||||||
Class A Shares(a) | (1,090 | ) | (373 | ) | — | |||||||
Institutional Shares(a) | (708 | ) | (373 | ) | — | |||||||
Service Shares(a) | (707 | ) | (373 | ) | — | |||||||
Investor Shares(a)(b) | (55,965 | ) | (373 | ) | — | |||||||
Class R Shares(a) | (707 | ) | (373 | ) | — | |||||||
Class R6 Shares | (3,132,674 | ) | (2,022,264 | ) | (1,764,331 | ) | ||||||
Total distributions to shareholders | (4,145,888 | ) | (3,030,874 | ) | (2,663,920 | ) | ||||||
From share transactions: | ||||||||||||
Proceeds from sales of shares | 1,893,707 | 1,740,467 | 5,445,589 | |||||||||
Reinvestment of distributions | 4,145,888 | 3,030,874 | 2,663,920 | |||||||||
Cost of shares redeemed | (2,992,527 | ) | (10,811,559 | (7,300,343 | ) | |||||||
Net increase (decrease) in net assets resulting from share transactions | 3,047,068 | (6,040,218 | ) | 809,166 | ||||||||
Total INCREASE (DECREASE) | (551,056 | ) | (5,760,722 | ) | 101,973 | |||||||
Net assets: | ||||||||||||
Beginning of period | 47,959,861 | 53,720,583 | 53,618,610 | |||||||||
End of period | $ | 47,408,805 | $ | 47,959,861 | $ | 53,720,583 | ||||||
Undistributed (distributions in excess of) net investment income | $ | (6,485 | ) | $ | 488,324 | $ | 747,818 | |||||
* | The Portfolios changed their fiscal year end from October 31 to August 31. |
(a) | Commenced operations on August 22, 2016. |
(b) | Effective October 10, 2017, Class IR Shares changed its name to Investor Shares. |
40 | The accompanying notes are an integral part of these financial statements. |
GOLDMAN SACHS TARGET DATE PORTFOLIOS
Target Date 2025 Portfolio | Target Date 2030 Portfolio | |||||||||||||||||||||
For the Six Months Ended February 28, 2018 (Unaudited) | For the Period November 1, 2016 – August 31, 2017* | For the Period Ended October 31, 2016(a) | For the Six Months Ended February 28, 2018 (Unaudited) | For the Period November 1, 2016 – August 31, 2017* | For the Fiscal Year Ended October 31, 2016 | |||||||||||||||||
$ | 105,822 | $ | 145,466 | $ | 26,825 | $ | 713,241 | $ | 1,094,982 | $ | 1,461,869 | |||||||||||
222,457 | 59,137 | (57,510 | ) | 1,691,859 | 7,588,451 | 2,737,159 | ||||||||||||||||
(8,433 | ) | 706,788 | (137,001 | ) | 546,400 | (771,447 | ) | (1,710,529 | ) | |||||||||||||
319,846 | 911,391 | (167,686 | ) | 2,951,500 | 7,911,986 | 2,488,499 | ||||||||||||||||
(375 | ) | (375 | ) | – | (3,123 | ) | (306 | ) | – | |||||||||||||
(190,671 | ) | (79,700 | ) | – | (204 | ) | (198 | ) | – | |||||||||||||
(139 | ) | (62 | ) | – | (150 | ) | (181 | ) | – | |||||||||||||
(5,981 | ) | (75 | ) | – | (25,079 | ) | (193 | ) | – | |||||||||||||
(123 | ) | (57 | ) | – | (332 | ) | (175 | ) | – | |||||||||||||
(1,700 | ) | (80 | ) | – | (1,365,572 | ) | (1,529,883 | ) | (1,258,551 | ) | ||||||||||||
(407 | ) | – | – | (21,854 | ) | (317 | ) | – | ||||||||||||||
(132,503 | ) | – | – | (1,138 | ) | (317 | ) | – | ||||||||||||||
(133 | ) | – | – | (1,136 | ) | (317 | ) | – | ||||||||||||||
(4,127 | ) | – | – | (140,985 | ) | (317 | ) | – | ||||||||||||||
(133 | ) | – | – | (2,546 | ) | (317 | ) | – | ||||||||||||||
(1,090 | ) | – | – | (7,582,810 | ) | (2,407,010 | ) | (2,672,152 | ) | |||||||||||||
(337,382 | ) | (80,349 | ) | – | (9,144,929 | ) | (3,939,531 | ) | (3,930,703 | ) | ||||||||||||
611,389 | 84,579 | 10,000,066 | 3,758,691 | 3,528,594 | 2,761,285 | |||||||||||||||||
337,382 | 80,349 | – | 9,144,928 | 3,939,531 | 3,930,703 | |||||||||||||||||
(122,867 | ) | (76 | ) | (65 | ) | (3,652,178 | ) | (9,777,634 | ) | (9,983,568 | ) | |||||||||||
825,904 | 164,852 | 10,000,001 | 9,251,441 | (2,309,509 | ) | (3,291,580 | ) | |||||||||||||||
808,368 | 995,894 | 9,832,315 | 3,058,012 | 1,662,946 | (4,733,784 | ) | ||||||||||||||||
10,828,209 | 9,832,315 | – | 75,936,087 | 74,273,141 | 79,006,925 | |||||||||||||||||
$ | 11,636,577 | $ | 10,828,209 | $ | 9,832,315 | $ | 78,994,099 | $ | 75,936,087 | $ | 74,273,141 | |||||||||||
$ | 509 | $ | 93,676 | $ | 27,333 | $ | (8,104 | ) | $ | 673,115 | $ | 1,109,790 | ||||||||||
The accompanying notes are an integral part of these financial statements. | 41 |
GOLDMAN SACHS TARGET DATE PORTFOLIOS
Statements of Changes in Net Assets (continued)
Target Date 2035 Portfolio | ||||||||||||
For the Six Months Ended February 28, 2018 (Unaudited) | For the Period November 1, 2016 – August 31, 2017* | For the Period Ended October 31, 2016(a) | ||||||||||
From operations: | ||||||||||||
Net investment income | $ | 110,358 | $ | 147,635 | $ | 27,283 | ||||||
Net realized gain (loss) | 170,214 | 118,829 | (56,337 | ) | ||||||||
Net change in unrealized gain (loss) | 238,479 | 888,166 | (157,265 | ) | ||||||||
Net increase (decrease) in net assets resulting from operations | 519,051 | 1,154,630 | (186,319 | ) | ||||||||
Distributions to shareholders: | ||||||||||||
From net investment income | ||||||||||||
Class A Shares(a) | (389 | ) | (71 | ) | – | |||||||
Institutional Shares(a) | (188,851 | ) | (84,675 | ) | – | |||||||
Service Shares(a) | (136 | ) | (67 | ) | – | |||||||
Investor Shares(a)(b) | (11,788 | ) | (80 | ) | – | |||||||
Class R Shares(a) | (120 | ) | (62 | ) | – | |||||||
Class R6 Shares | (1,665 | ) | (85 | ) | – | |||||||
From net realized gains | ||||||||||||
Class A Shares(a) | (461 | ) | – | – | ||||||||
Institutional Shares(a) | (174,407 | ) | – | – | ||||||||
Service Shares(a) | (175 | ) | – | – | ||||||||
Investor Shares(a)(b) | (10,932 | ) | – | – | ||||||||
Class R Shares(a) | (176 | ) | – | – | ||||||||
Class R6 Shares | (1,394 | ) | – | – | ||||||||
Total distributions to shareholders | (390,494 | ) | (85,040 | ) | – | |||||||
From share transactions: | ||||||||||||
Proceeds from sales of shares | 815,907 | 180,035 | 10,000,066 | |||||||||
Reinvestment of distributions | 390,494 | 85,040 | – | |||||||||
Cost of shares redeemed | (40,274 | ) | (90 | ) | (65 | ) | ||||||
Net increase (decrease) in net assets resulting from share transactions | 1,166,127 | 264,985 | 10,000,001 | |||||||||
TOTAL INCREASE (DECREASE) | 1,294,684 | 1,334,575 | 9,813,682 | |||||||||
Net assets: | ||||||||||||
Beginning of period | 11,148,257 | 9,813,682 | – | |||||||||
End of period | $ | 12,442,941 | $ | 11,148,257 | $ | 9,813,682 | ||||||
Undistributed (distributions in excess of) net investment income | $ | (1,061 | ) | $ | 91,530 | $ | 27,791 | |||||
* | The Portfolios changed their fiscal year end from October 31 to August 31. |
(a) | Commenced operations on August 22, 2016. |
(b) | Effective October 10, 2017, Class IR Shares changed its name to Investor Shares. |
42 | The accompanying notes are an integral part of these financial statements. |
GOLDMAN SACHS TARGET DATE PORTFOLIOS
Target Date 2040 Portfolio | Target Date 2045 Portfolio | |||||||||||||||||||||
For the Six Months Ended February 28, 2018 (Unaudited) | For the Period November 1, 2016 – August 31, 2017* | For the Fiscal Year Ended October 31, 2016 | For the Six Months Ended February 28, 2018 (Unaudited) | For the Period November 1, 2016 – August 31, 2017* | For the Period Ended October 31, 2016(a) | |||||||||||||||||
$ | 455,252 | $ | 718,594 | $ | 983,035 | $ | 109,558 | $ | 149,139 | $ | 27,097 | |||||||||||
1,571,277 | 5,848,943 | 2,200,742 | 226,925 | 175,421 | (57,327 | ) | ||||||||||||||||
442,472 | (625,537 | ) | (1,495,190 | ) | 312,206 | 1,006,023 | (164,304 | ) | ||||||||||||||
2,469,001 | 5,942,000 | 1,688,587 | 648,689 | 1,330,583 | (194,534 | ) | ||||||||||||||||
(317 | ) | (256 | ) | – | (1,331 | ) | (73 | ) | – | |||||||||||||
(208 | ) | (211 | ) | – | (191,700 | ) | (87,162 | ) | – | |||||||||||||
(154 | ) | (193 | ) | – | (139 | ) | (70 | ) | – | |||||||||||||
(9,199 | ) | (206 | ) | – | (7,286 | ) | (82 | ) | – | |||||||||||||
(369 | ) | (188 | ) | – | (390 | ) | (65 | ) | – | |||||||||||||
(890,648 | ) | (1,022,650 | ) | (839,070 | ) | (1,489 | ) | (88 | ) | – | ||||||||||||
(2,341 | ) | (571 | ) | – | (1,765 | ) | – | – | ||||||||||||||
(1,349 | ) | (442 | ) | – | (224,124 | ) | – | – | ||||||||||||||
(1,347 | ) | (443 | ) | – | (225 | ) | – | – | ||||||||||||||
(60,128 | ) | (442 | ) | – | (8,463 | ) | – | – | ||||||||||||||
(3,188 | ) | (442 | ) | – | (635 | ) | – | – | ||||||||||||||
(5,740,865 | ) | (2,134,309 | ) | (2,209,026 | ) | (1,542 | ) | – | – | |||||||||||||
(6,710,113 | ) | (3,160,353 | ) | (3,048,096 | ) | (439,089 | ) | (87,540 | ) | – | ||||||||||||
1,874,002 | 2,044,481 | 1,187,738 | 647,418 | 251,712 | 10,000,066 | |||||||||||||||||
6,710,113 | 3,160,353 | 3,048,096 | 439,087 | 87,540 | – | |||||||||||||||||
(2,766,525 | ) | (6,283,037 | ) | (5,514,019 | ) | (109,860 | ) | (75,493 | ) | (65 | ) | |||||||||||
5,817,590 | (1,078,203 | ) | (1,278,185 | ) | 976,645 | 263,759 | 10,000,001 | |||||||||||||||
1,576,478 | 1,703,444 | (2,637,694 | ) | 1,186,245 | 1,506,802 | 9,805,467 | ||||||||||||||||
49,095,164 | 47,391,720 | 50,029,414 | 11,312,269 | 9,805,467 | – | |||||||||||||||||
$ | 50,671,642 | $ | 49,095,164 | $ | 47,391,720 | $ | 12,498,514 | $ | 11,312,269 | $ | 9,805,467 | |||||||||||
$ | (9,279 | ) | $ | 436,364 | $ | 738,785 | $ | (2,304 | ) | $ | 90,473 | $ | 27,605 | |||||||||
The accompanying notes are an integral part of these financial statements. | 43 |
GOLDMAN SACHS TARGET DATE PORTFOLIOS
Statements of Changes in Net Assets (continued) |
Target Date 2050 Portfolio | ||||||||||||
For the Six Months Ended February 28, 2018 (Unaudited) | For the Period November 1, 2016 – August 31, 2017* | For the Fiscal Year Ended October 31, 2016 | ||||||||||
From operations: | ||||||||||||
Net investment income | $ | 255,361 | $ | 350,541 | $ | 446,501 | ||||||
Net realized gain (loss) | 632,572 | 1,845,973 | 844,921 | |||||||||
Net change in unrealized gain (loss) | 770,765 | 1,087,414 | (529,507 | ) | ||||||||
Net increase (decrease) in net assets resulting from operations | 1,658,698 | 3,283,928 | 761,915 | |||||||||
Distributions to shareholders: | ||||||||||||
From net investment income | ||||||||||||
Class A Shares(a) | (1,493 | ) | (196 | ) | – | |||||||
Institutional Shares(a) | (200 | ) | (210 | ) | – | |||||||
Service Shares(a) | (144 | ) | (192 | ) | – | |||||||
Investor Shares(a)(b) | (13,606 | ) | (205 | ) | – | |||||||
Class R Shares(a) | (127 | ) | (187 | ) | – | |||||||
Class R6 Shares | (474,938 | ) | (470,084 | ) | (348,249 | ) | ||||||
From net realized gains | ||||||||||||
Class A Shares(a) | (5,788 | ) | (404 | ) | – | |||||||
Institutional Shares(a) | (713 | ) | (404 | ) | – | |||||||
Service Shares(a) | (712 | ) | (404 | ) | – | |||||||
Investor Shares(a)(b) | (48,815 | ) | (404 | ) | – | |||||||
Class R Shares(a) | (714 | ) | (404 | ) | – | |||||||
Class R6 Shares | (1,685,988 | ) | (892,169 | ) | (629,298 | ) | ||||||
Total distributions to shareholders | (2,233,238 | ) | (1,365,263 | ) | (977,547 | ) | ||||||
From share transactions: | ||||||||||||
Proceeds from sales of shares | 3,189,749 | 3,007,855 | 1,728,932 | |||||||||
Reinvestment of distributions | 2,233,239 | 1,365,263 | 977,547 | |||||||||
Cost of shares redeemed | (491,890 | ) | (1,604,503 | ) | (1,267,315 | ) | ||||||
Net increase in net assets resulting from share transactions | 4,931,098 | 2,768,615 | 1,439,164 | |||||||||
TOTAL INCREASE | 4,356,558 | 4,687,280 | 1,223,532 | |||||||||
Net assets: | ||||||||||||
Beginning of period | 26,392,985 | 21,705,705 | 20,482,173 | |||||||||
End of period | $ | 30,749,543 | $ | 26,392,985 | $ | 21,705,705 | ||||||
Undistributed (distributions in excess of) net investment income | $ | (20,562 | ) | $ | 214,585 | $ | 333,260 | |||||
* | The Portfolios changed their fiscal year end from October 31 to August 31. |
(a) | Commenced operations on August 22, 2016. |
(b) | Effective October 10, 2017, Class IR Shares changed its name to Investor Shares. |
44 | The accompanying notes are an integral part of these financial statements. |
GOLDMAN SACHS TARGET DATE PORTFOLIOS
Target Date 2055 Portfolio | |||||||||||
For the Six Months Ended February 28, 2018 (Unaudited) | For the Period November 1, 2016 – August 31, 2017* | For the Period Ended October 31, 2016(a) | |||||||||
$ 108,541 | $ 151,195 | $ 26,977 | |||||||||
245,633 | 224,897 | (64,343 | ) | ||||||||
436,821 | 1,129,809 | (165,180 | ) | ||||||||
790,995 | 1,505,901 | (202,546 | ) | ||||||||
(1,292 | ) | (98 | ) | — | |||||||
(193,278 | ) | (91,043 | ) | — | |||||||
(139 | ) | (74 | ) | — | |||||||
(5,284 | ) | (86 | ) | — | |||||||
(440 | ) | (69 | ) | — | |||||||
(1,022 | ) | (92 | ) | — | |||||||
(2,272 | ) | — | — | ||||||||
(283,232 | ) | — | — | ||||||||
(284 | ) | — | — | ||||||||
(7,710 | ) | — | — | ||||||||
(778 | ) | — | — | ||||||||
(1,378 | ) | — | — | ||||||||
(497,109 | ) | (91,462 | ) | — | |||||||
321,037 | 176,911 | 10,000,066 | |||||||||
497,109 | 91,462 | — | |||||||||
(3,760 | ) | (53 | ) | (65 | ) | ||||||
814,386 | 268,320 | 10,000,001 | |||||||||
1,108,272 | 1,682,759 | 9,797,455 | |||||||||
11,480,214 | 9,797,455 | — | |||||||||
$12,588,486 | $11,480,214 | $9,797,455 | |||||||||
$ (4,245 | ) | $ 88,669 | $ 27,485 | ||||||||
The accompanying notes are an integral part of these financial statements. 45
GOLDMAN SACHS TARGET DATE 2020 PORTFOLIO
Financial Highlights
Selected Data for a Share Outstanding Throughout Each Period
From Investment operations | Distributions to shareholders | |||||||||||||||||||||||
Net asset value, beginning of period | Net investment income(a) | Net realized and unrealized gain (loss) | Total from investment operations | From net investment income | From net realized gains | |||||||||||||||||||
Total distributions | ||||||||||||||||||||||||
Year - Share Class | ||||||||||||||||||||||||
FOR THE SIX MONTHS ENDED FEBRUARY 28, (UNAUDITED) | ||||||||||||||||||||||||
2018 - A | $ | 9.93 | $ | 0.07 | $ | 0.04 | $ | 0.11 | $ | (0.16 | ) | $ | (0.67 | ) | $ | (0.83 | ) | |||||||
2018 - Institutional | 9.96 | 0.09 | 0.03 | 0.12 | (0.19 | ) | (0.67 | ) | (0.86 | ) | ||||||||||||||
2018 - Service | 9.93 | 0.07 | 0.02 | 0.09 | (0.14 | ) | (0.67 | ) | (0.81 | ) | ||||||||||||||
2018 - Investor(e) | 9.95 | 0.08 | 0.03 | 0.11 | (0.18 | ) | (0.67 | ) | (0.85 | ) | ||||||||||||||
2018 - R | 9.92 | 0.06 | 0.03 | 0.09 | (0.13 | ) | (0.67 | ) | (0.80 | ) | ||||||||||||||
2018 - R6 | 9.96 | 0.09 | 0.03 | 0.12 | (0.19 | ) | (0.67 | ) | (0.86 | ) | ||||||||||||||
FOR THE PERIOD NOVEMBER 1, 2016 – AUGUST 31,* | ||||||||||||||||||||||||
2017 - A | 9.90 | 0.10 | 0.47 | 0.57 | (0.16 | ) | (0.38 | ) | (0.54 | ) | ||||||||||||||
2017 - Institutional | 9.91 | 0.13 | 0.48 | 0.61 | (0.18 | ) | (0.38 | ) | (0.56 | ) | ||||||||||||||
2017 - Service | 9.90 | 0.09 | 0.48 | 0.57 | (0.16 | ) | (0.38 | ) | (0.54 | ) | ||||||||||||||
2017 - Investor(e) | 9.91 | 0.09 | 0.50 | 0.59 | (0.17 | ) | (0.38 | ) | (0.55 | ) | ||||||||||||||
2017 - R | 9.90 | 0.08 | 0.47 | 0.55 | (0.15 | ) | (0.38 | ) | (0.53 | ) | ||||||||||||||
2017 - R6 | 9.91 | 0.14 | 0.47 | 0.61 | (0.18 | ) | (0.38 | ) | (0.56 | ) | ||||||||||||||
FOR THE FISCAL YEARS ENDED OCTOBER 31, | ||||||||||||||||||||||||
2016 - A (Commenced August 29, 2014) | 10.05 | 0.02 | (0.17 | ) | (0.15 | ) | — | — | — | |||||||||||||||
2016 - Institutional (Commenced August 29, 2014) | 10.05 | 0.03 | (0.17 | ) | (0.14 | ) | — | — | — | |||||||||||||||
2016 - Service (Commenced August 29, 2014) | 10.05 | 0.02 | (0.17 | ) | (0.15 | ) | — | — | — | |||||||||||||||
2016 - Investor(e) (Commenced August 29, 2014) | 10.05 | 0.02 | (0.16 | ) | (0.14 | ) | — | — | — | |||||||||||||||
2016 - R (Commenced August 29, 2014) | 10.05 | 0.01 | (0.16 | ) | (0.15 | ) | — | — | — | |||||||||||||||
2016 - R6 (Commenced August 29, 2014) | 10.07 | 0.18 | 0.16 | 0.34 | (0.17 | ) | (0.33 | ) | (0.50 | ) | ||||||||||||||
2015 - R6 | 10.00 | 0.16 | 0.10 | 0.26 | (0.09 | ) | (0.10 | ) | (0.19 | ) | ||||||||||||||
FOR THE PERIOD ENDED OCTOBER 31, | ||||||||||||||||||||||||
2014 - R6 (Commenced August 29, 2014) | 10.00 | 0.03 | (0.03 | ) | — | — | — | — |
* | The Portfolio changed its fiscal year end from October 31 to August 31. |
(a) | Calculated based on the average shares outstanding methodology. |
(b) | Assumes investment at the NAV at the beginning of the period, reinvestment of all dividends and distributions, a complete redemption of the investment at the NAV at the end of the period and no sales or redemption charges. Total returns would be reduced if a sales or redemption charge was taken into account. Returns do not reflect the impact of taxes to shareholders relating to Portfolio distributions or the redemption of Portfolio shares. Total returns for periods less than one full year are not annualized. The Goldman Sachs Target Date 2020 Portfolio’s predecessor was the Madison Target Retirement 2020 Fund (the “Predecessor Fund”). On August 22, 2016, the Predecessor Fund was reorganized as a new series of Goldman Sachs Trust II. Performance prior to August 22, 2016 is that of the Predecessor Fund. Total return information of the Predecessor Fund is included in the above table because the Predecessor Fund is considered the accounting survivor of the reorganization. |
(c) | The Portfolio’s turnover rate is calculated in accordance with regulatory requirements, without regard to transactions involving short term investments. If such transactions were included, the Portfolio’s turnover rate may be higher. |
(d) | Annualized. |
(e) | Effective October 10, 2017, Class IR Shares changed its name to Investor Shares. |
(f) | Expense ratios exclude the expenses of the Underlying Funds in which the Portfolio invests. |
46 | The accompanying notes are an integral part of these financial statements. |
GOLDMAN SACHS TARGET DATE 2020 PORTFOLIO
Net asset value, end of period | Net assets, end of period (in 000s) | Ratio of net expenses to average net assets | Ratio of total expenses to average net assets | Ratio of net investment income to average net assets | Portfolio turnover rate | ||||||||
Total return | |||||||||||||
(b) | (f) | (f) | (f) | (c) | |||||||||
$ | 9.21 | 1.03 | % | $ | 17 | 0.70 | %(d) | 1.32 | %(d) | 1.50 | %(d) | 117 | % |
9.22 | 1.13 | 11 | 0.29 | (d) | 0.91 | (d) | 1.93 | (d) | 117 | ||||
9.21 | 0.87 | 11 | 0.78 | (d) | 1.41 | (d) | 1.43 | (d) | 117 | ||||
9.21 | 1.11 | 871 | 0.45 | (d) | 1.07 | (d) | 1.74 | (d) | 117 | ||||
9.21 | 0.85 | 11 | 0.92 | (d) | 1.54 | (d) | 1.30 | (d) | 117 | ||||
9.22 | 1.14 | 46,489 | 0.30 | (d) | 0.93 | (d) | 1.91 | (d) | 117 | ||||
9.93 | 6.06 | 16 | 0.72 | (d) | 1.26 | (d) | 1.21 | (d) | 189 | ||||
9.96 | 6.42 | 10 | 0.32 | (d) | 0.96 | (d) | 1.66 | (d) | 189 | ||||
9.93 | 6.02 | 10 | 0.82 | (d) | 1.46 | (d) | 1.16 | (d) | 189 | ||||
9.95 | 6.26 | 323 | 0.46 | (d) | 1.07 | (d) | 1.08 | (d) | 189 | ||||
9.92 | 5.86 | 10 | 0.97 | (d) | 1.61 | (d) | 1.01 | (d) | 189 | ||||
9.96 | 6.42 | 47,589 | 0.30 | (d) | 0.94 | (d) | 1.69 | (d) | 189 | ||||
9.90 | (1.49 | ) | 10 | 0.74 | (d) | 3.01 | (d) | 0.94 | (d) | 204 | |||
9.91 | (1.39 | ) | 10 | 0.34 | (d) | 2.61 | (d) | 1.34 | (d) | 204 | |||
9.90 | (1.49 | ) | 10 | 0.84 | (d) | 3.11 | (d) | 0.84 | (d) | 204 | |||
9.91 | (1.39 | ) | 10 | 0.48 | (d) | 2.75 | (d) | 1.19 | (d) | 204 | |||
9.90 | (1.49 | ) | 10 | 0.98 | (d) | 3.25 | (d) | 0.69 | (d) | 204 | |||
9.91 | 3.65 | 53,671 | 0.31 | 0.76 | 1.79 | 204 | |||||||
10.07 | 2.61 | 53,619 | 0.30 | 0.30 | 1.46 | 207 | |||||||
10.00 | — | 61,964 | 0.32 | (d) | 0.32 | (d) | 1.82 | (d) | 48 |
The accompanying notes are an integral part of these financial statements. 47
GOLDMAN SACHS TARGET DATE 2025 PORTFOLIO
Financial Highlights
Selected Data for a Share Outstanding Throughout Each Period
From Investment operations | Distributions to shareholders | |||||||||||||||||||
Net asset value, beginning of period | Net investment income(a) | Net realized and unrealized gain (loss) | Total from investment operations | From net investment income | From net realized gains | Total distributions | ||||||||||||||
Year - Share Class | ||||||||||||||||||||
FOR THE SIX MONTHS ENDED FEBRUARY 28, (UNAUDITED) | ||||||||||||||||||||
2018 - A | $ | 10.61 | $ | 0.06 | $ | 0.24 | $ | 0.30 | $ | (0.12 | ) | $ | (0.13 | ) | $ | (0.25 | ) | |||
2018 - Institutional | 10.65 | 0.10 | 0.21 | 0.31 | (0.19 | ) | (0.13 | ) | (0.32 | ) | ||||||||||
2018 - Service | 10.62 | 0.07 | 0.21 | 0.28 | (0.14 | ) | (0.13 | ) | (0.27 | ) | ||||||||||
2018 - Investor(e) | 10.64 | 0.09 | 0.22 | 0.31 | (0.19 | ) | (0.13 | ) | (0.32 | ) | ||||||||||
2018 - R | 10.61 | 0.07 | 0.20 | 0.27 | (0.12 | ) | (0.13 | ) | (0.25 | ) | ||||||||||
2018 - R6 | 10.65 | 0.09 | 0.22 | 0.31 | (0.19 | ) | (0.13 | ) | (0.32 | ) | ||||||||||
FOR THE PERIOD NOVEMBER 1, 2016 – AUGUST 31,* | ||||||||||||||||||||
2017 - A | 9.82 | 0.12 | 0.75 | 0.87 | (0.08 | ) | — | (0.08 | ) | |||||||||||
2017 - Institutional | 9.83 | 0.14 | 0.76 | 0.90 | (0.08 | ) | — | (0.08 | ) | |||||||||||
2017 - Service | 9.82 | 0.10 | 0.76 | 0.86 | (0.06 | ) | — | (0.06 | ) | |||||||||||
2017 - Investor(e) | 9.83 | 0.12 | 0.76 | 0.88 | (0.07 | ) | — | (0.07 | ) | |||||||||||
2017 - R | 9.82 | 0.09 | 0.76 | 0.85 | (0.06 | ) | — | (0.06 | ) | |||||||||||
2017 - R6 | 9.83 | 0.14 | 0.76 | 0.90 | (0.08 | ) | — | (0.08 | ) | |||||||||||
FOR THE PERIOD ENDED OCTOBER 31, | ||||||||||||||||||||
2016 - A (Commenced August 29, 2014) | 10.00 | 0.02 | (0.20 | ) | (0.18 | ) | — | — | — | |||||||||||
2016 - Institutional (Commenced August 29, 2014) | 10.00 | 0.03 | (0.20 | ) | (0.17 | ) | — | — | — | |||||||||||
2016 - Service (Commenced August 29, 2014) | 10.00 | 0.02 | (0.20 | ) | (0.18 | ) | — | — | — | |||||||||||
2016 - Investor(e) (Commenced August 29, 2014) | 10.00 | 0.02 | (0.19 | ) | (0.17 | ) | — | — | — | |||||||||||
2016 - R (Commenced August 29, 2014) | 10.00 | 0.01 | (0.19 | ) | (0.18 | ) | — | — | — | |||||||||||
2016 - R6 (Commenced August 29, 2014) | 10.00 | 0.03 | (0.20 | ) | (0.17 | ) | — | — | — |
* | The Portfolio changed its fiscal year end from October 31 to August 31. |
(a) | Calculated based on the average shares outstanding methodology. |
(b) | Assumes investment at the NAV at the beginning of the period, reinvestment of all dividends and distributions, a complete redemption of the investment at the NAV at the end of the period and no sales or redemption charges. Total returns would be reduced if a sales or redemption charge was taken into account. Returns do not reflect the impact of taxes to shareholders relating to Portfolio distributions or the redemption of Portfolio shares. Total returns for periods less than one full year are not annualized. |
(c) | Annualized. |
(d) | The Portfolio’s turnover rate is calculated in accordance with regulatory requirements, without regard to transactions involving short term investments. If such transactions were included, the Portfolio’s turnover rate may be higher. |
(e) | Effective October 10, 2017, Class IR Shares changed its name to Investor Shares. |
(f) | Expense ratios exclude the expenses of the Underlying Funds in which the Portfolio invests. |
48 | The accompanying notes are an integral part of these financial statements. |
GOLDMAN SACHS TARGET DATE 2025 PORTFOLIO
Net asset value, end of period | Net assets, end of period (in 000s) | Ratio of net expenses to average net assets | Ratio of total expenses to average net assets | Ratio of net investment income to average net assets | Portfolio turnover rate | |||||||||
Total return | ||||||||||||||
(b) | (c)(f) | (c)(f) | (c)(f) | (d) | ||||||||||
$ | 10.66 | 2.82 | % | $ | 140 | 0.70 | % | 2.60 | % | 1.16 | % | 94 | % | |
10.64 | 2.90 | 10,996 | 0.30 | 2.22 | 1.88 | 94 | ||||||||
10.63 | 2.61 | 11 | 0.79 | 2.70 | 1.39 | 94 | ||||||||
10.63 | 2.88 | 368 | 0.44 | 2.34 | 1.71 | 94 | ||||||||
10.63 | 2.56 | 11 | 0.94 | 2.85 | 1.24 | 94 | ||||||||
10.64 | 2.93 | 111 | 0.30 | 2.18 | 1.75 | 94 | ||||||||
10.61 | 8.77 | 75 | 0.71 | 4.54 | 1.39 | 167 | ||||||||
10.65 | 9.22 | 10,687 | 0.32 | 3.92 | 1.69 | 167 | ||||||||
10.62 | 8.83 | 11 | 0.81 | 4.40 | 1.20 | 167 | ||||||||
10.64 | 9.06 | 35 | 0.46 | 5.20 | 1.37 | 167 | ||||||||
10.61 | 8.67 | 11 | 0.95 | 4.54 | 1.06 | 167 | ||||||||
10.65 | 9.22 | 11 | 0.31 | 3.95 | 1.69 | 167 | ||||||||
9.82 | (1.70 | ) | 10 | 0.75 | 4.23 | 1.01 | 33 | |||||||
9.83 | (1.70 | ) | 9,783 | 0.34 | 3.85 | 1.42 | 33 | |||||||
9.82 | (1.80 | ) | 10 | 0.84 | 4.32 | 0.91 | 33 | |||||||
9.83 | (1.70 | ) | 10 | 0.49 | 3.97 | 1.27 | 33 | |||||||
9.82 | (1.80 | ) | 10 | 0.99 | 4.47 | 0.77 | 33 | |||||||
9.83 | (1.70 | ) | 10 | 0.33 | 3.92 | 1.43 | 33 | |||||||
The accompanying notes are an integral part of these financial statements. 49
GOLDMAN SACHS TARGET DATE 2030 PORTFOLIO
Financial Highlights
Selected Data for a Share Outstanding Throughout Each Period
From Investment operations | Distributions to shareholders | ||||||||||||||||||
Net asset value, beginning of period | Net investment income(a) | Net realized and unrealized gain (loss) | Total from investment operations | From net investment income | From net realized gains | Total distributions | |||||||||||||
Year - Share Class | |||||||||||||||||||
FOR THE SIX MONTHS ENDED FEBRUARY 28, (UNAUDITED) | |||||||||||||||||||
2018 - A | $ | 10.22 | $ | 0.06 | $ | 0.32 | $ | 0.38 | $ | (0.14 | ) | $ | (1.07 | ) | $ | (1.21 | ) | ||
2018 - Institutional | 10.26 | 0.09 | 0.31 | 0.40 | (0.17 | ) | (1.07 | ) | (1.24 | ) | |||||||||
2018 - Service | 10.23 | 0.07 | 0.30 | 0.37 | (0.13 | ) | (1.07 | ) | (1.20 | ) | |||||||||
2018 - Investor(e) | 10.25 | 0.08 | 0.31 | 0.39 | (0.17 | ) | (1.07 | ) | (1.24 | ) | |||||||||
2018 - R | 10.22 | 0.06 | 0.30 | 0.36 | (0.12 | ) | (1.07 | ) | (1.19 | ) | |||||||||
2018 - R6 | 10.26 | 0.09 | 0.31 | 0.40 | (0.17 | ) | (1.07 | ) | (1.24 | ) | |||||||||
FOR THE PERIOD NOVEMBER 1 , 2016 – AUGUST 31,* | |||||||||||||||||||
2017 - A | 9.74 | 0.08 | 0.90 | 0.98 | (0.18 | ) | (0.32 | ) | (0.50 | ) | |||||||||
2017 - Institutional | 9.75 | 0.14 | 0.88 | 1.02 | (0.19 | ) | (0.32 | ) | (0.51 | ) | |||||||||
2017 - Service | 9.74 | 0.10 | 0.88 | 0.98 | (0.17 | ) | (0.32 | ) | (0.49 | ) | |||||||||
2017 - Investor(e) | 9.75 | 0.11 | 0.90 | 1.01 | (0.19 | ) | (0.32 | ) | (0.51 | ) | |||||||||
2017 - R | 9.74 | 0.09 | 0.88 | 0.97 | (0.17 | ) | (0.32 | ) | (0.49 | ) | |||||||||
2017 - R6 | 9.75 | 0.14 | 0.88 | 1.02 | (0.19 | ) | (0.32 | ) | (0.51 | ) | |||||||||
FOR THE FISCAL YEARS ENDED OCTOBER 31, | |||||||||||||||||||
2016 - A (Commenced August 22, 2016) | 9.93 | 0.02 | (0.21 | ) | (0.19 | ) | — | — | — | ||||||||||
2016 - Institutional (Commenced August 22, 2016) | 9.93 | 0.03 | (0.21 | ) | (0.18 | ) | — | — | — | ||||||||||
2016 - Service (Commenced August 22, 2016) | 9.93 | 0.02 | (0.21 | ) | (0.19 | ) | — | — | — | ||||||||||
2016 - Investor(e) (Commenced August 22, 2016) | 9.93 | 0.02 | (0.20 | ) | (0.18 | ) | — | — | — | ||||||||||
2016 - R (Commenced August 22, 2016) | 9.93 | 0.02 | (0.21 | ) | (0.19 | ) | — | — | — | ||||||||||
2016 - R6 | 9.97 | 0.19 | 0.11 | 0.30 | (0.17 | ) | (0.35 | ) | (0.52 | ) | |||||||||
2015 - R6 | 9.99 | 0.15 | 0.12 | 0.27 | (0.09 | ) | (0.20 | ) | (0.29 | ) | |||||||||
FOR THE PERIOD ENDED OCTOBER 31, | |||||||||||||||||||
10.00 | 0.03 | (0.04 | ) | (0.01 | ) | — | — | — |
* | The Portfolio changed its fiscal year end from October 31 to August 31. |
(a) | Calculated based on the average shares outstanding methodology. |
(b) | Assumes investment at the net asset value at the beginning of the period, reinvestment of all dividends and distributions, a complete redemption of the investment at the net asset value at the end of the period and no sales or redemption charges. Total returns would be reduced if a sales or redemption charge was taken into account. Returns do not reflect the impact of taxes to shareholders relating to Portfolio distributions or the redemption of Portfolio shares. Total returns for periods less than one full year are not annualized. The Goldman Sachs Target Date 2030 Portfolio’s predecessor was the Madison Target Retirement 2030 Fund (the “Predecessor Fund”). On August 22, 2016, the Predecessor Fund was reorganized as a new series of Goldman Sachs Trust II. Performance prior to August 22, 2016 is that of the Predecessor Fund. Total return information of the Predecessor Fund is included in the above table because the Predecessor Fund is considered the accounting survivor of the reorganization. |
(c) | The Portfolio’s turnover rate is calculated in accordance with regulatory requirements, without regard to transactions involving short term investments. If such transactions were included, the Portfolio’s turnover rate may be higher. |
(d) | Annualized. |
(e) | Effective October 10, 2017, Class IR Shares changed its name to Investor Shares. |
(f) | Expense ratios exclude the expenses of the Underlying Funds in which the Portfolio invests. |
50 | The accompanying notes are an integral part of these financial statements. |
GOLDMAN SACHS TARGET DATE 2030 PORTFOLIO
Net asset value, end of period | Net assets, end of period (in 000s) | Ratio of net expenses to average net assets | Ratio of total expenses to average net assets | Ratio of net investment income to average net assets | Portfolio turnover rate | ||||||||
Total return | |||||||||||||
(b) | (f) | (f) | (f) | (c) | |||||||||
$ | 9.39 | 3.72 | % | $ | 320 | 0.70 | %(d) | 1.08 | %(d) | 1.21 | %(d) | 89 | % |
9.42 | 3.97 | 11 | 0.29 | (d) | 0.67 | (d) | 1.86 | (d) | 89 | ||||
9.40 | 3.62 | 11 | 0.78 | (d) | 1.17 | (d) | 1.36 | (d) | 89 | ||||
9.40 | 3.85 | 1,451 | 0.45 | (d) | 0.84 | (d) | 1.70 | (d) | 89 | ||||
9.39 | 3.61 | 26 | 0.96 | (d) | 1.34 | (d) | 1.18 | (d) | 89 | ||||
9.42 | 3.98 | 77,174 | 0.30 | (d) | 0.69 | (d) | 1.85 | (d) | 89 | ||||
10.22 | 10.47 | 205 | 0.72 | (d) | 0.99 | (d) | 0.99 | (d) | 143 | ||||
10.26 | 10.87 | 11 | 0.31 | (d) | 0.75 | (d) | 1.69 | (d) | 143 | ||||
10.23 | 10.47 | 11 | 0.82 | (d) | 1.26 | (d) | 1.19 | (d) | 143 | ||||
10.25 | 10.71 | 625 | 0.46 | (d) | 0.82 | (d) | 1.30 | (d) | 143 | ||||
10.22 | 10.30 | 23 | 0.97 | (d) | 1.28 | (d) | 1.04 | (d) | 143 | ||||
10.26 | 10.88 | 75,061 | 0.30 | (d) | 0.76 | (d) | 1.72 | (d) | 143 | ||||
9.74 | (1.91 | ) | 10 | 0.74 | (d) | 2.33 | (d) | 1.01 | (d) | 176 | |||
9.75 | (1.81 | ) | 10 | 0.34 | (d) | 1.93 | (d) | 1.41 | (d) | 176 | |||
9.74 | (1.91 | ) | 10 | 0.83 | (d) | 2.43 | (d) | 0.92 | (d) | 176 | |||
9.75 | (1.81 | ) | 10 | 0.48 | (d) | 2.08 | (d) | 1.27 | (d) | 176 | |||
9.74 | (1.91 | ) | 10 | 0.98 | (d) | 2.57 | (d) | 0.77 | (d) | 176 | |||
9.75 | 3.23 | 74,224 | 0.31 | 0.62 | 1.91 | 176 | |||||||
9.97 | 2.76 | 79,007 | 0.30 | 0.30 | 1.49 | 156 | |||||||
9.99 | (0.10 | ) | 82,852 | 0.32 | (d) | 0.32 | (d) | 1.87 | (d) | 44 |
The accompanying notes are an integral part of these financial statements. 51
GOLDMAN SACHS TARGET DATE 2035 PORTFOLIO
Financial Highlights
Selected Data for a Share Outstanding Throughout Each Period
From Investment operations | Distributions to shareholders | |||||||||||||||||||
Net asset value, beginning of period | Net investment income(a) | Net realized and unrealized gain (loss) | Total from investment operations | From net investment income | From net realized gains | Total distributions | ||||||||||||||
Year - Share Class | ||||||||||||||||||||
FOR THE SIX MONTHS ENDED FEBRUARY 28, (UNAUDITED) | ||||||||||||||||||||
2018 - A | $ | 10.85 | $ | 0.07 | $ | 0.38 | $ | 0.45 | $ | (0.14 | ) | $ | (0.17 | ) | $ | (0.31 | ) | |||
2018 - Institutional | 10.87 | 0.10 | 0.39 | 0.49 | (0.19 | ) | (0.17 | ) | (0.36 | ) | ||||||||||
2018 - Service | 10.84 | 0.07 | 0.38 | 0.45 | (0.13 | ) | (0.17 | ) | (0.30 | ) | ||||||||||
2018 - Investor(e) | 10.86 | 0.09 | 0.38 | 0.47 | (0.18 | ) | (0.17 | ) | (0.35 | ) | ||||||||||
2018 - R | 10.83 | 0.07 | 0.38 | 0.45 | (0.12 | ) | (0.17 | ) | (0.29 | ) | ||||||||||
2018 - R6 | 10.87 | 0.08 | 0.41 | 0.49 | (0.19 | ) | (0.17 | ) | (0.36 | ) | ||||||||||
FOR THE PERIOD NOVEMBER 1, 2016 – AUGUST 31,* | ||||||||||||||||||||
2017 - A | 9.81 | 0.10 | 1.01 | 1.11 | (0.07 | ) | — | (0.07 | ) | |||||||||||
2017 - Institutional | 9.81 | 0.15 | 1.00 | 1.15 | (0.09 | ) | — | (0.09 | ) | |||||||||||
2017 - Service | 9.80 | 0.10 | 1.01 | 1.11 | (0.07 | ) | — | (0.07 | ) | |||||||||||
2017 - Investor(e) | 9.81 | 0.08 | 1.05 | 1.13 | (0.08 | ) | — | (0.08 | ) | |||||||||||
2017 - R | 9.80 | 0.09 | 1.00 | 1.09 | (0.06 | ) | — | (0.06 | ) | |||||||||||
2017 - R6 | 9.81 | 0.14 | 1.01 | 1.15 | (0.09 | ) | — | (0.09 | ) | |||||||||||
FOR THE FISCAL YEARS ENDED OCTOBER 31, | ||||||||||||||||||||
2016 - A (Commenced August 22, 2016) | 10.00 | 0.02 | (0.21 | ) | (0.19 | ) | — | — | — | |||||||||||
2016 - Institutional (Commenced August 22, 2016) | 10.00 | 0.03 | (0.22 | ) | (0.19 | ) | — | — | — | |||||||||||
2016 - Service (Commenced August 22, 2016) | 10.00 | 0.02 | (0.22 | ) | (0.20 | ) | — | — | — | |||||||||||
2016 - Investor(e) (Commenced August 22, 2016) | 10.00 | 0.02 | (0.21 | ) | (0.19 | ) | — | — | — | |||||||||||
2016 - R (Commenced August 22, 2016) | 10.00 | 0.02 | (0.22 | ) | (0.20 | ) | — | — | — | |||||||||||
2016 - R6 (Commenced August 22, 2016) | 10.00 | 0.03 | (0.22 | ) | (0.19 | ) | — | — | — |
* | The Portfolio changed its fiscal year end from October 31 to August 31. |
(a) | Calculated based on the average shares outstanding methodology. |
(b) | Assumes investment at the NAV at the beginning of the period, reinvestment of all dividends and distributions, a complete redemption of the investment at the NAV at the end of the period and no sales or redemption charges. Total returns would be reduced if a sales or redemption charge was taken into account. Returns do not reflect the impact of taxes to shareholders relating to Portfolio distributions or the redemption of Portfolio shares. Total returns for periods less than one full year are not annualized. |
(c) | Annualized. |
(d) | The Portfolio’s turnover rate is calculated in accordance with regulatory requirements, without regard to transactions involving short term investments. If such transactions were included, the Portfolio’s turnover rate may be higher. |
(e) | Effective October 10, 2017, Class IR Shares changed its name to Investor Shares. |
(f) | Expense ratios exclude the expenses of the Underlying Funds in which the Portfolio invests. |
52 | The accompanying notes are an integral part of these financial statements. |
GOLDMAN SACHS TARGET DATE 2035 PORTFOLIO
Net asset value, end of period | Net assets, end of period (in 000s) | Ratio of net expenses to average net assets | Ratio of total expenses to average net assets | Ratio of net investment income to average net assets | Portfolio turnover rate | ||||||||
Total return | |||||||||||||
(b) | (c)(f) | (c)(f) | (c)(f) | (d) | |||||||||
$ | 10.99 | 4.22 | % | $ | 41 | 0.69 | % | 2.47 | % | 1.25 | % | 78 | % |
11.00 | 4.50 | 11,402 | 0.30 | 2.11 | 1.85 | 78 | |||||||
10.99 | 4.22 | 11 | 0.80 | 2.59 | 1.35 | 78 | |||||||
10.98 | 4.39 | 792 | 0.44 | 2.23 | 1.72 | 78 | |||||||
10.99 | 4.17 | 11 | 0.96 | 2.75 | 1.19 | 78 | |||||||
11.00 | 4.53 | 185 | 0.30 | 2.04 | 1.53 | 78 | |||||||
10.85 | 11.39 | 29 | 0.71 | 4.28 | 1.11 | 137 | |||||||
10.87 | 11.75 | 10,911 | 0.32 | 3.86 | 1.69 | 137 | |||||||
10.84 | 11.36 | 11 | 0.81 | 4.34 | 1.20 | 137 | |||||||
10.86 | 11.59 | 152 | 0.45 | 7.23 | 0.89 | 137 | |||||||
10.83 | 11.20 | 11 | 0.98 | 4.50 | 1.04 | 137 | |||||||
10.87 | 11.75 | 35 | 0.30 | 4.22 | 1.64 | 137 | |||||||
9.81 | (1.90 | ) | 10 | 0.75 | 4.23 | 1.03 | 29 | ||||||
9.81 | (1.90 | ) | 9,765 | 0.34 | 3.85 | 1.44 | 29 | ||||||
9.80 | (2.00 | ) | 10 | 0.84 | 4.33 | 0.94 | 29 | ||||||
9.81 | (1.90 | ) | 10 | 0.49 | 3.97 | 1.29 | 29 | ||||||
9.80 | (2.00 | ) | 10 | 0.99 | 4.47 | 0.79 | 29 | ||||||
9.81 | (1.90 | ) | 10 | 0.32 | 3.93 | 1.46 | 29 |
The accompanying notes are an integral part of these financial statements. 53
GOLDMAN SACHS TARGET DATE 2040 PORTFOLIO
Financial Highlights
Selected Data for a Share Outstanding Throughout Each Period
From Investment operations | Distributions to shareholders | |||||||||||||||||||
Net asset value, beginning of period | Net investment income(a) | Net realized and unrealized gain (loss) | Total from investment operations | From net investment income | From net realized gains | Total distributions | ||||||||||||||
Year - Share Class | ||||||||||||||||||||
FOR THE SIX MONTHS ENDED FEBRUARY 28, (UNAUDITED) | ||||||||||||||||||||
2018 - A | $ | 10.09 | $ | 0.07 | $ | 0.40 | $ | 0.47 | $ | (0.14 | ) | $ | (1.23 | ) | $ | (1.37 | ) | |||
2018 - Institutional | 10.12 | 0.09 | 0.40 | 0.49 | (0.17 | ) | (1.23 | ) | (1.40 | ) | ||||||||||
2018 - Service | 10.08 | 0.07 | 0.40 | 0.47 | (0.12 | ) | (1.23 | ) | (1.35 | ) | ||||||||||
2018 - Investor(e) | 10.11 | 0.08 | 0.41 | 0.49 | (0.17 | ) | (1.23 | ) | (1.40 | ) | ||||||||||
2018 - R | 10.07 | 0.06 | 0.40 | 0.46 | (0.12 | ) | (1.23 | ) | (1.35 | ) | ||||||||||
2018 - R6 | 10.12 | 0.09 | 0.41 | 0.50 | (0.17 | ) | (1.23 | ) | (1.40 | ) | ||||||||||
FOR THE PERIOD NOVEMBER 1, 2016 – AUGUST 31,* | ||||||||||||||||||||
2017 - A | 9.58 | 0.10 | 1.03 | 1.13 | (0.19 | ) | (0.43 | ) | (0.62 | ) | ||||||||||
2017 - Institutional | 9.58 | 0.14 | 1.03 | 1.17 | (0.20 | ) | (0.43 | ) | (0.63 | ) | ||||||||||
2017 - Service | 9.58 | 0.10 | 1.01 | 1.11 | (0.18 | ) | (0.43 | ) | (0.61 | ) | ||||||||||
2017 - Investor(e) | 9.58 | 0.09 | 1.06 | 1.15 | (0.19 | ) | (0.43 | ) | (0.62 | ) | ||||||||||
2017 - R | 9.57 | 0.09 | 1.02 | 1.11 | (0.18 | ) | (0.43 | ) | (0.61 | ) | ||||||||||
2017 - R6 | 9.59 | 0.14 | 1.02 | 1.16 | (0.20 | ) | (0.43 | ) | (0.63 | ) | ||||||||||
FOR THE FISCAL YEARS ENDED OCTOBER 31, | ||||||||||||||||||||
2016 - A (Commenced August 22, 2016) | 9.77 | 0.02 | (0.21 | ) | (0.19 | ) | — | — | — | |||||||||||
2016 - Institutional (Commenced August 22, 2016) | 9.77 | 0.03 | (0.22 | ) | (0.19 | ) | — | — | — | |||||||||||
2016 - Service (Commenced August 22, 2016) | 9.77 | 0.02 | (0.21 | ) | (0.19 | ) | — | — | — | |||||||||||
2016 - Investor(e) (Commenced August 22, 2016) | 9.77 | 0.02 | (0.21 | ) | (0.19 | ) | — | — | — | |||||||||||
2016 - R (Commenced August 22, 2016) | 9.77 | 0.01 | (0.21 | ) | (0.20 | ) | — | — | — | |||||||||||
2016 - R6 | 9.90 | 0.19 | 0.11 | 0.30 | (0.17 | ) | (0.44 | ) | (0.61 | ) | ||||||||||
2015 - R6 | 9.98 | 0.15 | 0.13 | 0.28 | (0.10 | ) | (0.26 | ) | (0.36 | ) | ||||||||||
FOR THE PERIOD ENDED OCTOBER 31, | ||||||||||||||||||||
2014 - R6 (Commenced August 29, 2014) | 10.00 | 0.03 | (0.05 | ) | (0.02 | ) | — | — | — |
* | The Portfolio changed its fiscal year end from October 31 to August 31. |
(a) | Calculated based on the average shares outstanding methodology. |
(b) | Assumes investment at the net asset value at the beginning of the period, reinvestment of all dividends and distributions, a complete redemption of the investment at the net asset value at the end of the period and no sales or redemption charges. Total returns would be reduced if a sales or redemption charge was taken into account. Returns do not reflect the impact of taxes to shareholders relating to Portfolio distributions or the redemption of Portfolio shares. Total returns for periods less than one full year are not annualized. The Goldman Sachs Target Date 2040 Portfolio’s predecessor was the Madison Target Retirement 2040 Fund (the “Predecessor Fund”). On August 22, 2016, the Predecessor Fund was reorganized as a new series of Goldman Sachs Trust II. Performance prior to August 22, 2016 is that of the Predecessor Fund. Total return information of the Predecessor Fund is included in the above table because the Predecessor Fund is considered the accounting survivor of the reorganization. |
(c) | The Portfolio’s turnover rate is calculated in accordance with regulatory requirements, without regard to transactions involving short term investments. If such transactions were included, the Portfolio’s turnover rate may be higher. |
(d) | Annualized. |
(e) | Effective October 10, 2017, Class IR Shares changed its name to Investor Shares. |
(f) | Expense ratios exclude the expenses of the Underlying Funds in which the Portfolio invests. |
54 | The accompanying notes are an integral part of these financial statements. |
GOLDMAN SACHS TARGET DATE 2040 PORTFOLIO
Net asset value, end of period | Net assets, end of period (in 000s) | Ratio of net expenses to average net assets | Ratio of total expenses to average net assets | Ratio of net investment income to average net assets | Portfolio turnover rate | ||||||||
Total return | |||||||||||||
(b) | (f) | (f) | (f) | (c) | |||||||||
$ | 9.19 | 4.81 | % | $ | 27 | 0.71 | %(d) | 1.28 | %(d) | 1.37 | %(d) | 83 | % |
9.21 | 4.95 | 12 | 0.29 | (d) | 0.89 | (d) | 1.83 | (d) | 83 | ||||
9.20 | 4.83 | 12 | 0.79 | (d) | 1.39 | (d) | 1.33 | (d) | 83 | ||||
9.20 | 4.92 | 584 | 0.45 | (d) | 1.04 | (d) | 1.68 | (d) | 83 | ||||
9.18 | 4.72 | 30 | 0.96 | (d) | 1.54 | (d) | 1.14 | (d) | 83 | ||||
9.22 | 5.06 | 50,007 | 0.30 | (d) | 0.90 | (d) | 1.81 | (d) | 83 | ||||
10.09 | 12.37 | 13 | 0.73 | (d) | 1.41 | (d) | 1.27 | (d) | 142 | ||||
10.12 | 12.85 | 11 | 0.32 | (d) | 0.98 | (d) | 1.70 | (d) | 142 | ||||
10.08 | 12.21 | 11 | 0.82 | (d) | 1.48 | (d) | 1.20 | (d) | 142 | ||||
10.11 | 12.68 | 130 | 0.46 | (d) | 0.98 | (d) | 1.11 | (d) | 142 | ||||
10.07 | 12.16 | 24 | 0.97 | (d) | 1.42 | (d) | 1.05 | (d) | 142 | ||||
10.12 | 12.73 | 48,905 | 0.30 | (d) | 0.98 | (d) | 1.73 | (d) | 142 | ||||
9.58 | (1.94 | ) | 13 | 0.74 | (d) | 3.23 | (d) | 0.98 | (d) | 174 | |||
9.58 | (1.94 | ) | 10 | 0.34 | (d) | 2.82 | (d) | 1.41 | (d) | 174 | |||
9.58 | (1.94 | ) | 10 | 0.83 | (d) | 3.31 | (d) | 0.92 | (d) | 174 | |||
9.58 | (1.94 | ) | 10 | 0.48 | (d) | 2.96 | (d) | 1.27 | (d) | 174 | |||
9.57 | (2.05 | ) | 10 | 0.98 | (d) | 3.46 | (d) | 0.77 | (d) | 174 | |||
9.59 | 3.33 | 47,340 | 0.31 | 0.80 | 1.97 | 174 | |||||||
9.90 | 2.86 | 50,029 | 0.30 | 0.30 | 1.50 | 160 | |||||||
9.98 | (0.20 | ) | 58,903 | 0.32 | (d) | 0.32 | (d) | 1.84 | (d) | 46 |
The accompanying notes are an integral part of these financial statements. 55
GOLDMAN SACHS TARGET DATE 2045 PORTFOLIO
Financial Highlights
Selected Data for a Share Outstanding Throughout Each Period
From Investment operations | Distributions to shareholders | ||||||||||||||||||||
Net asset value, beginning of period | Net investment income(a) | Net realized and unrealized gain (loss) | Total from investment operations | From net investment income | From net realized gains | Total distributions | |||||||||||||||
Year - Share Class | |||||||||||||||||||||
FOR THE SIX MONTHS ENDED FEBRUARY 28, (UNAUDITED) | |||||||||||||||||||||
2018 - A | $ | 11.01 | $ | 0.08 | $ | 0.51 | $ | 0.59 | $ | (0.16 | ) | $ | (0.22 | ) | $ | (0.38 | ) | ||||
2018 - Institutional | 11.04 | 0.10 | 0.51 | 0.61 | (0.19 | ) | (0.22 | ) | (0.41 | ) | |||||||||||
2018 - Service | 11.00 | 0.07 | 0.52 | 0.59 | (0.14 | ) | (0.22 | ) | (0.36 | ) | |||||||||||
2018 - Investor(e) | 11.03 | 0.10 | 0.50 | 0.60 | (0.18 | ) | (0.22 | ) | (0.40 | ) | |||||||||||
2018 - R | 10.99 | 0.07 | 0.50 | 0.57 | (0.13 | ) | (0.22 | ) | (0.35 | ) | |||||||||||
2018 - R6 | 11.04 | 0.09 | 0.52 | 0.61 | (0.19 | ) | (0.22 | ) | (0.41 | ) | |||||||||||
FOR THE PERIOD NOVEMBER 1, 2016 – AUGUST 31,* | |||||||||||||||||||||
2017 - A | 9.80 | 0.08 | 1.20 | 1.28 | (0.07 | ) | — | (0.07 | ) | ||||||||||||
2017 - Institutional | 9.81 | 0.15 | 1.17 | 1.32 | (0.09 | ) | — | (0.09 | ) | ||||||||||||
2017 - Service | 9.80 | 0.10 | 1.17 | 1.27 | (0.07 | ) | — | (0.07 | ) | ||||||||||||
2017 - Investor(e) | 9.80 | 0.10 | 1.21 | 1.31 | (0.08 | ) | — | (0.08 | ) | ||||||||||||
2017 - R | 9.79 | 0.09 | 1.17 | 1.26 | (0.06 | ) | — | (0.06 | ) | ||||||||||||
2017 - R6 | 9.81 | 0.15 | 1.17 | 1.32 | (0.09 | ) | — | (0.09 | ) | ||||||||||||
FOR THE PERIOD ENDED OCTOBER 31, | |||||||||||||||||||||
2016 - A (Commenced August 22, 2016) | 10.00 | 0.02 | (0.22 | ) | (0.20 | ) | — | — | — | ||||||||||||
2016 - Institutional (Commenced August 22, 2016) | 10.00 | 0.03 | (0.22 | ) | (0.19 | ) | — | — | — | ||||||||||||
2016 - Service (Commenced August 22, 2016) | 10.00 | 0.02 | (0.22 | ) | (0.20 | ) | — | — | — | ||||||||||||
2016 - Investor(e) (Commenced August 22, 2016) | 10.00 | 0.02 | (0.22 | ) | (0.20 | ) | — | — | — | ||||||||||||
2016 - R (Commenced August 22, 2016) | 10.00 | 0.01 | (0.22 | ) | (0.21 | ) | — | — | — | ||||||||||||
2016 - R6 (Commenced August 22, 2016) | 10.00 | 0.03 | (0.22 | ) | (0.19 | ) | — | — | — | ||||||||||||
* | The Portfolio changed its fiscal year end from October 31 to August 31. |
(a) | Calculated based on the average shares outstanding methodology. |
(b) | Assumes investment at the NAV at the beginning of the period, reinvestment of all dividends and distributions, a complete redemption of the investment at the NAV at the end of the period and no sales or redemption charges. Total returns would be reduced if a sales or redemption charge was taken into account. Returns do not reflect the impact of taxes to shareholders relating to Portfolio distributions or the redemption of Portfolio shares. Total returns for periods less than one full year are not annualized. |
(c) | Annualized. |
(d) | The Portfolio’s turnover rate is calculated in accordance with regulatory requirements, without regard to transactions involving short term investments. If such transactions were included, the Portfolio’s turnover rate may be higher. |
(e) | Effective October 10, 2017, Class IR Shares changed its name to Investor Shares. |
(f) | Expense ratios exclude the expenses of the Underlying Funds in which the Portfolio invests. |
56 | The accompanying notes are an integral part of these financial statements. |
GOLDMAN SACHS TARGET DATE 2045 PORTFOLIO
Net asset value, end of period | Net assets, end of period (in 000s) | Ratio of net expenses to average net assets | Ratio of total expenses to average net assets | Ratio of net investment income to average net assets | Portfolio turnover rate | ||||||||
Total return | |||||||||||||
(b) | (c)(f) | (c)(f) | (c)(f) | (d) | |||||||||
$ | 11.22 | 5.45 | % | $ | 95 | 0.69 | % | 2.48 | % | 1.42 | % | 81 | % |
11.24 | 5.55 | 11,698 | 0.30 | 2.09 | 1.82 | 81 | |||||||
11.23 | 5.36 | 12 | 0.80 | 2.57 | 1.32 | 81 | |||||||
11.23 | 5.53 | 535 | 0.44 | (f) | 2.22 | 1.72 | 81 | ||||||
11.21 | 5.26 | 35 | 0.94 | 2.72 | 1.16 | 81 | |||||||
11.24 | 5.58 | 124 | 0.29 | 2.02 | 1.59 | 81 | |||||||
11.01 | 13.17 | 84 | 0.71 | 5.43 | 0.90 | 143 | |||||||
11.04 | 13.52 | 11,077 | 0.32 | 3.82 | 1.69 | 143 | |||||||
11.00 | 13.03 | 11 | 0.81 | 4.30 | 1.20 | 143 | |||||||
11.03 | 13.48 | 97 | 0.46 | 6.16 | 1.13 | 143 | |||||||
10.99 | 12.98 | 29 | 0.95 | 4.63 | 1.07 | 143 | |||||||
11.04 | 13.64 | 14 | 0.31 | 4.00 | 1.68 | 143 | |||||||
9.80 | (2.00 | ) | 10 | 0.75 | 4.23 | 1.02 | 29 | ||||||
9.81 | (1.90 | ) | 9,756 | 0.34 | 3.85 | 1.43 | 29 | ||||||
9.80 | (2.00 | ) | 10 | 0.84 | 4.33 | 0.93 | 29 | ||||||
9.80 | (2.00 | ) | 10 | 0.49 | 3.97 | 1.28 | 29 | ||||||
9.79 | (2.10 | ) | 10 | 0.99 | 4.48 | 0.78 | 29 | ||||||
9.81 | (2.00 | ) | 10 | 0.32 | 3.93 | 1.45 | 29 |
The accompanying notes are an integral part of these financial statements. 57
GOLDMAN SACHS TARGET DATE 2050 PORTFOLIO
Financial Highlights
Selected Data for a Share Outstanding Throughout Each Period
From Investment operations | Distributions to shareholders | |||||||||||||||||||||||
Net asset value, beginning of period | Net investment income(a) | Net realized and unrealized gain (loss) | Total from investment operations | From net investment income | From net realized gains | Total distributions | ||||||||||||||||||
Year - Share Class | ||||||||||||||||||||||||
FOR THE SIX MONTHS ENDED FEBRUARY 28, (UNAUDITED) | ||||||||||||||||||||||||
2018 - A | $ | 10.54 | $ | 0.07 | $ | 0.55 | $ | 0.62 | $ | (0.16 | ) | $ | (0.67 | ) | $ | (0.83 | ) | |||||||
2018 - Institutional | 10.56 | 0.10 | 0.55 | 0.65 | (0.18 | ) | (0.67 | ) | (0.85 | ) | ||||||||||||||
2018 - Service | 10.53 | 0.07 | 0.54 | 0.61 | (0.13 | ) | (0.67 | ) | (0.80 | ) | ||||||||||||||
2018 - Investor(e) | 10.55 | 0.09 | 0.54 | 0.63 | (0.17 | ) | (0.67 | ) | (0.84 | ) | ||||||||||||||
2018 - R | 10.52 | 0.06 | 0.54 | 0.60 | (0.11 | ) | (0.67 | ) | (0.78 | ) | ||||||||||||||
2018 - R6 | 10.56 | 0.10 | 0.55 | 0.65 | (0.18 | ) | (0.67 | ) | (0.85 | ) | ||||||||||||||
FOR THE PERIOD NOVEMBER 1, 2016 – AUGUST 31,* | ||||||||||||||||||||||||
2017 - A | 9.80 | 0.12 | 1.21 | 1.33 | (0.19 | ) | (0.40 | ) | (0.59 | ) | ||||||||||||||
2017 - Institutional | 9.80 | 0.14 | 1.22 | 1.36 | (0.20 | ) | (0.40 | ) | (0.60 | ) | ||||||||||||||
2017 - Service | 9.79 | 0.10 | 1.22 | 1.32 | (0.18 | ) | (0.40 | ) | (0.58 | ) | ||||||||||||||
2017 - Investor(e) | 9.80 | 0.11 | 1.24 | 1.35 | (0.20 | ) | (0.40 | ) | (0.60 | ) | ||||||||||||||
2017 - R | 9.79 | 0.09 | 1.22 | 1.31 | (0.18 | ) | (0.40 | ) | (0.58 | ) | ||||||||||||||
2017 - R6 | 9.80 | 0.14 | 1.22 | 1.36 | (0.20 | ) | (0.40 | ) | (0.60 | ) | ||||||||||||||
FOR THE FISCAL YEARS ENDED OCTOBER 31, | ||||||||||||||||||||||||
2016 - A (Commenced August 22, 2016) | 10.00 | 0.02 | (0.22 | ) | (0.20 | ) | — | — | — | |||||||||||||||
2016 - Institutional (Commenced August 22, 2016) | 10.00 | 0.03 | (0.23 | ) | (0.20 | ) | — | — | — | |||||||||||||||
2016 - Service (Commenced August 22, 2016) | 10.00 | 0.02 | (0.23 | ) | (0.21 | ) | — | — | — | |||||||||||||||
2016 - Investor(e) (Commenced August 22, 2016) | 10.00 | 0.02 | (0.22 | ) | (0.20 | ) | — | — | — | |||||||||||||||
2016 - R (Commenced August 22, 2016) | 10.00 | 0.02 | (0.23 | ) | (0.21 | ) | — | — | — | |||||||||||||||
2016 - R6 | 9.95 | 0.20 | 0.11 | 0.31 | (0.16 | ) | (0.30 | ) | (0.46 | ) | ||||||||||||||
2015 - R6 | 9.98 | 0.15 | 0.13 | 0.28 | (0.10 | ) | (0.21 | ) | (0.31 | ) | ||||||||||||||
FOR THE PERIOD ENDED OCTOBER 31, | ||||||||||||||||||||||||
2014 - R6 (Commenced August 29, 2014) | 10.00 | 0.03 | (0.05 | ) | (0.02 | ) | — | — | — |
* | The Portfolio changed its fiscal year end from October 31 to August 31. |
(a) | Calculated based on the average shares outstanding methodology. |
(b) | Assumes investment at the net asset value at the beginning of the year, reinvestment of all dividends and distributions, a complete redemption of the investment at the net asset value at the end of the year and no sales or redemption charges. Total returns would be reduced if a sales or redemption charge was taken into account. Returns do not reflect the impact of taxes to shareholders relating to Portfolio distributions or the redemption of Portfolio shares. Total returns for periods less than one full year are not annualized. The Goldman Sachs Target Date 2050 Portfolio’s predecessor was the Madison Target Retirement 2050 Fund (the “Predecessor Fund”). On August 22, 2016, the Predecessor Fund was reorganized as a new series of Goldman Sachs Trust II. Performance prior to August 22, 2016 is that of the Predecessor Fund. Total return information of the Predecessor Fund is included in the above table because the Predecessor Fund is considered the accounting survivor of the reorganization. |
(c) | The Portfolio’s turnover rate is calculated in accordance with regulatory requirements, without regard to transactions involving short term investments. If such transactions were included, the Portfolio’s turnover rate may be higher. |
(d) | Annualized. |
(e) | Effective October 10, 2017, Class IR Shares changed its name to Investor Shares. |
(f) | Expense ratios exclude the expenses of the Underlying Funds in which the Portfolio invests. |
58 | The accompanying notes are an integral part of these financial statements. |
GOLDMAN SACHS TARGET DATE 2050 PORTFOLIO
Net asset value, end of period | Net assets, end of period (in 000s) | Ratio of net expenses to average net assets | Ratio of total expenses to average net assets | Ratio of net investment income to average net assets | Portfolio turnover rate | ||||||||
Total return | |||||||||||||
(b) | (f) | (f) | (f) | (C) | |||||||||
$ | 10.33 | 5.97 | % | $ | 127 | 0.70 | %(d) | 1.63 | %(d) | 1.30 | %(d) | 84 | % |
10.36 | 6.20 | 12 | 0.31 | (d) | 1.31 | (d) | 1.79 | (d) | 84 | ||||
10.34 | 5.85 | 12 | 0.80 | (d) | 1.80 | (d) | 1.29 | (d) | 84 | ||||
10.34 | 6.09 | 841 | 0.45 | (d) | 1.43 | (d) | 1.74 | (d) | 84 | ||||
10.34 | 5.80 | 12 | 0.96 | (d) | 1.96 | (d) | 1.14 | (d) | 84 | ||||
10.36 | 6.21 | 29,746 | 0.30 | (d) | 1.30 | (d) | 1.79 | (d) | 84 | ||||
10.54 | 14.21 | 49 | 0.71 | (d) | 1.34 | (d) | 1.38 | (d) | 139 | ||||
10.56 | 14.58 | 11 | 0.32 | (d) | 1.63 | (d) | 1.71 | (d) | 139 | ||||
10.53 | 14.18 | 11 | 0.82 | (d) | 2.13 | (d) | 1.21 | (d) | 139 | ||||
10.55 | 14.42 | 156 | 0.47 | (d) | 1.45 | (d) | 1.31 | (d) | 139 | ||||
10.52 | 14.02 | 11 | 0.98 | (d) | 2.29 | (d) | 1.05 | (d) | 139 | ||||
10.56 | 14.59 | 26,154 | 0.30 | (d) | 1.58 | (d) | 1.71 | (d) | 139 | ||||
9.80 | (2.00 | ) | 10 | 0.74 | (d) | 6.30 | (d) | 1.04 | (d) | 191 | |||
9.80 | (2.00 | ) | 10 | 0.34 | (d) | 5.90 | (d) | 1.44 | (d) | 191 | |||
9.79 | (2.10 | ) | 10 | 0.83 | (d) | 6.40 | (d) | 0.95 | (d) | 191 | |||
9.80 | (2.00 | ) | 10 | 0.48 | (d) | 6.04 | (d) | 1.30 | (d) | 191 | |||
9.79 | (2.10 | ) | 10 | 0.98 | (d) | 6.54 | (d) | 0.80 | (d) | 191 | |||
9.80 | 3.37 | 21,657 | 0.31 | 1.45 | 2.07 | 191 | |||||||
9.95 | 2.87 | 20,482 | 0.30 | 0.30 | 1.51 | 204 | |||||||
9.98 | (0.20 | ) | 21,266 | 0.32 | (d) | 0.32 | (d) | 1.72 | (d) | 52 |
The accompanying notes are an integral part of these financial statements. 59
GOLDMAN SACHS TARGET DATE 2055 PORTFOLIO
Financial Highlights
Selected Data for a Share Outstanding Throughout Each Period
From Investment operations | Distributions to shareholders | |||||||||||||||||||
Net asset value, beginning of period | Net investment income(a) | Net realized and unrealized gain (loss) | Total from investment operations | From net investment income | From net realized gains | Total distributions | ||||||||||||||
Year - Share Class | ||||||||||||||||||||
FOR THE SIX MONTHS ENDED FEBRUARY 28, (UNAUDITED) | ||||||||||||||||||||
2018 - A | $ | 11.16 | $ | 0.08 | $ | 0.65 | $ | 0.73 | $ | (0.16 | ) | $ | (0.28 | ) | $ | (0.44 | ) | |||
2018 - Institutional | 11.20 | 0.10 | 0.65 | 0.75 | (0.19 | ) | (0.28 | ) | (0.47 | ) | ||||||||||
2018 - Service | 11.16 | 0.07 | 0.66 | 0.73 | (0.14 | ) | (0.28 | ) | (0.42 | ) | ||||||||||
2018 - Investor(e) | 11.19 | 0.10 | 0.65 | 0.75 | (0.19 | ) | (0.28 | ) | (0.47 | ) | ||||||||||
2018 - R | 11.15 | 0.05 | 0.66 | 0.71 | (0.15 | ) | (0.28 | ) | (0.43 | ) | ||||||||||
2018 - R6 | 11.20 | 0.09 | 0.66 | 0.75 | (0.19 | ) | (0.28 | ) | (0.47 | ) | ||||||||||
FOR THE PERIOD NOVEMBER 1, 2016 – AUGUST 31,* | ||||||||||||||||||||
2017 - A | 9.79 | 0.09 | 1.36 | 1.45 | (0.08 | ) | — | (0.08 | ) | |||||||||||
2017 - Institutional | 9.80 | 0.15 | 1.34 | 1.49 | (0.09 | ) | — | (0.09 | ) | |||||||||||
2017 - Service | 9.79 | 0.11 | 1.33 | 1.44 | (0.07 | ) | — | (0.07 | ) | |||||||||||
2017 - Investor(e) | 9.79 | 0.07 | 1.42 | 1.49 | (0.09 | ) | — | (0.09 | ) | |||||||||||
2017 - R | 9.79 | 0.09 | 1.34 | 1.43 | (0.07 | ) | — | (0.07 | ) | |||||||||||
2017 - R6 | 9.80 | 0.15 | 1.34 | 1.49 | (0.09 | ) | — | (0.09 | ) | |||||||||||
FOR THE FISCAL YEARS ENDED OCTOBER 31, | ||||||||||||||||||||
2016 - A (Commenced August 29, 2014) | 10.00 | 0.02 | (0.23 | ) | (0.21 | ) | — | — | — | |||||||||||
2016 - Institutional (Commenced August 29, 2014) | 10.00 | 0.03 | (0.23 | ) | (0.20 | ) | — | — | — | |||||||||||
2016 - Service (Commenced August 29, 2014) | 10.00 | 0.02 | (0.23 | ) | (0.21 | ) | — | — | — | |||||||||||
2016 - Investor(e) (Commenced August 29, 2014) | 10.00 | 0.02 | (0.23 | ) | (0.21 | ) | — | — | — | |||||||||||
2016 - R (Commenced August 29, 2014) | 10.00 | 0.01 | (0.22 | ) | (0.21 | ) | — | — | — | |||||||||||
2016 - R6 (Commenced August 29, 2014) | 10.00 | 0.03 | (0.23 | ) | (0.20 | ) | — | — | — |
* | The Portfolio changed its fiscal year end from October 31 to August 31. |
(a) | Calculated based on the average shares outstanding methodology. |
(b) | Assumes investment at the NAV at the beginning of the period, reinvestment of all dividends and distributions, a complete redemption of the investment at the NAV at the end of the period and no sales or redemption charges. Total returns would be reduced if a sales or redemption charge was taken into account. Returns do not reflect the impact of taxes to shareholders relating to Portfolio distributions or the redemption of Portfolio shares. Total returns for periods less than one full year are not annualized. |
(c) | Annualized. |
(d) | The Portfolio’s turnover rate is calculated in accordance with regulatory requirements, without regard to transactions involving short term investments. If such transactions were included, the Portfolio’s turnover rate may be higher. |
(e) | Effective October 10, 2017, Class IR Shares changed its name to Investor Shares. |
(f) | Expense ratios exclude the expenses of the Underlying Funds in which the Portfolio invests. |
60 | The accompanying notes are an integral part of these financial statements. |
GOLDMAN SACHS TARGET DATE 2055 PORTFOLIO
Net asset value, end of period | Net assets, end of period (in 000s) | Ratio of net expenses to average net assets | Ratio of total expenses to average net assets | Ratio of net investment income to average net assets | Portfolio turnover rate | ||||||||
Total return | |||||||||||||
(b) | (c)(f) | (c)(f) | (c)(f) | (d) | |||||||||
$ | 11.45 | 6.55 | % | $ | 99 | 0.70 | % | 2.47 | % | 1.39 | % | 92 | % |
11.48 | 6.73 | 12,005 | 0.30 | 2.08 | 1.79 | 92 | |||||||
11.47 | 6.55 | 12 | 0.79 | 2.56 | 1.29 | 92 | |||||||
11.47 | 6.72 | 359 | 0.44 | 2.20 | 1.66 | 92 | |||||||
11.43 | 6.46 | 34 | 0.94 | 2.69 | 0.93 | 92 | |||||||
11.48 | 6.76 | 80 | 0.29 | 2.04 | 1.64 | 92 | |||||||
11.16 | 14.90 | 87 | 0.71 | 4.43 | 1.01 | 182 | |||||||
11.20 | 15.32 | 11,242 | 0.32 | 3.78 | 1.70 | 182 | |||||||
11.16 | 14.83 | 11 | 0.81 | 4.26 | 1.20 | 182 | |||||||
11.19 | 15.16 | 101 | 0.46 | 6.85 | 0.77 | 182 | |||||||
11.15 | 14.66 | 11 | 0.97 | 4.42 | 1.05 | 182 | |||||||
11.20 | 15.32 | 27 | 0.29 | 3.99 | 1.68 | 182 | |||||||
9.79 | (2.10 | ) | 10 | 0.75 | 4.23 | 1.02 | 34 | ||||||
9.80 | (2.00 | ) | 9,748 | 0.34 | 3.85 | 1.43 | 34 | ||||||
9.79 | (2.10 | ) | 10 | 0.84 | 4.33 | 0.92 | 34 | ||||||
9.79 | (2.00 | ) | 10 | 0.49 | 3.97 | 1.28 | 34 | ||||||
9.79 | (2.10 | ) | 10 | 0.99 | 4.48 | 0.77 | 34 | ||||||
9.80 | (2.00 | ) | 10 | 0.32 | 3.92 | 1.45 | 34 |
The accompanying notes are an integral part of these financial statements. 61