Joseph V. Amato Chief Executive Officer and President
Neuberger Berman Advisers Management Trust
Arthur C. Delibert, Esq.
1601 K Street, N.W.
Washington, D.C. 20006-1600
Form N-CSR 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, as amended (“Act”) (17 CFR 270.30e-1). The Commission may use the information provided on Form N-CSR in its regulatory, disclosure review, inspection, and policymaking roles.
A registrant is required to disclose the information specified by Form N-CSR, and the Commission will make this information public. A registrant is not required to respond to the collection of information contained in Form N-CSR 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 the Secretary, Securities and Exchange Commission, 100 F Street, NE, Washington, DC 20549 0609. The OMB has reviewed this collection of information under the clearance requirements of 44 U.S.C. §3507.
Item 1. Report to Shareholders.
Following are copies of the semi-annual reports transmitted to shareholders pursuant to Rule 30e-1 under the Act.
![](https://capedge.com/proxy/N-CSRS/0000898432-18-000944/j18154463_aa001.jpg)
Neuberger Berman
Advisers Management Trust
Guardian Portfolio
I Class Shares
S Class Shares
Semi-Annual Report
June 30, 2018
Guardian Portfolio Commentary
The Neuberger Berman Advisers Management Trust Guardian Portfolio Class I generated a total return of 3.72% for the six months ended June 30, 2018, outperforming the 2.65% total return of its benchmark, the S&P 500® Index (the Index), for the same period. (Performance for all share classes is provided in the table immediately following this letter.)
After a strong start in January 2018, the U.S. stock market reversed course and experienced its first correction (a decline of at least 10%) in February and continued to fall in March. This turnaround was triggered by a number of factors, including concerns that the U.S. Federal Reserve (Fed) may raise interest rates at a faster pace than previously expected. However, the market was resilient and moved higher during each of the last three months of the reporting period. Over this time, corporate profits that largely exceeded expectations overshadowed concerns over a global trade war, geopolitical issues and signs of moderating global growth. All told, the Index gained 2.65% during the six months ended June 30, 2018.
The Fund's outperformance during the reporting period was largely driven by stock selection. The Fund generated positive stock selection in seven of the eleven sectors within the Index during the period. In particular, holdings in the Industrials, Information Technology and Financials sectors added the most value. Individual stocks that contributed the most to the Fund's performance included Amazon.com, Inc., Microsoft Corp. and salesforce.com, inc. The Fund's holdings in the Health Care, Energy and Utilities sectors detracted from results. The Fund's positions in Dentsply Sirona, Inc., Brookfield Infrastructure Partners L.P. and 3M Company were the largest headwinds for performance.
Sector allocation, overall, modestly detracted from returns during the period. An overweight in Industrials versus the Index, coupled with underweights in Energy and Real Estate, were the largest detractors from relative results. In contrast, lack of exposure to the Telecommunication Services sector, along with an overweight in Consumer Discretionary and an underweight in Financials, were the most additive for relative performance.
We entered 2018 with a constructive—albeit increasingly selective—outlook for U.S. equities. This was driven by solid global economic growth, lower corporate tax rates, repatriation of foreign earnings and the continued emergence of a more pro-business environment. First quarter of 2018 annualized real GDP growth was 2.0% and overall U.S. macroeconomic data has been steady. Meanwhile, strong growth helped move the economy to near full employment. However, we remain mindful that our constructive view on U.S. equities is not without its challenges. Despite positive U.S. and global economic data, the shift in Fed policy presents potential for spikes in volatility. The gulf between the social and economic agendas of the Republican and Democratic parties is wider than the historical norm. As a consequence, we believe that this adds a higher degree of risk to the timely implementation of legislative initiatives. We also continue to closely monitor the Trump administration's actions on global trade, as strong protectionist policies could impede economic growth and spur a trade war, both of which would hurt growth and equity market performance. Given the vicissitudes of an increasingly global economy, we will also remain flexible in our decisions and open-minded to new ideas across different asset classes and geographies.
Sincerely,
CHARLES KANTOR
PORTFOLIO MANAGER
Information about principal risks of investing in the Fund is set forth in the prospectus and statement of additional information.
The portfolio composition, industries and holdings of the Fund are subject to change without notice.
The opinions expressed are those of the Fund's portfolio manager. The opinions are as of the date of this report and are subject to change without notice.
1
SECTOR ALLOCATION
(as a % of Total Investments*) | |
Consumer Discretionary | | | 15.2 | % | |
Consumer Staples | | | 5.9 | | |
Energy | | | 4.0 | | |
Financials | | | 11.8 | | |
Health Care | | | 9.3 | | |
Industrials | | | 20.0 | | |
Information Technology | | | 26.9 | | |
Materials | | | 2.2 | | |
Utilities | | | 3.0 | | |
Short-Term Investments | | | 1.7 | | |
Total | | | 100.0 | % | |
* Derivatives, if any, are excluded from this chart.
PERFORMANCE HIGHLIGHTS4
| | Inception | | Six Month Period Ended | | Average Annual Total Return Ended 06/30/2018 | |
| | Date | | 06/30/2018 | | 1 Year | | 5 Years | | 10 Years | | Life of Fund | |
Guardian Portfolio Class I | | 11/03/1997 | | | 3.72 | % | | | 15.43 | % | | | 11.79 | % | | | 9.02 | % | | | 8.16 | % | |
Guardian Portfolio Class S2 | | 08/02/2002 | | | 3.70 | % | | | 15.33 | % | | | 11.58 | % | | | 8.86 | % | | | 8.01 | % | |
S&P 500® Index1,3 | | | | | 2.65 | % | | | 14.37 | % | | | 13.42 | % | | | 10.17 | % | | | 7.41 | % | |
The performance data quoted represent past performance and do not indicate future results. Current performance may be lower or higher than the performance data quoted. For performance data current to the most recent month-end, please visit http://www.nb.com/amtportfolios/performance.
The results shown in the table reflect the reinvestment of income dividends and other distributions, if any. The results do not reflect the effect of taxes a shareholder would pay on Fund distributions or on the redemption of Fund shares. The results do not reflect fees and expenses of the variable annuity and variable life insurance policies or the qualified pension and retirement plans whose proceeds are invested in the Fund.
The investment return and principal value of an investment will fluctuate and shares, when redeemed, may be worth more or less than their original cost.
Returns would have been lower if Neuberger Berman Investment Advisers LLC ("Management") had not reimbursed certain expenses and/or waived a portion of the investment management fees during certain of the periods shown. Repayment by a class (of expenses previously reimbursed and/or fees previously waived by Management) will decrease the class's returns. Please see Note B in the Notes to Financial Statements for specific information regarding expense reimbursement and/or fee waiver arrangements.
As stated in the Fund's most recent prospectus, the total annual operating expense ratios for fiscal year 2017 were 1.20% and 1.45% for Class I and Class S shares, respectively (before expense reimbursements and/or fee waivers, if any). The expense ratio was 1.26% for Class S shares after expense reimbursements and/or fee waivers. The expense ratios for the semi-annual period ended June 30, 2018, can be found in the Financial Highlights section of this report.
2
1 The date used to calculate Life of Fund performance for the index is November 3, 1997, the inception date of the oldest share class.
2 Performance shown prior to August 2, 2002 for Class S shares is that of Class I shares, which has lower expenses and correspondingly higher returns than Class S shares.
3 The S&P 500® Index is a float-adjusted market capitalization-weighted index that focuses on the large-cap segment of the U.S. equity market, and includes a significant portion of the total value of the market. Please note that the index described in this report does not take into account any fees, expenses or tax consequences of investing in the individual securities that it tracks, and that individuals cannot invest directly in any index. Data about the performance of an index are prepared or obtained by Neuberger Berman Investment Advisers LLC ("Management") and reflect the reinvestment of income dividends and other distributions, if any. The Fund may invest in securities not included in a described index and generally does not invest in all securities included in a described index.
4 The Fund had a policy of investing mainly in large-cap stocks prior to December 2002. Its performance prior to that date might have been different if current policies had been in effect.
The investments for the Fund are managed by the same portfolio manager(s) who manage(s) one or more other registered funds that have names, investment objectives and investment styles that are similar to those of the Fund. You should be aware that the Fund is likely to differ from those other mutual fund(s) in size, cash flow pattern and tax matters. Accordingly, the holdings and performance of the Fund can be expected to vary from those of the other mutual fund(s).
Shares of the separate Neuberger Berman Advisers Management Trust Portfolios, including the Fund, are not available to the general public. Shares of the Fund may be purchased only by life insurance companies to be held in their separate accounts, which fund variable annuity and variable life insurance policies, and by qualified pension and retirement plans.
Statistics and projections in this report are derived from sources deemed to be reliable but cannot be regarded as a representation of future results of the Fund. This report is prepared for the general information of shareholders and is not an offer of shares of the Fund. Shares are sold only through the currently effective prospectus, which must precede or accompany this report.
The "Neuberger Berman" name and logo and "Neuberger Berman Investment Advisers LLC" name are registered service marks of Neuberger Berman Group LLC. The individual Fund name in this piece is either a service mark or a registered service mark of Neuberger Berman Investment Advisers LLC, an affiliate of Neuberger Berman BD LLC, distributor, member FINRA.
© 2018 Neuberger Berman BD LLC, distributor. All rights reserved.
3
Information About Your Fund's Expenses (Unaudited)
As a Fund shareholder, you incur two types of costs: (1) transaction costs such as fees and expenses that are, or may be, imposed under your variable contract or qualified pension plan; and (2) ongoing costs, including management fees, distribution and/or service (12b-1) fees (if applicable), and other Fund expenses. This example is intended to help you understand your ongoing costs (in U.S. dollars) of investing in the Fund and compare these costs with the ongoing costs of investing in other mutual funds.
This table is designed to provide information regarding costs related to your investments. The following examples are based on an investment of $1,000 made at the beginning of the six month period ended June 30, 2018 and held for the entire period. The table illustrates the Fund's costs in two ways:
Actual Expenses and Performance: | | The first section of the table provides information about actual account values and actual expenses in dollars, based on the Fund's actual performance during the period indicated. You may use the information in this line, together with the amount you invested, to estimate the expenses 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 first section of the table under the heading entitled "Expenses Paid During the Period" to estimate the expenses you paid over the period. | |
Hypothetical Example for Comparison Purposes: | | The second section of the table provides information about hypothetical account values and hypothetical expenses based on the Fund's actual expense ratio and an assumed rate of return at 5% per year before expenses. This return is not the Fund's actual return. The hypothetical account values and expenses may not be used to estimate the actual ending account balance or expenses you paid for the period. You may use this information to compare the ongoing costs of investing in this Fund versus other funds. To do so, compare the expenses shown in this 5% hypothetical example with the 5% hypothetical examples that appear in the shareholder reports of other funds. | |
Please note that the expenses in the table are meant to highlight your ongoing costs only and do not include any transaction costs, such as fees and expenses that are, or may be imposed under your variable contract or qualified pension plan. Therefore, the information under the heading "Hypothetical (5% annual return before expenses)" is useful in comparing ongoing costs only, and will not help you determine the relative total costs of owning different funds. In addition, if these transaction costs were included, your costs would have been higher.
Expense Example (Unaudited)
NEUBERGER BERMAN ADVISERS MANAGEMENT TRUST GUARDIAN PORTFOLIO
Actual | | Beginning Account Value 1/1/18 | | Ending Account Value 6/30/18 | | Expenses Paid During the Period 1/1/18 – 6/30/18 | | Expense Ratio | |
Class I | | $ | 1,000.00 | | | $ | 1,037.20 | | | $ | 6.01 | (a) | | | 1.19 | % | |
Class S | | $ | 1,000.00 | | | $ | 1,037.00 | | | $ | 6.36 | (a) | | | 1.26 | % | |
Hypothetical (5% annual return before expenses) | |
Class I | | $ | 1,000.00 | | | $ | 1,018.89 | | | $ | 5.96 | (b) | | | 1.19 | % | |
Class S | | $ | 1,000.00 | | | $ | 1,018.55 | | | $ | 6.31 | (b) | | | 1.26 | % | |
(a) For each class, expenses are equal to the annualized expense ratio for the class, multiplied by the average account value over the period, multiplied by 181/365 (to reflect the one-half year period shown).
(b) Hypothetical expenses are equal to the annualized expense ratios for each class, multiplied by the average account value over the period (assuming a 5% annual return), multiplied by 181/365 (to reflect the one-half year period shown).
4
Schedule of Investments Guardian Portfolio (Unaudited) June 30, 2018
NUMBER OF SHARES | | | | VALUE | |
Common Stocks 97.3% | | | |
Aerospace & Defense 3.8% | | | |
| 6,660 | | | General Dynamics Corp. | | $ | 1,241,491 | | |
| 4,940 | | | Raytheon Co. | | | 954,309 | | |
| | | 2,195,800 | | |
Air Freight & Logistics 0.5% | | | |
| 3,500 | | | Expeditors International of Washington, Inc. | | | 255,850 | | |
Airlines 1.9% | | | |
| 21,800 | | | Delta Air Lines, Inc. | | | 1,079,972 | | |
Banks 4.8% | | | |
| 12,605 | | | Comerica, Inc. | | | 1,146,047 | | |
| 15,380 | | | JPMorgan Chase & Co. | | | 1,602,596 | | |
| | | 2,748,643 | | |
Beverages 1.4% | | | |
| 7,500 | | | PepsiCo, Inc. | | | 816,525 | | |
Biotechnology 2.0% | | | |
| 16,655 | | | Gilead Sciences, Inc. | | | 1,179,840 | | |
Capital Markets 5.6% | | | |
| 1,555 | | | BlackRock, Inc. | | | 776,007 | | |
| 27,045 | | | Brookfield Asset Management, Inc. Class A | | | 1,096,404 | | |
| 8,400 | | | CME Group, Inc. | | | 1,376,928 | | |
| | | 3,249,339 | | |
Chemicals 2.2% | | | |
| 16,235 | | | Ashland Global Holdings, Inc. | | | 1,269,252 | | |
Diversified Financial Services 0.6% | | | |
| 40,000 | | | CF Corp. Class A | | | 335,600 | * | |
Electric Utilities 3.0% | | | |
| 28,144 | | | Brookfield Infrastructure Partners LP | | | 1,080,730 | | |
| 4,000 | | | NextEra Energy, Inc. | | | 668,120 | | |
| | | 1,748,850 | | |
Electrical Equipment 1.8% | | | |
| 13,800 | | | Eaton Corp. PLC | | | 1,031,412 | | |
Electronic Equipment, Instruments & Components 2.4% | | | |
| 17,400 | | | CDW Corp. | | | 1,405,746 | | |
NUMBER OF SHARES | | | | VALUE | |
Energy Equipment & Services 1.6% | | | |
| 14,020 | | | Schlumberger Ltd. | | $ | 939,761 | | |
Food & Staples Retailing 1.9% | | | |
| 5,250 | | | Costco Wholesale Corp. | | | 1,097,145 | | |
Food Products 2.7% | | | |
| 36,500 | | | Conagra Brands, Inc. | | | 1,304,145 | | |
| 7,790 | | | Hain Celestial Group, Inc. | | | 232,142 | * | |
| | | 1,536,287 | | |
Health Care Equipment & Supplies 1.5% | | | |
| 20,015 | | | Dentsply Sirona, Inc. | | | 876,057 | | |
Health Care Providers & Services 5.1% | | | |
| 15,000 | | | CVS Health Corp. | | | 965,250 | | |
| 11,100 | | | DaVita, Inc. | | | 770,784 | * | |
| 5,015 | | | UnitedHealth Group, Inc. | | | 1,230,380 | | |
| | | 2,966,414 | | |
Hotels, Restaurants & Leisure 1.8% | | | |
| 6,750 | | | McDonald's Corp. | | | 1,057,657 | | |
Industrial Conglomerates 1.5% | | | |
| 4,300 | | | 3M Co. | | | 845,896 | | |
Internet & Direct Marketing Retail 6.2% | | | |
| 1,230 | | | Amazon.com, Inc. | | | 2,090,754 | * | |
| 12,445 | | | Expedia Group, Inc. | | | 1,495,765 | | |
| | | 3,586,519 | | |
Internet Software & Services 10.7% | | | |
| 1,970 | | | Alphabet, Inc. Class A | | | 2,224,504 | * | |
| 27,295 | | | eBay, Inc. | | | 989,717 | * | |
| 10,195 | | | Facebook, Inc. Class A | | | 1,981,092 | * | |
| 5,915 | | | Spotify Technology SA | | | 995,140 | * | |
| | | 6,190,453 | | |
IT Services 4.9% | | | |
| 9,230 | | | PayPal Holdings, Inc. | | | 768,582 | * | |
| 15,730 | | | Visa, Inc. Class A | | | 2,083,439 | | |
| | | 2,852,021 | | |
Machinery 0.4% | | | |
| 15,210 | | | Gates Industrial Corp. PLC | | | 247,467 | * | |
Oil, Gas & Consumable Fuel 2.3% | | | |
| 38,000 | | | Enbridge, Inc. | | | 1,356,220 | | |
See Notes to Financial Statements
5
Schedule of Investments Guardian Portfolio (Unaudited) (cont'd)
NUMBER OF SHARES | | | | VALUE | |
Pharmaceuticals 0.6% | | | |
| 6,415 | | | Bristol-Myers Squibb Co. | | $ | 355,006 | | |
Professional Services 5.6% | | | |
| 9,900 | | | Equifax, Inc. | | | 1,238,589 | | |
| 28,800 | | | IHS Markit Ltd. | | | 1,485,792 | * | |
| 4,985 | | | Verisk Analytics, Inc. | | | 536,585 | * | |
| | | 3,260,966 | | |
Road & Rail 2.7% | | | |
| 13,675 | | | CSX Corp. | | | 872,191 | | |
| 4,600 | | | Norfolk Southern Corp. | | | 694,002 | | |
| | | 1,566,193 | | |
Software 5.7% | | | |
| 23,200 | | | Microsoft Corp. | | | 2,287,752 | | |
| 7,480 | | | salesforce.com, Inc. | | | 1,020,272 | * | |
| | | 3,308,024 | | |
Specialty Retail 5.0% | | | |
| 7,555 | | | Home Depot, Inc. | | | 1,473,980 | | |
| 33,510 | | | Hudson Ltd. Class A | | | 586,090 | * | |
| 11,190 | | | Tractor Supply Co. | | | 855,923 | | |
| | | 2,915,993 | | |
Technology Hardware, Storage & Peripherals 3.1% | | | |
| 9,800 | | | Apple, Inc. | | | 1,814,078 | | |
Textiles, Apparel & Luxury Goods 2.1% | | | |
| 8,130 | | | PVH Corp. | | | 1,217,224 | | |
NUMBER OF SHARES | | | | VALUE | |
Trading Companies & Distributors 1.9% | | | |
| 25,200 | | | HD Supply Holdings, Inc. | | $ | 1,080,828 | * | |
| | | | Total Common Stocks (Cost $42,672,917) | | | 56,387,038
| | |
Preferred Stocks 0.9% | | | |
Health Care 0.9% | | | |
| 54,100
| | | Moderna Therapeutics Ser. F (Cost $474,998) | | | 544,246 | *(a)(b)(d) | |
Master Limited Partnerships 1.4% | | | |
Capital Markets 1.4% | | | |
| 26,315 | | | Blackstone Group LP (Cost $952,541) | | | 846,554
| | |
Short-Term Investments 0.2% | | | |
Investment Companies 0.2% | | | |
| 93,229
| | | State Street Institutional Treasury Money Market Fund Premier Class, 1.74%(c) (Cost $93,229) | | | 93,229
| | |
| | | | Total Investments 99.8% (Cost $44,193,685) | | | 57,871,067 | | |
| | | | Other Assets Less Liabilities 0.2% | | | 90,852 | | |
| | | | Net Assets 100.0% | | $ | 57,961,919 | | |
* Non-income producing security.
(a) Security fair valued as of June 30, 2018 in accordance with procedures approved by the Fund's Board of Trustees. Total value of all such securities at June 30, 2018 amounted to $544,246, which represents 0.9% of net assets of the Fund.
(b) Value determined using significant unobservable inputs.
(c) Represents 7-day effective yield as of June 30, 2018.
(d) This security has been deemed by the investment manager to be illiquid, and is subject to restrictions on resale. At June 30, 2018, this security amounted to $544,246, which represents 0.9% of net assets of the Fund.
Restricted Security | | Acquisition Date | | Acquisition Cost | | Acquisition Cost Percentage of Net Assets | | Value as of 6/30/2018 | | Fair Value Percentage of Net Assets as of 6/30/2018 | |
Moderna Therapeutics (Ser. F Preferred Shares) | | 8/10/2016 | | $ | 474,998 | | | | 0.8 | % | | $ | 544,246 | | | | 0.9 | % | |
See Notes to Financial Statements
6
Schedule of Investments Guardian Portfolio (Unaudited) (cont'd)
The following is a summary, categorized by Level (see Note A of Notes to Financial Statements), of inputs used to value the Fund's investments as of June 30, 2018:
Asset Valuation Inputs | | Level 1 | | Level 2 | | Level 3(b) | | Total | |
Investments: | |
Common Stocks(a) | | $ | 56,387,038 | | | $ | — | | | $ | — | | | $ | 56,387,038 | | |
Preferred Stocks(a) | | | — | | | | — | | | | 544,246 | | | | 544,246 | | |
Master Limited Partnerships(a) | | | 846,554 | | | | — | | | | — | | | | 846,554 | | |
Short-Term Investments | | | — | | | | 93,229 | | | | — | | | | 93,229 | | |
Total Investments | | $ | 57,233,592 | | | $ | 93,229 | | | $ | 544,246 | | | $ | 57,871,067 | | |
(a) The Schedule of Investments provides information on the industry categorization for the portfolio.
(b) The following is a reconciliation between the beginning and ending balances of investments in which unobservable inputs (Level 3) were used in determining value:
| | Beginning balance, as of 1/1/2018 | | Accrued discounts/ (premiums) | | Realized gain/(loss) | | Change in unrealized appreciation/ (depreciation) | | Purchases | | Sales | | Transfers into Level 3 | | Transfers out of Level 3 | | Balance, as of 6/30/2018 | | Net change in unrealized appreciation/ (depreciation) from investments still held as of 6/30/2018 | |
Investments in Securities: | |
Preferred Stock Health Care | | $ | 474,998 | | | $ | — | | | $ | — | | | $ | 69,248 | | | $ | — | | | $ | — | | | $ | — | | | $ | — | | | $ | 544,246 | | | $ | 69,248 | | |
Total | | $ | 474,998 | | | $ | — | | | $ | — | | | $ | 69,248 | | | $ | — | | | $ | — | | | $ | — | | | $ | — | | | $ | 544,246 | | | $ | 69,248 | | |
The following table presents additional information about valuation approach and inputs used for investments that are measured at fair value and categorized within Level 3 as of June 30, 2018:
Asset class | | Fair value at 6/30/2018 | | Valuation approach | | Unobservable input | | Amount or range per unit | | Input value per unit | | Impact to valuation from decrease in input(c) | |
Preferred Stock | | $ | 544,246 | | | Market Approach | | Transaction Price | | $ | 10.06 | | | $ | 10.06 | | | Decrease | |
(c) Represents the expected directional change in the fair value of the Level 3 investments that would result from a decrease in the corresponding input. An increase to the unobservable input would have the opposite effect. Significant changes in these inputs could result in significantly higher or lower fair value measurements.
As of the six months ended June 30, 2018, certain securities were transferred from one level (as of December 31, 2017) to another. Based on beginning of period market values as of January 1, 2018, $390,000 was transferred from Level 2 to Level 1 due to active market activity on recognized exchanges as of June 30, 2018.
See Notes to Financial Statements
7
Statement of Assets and Liabilities (Unaudited)
Neuberger Berman Advisers Management Trust
| | GUARDIAN PORTFOLIO | |
| | June 30, 2018 | |
Assets | |
Investments in securities, at value* (Note A)—see Schedule of Investments: | |
Unaffiliated issuers(a) | | $ | 57,871,067 | | |
Cash | | | 17,284 | | |
Dividends and interest receivable | | | 13,369 | | |
Receivable for securities sold | | | 513,187 | | |
Receivable for Fund shares sold | | | 273 | | |
Receivable for securities lending income (Note A) | | | 335 | | |
Prepaid expenses and other assets | | | 1,905 | | |
Total Assets | | | 58,417,420 | | |
Liabilities | |
Payable to investment manager (Note B) | | | 26,755 | | |
Payable for securities purchased | | | 354,534 | | |
Payable for Fund shares redeemed | | | 33,418 | | |
Payable to administrator—net (Note B) | | | 14,323 | | |
Payable to trustees | | | 544 | | |
Accrued expenses and other payables | | | 25,927 | | |
Total Liabilities | | | 455,501 | | |
Net Assets | | $ | 57,961,919 | | |
Net Assets consist of: | |
Paid-in capital | | $ | 35,879,702 | | |
Undistributed net investment income/(loss) | | | 248,476 | | |
Accumulated net realized gains/(losses) on investments | | | 8,156,359 | | |
Net unrealized appreciation/(depreciation) in value of investments | | | 13,677,382 | | |
Net Assets | | $ | 57,961,919 | | |
Net Assets | |
Class I | | $ | 12,259,666 | | |
Class S | | | 45,702,253 | | |
Shares Outstanding ($.001 par value; unlimited shares authorized) | |
Class I | | | 731,992 | | |
Class S | | | 2,763,244 | | |
Net Asset Value, offering and redemption price per share | |
Class I | | $ | 16.75 | | |
Class S | | | 16.54 | | |
*Cost of Investments: | |
(a) Unaffiliated issuers | | $ | 44,193,685 | | |
See Notes to Financial Statements
8
Statement of Operations (Unaudited)
Neuberger Berman Advisers Management Trust
| | GUARDIAN PORTFOLIO | |
| | For the Six Months Ended June 30, 2018 | |
Investment Income: | |
Income (Note A): | |
Dividend income—unaffiliated issuers | | $ | 456,161 | | |
Interest income—unaffiliated issuers | | | 2,046 | | |
Income from securities loaned—net (Note A) | | | 1,409 | | |
Foreign taxes withheld (Note A) | | | (7,987 | ) | |
Total income | | $ | 451,629 | | |
Expenses: | |
Investment management fees (Note B) | | | 162,613 | | |
Administration fees (Note B): | |
Class I | | | 18,550 | | |
Class S | | | 70,148 | | |
Distribution fees (Note B): | |
Class S | | | 58,457 | | |
Audit fees | | | 23,088 | | |
Custodian and accounting fees | | | 23,945 | | |
Insurance expense | | | 1,005 | | |
Legal fees | | | 9,880 | | |
Shareholder reports | | | 16,843 | | |
Trustees' fees and expenses | | | 21,336 | | |
Interest expense (Note A) | | | 1,471 | | |
Miscellaneous | | | 1,907 | | |
Total expenses | | | 409,243 | | |
Expenses reimbursed by Management (Note B) | | | (41,673 | ) | |
Total net expenses | | | 367,570 | | |
Net investment income/(loss) | | $ | 84,059 | | |
Realized and Unrealized Gain/(Loss) on Investments (Note A): | |
Net realized gain/(loss) on: | |
Transactions in investment securities of unaffiliated issuers | | | 2,875,598 | | |
Settlement of foreign currency transactions | | | (2,313 | ) | |
Change in net unrealized appreciation/(depreciation) in value of: | |
Investment securities of unaffiliated issuers | | | (779,678 | ) | |
Foreign currency translations | | | 1,478 | | |
Net gain/(loss) on investments | | | 2,095,085 | | |
Net increase/(decrease) in net assets resulting from operations | | $ | 2,179,144 | | |
See Notes to Financial Statements
9
Statements of Changes in Net Assets
Neuberger Berman Advisers Management Trust
| | GUARDIAN PORTFOLIO | |
| | Six Months Ended June 30, 2018 (Unaudited) | | Year Ended December 31, 2017
| |
Increase/(Decrease) in Net Assets: | |
From Operations (Note A): | |
Net investment income/(loss) | | $ | 84,059 | | | $ | 250,812 | | |
Net realized gain/(loss) on investments | | | 2,873,285 | | | | 5,249,358 | | |
Change in net unrealized appreciation/(depreciation) of investments | | | (778,200 | ) | | | 7,694,094 | | |
Net increase/(decrease) in net assets resulting from operations | | | 2,179,144 | | | | 13,194,264 | | |
Distributions to Shareholders From (Note A): | |
Net investment income: | |
Class I | | | — | | | | (38,913 | ) | |
Class S | | | — | | | | (126,646 | ) | |
Net realized gain on investments: | |
Class I | | | — | | | | (1,421,726 | ) | |
Class S | | | — | | | | (5,677,756 | ) | |
Total distributions to shareholders | | | — | | | | (7,265,041 | ) | |
From Fund Share Transactions (Note D): | |
Proceeds from shares sold: | |
Class I | | | 493,793 | | | | 1,178,962 | | |
Class S | | | 169,510 | | | | 327,069 | | |
Proceeds from reinvestment of dividends and distributions: | |
Class I | | | — | | | | 1,460,639 | | |
Class S | | | — | | | | 5,804,402 | | |
Payments for shares redeemed: | |
Class I | | | (1,264,421 | ) | | | (2,724,775 | ) | |
Class S | | | (4,550,621 | ) | | | (8,648,933 | ) | |
Net increase/(decrease) from Fund share transactions | | | (5,151,739 | ) | | | (2,602,636 | ) | |
Net Increase/(Decrease) in Net Assets | | | (2,972,595 | ) | | | 3,326,587 | | |
Net Assets: | |
Beginning of period | | | 60,934,514 | | | | 57,607,927 | | |
End of period | | $ | 57,961,919 | | | $ | 60,934,514 | | |
Undistributed net investment income/(loss) at end of period | | $ | 248,476 | | | $ | 164,417 | | |
See Notes to Financial Statements
10
Notes to Financial Statements Guardian Portfolio (Unaudited)
Note A—Summary of Significant Accounting Policies:
1 General: Neuberger Berman Advisers Management Trust (the "Trust") is a Delaware statutory trust organized pursuant to an Amended and Restated Trust Instrument dated March 27, 2014. The Trust is currently comprised of eight separate operating series (each individually a "Fund," and collectively the "Funds") each of which is diversified. The Trust is registered as an open-end management investment company under the Investment Company Act of 1940, as amended (the "1940 Act"), and its shares are registered under the Securities Act of 1933, as amended. Neuberger Berman Advisers Management Trust Guardian Portfolio (the "Fund") currently offers Class I and Class S shares. The Trust's Board of Trustees (the "Board") may establish additional series or classes of shares without the approval of shareholders.
The assets of each Fund belong only to that Fund, and the liabilities of each Fund are borne solely by that Fund and no other.
The Fund is an investment company and accordingly follows the investment company accounting and reporting guidance of the Financial Accounting Standards Board ("FASB") Accounting Standards Codification ("ASC") Topic 946 "Financial Services—Investment Companies."
The preparation of financial statements in accordance with U.S. generally accepted accounting principles ("GAAP") requires Neuberger Berman Investment Advisers LLC ("Management") to make estimates and assumptions at the date of the financial statements. Actual results could differ from those estimates.
Shares of the Fund are not available to the general public and may be purchased only by life insurance companies to serve as an investment vehicle for premiums paid under their variable annuity and variable life insurance contracts and to certain qualified pension and other retirement plans.
2 Portfolio valuation: In accordance with ASC 820 "Fair Value Measurement" ("ASC 820"), all investments held by the Fund are carried at the value that Management believes the Fund would receive upon selling an investment in an orderly transaction to an independent buyer in the principal or most advantageous market for the investment under current market conditions. Various inputs, including the volume and level of activity for the asset or liability in the market, are considered in valuing the Fund's investments, some of which are discussed below. Significant Management judgment may be necessary to value investments in accordance with ASC 820.
ASC 820 established a three-tier hierarchy of inputs to create a classification of value measurements for disclosure purposes. The three-tier hierarchy of inputs is summarized in the three broad Levels listed below.
• Level 1—quoted prices in active markets for identical investments
• Level 2—other observable inputs (including quoted prices for similar investments, interest rates, prepayment speeds, credit risk, amortized cost, etc.)
• Level 3—unobservable inputs (including the Fund's own assumptions in determining the fair value of investments)
The inputs or methodology used for valuing an investment are not necessarily an indication of the risk associated with investing in those securities.
The value of the Fund's investments in equity securities, preferred stocks and master limited partnerships, for which market quotations are readily available, is generally determined by Management by obtaining valuations from independent pricing services based on the latest sale price quoted on a principal exchange or market for that security (Level 1 inputs). Securities traded primarily on the NASDAQ Stock Market are normally valued at the NASDAQ Official Closing Price ("NOCP") provided by NASDAQ each business day. The NOCP is the most recently reported price as of 4:00:02 p.m., Eastern Time, unless that price is outside the range of the "inside" bid
11
and asked prices (i.e., the bid and asked prices that dealers quote to each other when trading for their own accounts); in that case, NASDAQ will adjust the price to equal the inside bid or asked price, whichever is closer. Because of delays in reporting trades, the NOCP may not be based on the price of the last trade to occur before the market closes. If there is no sale of a security on a particular day, the independent pricing services may value the security based on market quotations.
Management has developed a process to periodically review information provided by independent pricing services for all types of securities.
Investments in non-exchange traded investment companies are valued using the respective fund's daily calculated net asset value per share (Level 2 inputs).
If a valuation is not available from an independent pricing service, or if Management has reason to believe that the valuation received does not represent the amount the Fund might reasonably expect to receive on a current sale in an orderly transaction, Management seeks to obtain quotations from brokers or dealers (generally considered Level 2 or Level 3 inputs depending on the number of quotes available). If such quotations are not readily available, the security is valued using methods the Board has approved in the good-faith belief that the resulting valuation will reflect the fair value of the security. Numerous factors may be considered when determining the fair value of a security based on Level 2 or Level 3 inputs, including available analyst, media or other reports, securities within the same industry with recent highly correlated performance, trading in futures or American Depositary Receipts and whether the issuer of the security being fair valued has other securities outstanding.
Fair value prices are necessarily estimates, and there is no assurance that such a price will be at or close to the price at which the security is next quoted or next trades.
3 Foreign currency translations: The accounting records of the Fund are maintained in U.S. dollars. Foreign currency amounts are normally translated into U.S. dollars using the exchange rate as of 4:00 p.m. Eastern Time, on days the NYSE is open for business, to determine the value of investments, other assets and liabilities. Purchase and sale prices of securities, and income and expenses, are translated into U.S. dollars at the prevailing rate of exchange on the respective dates of such transactions. Net unrealized foreign currency gain/(loss), if any, arises from changes in the value of assets and liabilities, other than investments in securities, as a result of changes in exchange rates and is stated separately in the Statement of Operations.
4 Securities transactions and investment income: Securities transactions are recorded on trade date for financial reporting purposes. Dividend income is recorded on the ex-dividend date or, for certain foreign dividends, as soon as the Fund becomes aware of the dividends. Non-cash dividends included in dividend income, if any, are recorded at the fair market value of the securities received. Interest income, including accretion of original issue discount, where applicable, and accretion of discount on short-term investments, if any, is recorded on the accrual basis. Realized gains and losses from securities transactions and foreign currency transactions, if any, are recorded on the basis of identified cost and stated separately in the Statement of Operations. Included in net realized gain/(loss) on investments are proceeds from the settlements of class action litigation in which the Fund participated as a class member. The amount of such proceeds for the six months ended June 30, 2018 was $135.
5 Income tax information: The Fund is treated as a separate entity for U.S. federal income tax purposes. It is the policy of the Fund to continue to qualify for treatment as a regulated investment company ("RIC") by complying with the requirements of the U.S. Internal Revenue Code applicable to RICs and to distribute substantially all of its net investment income and net realized capital gains to its shareholders. To the extent the Fund distributes substantially all of its net investment income and net realized capital gains to shareholders, no federal income or excise tax provision is required.
The Fund has adopted the provisions of ASC 740 "Income Taxes" ("ASC 740"). ASC 740 sets forth a minimum threshold for financial statement recognition of a tax position taken, or expected to be taken, in a tax return. The Fund recognizes interest and penalties, if any, related to unrecognized tax positions as an income tax expense in the Statement of Operations. The Fund is subject to examination by U.S. federal and state tax authorities for returns
12
filed for the tax years for which the applicable statutes of limitations have not yet expired. As of June 30, 2018, the Fund did not have any unrecognized tax positions.
At June 30, 2018, the cost of long security positions and derivative instruments (if any) for U.S. federal income tax purposes was $44,330,514. Gross unrealized appreciation of long security positions was $14,849,197 and gross unrealized depreciation of long security positions was $1,308,644 resulting in net unrealized appreciation of $13,540,553 based on cost for U.S. federal income tax purposes.
Income distributions and capital gain distributions are determined in accordance with income tax regulations, which may differ from GAAP. These differences are primarily due to differing treatments of income and gains on various investment securities held by the Fund, timing differences and differing characterization of distributions made by the Fund. The Fund may also utilize earnings and profits distributed to shareholders on redemption of their shares as a part of the dividends-paid deduction for income tax purposes.
As determined on December 31, 2017, permanent differences resulting primarily from different book and tax accounting were reclassified at year end. Such differences are attributed to the tax treatment of foreign currency gains and losses, gains and losses from passive foreign investment companies, prior year return of capital adjustments and partnership basis adjustments and non-taxable adjustments. These reclassifications had no effect on net income, net asset value ("NAV") or NAV per share of the Fund. For the year ended December 31, 2017, the Fund recorded the following permanent reclassifications:
Paid-in Capital | | Undistributed Net Investment Income/(Loss) | | Accumulated Net Realized Gains/(Losses) on Investments | |
$ | — | | | $ | (109,228 | ) | | $ | 109,228 | | |
The tax character of distributions paid during the years ended December 31, 2017 and December 31, 2016 was as follows:
Distributions Paid From: | |
Ordinary Income | | Long-Term Capital Gain | | Total | |
2017 | | 2016 | | 2017 | | 2016 | | 2017 | | 2016 | |
$ | 374,398 | | | $ | 243,435 | | | $ | 6,890,643 | | | $ | 10,937,902 | | | $ | 7,265,041 | | | $ | 11,181,337 | | |
As of December 31, 2017, the components of distributable earnings (accumulated losses) on a U.S. federal income tax basis were as follows:
Undistributed Ordinary Income | | Undistributed Long-Term Capital Gain | | Unrealized Appreciation/ (Depreciation) | | Loss Carryforwards and Deferrals | | Other Temporary Differences | | Total | |
$ | 889,426 | | | $ | 4,606,932 | | | $ | 14,406,715 | | | $ | — | | | $ | — | | | $ | 19,903,073 | | |
The temporary differences between book basis and tax basis distributable earnings are primarily due to losses disallowed and recognized on wash sales, non-taxable adjustments and partnership basis adjustments.
6 Distributions to shareholders: The Fund may earn income, net of expenses, daily on its investments. Distributions from net investment income and net realized capital gains, if any, are generally distributed once a year (usually in October). Income distributions and capital gain distributions to shareholders are recorded on the ex-date.
It is the policy of the Fund to pass through to its shareholders substantially all real estate investment trust ("REIT") distributions and other income it receives, less operating expenses. The distributions the Fund receives from REITs are generally composed of income, capital gains, and/or return of REIT capital, but the REITs do not report this information to the Fund until the following calendar year. At June 30, 2018, the Fund estimated these amounts for the period January 1, 2018 to June 30, 2018 within the financial statements because the 2018 information is not
13
available from the REITs until after the Fund's fiscal year-end. All estimates are based upon REIT information sources available to the Fund together with actual IRS Forms 1099-DIV received to date. For the year ended December 31, 2017, the character of distributions, if any, paid to shareholders disclosed within the Statements of Changes in Net Assets is based on estimates made at that time. Based on past experience it is possible that a portion of the Fund's distributions during the current fiscal year, if any, will be considered tax return of capital, but the actual amount of the tax return of capital, if any, is not determinable until after the Fund's fiscal year-end. After calendar year-end, when the Fund learns the nature of the distributions paid by REITs during that year, distributions previously identified as income are often re-characterized as return of capital and/or capital gain. After all applicable REITs have informed the Fund of the actual breakdown of distributions paid to the Fund during its fiscal year, estimates previously recorded are adjusted on the books of the Fund to reflect actual results. As a result, the composition of the Fund's distributions as reported herein may differ from the final composition determined after calendar year-end and reported to Fund shareholders on IRS Form 1099-DIV.
7 Foreign taxes: Foreign taxes withheld, if any, represent amounts withheld by foreign tax authorities, net of refunds recoverable.
8 Expense allocation: Certain expenses are applicable to multiple funds within the complex of related investment companies. Expenses directly attributable to a fund are charged to that fund. Expenses of the Trust that are not directly attributable to a particular series of the Trust (e.g., the Fund) are allocated among the series of the Trust, on the basis of relative net assets, except where a more appropriate allocation of expenses to each of the series can otherwise be made fairly. Expenses borne by the complex of related investment companies, which includes open-end and closed-end investment companies for which Management serves as investment manager, that are not directly attributable to a particular investment company in the complex (e.g., the Trust) or series thereof are allocated among the investment companies in the complex or series thereof on the basis of relative net assets, except where a more appropriate allocation of expenses to each of the investment companies in the complex or series thereof can otherwise be made fairly. The Fund's expenses (other than those specific to each class) are allocated proportionally each day among the classes based upon the relative net assets of each class.
9 Investments in foreign securities: Investing in foreign securities may involve sovereign and other risks, in addition to the credit and market risks normally associated with domestic securities. These additional risks include the possibility of adverse political and economic developments (including political instability, nationalization, expropriation, or confiscatory taxation) and the potentially adverse effects of unavailability of public information regarding issuers, less governmental supervision and regulation of financial markets, reduced liquidity of certain financial markets, and the lack of uniform accounting, auditing, and financial reporting standards or the application of standards that are different or less stringent than those applied in the United States. Foreign securities also may experience greater price volatility, higher rates of inflation, and delays in settlement.
10 Investment company securities and exchange-traded funds: The Fund may invest in shares of other registered investment companies, including exchange-traded funds ("ETFs"), within the limitations prescribed by the 1940 Act or pursuant to an exemptive order from the Securities and Exchange Commission that permits the Fund to invest in both affiliated and unaffiliated investment companies, including ETFs, in excess of the limits in Section 12(d)(1)(A) of the 1940 Act, as amended, subject to the terms and conditions of such order. Some ETFs seek to track the performance of a particular market index. These indices include both broad-based market indices and more narrowly-based indices, including those relating to particular sectors, markets, regions or industries. However, some ETFs have an actively-managed investment objective. ETF shares are traded like traditional equity securities on a national securities exchange or NASDAQ. The Fund will indirectly bear its proportionate share of any management fees and other expenses paid by such other investment companies, which will increase expenses and decrease returns.
11 Derivative instruments—Options: Premiums paid by the Fund upon purchasing a call or put option are recorded in the asset section of the Fund's Statement of Assets and Liabilities and are subsequently adjusted to the current market value. When an option is exercised, closed, or expired, the Fund realizes a gain or loss and the asset is eliminated. For purchased call options, the Fund's loss is limited to the amount of the option premium paid.
14
Premiums received by the Fund upon writing a call option or a put option are recorded in the liability section of the Fund's Statement of Assets and Liabilities and are subsequently adjusted to the current market value. When an option is exercised, closed, or expired, the Fund realizes a gain or loss and the liability is eliminated.
When the Fund writes a call option on an underlying asset it does not own, its exposure on such an option is theoretically unlimited. When writing a covered call option, the Fund, in return for the premium, gives up the opportunity for profit from a price increase in the underlying security above the exercise price, but conversely retains the risk of loss should the price of the security decline. When writing a put option, the Fund, in return for the premium, takes the risk that it must purchase the underlying security at a price that may be higher than the current market price of the security. If a covered call or put option that the Fund has written expires unexercised, the Fund will realize a gain in the amount of the premium. All securities covering outstanding written options are held in escrow by the custodian bank.
During the six months ended June 30, 2018, the Fund did not use purchased or written option contracts.
12 Securities Lending: The Fund, using State Street Bank and Trust Company ("State Street") as its lending agent, may loan securities to qualified brokers and dealers in exchange for negotiated lender's fees. These fees, if any, would be disclosed within the Statement of Operations under the caption "Income from securities loaned-net" and are net of expenses retained by State Street as compensation for its services as lending agent. For the six months ended June 30, 2018, the Fund received income under the securities lending arrangement of $1,409.
The initial cash collateral received by the Fund at the beginning of each transaction shall have a value equal to at least 102% of the prior day's market value of the loaned securities (105% in the case of international securities). The Fund may only receive collateral in the form of cash (U.S. dollars). Cash collateral is generally invested in a money market fund registered under the 1940 Act that is managed by an affiliate of State Street. The risks associated with lending portfolio securities include, but are not limited to, possible delays in receiving additional collateral or in the recovery of the loaned securities.
As of June 30, 2018, the Fund did not have any outstanding loans of securities.
13 Indemnifications: Like many other companies, the Trust's organizational documents provide that its officers and trustees are indemnified against certain liabilities arising out of the performance of their duties to the Trust. In addition, both in some of its principal service contracts and in the normal course of its business, the Trust enters into contracts that provide indemnifications to other parties for certain types of losses or liabilities. The Trust's maximum exposure under these arrangements is unknown as this could involve future claims against the Trust.
14 Other: All net investment income and realized and unrealized capital gains and losses of the Fund are allocated, on the basis of relative net assets, pro rata among its respective classes.
Note B—Investment Management Fees, Administration Fees, Distribution Arrangements, and Other Transactions with Affiliates:
The Fund retains Management as its investment manager under a Management Agreement. For such investment management services, the Fund pays Management a fee at the annual rate of 0.55% of the first $250 million of the Fund's average daily net assets, 0.525% of the next $250 million, 0.50% of the next $250 million, 0.475% of the next $250 million, 0.45% of the next $500 million, 0.425% of the next $2.5 billion, and 0.40% of average daily net assets in excess of $4 billion. Accordingly, for the six months ended June 30, 2018, the investment management fee pursuant to the Management Agreement was equivalent to an annual effective rate of 0.55% of the Fund's average daily net assets.
The Fund retains Management as its administrator under an Administration Agreement. Each class pays Management an administration fee at the annual rate of 0.30% of its average daily net assets under this agreement. Additionally, Management retains State Street as its sub-administrator under a Sub-Administration Agreement. Management pays State Street a fee for all services received under the Sub-Administration Agreement.
15
Management has contractually agreed to waive fees and/or reimburse the Fund's Class I and Class S shares so that the total annual operating expenses of those classes do not exceed the expense limitations as detailed in the following table. These undertakings include fees payable to Management for the Fund's Class S shares but exclude such fees payable for the Fund's Class I shares and exclude, for each class, interest, taxes, transaction costs, brokerage commissions, acquired fund fees and expenses, extraordinary expenses, and dividend and interest expenses relating to short sales, if any (commitment fees relating to borrowings are treated as interest for purposes of this exclusion) ("annual operating expenses"); consequently, net expenses may exceed the contractual expense limitations. The Fund has agreed that each of its classes will repay Management for fees and expenses waived or reimbursed for that class provided that repayment does not cause that class's annual operating expenses to exceed its contractual expense limitation in place at the time the fees and expenses were waived or reimbursed, or the expense limitation in place at the time the Fund repays Management, whichever is lower. Any such repayment must be made within three years after the year in which Management incurred the expense.
During the six months ended June 30, 2018, there was no repayment to Management under its contractual expense limitation.
At June 30, 2018, the Fund's contingent liabilities to Management under its contractual expense limitation were as follows:
| | | | | | Expenses Reimbursed in Year Ended December 31, | |
| | | | | | 2015 | | 2016 | | 2017 | | 2018 | |
| | | | | | Subject to Repayment until December 31, | |
Class | | Contractual Expense Limitation(a) | | Expiration | | 2018 | | 2019 | | 2020 | | 2021 | |
Class I | | | 1.00 | % | | 12/31/21 | | $ | — | | | $ | — | | | $ | — | | | $ | — | | |
Class S | | | 1.25 | % | | 12/31/21 | | | 84,149 | | | | 99,487 | | | | 90,748 | | | | 41,673 | | |
(a) Expense limitation per annum of the respective class's average daily net assets.
Neuberger Berman BD LLC (the "Distributor") is the Fund's "principal underwriter" within the meaning of the 1940 Act. It acts as agent in arranging for the sale of the Fund's Class I shares without sales commission or other compensation and bears all advertising and promotion expenses incurred in the sale of those shares. The Board adopted a non-fee distribution plan for the Fund's Class I.
The Board has adopted a distribution and shareholder services plan (the "Plan") for Class S shares pursuant to Rule 12b-1 under the 1940 Act. The Plan provides that, as compensation for administrative and other services related to the sale and distribution of Class S, and ongoing services provided to investors in the class, the Distributor receives from Class S a fee at the annual rate of 0.25% of Class S's average daily net assets. The Distributor may pay a portion of the proceeds from the 12b-1 fee to institutions that provide such services, including insurance companies or their affiliates and qualified plan administrators ("intermediaries") for services they provide respecting the Fund to current and prospective variable contract owners and qualified plan participants that invest in the Fund through the intermediaries. Those institutions may use the payments for, among other purposes, compensating employees engaged in sales and/or shareholder servicing. The amount of fees paid by the class during any year may be more or less than the cost of distribution and other services provided to the class. FINRA rules limit the amount of annual distribution fees that may be paid by a mutual fund and impose a ceiling on the cumulative distribution fees paid. The Plan complies with those rules.
16
Note C—Securities Transactions:
During the six months ended June 30, 2018, there were purchase and sale transactions of long-term securities of $8,854,806 and $13,725,907, respectively.
During the six months ended June 30, 2018, no brokerage commissions on securities transactions were paid to affiliated brokers.
Note D—Fund Share Transactions:
Share activity for the six months ended June 30, 2018 and for the year ended December 31, 2017 was as follows:
For the Six Months Ended June 30, 2018
| | Shares Sold | | Shares Issued on Reinvestment of Dividends and Distributions | | Shares Redeemed | | Total | |
Class I | | | 29,829 | | | | — | | | | (76,934 | ) | | | (47,105 | ) | |
Class S | | | 10,362 | | | | — | | | | (278,582 | ) | | | (268,220 | ) | |
For the Year Ended December 31, 2017
| | Shares Sold | | Shares Issued on Reinvestment of Dividends and Distributions | | Shares Redeemed | | Total | |
Class I | | | 75,433 | | | | 95,842 | | | | (170,339 | ) | | | 936 | | |
Class S | | | 20,622 | | | | 385,419 | | | | (545,313 | ) | | | (139,272 | ) | |
Note E—Line of Credit:
At June 30, 2018, the Fund was a participant in a syndicated committed, unsecured $700,000,000 line of credit (the "Credit Facility"), to be used only for temporary or emergency purposes. Series of other investment companies managed by Management also participate in this line of credit on substantially the same terms. Interest is charged on borrowings under this Credit Facility at the highest of (a) a federal funds effective rate plus 1.00% per annum, (b) a Eurodollar rate for a one-month period plus 1.00% per annum, and (c) an overnight bank funding rate plus 1.00% per annum. The Credit Facility has an annual commitment fee of 0.15% per annum of the available line of credit, which is paid quarterly. The Fund has agreed to pay its pro rata share of the annual commitment fee, based on the ratio of its individual net assets to the net assets of all participants at the time the fee is due and payable, and interest charged on any borrowing made by the Fund and other costs incurred by the Fund. Because several mutual funds participate in the Credit Facility, there is no assurance that the Fund will have access to all or any part of the $700,000,000 at any particular time. There were no loans outstanding under the Credit Facility at June 30, 2018. During the period ended June 30, 2018, the Fund did not utilize the Credit Facility.
Note F—Custodian Out-of-Pocket Expenses Refunded:
In May 2016, the Fund's custodian, State Street, announced that it had identified inconsistencies in the way in which the Fund was invoiced for categories of expenses, particularly those deemed "out-of-pocket" costs, from 1998 through November 2015. The amounts in the table below represent the refunded expenses and interest
17
determined to be payable to the Fund for the period in question. These amounts were refunded to the Fund by State Street during the year ended December 31, 2017.
Expenses Refunded | | Interest Paid to the Fund | |
$ | 45,887 | | | $ | 6,488 | | |
Note G—Unaudited Financial Information:
The financial information included in this interim report is taken from the records of the Fund without audit by an independent registered public accounting firm. Annual reports contain audited financial statements.
18
Guardian Portfolio
The following tables include selected data for a share outstanding throughout each period and other performance information derived from the Financial Statements. Amounts that do not round to $0.01 or $(0.01) per share are presented as $0.00 or $(0.00), respectively. Ratios that do not round to 0.01% or (0.01)% are presented as 0.00% or (0.00)%, respectively. A "—" indicates that the line item was not applicable in the corresponding period.
Class I | |
| | Six Months Ended June 30, | | Year Ended December 31, | |
| | 2018 | | 2017 | | 2016 | | 2015 | | 2014 | | 2013 | |
| | (Unaudited) | | | | | | | | | | | |
Net Asset Value, Beginning of Period | | $ | 16.15 | | | $ | 14.66 | | | $ | 16.70 | | | $ | 24.09 | | | $ | 26.69 | | | $ | 20.40 | | |
Income From Investment Operations: | |
Net Investment Income/(Loss)@ | | | 0.03 | | | | 0.13 | | | | 0.06 | | | | 0.09 | | | | 0.16 | | | | 0.09 | | |
Net Gains or Losses on Securities (both realized and unrealized) | | | 0.57 | | | | 3.47 | | | | 1.28 | | | | (1.28 | ) | | | 1.79 | | | | 7.70 | | |
Total From Investment Operations | | | 0.60 | | | | 3.60 | | | | 1.34 | | | | (1.19 | ) | | | 1.95 | | | | 7.79 | | |
Less Distributions From: | |
Net Investment Income | | | — | | | | (0.06 | ) | | | (0.10 | ) | | | (0.17 | ) | | | (0.13 | ) | | | (0.20 | ) | |
Net Realized Capital Gains | | | — | | | | (2.05 | ) | | | (3.28 | ) | | | (6.03 | ) | | | (4.42 | ) | | | (1.30 | ) | |
Total Distributions | | | — | | | | (2.11 | ) | | | (3.38 | ) | | | (6.20 | ) | | | (4.55 | ) | | | (1.50 | ) | |
Voluntary Contribution from Management | | | — | | | | — | | | | — | | | | — | | | | 0.00 | | | | — | | |
Net Asset Value, End of Period | | $ | 16.75 | | | $ | 16.15 | | | $ | 14.66 | | | $ | 16.70 | | | $ | 24.09 | | | $ | 26.69 | | |
Total Return† | | | 3.72 | %^* | | | 25.41 | %^‡ | | | 8.73 | %^ | | | (4.97 | )%^ | | | 9.03 | %^µ | | | 38.81 | % | |
Ratios/Supplemental Data | |
Net Assets, End of Period (in millions) | | $ | 12.3 | | | $ | 12.6 | | | $ | 11.4 | | | $ | 11.8 | | | $ | 14.0 | | | $ | 15.3 | | |
Ratio of Gross Expenses to Average Net Assets# | | | 1.19 | %** | | | 1.20 | % | | | 1.21 | % | | | 1.15 | % | | | 1.08 | % | | | 1.11 | % | |
Ratio of Net Expenses to Average Net Assets | | | 1.19 | %** | | | 0.82 | %ß | | | 1.21 | % | | | 1.15 | % | | | 1.08 | % | | | 1.11 | % | |
Ratio of Net Investment Income/(Loss) to Average Net Assets | | | 0.34 | %** | | | 0.81 | %ß | | | 0.36 | % | | | 0.42 | % | | | 0.60 | % | | | 0.38 | % | |
Portfolio Turnover Rate | | | 15 | %* | | | 34 | % | | | 72 | % | | | 51 | % | | | 37 | % | | | 31 | % | |
See Notes to Financial Highlights
19
Financial Highlights (cont'd)
Class S | |
| | Six Months Ended June 30, | | Year Ended December 31, | |
| | 2018 | | 2017 | | 2016 | | 2015 | | 2014 | | 2013 | |
| | (Unaudited) | | | | | | | | | | | |
Net Asset Value, Beginning of Period | | $ | 15.95 | | | $ | 14.57 | | | $ | 16.59 | | | $ | 23.94 | | | $ | 26.53 | | | $ | 20.29 | | |
Income From Investment Operations: | |
Net Investment Income/(Loss)@ | | | 0.02 | | | | 0.05 | | | | 0.05 | | | | 0.07 | | | | 0.12 | | | | 0.06 | | |
Net Gains or Losses on Securities (both realized and unrealized) | | | 0.57 | | | | 3.43 | | | | 1.28 | | | | (1.28 | ) | | | 1.78 | | | | 7.65 | | |
Total From Investment Operations | | | 0.59 | | | | 3.48 | | | | 1.33 | | | | (1.21 | ) | | | 1.90 | | | | 7.71 | | |
Less Distributions From: | |
Net Investment Income | | | — | | | | (0.05 | ) | | | (0.07 | ) | | | (0.11 | ) | | | (0.07 | ) | | | (0.17 | ) | |
Net Realized Capital Gains | | | — | | | | (2.05 | ) | | | (3.28 | ) | | | (6.03 | ) | | | (4.42 | ) | | | (1.30 | ) | |
Total Distributions | | | — | | | | (2.10 | ) | | | (3.35 | ) | | | (6.14 | ) | | | (4.49 | ) | | | (1.47 | ) | |
Voluntary Contribution from Management | | | — | | | | — | | | | — | | | | — | | | | 0.00 | | | | — | | |
Net Asset Value, End of Period | | $ | 16.54 | | | $ | 15.95 | | | $ | 14.57 | | | $ | 16.59 | | | $ | 23.94 | | | $ | 26.53 | | |
Total Return† | | | 3.70 | %^* | | | 24.73 | %^‡ | | | 8.75 | %^ | | | (5.12 | )%^ | | | 8.89 | %^µ | | | 38.60 | % | |
Ratios/Supplemental Data | |
Net Assets, End of Period (in millions) | | $ | 45.7 | | | $ | 48.4 | | | $ | 46.2 | | | $ | 51.3 | | | $ | 67.8 | | | $ | 79.9 | | |
Ratio of Gross Expenses to Average Net Assets# | | | 1.44 | %** | | | 1.45 | % | | | 1.46 | % | | | 1.39 | % | | | 1.33 | % | | | 1.36 | % | |
Ratio of Net Expenses to Average Net Assets | | | 1.26 | %** | | | 1.25 | %ß | | | 1.25 | % | | | 1.25 | % | | | 1.25 | % | | | 1.25 | % | |
Ratio of Net Investment Income/(Loss) to Average Net Assets | | | 0.27 | %** | | | 0.32 | %ß | | | 0.31 | % | | | 0.33 | % | | | 0.44 | % | | | 0.26 | % | |
Portfolio Turnover Rate | | | 15 | %* | | | 34 | % | | | 72 | % | | | 51 | % | | | 37 | % | | | 31 | % | |
See Notes to Financial Highlights
20
Notes to Financial Highlights Guardian Portfolio (Unaudited)
@ Calculated based on the average number of shares outstanding during each fiscal period.
^ The class action proceeds listed in Note A of the Notes to Financial Statements had no impact on the Fund's total return for the six months ended June 30, 2018. The class action proceeds received in 2017 had no impact on the Fund's total return for the year ended December 31, 2017. The class action proceeds received in 2016 had no impact on the Fund's total return for the year ended December 31, 2016. Had the Fund not received class action proceeds in 2015, total return based on per share NAV for the year ended December 31, 2015 would have been (5.02)% and (5.17)% for Class I and Class S, respectively. Had the Fund not received class action proceeds in 2014, total return based on per share NAV for the year ended December 31, 2014 would have been 8.98% and 8.84% for Class I and Class S, respectively.
µ The voluntary contribution received in 2014 had no impact on the Fund's total return for the year ended December 31, 2014.
† Total return based on per share NAV reflects the effects of changes in NAV on the performance of the Fund during each fiscal period. Returns assume income dividends and other distributions, if any, were reinvested. Results represent past performance and do not indicate future results. Current returns may be lower or higher than the performance data quoted. Investment returns and principal will fluctuate and shares, when redeemed, may be worth more or less than original cost. Total return would have been lower if Management had not reimbursed and/or waived certain expenses. The total return information shown does not reflect charges and other expenses that apply to the separate accounts or the related insurance policies or other qualified pension or retirement plans, and the inclusion of these charges and other expenses would reduce the total return for all fiscal periods shown.
* Not annualized.
‡ The Custodian Out-of-Pocket Expenses Refunded, as listed in Note F of the Notes to Financial Statements had no impact on Class S's total return for the year ended December 31, 2017. Had the Fund not received the Custodian Out-of-Pocket Expenses Refunded listed in Note F of the Notes to Financial Statements, the total return based on per share NAV for the year ended December 31, 2017 for Class I would have been 24.87%.
** Annualized.
# Represents the annualized ratios of net expenses to average daily net assets if Management had not reimbursed certain expenses and/or waived a portion of the investment management fee. Management did not reimburse or waive fees during the fiscal periods shown for Class I.
ß Custodian Out-of-Pocket Expenses Refunded, as listed in Note F of the Notes to Financial Statements, is non-recurring, and is included in these ratios. Had the Fund not received the refund, the annualized ratios of net expenses to average net assets and net investment income/(loss) to average net assets would have been:
| | Ratio of Net Expenses to Average Net Assets Year Ended December 31, 2017 | | Ratio of Net Investment Income/(Loss) to Average Net Assets Year Ended December 31, 2017 | |
Class I | | | 1.20 | % | | | 0.38 | % | |
Class S | | | 1.26 | % | | | 0.32 | % | |
21
Proxy Voting Policies and Procedures
A description of the policies and procedures that the Trust uses to determine how to vote proxies relating to portfolio securities is available, without charge, by calling 800-877-9700 (toll-free) and on the Securities and Exchange Commission's website at www.sec.gov. Information regarding how the Trust voted proxies relating to portfolio securities during the most recent 12-month period ended June 30 is also available upon request, without charge, by calling 800-877-9700 (toll-free), on the Securities and Exchange Commission's website at www.sec.gov, and on Management's website at www.nb.com.
Quarterly Portfolio Schedule
The Trust files a complete schedule of portfolio holdings for the Fund with the Securities and Exchange Commission for the first and third quarters of each fiscal year on Form N-Q. The Trust's Forms N-Q are available on the Securities and Exchange Commission's website at www.sec.gov and may be reviewed and copied at the Securities and Exchange Commission's Public Reference Room in Washington, DC. Information on the operation of the Public Reference Room may be obtained by calling 800-SEC-0330. The information on Form N-Q is available upon request, without charge, by calling 800-877-9700 (toll free).
22
![](https://capedge.com/proxy/N-CSRS/0000898432-18-000944/j18154463_aa001.jpg)
Neuberger Berman
Advisers Management Trust
International Equity Portfolio
I Class Shares
S Class Shares
Semi-Annual Report
June 30, 2018
International Equity Portfolio Commentary
The Neuberger Berman Advisers Management Trust International Equity Portfolio Class S posted a total return of –2.13% for the six months ended June 30, 2018, outperforming its benchmark, the MSCI EAFE® Index (Net) (the Index), which posted a –2.75% total return for the same period. (Performance for all share classes is provided in the table immediately following this letter.)
Market volatility, driven by global and local factors, maintained pressure on developed international equities during the first half of 2018. Even as the U.S. economy remained stable, uncertainty created by erratic economic policy was the key reason for losses, with investors worried about immediate and longer-term global economic impacts of a trade war with China. European politics added to concerns as the period was ending, with Italian elections elevating tensions between the region's third-largest economy and the rest of the Eurozone.
Within the Index, the Energy sector significantly outperformed, rising with the price of oil. Defensive areas such as Utilities and Health Care also performed well given market uncertainty. By country, Finland, Israel, and Norway led the Index.
Weak sectors this period included Telecommunication Services and Financials, both posting significant losses, followed by Industrials, which also declined. By country, Austria, Denmark, and Germany underperformed.
Stock selection was the key to the Fund's outperformance versus the Index for the period, with sector allocation a secondary positive. Financials and Telecommunication Services provided most of our relative advantage, with the Fund in both cases benefiting from individual stock performance and an underweight to each sector relative to the Index. Stock selection within Real Estate was also beneficial. By country, holdings based in Germany, Switzerland, and the Netherlands contributed most.
Top individual contributors included Kose Corp., a Japanese cosmetics firm, which saw strong sales growth both domestically and overseas. Netherlands-based ASML Holding, a semiconductor equipment manufacturer, also outperformed, driven by very strong earnings relative to expectations; and HKBN, a Hong Kong telecom player, saw strong revenue growth as its customer base and average revenue per user expanded.
Stock selection within Consumer Discretionary was the largest detriment relative to the benchmark, weighed down mainly by our exposure to the Auto Components and Textiles, Apparel & Luxury Goods industries, which were hit by trade concerns. Energy holdings and a zero weighting to Utilities had minor negative effects. By country, holdings from France, the UK, and Israel underperformed.
Detractors during the first half of the period included Israel's Tower Semiconductor, which revised guidance downward on weaker demand, particularly for smartphones. Greencore Group, an Irish private-label convenience store foods manufacturer, also detracted, after announcing a profit warning and a restructuring of its U.S. business. It bounced back somewhat toward the end of the period but was still a detriment to performance. Valeo, a French auto parts supplier, was caught up in the sector sell-off due to rising global trade tensions.
While a trade dispute between the U.S. and China is unhelpful for market sentiment in the near term, we anticipate cooler heads to prevail and a major trade-driven global slowdown to be avoided. Still, the economic effects are uncertain until negotiations are concluded.
Our positioning generally remains focused on what we see as the most innovative businesses in the healthier countries. We believe this helps insulate the Fund from political uncertainty and it also helped reduce volatility and drive relative performance this period. We avoid firms exposed to markets characterized by low economic growth, significant debt and limited appetite for reform.
We did not make any significant changes to the Fund this period, but anticipate continued volatility will afford us opportunities to add or trim positions in high-conviction holdings. Our focus remains on quality businesses that we believe will benefit from secular growth, niche business models and/or defensive end-markets, an approach that, historically, has provided strong returns while helping reduce volatility.
Sincerely,
BENJAMIN SEGAL
PORTFOLIO MANAGER
Information about principal risks of investing in the Fund is set forth in the prospectus and statement of additional information.
The portfolio composition, industries and holdings of the Fund are subject to change without notice.
The opinions expressed are those of the Fund's portfolio manager. The opinions are as of the date of this report and are subject to change without notice.
1
International Equity Portfolio
PERFORMANCE HIGHLIGHTS
| | Inception | | Six Month Period Ended | | Average Annual Total Return Ended 06/30/2018 | |
| | Date | | 06/30/2018 | | 1 Year | | 5 Years | | 10 Years | | Life of Fund | |
International Equity Portfolio Class S | | 04/29/2005 | | | –2.13 | % | | | 7.90 | % | | | 6.74 | % | | | 3.47 | % | | | 5.10 | % | |
International Equity Portfolio Class I2 | | 01/30/2018 | | | –1.98 | % | | | 8.07 | % | | | 6.78 | % | | | 3.49 | % | | | 5.11 | % | |
MSCI EAFE® Index (Net)1,3 | | | | | –2.75 | % | | | 6.84 | % | | | 6.44 | % | | | 2.84 | % | | | 5.13 | % | |
The performance data quoted represent past performance and do not indicate future results. Current performance may be lower or higher than the performance data quoted. For performance data current to the most recent month-end, please visit http://www.nb.com/amtportfolios/performance.
The results shown in the table reflect the reinvestment of income dividends and other distributions, if any. The results do not reflect the effect of taxes a shareholder would pay on Fund distributions or on the redemption of Fund shares. The results do not reflect fees and expenses of the variable annuity and variable life insurance policies or the qualified pension and retirement plans whose proceeds are invested in the Fund.
The investment return and principal value of an investment will fluctuate and shares, when redeemed, may be worth more or less than their original cost.
Returns would have been lower if Neuberger Berman Investment Advisers LLC ("Management") had not reimbursed certain expenses and/or waived a portion of the investment management fees during certain of the periods shown. Repayment by a class (of expenses previously reimbursed and/or fees previously waived by Management) will decrease the class's returns. Please see Note B in the Notes to Financial Statements for specific information regarding expense reimbursement and/or fee waiver arrangements.
As stated in the Fund's most recent prospectus, the estimated total annual operating expense ratio for fiscal year 2018 is 1.49% for Class I shares and the total annual operating expense ratio for fiscal year 2017 was 1.74% for Class S shares (before expense reimbursements and/or fee waivers, if any). The estimated expense ratio is 1.00% after expense reimbursements and/or fee waivers for Class I shares and 1.51% after expense reimbursements and/or fee waivers for Class S shares. The expense ratios for the semi-annual period ended June 30, 2018, can be found in the Financial Highlights section of this report.
2
1 The date used to calculate Life of Fund performance for the index is April 29, 2005, the Fund's commencement of operations.
2 Performance shown prior to January 30, 2018, for Class I shares is that of Class S shares, which has higher expenses and correspondingly lower returns than Class I shares.
3 The MSCI EAFE® Index (Net) (Europe, Australasia, Far East) is a free float-adjusted market capitalization-weighted index that is designed to measure the equity market performance of developed markets excluding the United States and Canada. The index consists of the following 21 developed market country indices: Australia, Austria, Belgium, Denmark, Finland, France, Germany, Hong Kong, Ireland, Israel, Italy, Japan, the Netherlands, New Zealand, Norway, Portugal, Singapore, Spain, Sweden, Switzerland, and the United Kingdom. Net total return indexes reinvest dividends after the deduction of withholding taxes, using (for international indexes) a tax rate applicable to non-resident institutional investors who do not benefit from double taxation treaties. Please note that the index described in this report does not take into account any fees, expenses or tax consequences of investing in the individual securities that it tracks (except the withholding taxes noted above), and that individuals cannot invest directly in any index. Data about the performance of an index are prepared or obtained by Neuberger Berman Investment Advisers LLC ("Management") and reflect the reinvestment of income dividends and other distributions, if any. The Fund may invest in securities not included in a described index and generally does not invest in all securities included in a described index.
The investments for the Fund are managed by the same portfolio manager(s) who manage(s) one or more other registered funds that have names, investment objectives and investment styles that are similar to those of the Fund. You should be aware that the Fund is likely to differ from those other mutual fund(s) in size, cash flow pattern and tax matters. Accordingly, the holdings and performance of the Fund can be expected to vary from those of the other mutual fund(s).
Shares of the separate Neuberger Berman Advisers Management Trust Portfolios, including the Fund, are not available to the general public. Shares of the Fund may be purchased only by life insurance companies to be held in their separate accounts, which fund variable annuity and variable life insurance policies, and by qualified pension and retirement plans.
Statistics and projections in this report are derived from sources deemed to be reliable but cannot be regarded as a representation of future results of the Fund. This report is prepared for the general information of shareholders and is not an offer of shares of the Fund. Shares are sold only through the currently effective prospectus, which must precede or accompany this report.
The "Neuberger Berman" name and logo and "Neuberger Berman Investment Advisers LLC" name are registered service marks of Neuberger Berman Group LLC. The individual Fund name in this piece is either a service mark or registered service mark of Neuberger Berman Investment Advisers LLC , an affiliate of Neuberger Berman BD LLC, distributor, member FINRA.
© 2018 Neuberger Berman BD LLC, distributor. All rights reserved.
3
Information About Your Fund's Expenses (Unaudited)
As a Fund shareholder, you incur two types of costs: (1) transaction costs such as fees and expenses that are, or may be, imposed under your variable contract or qualified pension plan; and (2) ongoing costs, including management fees, distribution and/or service (12b-1) fees (if applicable), and other Fund expenses. This example is intended to help you understand your ongoing costs (in U.S. dollars) of investing in the Fund and compare these costs with the ongoing costs of investing in other mutual funds.
This table is designed to provide information regarding costs related to your investments. The following examples are based on an investment of $1,000 made at the beginning of the six month period ended June 30, 2018 and held for the entire period. The table illustrates the Fund's costs in two ways:
Actual Expenses and Performance: | | The first section of the table provides information about actual account values and actual expenses in dollars, based on the Fund's actual performance during the period indicated. You may use the information in this line, together with the amount you invested, to estimate the expenses 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 first section of the table under the heading entitled "Expenses Paid During the Period" to estimate the expenses you paid over the period. | |
Hypothetical Example for Comparison Purposes: | | The second section of the table provides information about hypothetical account values and hypothetical expenses based on the Fund's actual expense ratio and an assumed rate of return at 5% per year before expenses. This return is not the Fund's actual return. The hypothetical account values and expenses may not be used to estimate the actual ending account balance or expenses you paid for the period. You may use this information to compare the ongoing costs of investing in this Fund versus other funds. To do so, compare the expenses shown in this 5% hypothetical example with the 5% hypothetical examples that appear in the shareholder reports of other funds. | |
Please note that the expenses in the table are meant to highlight your ongoing costs only and do not include any transaction costs, such as fees and expenses that are, or may be imposed under your variable contract or qualified pension plan. Therefore, the information under the heading "Hypothetical (5% annual return before expenses)" is useful in comparing ongoing costs only, and will not help you determine the relative total costs of owning different funds. In addition, if these transaction costs were included, your costs would have been higher.
Expense Example (Unaudited)
NEUBERGER BERMAN ADVISERS MANAGEMENT TRUST INTERNATIONAL EQUITY PORTFOLIO
Actual | | Beginning Account Value 1/1/18 | | Ending Account Value 6/30/18 | | Expenses Paid During the Period 1/1/18 – 6/30/18 | | Expense Ratio | |
Class I | | $ | 1,000.00 | | | $ | 980.20 | | | $ | 4.16 | (a) | | | 1.01 | % | |
Class S | | $ | 1,000.00 | | | $ | 978.70 | | | $ | 7.41 | (b) | | | 1.51 | % | |
Hypothetical (5% annual return before expenses) | |
Class I | | $ | 1,000.00 | | | $ | 1,019.79 | | | $ | 5.06 | (c) | | | 1.01 | % | |
Class S | | $ | 1,000.00 | | | $ | 1,017.31 | | | $ | 7.55 | (c) | | | 1.51 | % | |
(a) Expenses are equal to the annualized expense ratio for the class, multiplied by the average account value over the period, multiplied by 152/365 (to reflect the period shown of January 30, 2018 (Commencement of Operations) to June 30, 2018).
(b) For each class, expenses are equal to the annualized expense ratio for the class, multiplied by the average account value over the period, multiplied by 181/365 (to reflect the one-half year period shown).
(c) Hypothetical expenses are equal to the annualized expense ratios for each class, multiplied by the average account value over the period (assuming a 5% annual return), multiplied by 181/365 (to reflect the one-half year period shown).
4
Schedule of Investments International Equity Portfolio (Unaudited) June 30, 2018
NUMBER OF SHARES | | | | VALUE | |
Common Stocks 97.7% | | | |
Australia 1.5% | | | |
| 183,272 | | | Insurance Australia Group Ltd. | | $ | 1,156,928 | | |
Austria 1.1% | | | |
| 18,666 | | | BAWAG Group AG | | | 868,480 | (a) | |
Belgium 0.9% | | | |
| 9,859 | | | KBC Group NV | | | 757,172 | | |
Canada 4.0% | | | |
| 26,745 | | | Alimentation Couche-Tard, Inc. Class B | | | 1,161,835
| | |
| 13,147 | | | Kinaxis, Inc. | | | 885,034 | * | |
| 28,165 | | | Suncor Energy, Inc. | | | 1,146,181 | | |
| | | 3,193,050 | | |
China 2.9% | | | |
| 8,197 |
| | Alibaba Group Holding Ltd. ADR | | | 1,520,789
| * | |
| 3,139 | | | Baidu, Inc. ADR | | | 762,777 | * | |
| | | 2,283,566 | | |
Denmark 1.1% | | | |
| 25,450 | | | Danske Bank A/S | | | 792,866 | | |
| 3,535 | | | Sydbank A/S | | | 121,181 | | |
| | | 914,047 | | |
Finland 0.6% | | | |
| 13,945 | | | Huhtamaki OYJ | | | 514,244 | | |
France 6.6% | | | |
| 6,777 | | | Air Liquide SA | | | 849,465 | | |
| 5,053 | | | Arkema SA | | | 596,255 | | |
| 7,320 | | | Pernod-Ricard SA | | | 1,194,659 | | |
| 33,875 | | | SPIE SA | | | 685,669 | | |
| 18,893 | | | TOTAL SA | | | 1,147,291 | | |
| 13,725 | | | Valeo SA | | | 748,336 | | |
| | | 5,221,675 | | |
Germany 9.8% | | | |
| 11,720 | | | Brenntag AG | | | 651,182 | | |
| 3,270 | | | Continental AG | | | 744,179 | | |
| 23,154 | | | CTS Eventim AG & Co. KGaA | | | 1,136,809 | | |
| 4,783 | | | Deutsche Boerse AG | | | 635,919 | | |
| 12,660 | | | Gerresheimer AG | | | 1,024,244 | | |
| 8,320 |
| | Henkel AG & Co. KGaA, Preference Shares | | | 1,061,621
| | |
| 22,796 | | | Infineon Technologies AG | | | 579,048 | | |
| 9,167 | | | SAP SE ADR | | | 1,060,255 | | |
NUMBER OF SHARES | | | | VALUE | |
| 7,974 | | | Scout24 AG | | $ | 422,057 | (a) | |
| 4,315 | | | Stabilus SA | | | 387,630 | | |
| | | 7,702,944 | | |
Hong Kong 2.6% | | | |
| 652,400 | | | HKBN Ltd. | | | 1,004,511 | | |
| 182,300 | | | Techtronic Industries Co. Ltd. | | | 1,016,573 | | |
| | | 2,021,084 | | |
Ireland 2.0% | | | |
| 12,078 | | | CRH PLC | | | 423,663 | | |
| 193,400 | | | Greencore Group PLC | | | 473,535 | | |
| 6,341 | | | Kerry Group PLC Class A | | | 663,490 | | |
| | | 1,560,688 | | |
Israel 1.9% | | | |
| 9,712 | | | Check Point Software Technologies Ltd. | | | 948,668
| * | |
| 24,300 | | | Tower Semiconductor Ltd. | | | 534,843 | * | |
| | | 1,483,511 | | |
Italy 0.7% | | | |
| 39,498 | | | Brembo SpA | | | 532,700 | | |
Japan 16.1% | | | |
| 28,700 | | | Bridgestone Corp. | | | 1,123,218 | | |
| 12,300 | | | Daikin Industries Ltd. | | | 1,474,245 | | |
| 10,800 | | | Hoya Corp. | | | 614,453 | | |
| 210,900 | | | Ichigo, Inc. | | | 990,543 | | |
| 39,200 | | | Kansai Paint Co. Ltd. | | | 815,051 | | |
| 9,300 | | | Kao Corp. | | | 709,795 | | |
| 3,300 | | | Keyence Corp. | | | 1,864,680 | | |
| 5,200 | | | Kose Corp. | | | 1,121,113 | | |
| 24,000 | | | Nabtesco Corp. | | | 739,195 | | |
| 24,400 | | | Santen Pharmaceutical Co. Ltd. | | | 425,565 | | |
| 14,100 | | | Shionogi & Co. Ltd. | | | 724,772 | | |
| 2,900 | | | SMC Corp. | | | 1,064,237 | | |
| 2,300 | | | Tokyo Electron Ltd. | | | 395,123 | | |
| 10,400 | | | Toyota Motor Corp. | | | 673,513 | | |
| | | 12,735,503 | | |
Luxembourg 1.2% | | | |
| 17,059 | | | Befesa SA | | | 918,381 | *(a) | |
Mexico 0.7% | | | |
| 124,558 |
| | Infraestructura Energetica Nova SAB de CV | | | 558,246
| | |
Netherlands 7.0% | | | |
| 725 | | | Adyen NV | | | 399,410 | *(a) | |
| 23,000 | | | AerCap Holdings NV | | | 1,245,450 | * | |
See Notes to Financial Statements
5
Schedule of Investments International Equity Portfolio (Unaudited) (cont'd)
NUMBER OF SHARES | | | | VALUE | |
| 11,127 | | | ASML Holding NV | | $ | 2,201,864 | | |
| 10,806 | | | Heineken NV | | | 1,082,636 | | |
| 32,464 | | | Intertrust NV | | | 575,726 | (a) | |
| | | 5,505,086 | | |
Norway 1.1% | | | |
| 83,354 | | | Sbanken ASA | | | 876,080 | (a) | |
Portugal 0.8% | | | |
| 31,643 | | | Galp Energia SGPS SA | | | 601,965 | | |
Singapore 0.8% | | | |
| 31,200 | | | DBS Group Holdings Ltd. | | | 609,345 | | |
Switzerland 13.4% | | | |
| 1,091 | | | Bucher Industries AG | | | 363,923 | | |
| 9,321 | | | Cie Financiere Richemont SA | | | 787,946 | | |
| 10,611 | | | Ferguson PLC | | | 858,512 | | |
| 534 | | | Givaudan SA | | | 1,209,412 | | |
| 15,937 | | | Julius Baer Group Ltd. | | | 933,453 | * | |
| 7,820 | | | Novartis AG | | | 592,372 | | |
| 1,456 | | | Partners Group Holding AG | | | 1,064,402 | | |
| 3,511 | | | Roche Holding AG | | | 778,943 | | |
| 382 | | | SGS SA | | | 1,015,048 | | |
| 3,970 | | | Sonova Holding AG | | | 710,168 | | |
| 6,386 | | | Tecan Group AG | | | 1,549,780 | | |
| 49,140 | | | UBS Group AG | | | 753,334 | * | |
| | | 10,617,293 | | |
United Kingdom 17.5% | | | |
| 8,520 | | | Aon PLC | | | 1,168,688 | | |
| 148,880 | | | Biffa PLC | | | 489,043 | (a) | |
| 42,906 | | | Bunzl PLC | | | 1,295,810 | | |
| 81,615 | | | Clinigen Group PLC | | | 986,081 | | |
| 58,836 | | | Compass Group PLC | | | 1,254,126 | | |
| 7,500 | | | DCC PLC | | | 680,093 | | |
NUMBER OF SHARES | | | | VALUE | |
| 55,990 | | | Howden Joinery Group PLC | | $ | 394,837 | | |
| 36,668 | | | IMI PLC | | | 545,657 | | |
| 890,896 | | | Lloyds Banking Group PLC | | | 739,191 | | |
| 14,969 |
| | London Stock Exchange Group PLC | | | 881,218
| | |
| 48,009 | | | Prudential PLC | | | 1,094,429 | | |
| 60,295 | | | RELX PLC | | | 1,287,598 | | |
| 128,860 | | | RPS Group PLC | | | 434,511 | | |
| 23,500 | | | Spectris PLC | | | 807,422 | | |
| 75,383 | | | St. James's Place PLC | | | 1,137,386 | | |
| 10,543 | | | Unilever NV | | | 587,424 | | |
| | | 13,783,514 | | |
United States 3.4% | | | |
| 4,465 | | | Core Laboratories NV | | | 563,528 | | |
| 263,611 | | | Samsonite International SA | | | 939,116 | * | |
| 16,100 | | | Sensata Technologies Holding PLC | | | 766,038
| * | |
| 4,450 | | | TE Connectivity Ltd. | | | 400,767 | | |
| | | 2,669,449 | | |
| | | | Total Common Stocks (Cost $63,840,052) | | | 77,084,951 | | |
Short-Term Investments 2.0% | | | |
Investment Companies 2.0% | | | |
| 1,529,914 | | | State Street Institutional Treasury Money Market Fund Premier Class, 1.74%(b) (Cost $1,529,914) | | | 1,529,914 | | |
| | | | Total Investments 99.7% (Cost $65,369,966) | | | 78,614,865 | | |
| | | | Other Assets Less Liabilities 0.3% | | | 252,995 | | |
| | | | Net Assets 100.0% | | $ | 78,867,860 | | |
* Non-income producing security.
(a) Security exempt from registration pursuant to Regulation S under the Securities Act of 1933, as amended. Regulation S applies to securities offerings that are made outside of the United States and do not involve direct selling efforts in the United States and as such may have restrictions on resale. Total value of all such securities at June 30, 2018 amounted to $4,549,177, which represents 5.8% of net assets of the Fund.
(b) Represents 7-day effective yield as of June 30, 2018.
See Notes to Financial Statements
6
Schedule of Investments International Equity Portfolio (Unaudited) (cont'd)
POSITIONS BY INDUSTRY
Industry | | Investments at Value | | Percentage of Net Assets | |
Capital Markets | | $ | 5,405,712 | | | | 6.8 | % | |
Banks | | | 4,764,315 | | | | 6.0 | % | |
Trading Companies & Distributors | | | 4,445,791 | | | | 5.6 | % | |
Semiconductors & Semiconductor Equipment | | | 3,710,878 | | | | 4.7 | % | |
Life Sciences Tools & Services | | | 3,560,105 | | | | 4.5 | % | |
Chemicals | | | 3,470,183 | | | | 4.4 | % | |
Insurance | | | 3,420,045 | | | | 4.3 | % | |
Auto Components | | | 3,148,433 | | | | 4.0 | % | |
Machinery | | | 3,100,642 | | | | 3.9 | % | |
Electronic Equipment, Instruments & Components | | | 3,072,869 | | | | 3.9 | % | |
Oil, Gas & Consumable Fuels | | | 2,895,437 | | | | 3.7 | % | |
Software | | | 2,893,957 | | | | 3.7 | % | |
Professional Services | | | 2,878,372 | | | | 3.6 | % | |
Internet Software & Services | | | 2,705,623 | | | | 3.4 | % | |
Commercial Services & Supplies | | | 2,527,604 | | | | 3.2 | % | |
Pharmaceuticals | | | 2,521,652 | | | | 3.2 | % | |
Personal Products | | | 2,418,332 | | | | 3.1 | % | |
Beverages | | | 2,277,295 | | | | 2.9 | % | |
Textiles, Apparel & Luxury Goods | | | 1,727,062 | | | | 2.2 | % | |
Building Products | | | 1,474,245 | | | | 1.9 | % | |
Health Care Equipment & Supplies | | | 1,324,621 | | | | 1.7 | % | |
Hotels, Restaurants & Leisure | | | 1,254,126 | | | | 1.6 | % | |
Food & Staples Retailing | | | 1,161,835 | | | | 1.5 | % | |
Food Products | | | 1,137,025 | | | | 1.4 | % | |
Media | | | 1,136,809 | | | | 1.4 | % | |
Household Products | | | 1,061,621 | | | | 1.3 | % | |
Household Durables | | | 1,016,573 | | | | 1.3 | % | |
Diversified Telecommunication Services | | | 1,004,511 | | | | 1.3 | % | |
Real Estate Management & Development | | | 990,543 | | | | 1.3 | % | |
Electrical Equipment | | | 766,038 | | | | 1.0 | % | |
Industrial Conglomerates | | | 680,093 | | | | 0.9 | % | |
Automobiles | | | 673,513 | | | | 0.9 | % | |
Energy Equipment & Services | | | 563,528 | | | | 0.7 | % | |
Gas Utilities | | | 558,246 | | | | 0.7 | % | |
Containers & Packaging | | | 514,244 | | | | 0.7 | % | |
Construction Materials | | | 423,663 | | | | 0.5 | % | |
IT Services | | | 399,410 | | | | 0.5 | % | |
Short-Term Investments and Other Assets—Net | | | 1,782,909 | | | | 2.3 | % | |
| | $ | 78,867,860 | | | | 100.0 | % | |
See Notes to Financial Statements
7
Schedule of Investments International Equity Portfolio (Unaudited) (cont'd)
The following is a summary, categorized by Level (see Note A of Notes to Financial Statements), of inputs used to value the Fund's investments as of June 30, 2018:
Asset Valuation Inputs | | Level 1 | | Level 2 | | Level 3 | | Total | |
Investments: | |
Common Stocks | |
Austria | | $ | — | | | $ | 868,480 | | | $ | — | | | $ | 868,480 | | |
Belgium | | | — | | | | 757,172 | | | | — | | | | 757,172 | | |
Denmark | | | — | | | | 914,047 | | | | — | | | | 914,047 | | |
Finland | | | — | | | | 514,244 | | | | — | | | | 514,244 | | |
France | | | — | | | | 5,221,675 | | | | — | | | | 5,221,675 | | |
Germany | | | 1,060,255 | | | | 6,642,689 | | | | — | | | | 7,702,944 | | |
Ireland | | | 663,490 | | | | 897,198 | | | | — | | | | 1,560,688 | | |
Italy | | | — | | | | 532,700 | | | | — | | | | 532,700 | | |
Netherlands | | | 1,644,860 | | | | 3,860,226 | | | | — | | | | 5,505,086 | | |
Portugal | | | — | | | | 601,965 | | | | — | | | | 601,965 | | |
Switzerland | | | — | | | | 10,617,293 | | | | — | | | | 10,617,293 | | |
United Kingdom | | | 1,603,199 | | | | 12,180,315 | | | | — | | | | 13,783,514 | | |
Other Common Stocks(a) | | | 28,505,143 | | | | — | | | | — | | | | 28,505,143 | | |
Total Common Stocks | | | 33,476,947 | | | | 43,608,004 | | | | — | | | | 77,084,951 | | |
Short-Term Investments | | | — | | | | 1,529,914 | | | | — | | | | 1,529,914 | | |
Total Investments | | $ | 33,476,947 | | | $ | 45,137,918 | | | $ | — | | | $ | 78,614,865 | | |
(a) The Schedule of Investments provides a geographic categorization as well as a Positions by Industry summary.
As of the six months ended June 30, 2018, certain securities were transferred from one level (as of December 31, 2017) to another. Based on beginning of period market values as of January 1, 2018, $44,245,625 was transferred from Level 1 to Level 2. These securities were categorized as Level 2 as of June 30, 2018, due to the use of Interactive Data Pricing and Reference Data LLC adjusted prices, as stated in the description of the valuation methods of foreign equity securities in Note A of the Notes to Financial Statements.
See Notes to Financial Statements
8
Statement of Assets and Liabilities (Unaudited)
Neuberger Berman Advisers Management Trust
| | INTERNATIONAL EQUITY PORTFOLIO | |
| | June 30, 2018 | |
Assets | |
Investments in securities, at value* (Note A)—see Schedule of Investments: | |
Unaffiliated issuers(a) | | $ | 78,614,865 | | |
Foreign currency(b) | | | 16,095 | | |
Dividends and interest receivable | | | 353,638 | | |
Receivable for securities sold | | | 243,729 | | |
Receivable from Management—net (Note B) | | | 788 | | |
Receivable for Fund shares sold | | | 6,778 | | |
Receivable for securities lending income (Note A) | | | 951 | | |
Prepaid expenses and other assets | | | 2,240 | | |
Total Assets | | | 79,239,084 | | |
Liabilities | |
Payable to investment manager (Note B) | | | 56,032 | | |
Payable for securities purchased | | | 256,362 | | |
Payable for Fund shares redeemed | | | 13,111 | | |
Payable to trustees | | | 521 | | |
Accrued expenses and other payables | | | 45,198 | | |
Total Liabilities | | | 371,224 | | |
Net Assets | | $ | 78,867,860 | | |
Net Assets consist of: | |
Paid-in capital | | $ | 62,577,647 | | |
Undistributed net investment income/(loss) | | | 930,193 | | |
Accumulated net realized gains/(losses) on investments | | | 2,116,748 | | |
Net unrealized appreciation/(depreciation) in value of investments | | | 13,243,272 | | |
Net Assets | | $ | 78,867,860 | | |
Net Assets | |
Class I | | $ | 59,499,075 | | |
Class S | | | 19,368,785 | | |
Shares Outstanding ($.001 par value; unlimited shares authorized) | |
Class I | | | 4,453,045 | | |
Class S | | | 1,452,210 | | |
Net Asset Value, offering and redemption price per share | |
Class I | | $ | 13.36 | | |
Class S | | | 13.34 | | |
*Cost of Investments: | | | |
(a) Unaffiliated issuers | | $ | 65,369,966 | | |
(b) Total cost of foreign currency | | $ | 16,125 | | |
See Notes to Financial Statements
9
Statement of Operations (Unaudited)
Neuberger Berman Advisers Management Trust
| | INTERNATIONAL EQUITY PORTFOLIO | |
| | For the Six Months Ended June 30, 2018 | |
Investment Income: | |
Income (Note A): | |
Dividend income—unaffiliated issuers | | $ | 1,179,437 | | |
Interest income—unaffiliated issuers | | | 10,071 | | |
Income from securities loaned—net (Note A) | | | 1,411 | | |
Foreign taxes withheld (Note A) | | | (108,124 | ) | |
Total income | | $ | 1,082,795 | | |
Expenses: | |
Investment management fees (Note B) | | | 348,108 | | |
Administration fees (Note B): | |
Class I | | | 77,147 | | |
Class S | | | 45,715 | | |
Distribution fees (Note B): | |
Class S | | | 38,096 | | |
Audit fees | | | 23,088 | | |
Custodian and accounting fees | | | 42,468 | | |
Insurance expense | | | 1,373 | | |
Legal fees | | | 13,804 | | |
Shareholder reports | | | 10,189 | | |
Trustees' fees and expenses | | | 21,336 | | |
Interest expense (Note A) | | | 1,776 | | |
Miscellaneous | | | 6,967 | | |
Total expenses | | | 630,067 | | |
Expenses reimbursed by Management (Note B) | | | (141,245 | ) | |
Total net expenses | | | 488,822 | | |
Net investment income/(loss) | | $ | 593,973 | | |
Realized and Unrealized Gain/(Loss) on Investments (Note A): | |
Net realized gain/(loss) on: | |
Transactions in investment securities of unaffiliated issuers | | | 2,190,685 | | |
Settlement of foreign currency transactions | | | (22,381 | ) | |
Change in net unrealized appreciation/(depreciation) in value of: | |
Investment securities of unaffiliated issuers | | | (4,364,254 | ) | |
Foreign currency translations | | | (2,097 | ) | |
Net gain/(loss) on investments | | | (2,198,047 | ) | |
Net increase/(decrease) in net assets resulting from operations | | $ | (1,604,074 | ) | |
See Notes to Financial Statements
10
Statements of Changes in Net Assets
Neuberger Berman Advisers Management Trust
| | INTERNATIONAL EQUITY PORTFOLIO | |
| | Six Months Ended June 30, 2018 (Unaudited) | | Year Ended December 31, 2017 | |
Increase/(Decrease) in Net Assets: | |
From Operations (Note A): | |
Net investment income/(loss) | | $ | 593,973 | | | $ | 344,970 | | |
Net realized gain/(loss) on investments | | | 2,168,304 | | | | 859,069 | | |
Change in net unrealized appreciation/(depreciation) of investments | | | (4,366,351 | ) | | | 18,182,509 | | |
Net increase/(decrease) in net assets resulting from operations | | | (1,604,074 | ) | | | 19,386,548 | | |
Distributions to Shareholders From (Note A): | |
Net investment income: | |
Class S | | | — | | | | (534,863 | ) | |
Total distributions to shareholders | | | — | | | | (534,863 | ) | |
From Fund Share Transactions (Note D): | |
Proceeds from shares sold: | |
Class I | | | 66,567,911 | | | | — | | |
Class S | | | 794,134 | | | | 1,998,865 | | |
Proceeds from reinvestment of dividends and distributions: | |
Class I | | | — | | | | — | | |
Class S | | | — | | | | 534,863 | | |
Payments for shares redeemed: | |
Class I | | | (2,218,732 | ) | | | — | | |
Class S | | | (68,228,669 | ) | | | (12,673,316 | ) | |
Net increase/(decrease) from Fund share transactions | | | (3,085,356 | ) | | | (10,139,588 | ) | |
Net Increase/(Decrease) in Net Assets | | | (4,689,430 | ) | | | 8,712,097 | | |
Net Assets: | |
Beginning of period | | | 83,557,290 | | | | 74,845,193 | | |
End of period | | $ | 78,867,860 | | | $ | 83,557,290 | | |
Undistributed net investment income/(loss) at end of period | | $ | 930,193 | | | $ | 336,220 | | |
See Notes to Financial Statements
11
Notes to Financial Statements International Equity Portfolio
(Unaudited)
Note A—Summary of Significant Accounting Policies:
1 General: Neuberger Berman Advisers Management Trust (the "Trust") is a Delaware statutory trust organized pursuant to an Amended and Restated Trust Instrument dated March 27, 2014. The Trust is currently comprised of eight separate operating series (each individually a "Fund," and collectively the "Funds") each of which is diversified. The Trust is registered as an open-end management investment company under the Investment Company Act of 1940, as amended (the "1940 Act"), and its shares are registered under the Securities Act of 1933, as amended. Neuberger Berman Advisers Management Trust International Equity Portfolio (the "Fund") currently offers Class I and Class S shares. The Trust's Board of Trustees (the "Board") may establish additional series or classes of shares without the approval of shareholders.
The assets of each Fund belong only to that Fund, and the liabilities of each Fund are borne solely by that Fund and no other.
The Fund is an investment company and accordingly follows the investment company accounting and reporting guidance of the Financial Accounting Standards Board ("FASB") Accounting Standards Codification ("ASC") Topic 946 "Financial Services—Investment Companies."
The preparation of financial statements in accordance with U.S. generally accepted accounting principles ("GAAP") requires Neuberger Berman Investment Advisers LLC ("Management") to make estimates and assumptions at the date of the financial statements. Actual results could differ from those estimates.
Shares of the Fund are not available to the general public and may be purchased only by life insurance companies to serve as an investment vehicle for premiums paid under their variable annuity and variable life insurance contracts and to certain qualified pension and other retirement plans.
2 Portfolio valuation: In accordance with ASC 820 "Fair Value Measurement" ("ASC 820"), all investments held by the Fund are carried at the value that Management believes the Fund would receive upon selling an investment in an orderly transaction to an independent buyer in the principal or most advantageous market for the investment under current market conditions. Various inputs, including the volume and level of activity for the asset or liability in the market, are considered in valuing the Fund's investments, some of which are discussed below. Significant Management judgment may be necessary to value investments in accordance with ASC 820.
ASC 820 established a three-tier hierarchy of inputs to create a classification of value measurements for disclosure purposes. The three-tier hierarchy of inputs is summarized in the three broad Levels listed below.
• Level 1—quoted prices in active markets for identical investments
• Level 2—other observable inputs (including quoted prices for similar investments, interest rates, prepayment speeds, credit risk, amortized cost, etc.)
• Level 3—unobservable inputs (including the Fund's own assumptions in determining the fair value of investments)
The inputs or methodology used for valuing an investment are not necessarily an indication of the risk associated with investing in those securities.
The value of the Fund's investments in equity securities, for which market quotations are readily available, is generally determined by Management by obtaining valuations from independent pricing services based on the latest sale price quoted on a principal exchange or market for that security (Level 1 inputs). Securities traded primarily on the NASDAQ Stock Market are normally valued at the NASDAQ Official Closing Price ("NOCP") provided by NASDAQ each business day. The NOCP is the most recently reported price as of 4:00:02 p.m., Eastern
12
Time, unless that price is outside the range of the "inside" bid and asked prices (i.e., the bid and asked prices that dealers quote to each other when trading for their own accounts); in that case, NASDAQ will adjust the price to equal the inside bid or asked price, whichever is closer. Because of delays in reporting trades, the NOCP may not be based on the price of the last trade to occur before the market closes. If there is no sale of a security on a particular day, the independent pricing services may value the security based on market quotations.
Management has developed a process to periodically review information provided by independent pricing services for all types of securities.
Investments in non-exchange traded investment companies are valued using the respective fund's daily calculated net asset value per share (Level 2 inputs).
If a valuation is not available from an independent pricing service, or if Management has reason to believe that the valuation received does not represent the amount the Fund might reasonably expect to receive on a current sale in an orderly transaction, Management seeks to obtain quotations from brokers or dealers (generally considered Level 2 or Level 3 inputs depending on the number of quotes available). If such quotations are not readily available, the security is valued using methods the Board has approved in the good-faith belief that the resulting valuation will reflect the fair value of the security. Numerous factors may be considered when determining the fair value of a security based on Level 2 or Level 3 inputs, including available analyst, media or other reports, securities within the same industry with recent highly correlated performance, trading in futures or American Depositary Receipts and whether the issuer of the security being fair valued has other securities outstanding.
The value of the Fund's investments in foreign securities is generally determined using the same valuation methods and inputs as other Fund investments, as discussed above. Foreign security prices expressed in local currency values are normally translated from the local currency into U.S. dollars using the exchange rates as of 4:00 p.m., Eastern Time on days the New York Stock Exchange ("NYSE") is open for business. The Board has approved the use of Interactive Data Pricing and Reference Data LLC ("Interactive") to assist in determining the fair value of foreign equity securities when changes in the value of a certain index suggest that the closing prices on the foreign exchanges may no longer represent the amount that the Fund could expect to receive for those securities or on days when foreign markets are closed and U.S. markets are open. In each of these events, Interactive will provide adjusted prices for certain foreign equity securities using a statistical analysis of historical correlations of multiple factors (Level 2 inputs). In the absence of precise information about the market values of these foreign securities as of the time as of which the Fund's share price is calculated, the Board has determined on the basis of available data that prices adjusted in this way are likely to be closer to the prices the Fund could realize on a current sale than are the prices of those securities established at the close of the foreign markets in which the securities primarily trade.
Fair value prices are necessarily estimates, and there is no assurance that such a price will be at or close to the price at which the security is next quoted or next trades.
3 Foreign currency translations: The accounting records of the Fund are maintained in U.S. dollars. Foreign currency amounts are normally translated into U.S. dollars using the exchange rate as of 4:00 p.m. Eastern Time, on days the NYSE is open for business, to determine the value of investments, other assets and liabilities. Purchase and sale prices of securities, and income and expenses, are translated into U.S. dollars at the prevailing rate of exchange on the respective dates of such transactions. Net unrealized foreign currency gain/(loss), if any, arises from changes in the value of assets and liabilities, other than investments in securities, as a result of changes in exchange rates and is stated separately in the Statement of Operations.
4 Securities transactions and investment income: Securities transactions are recorded on trade date for financial reporting purposes. Dividend income is recorded on the ex-dividend date or, for certain foreign dividends, as soon as the Fund becomes aware of the dividends. Non-cash dividends included in dividend income, if any, are recorded at the fair market value of the securities received. Interest income, including accretion of original issue discount, where applicable, and accretion of discount on short-term investments, if any, is recorded on the accrual basis. Realized gains and losses from securities transactions and foreign currency transactions, if any, are recorded on the basis of identified cost and stated separately in the Statement of Operations.
13
5 Income tax information: The Fund is treated as a separate entity for U.S. federal income tax purposes. It is the policy of the Fund to continue to qualify for treatment as a regulated investment company ("RIC") by complying with the requirements of the U.S. Internal Revenue Code applicable to RICs and to distribute substantially all of its net investment income and net realized capital gains to its shareholders. To the extent the Fund distributes substantially all of its net investment income and net realized capital gains to shareholders, no federal income or excise tax provision is required.
The Fund has adopted the provisions of ASC 740 "Income Taxes" ("ASC 740"). ASC 740 sets forth a minimum threshold for financial statement recognition of a tax position taken, or expected to be taken, in a tax return. The Fund recognizes interest and penalties, if any, related to unrecognized tax positions as an income tax expense in the Statement of Operations. The Fund is subject to examination by U.S. federal and state tax authorities for returns filed for the tax years for which the applicable statutes of limitations have not yet expired. As of June 30, 2018, the Fund did not have any unrecognized tax positions.
At June 30, 2018, the cost of long security positions and derivative instruments (if any) for U.S. federal income tax purposes was $65,387,514. Gross unrealized appreciation of long security positions was $15,555,718 and gross unrealized depreciation of long security positions was $2,328,058 resulting in net unrealized appreciation of $13,227,660 based on cost for U.S. federal income tax purposes.
Income distributions and capital gain distributions are determined in accordance with income tax regulations, which may differ from GAAP. These differences are primarily due to differing treatments of income and gains on various investment securities held by the Fund, timing differences and differing characterization of distributions made by the Fund. The Fund may also utilize earnings and profits distributed to shareholders on redemption of their shares as a part of the dividends-paid deduction for income tax purposes.
As determined on December 31, 2017, permanent differences resulting primarily from different book and tax accounting were reclassified at year end. Such differences are attributed to the tax treatment of foreign currency gains and losses, gains and losses from passive foreign investment companies and expiration of capital loss carryforwards. These reclassifications had no effect on net income, net asset value ("NAV") or NAV per share of the Fund. For the year ended December 31, 2017, the Fund recorded the following permanent reclassifications:
Paid-in Capital | | Undistributed Net Investment Income/(Loss) | | Accumulated Net Realized Gains/(Losses) on Investments | |
$ | (62,999,399 | ) | | $ | (4,486 | ) | | $ | 63,003,885 | | |
The tax character of distributions paid during the years ended December 31, 2017 and December 31, 2016 was as follows:
Distributions Paid From: | |
Ordinary Income | | Long-Term Capital Gain | | Total | |
2017 | | 2016 | | 2017 | | 2016 | | 2017 | | 2016 | |
$ | 534,863 | | | $ | 464,454 | | | $ | — | | | $ | 392,444 | | | $ | 534,863 | | | $ | 856,898 | | |
As of December 31, 2017, the components of distributable earnings (accumulated losses) on a U.S. federal income tax basis were as follows:
Undistributed Ordinary Income | | Undistributed Long-Term Capital Gain | | Unrealized Appreciation/ (Depreciation) | | Loss Carryforwards and Deferrals | | Other Temporary Differences | | Total | |
$ | 335,911 | | | $ | — | | | $ | 17,558,376 | | | $ | — | | | $ | — | | | $ | 17,894,287 | | |
14
The temporary differences between book basis and tax basis distributable earnings are primarily due to: losses disallowed and recognized on wash sales and mark-to-market adjustments on forwards.
To the extent the Fund's net realized capital gains, if any, can be offset by capital loss carryforwards, it is the policy of the Fund not to distribute such gains. The Regulated Investment Company Modernization Act of 2010 (the "Act") made changes to the capital loss carryforward rules allowing for RICs to carry forward capital losses indefinitely and to retain the character of capital loss carryforwards as short-term or long-term ("Post-Enactment"). Rules in effect previously limited the carryforward period to eight years and all carryforwards were considered short-term in character ("Pre-Enactment"). As determined at December 31, 2017, the Fund had no unused capital loss carryforwards available for federal income tax purposes to offset net realized capital gains.
Post-Enactment capital loss carryforwards must be fully used before Pre-Enactment capital loss carryforwards; therefore, under certain circumstances, Pre-Enactment capital loss carryforwards available as of the report date may expire unused.
During the year ended December 31, 2017, the Fund utilized capital loss carryforwards of $740,840 and had capital loss carryforwards expire of $62,999,399.
6 Distributions to shareholders: The Fund may earn income, net of expenses, daily on its investments. Distributions from net investment income and net realized capital gains, if any, are generally distributed once a year (usually in October). Income distributions and capital gain distributions to shareholders are recorded on the ex-date.
7 Foreign taxes: Foreign taxes withheld, if any, represent amounts withheld by foreign tax authorities, net of refunds recoverable.
8 Expense allocation: Certain expenses are applicable to multiple funds within the complex of related investment companies. Expenses directly attributable to a fund are charged to that fund. Expenses of the Trust that are not directly attributable to a particular series of the Trust (e.g., the Fund) are allocated among the series of the Trust, on the basis of relative net assets, except where a more appropriate allocation of expenses to each of the series can otherwise be made fairly. Expenses borne by the complex of related investment companies, which includes open-end and closed-end investment companies for which Management serves as investment manager, that are not directly attributable to a particular investment company in the complex (e.g., the Trust) or series thereof are allocated among the investment companies in the complex or series thereof on the basis of relative net assets, except where a more appropriate allocation of expenses to each of the investment companies in the complex or series thereof can otherwise be made fairly. The Fund's expenses (other than those specific to each class) are allocated proportionally each day among the classes based upon the relative net assets of each class.
9 Investments in foreign securities: Investing in foreign securities may involve sovereign and other risks, in addition to the credit and market risks normally associated with domestic securities. These additional risks include the possibility of adverse political and economic developments (including political instability, nationalization, expropriation, or confiscatory taxation) and the potentially adverse effects of unavailability of public information regarding issuers, less governmental supervision and regulation of financial markets, reduced liquidity of certain financial markets, and the lack of uniform accounting, auditing, and financial reporting standards or the application of standards that are different or less stringent than those applied in the United States. Foreign securities also may experience greater price volatility, higher rates of inflation, and delays in settlement.
10 Investment company securities and exchange-traded funds: The Fund may invest in shares of other registered investment companies, including exchange-traded funds ("ETFs"), within the limitations prescribed by the 1940 Act or pursuant to an exemptive order from the Securities and Exchange Commission that permits the Fund to invest in both affiliated and unaffiliated investment companies, including ETFs, in excess of the limits in Section 12(d)(1)(A) of the 1940 Act, as amended, subject to the terms and conditions of such order. Some ETFs seek to track the performance of a particular market index. These indices include both broad-based market indices and more narrowly-based indices, including those relating to particular sectors, markets, regions or industries. However, some ETFs have an actively-managed investment objective. ETF shares are traded like traditional equity
15
securities on a national securities exchange or NASDAQ. The Fund will indirectly bear its proportionate share of any management fees and other expenses paid by such other investment companies, which will increase expenses and decrease returns.
11 Securities Lending: The Fund, using State Street Bank and Trust Company ("State Street") as its lending agent, may loan securities to qualified brokers and dealers in exchange for negotiated lender's fees. These fees, if any, would be disclosed within the Statement of Operations under the caption "Income from securities loaned-net" and are net of expenses retained by State Street as compensation for its services as lending agent. For the six months ended June 30, 2018, the Fund received income under the securities lending arrangement of $1,411.
The initial cash collateral received by the Fund at the beginning of each transaction shall have a value equal to at least 102% of the prior day's market value of the loaned securities (105% in the case of international securities). The Fund may only receive collateral in the form of cash (U.S. dollars). Cash collateral is generally invested in a money market fund registered under the 1940 Act that is managed by an affiliate of State Street. The risks associated with lending portfolio securities include, but are not limited to, possible delays in receiving additional collateral or in the recovery of the loaned securities.
As of June 30, 2018, the Fund did not have any outstanding loans of securities.
12 Indemnifications: Like many other companies, the Trust's organizational documents provide that its officers and trustees are indemnified against certain liabilities arising out of the performance of their duties to the Trust. In addition, both in some of its principal service contracts and in the normal course of its business, the Trust enters into contracts that provide indemnifications to other parties for certain types of losses or liabilities. The Trust's maximum exposure under these arrangements is unknown as this could involve future claims against the Trust.
Note B—Investment Management Fees, Administration Fees, Distribution Arrangements, and Other Transactions with Affiliates:
The Fund retains Management as its investment manager under a Management Agreement. For such investment management services, the Fund pays Management a fee at the annual rate of 0.85% of the first $250 million of the Fund's average daily net assets, 0.825% of the next $250 million, 0.80% of the next $250 million, 0.775% of the next $250 million, 0.75% of the next $500 million, 0.725% of the next $1 billion, and 0.70% of average daily net assets in excess of $2.5 billion. Accordingly, for the six months ended June 30, 2018, the investment management fee pursuant to the Management Agreement was equivalent to an annual effective rate of 0.85% of the Fund's average daily net assets.
The Fund retains Management as its administrator under an Administration Agreement. Each class pays Management an administration fee at the annual rate of 0.30% of its average daily net assets under this agreement. Additionally, Management retains State Street as its sub-administrator under a Sub-Administration Agreement. Management pays State Street a fee for all services received under the Sub-Administration Agreement.
Management has contractually agreed to waive fees and/or reimburse the Fund's Class I and Class S shares so that the total annual operating expenses of those classes do not exceed the expense limitations as detailed in the following table. These undertakings include fees payable to Management but exclude interest, taxes, transaction costs, brokerage commissions, acquired fund fees and expenses, extraordinary expenses, and dividend and interest expenses relating to short sales, if any (commitment fees relating to borrowings are treated as interest for purposes of this exclusion) ("annual operating expenses"); consequently, net expenses may exceed the contractual expense limitations. The Fund has agreed that each of its classes will repay Management for fees and expenses waived or reimbursed for that class provided that repayment does not cause that class's annual operating expenses to exceed its contractual expense limitation in place at the time the fees and expenses were waived or reimbursed, or the expense limitation in place at the time the Fund repays Management, whichever is lower. Any such repayment must be made within three years after the year in which Management incurred the expense.
16
During the six months ended June 30, 2018, there was no repayment to Management under its contractual expense limitation.
At June 30, 2018, the Fund's contingent liabilities to Management under its contractual expense limitation were as follows:
| | | | | | Expenses Reimbursed in Year Ended December 31, | |
| | | | | | 2015 | | 2016 | | 2017 | | 2018 | |
| | | | | | Subject to Repayment until December 31, | |
Class | | Contractual Expense Limitation(a) | | Expiration | | 2018 | | 2019 | | 2020 | | 2021 | |
Class I | | | 1.00 | % | | 12/31/21 | | $ | — | | | $ | — | | | $ | — | | | $ | 112,686 | (b) | |
Class S | | | 1.50 | % | | 12/31/21 | | | 177,317 | | | | 201,256 | | | | 198,263 | | | | 28,559 | | |
(a) Expense limitation per annum of the Fund's average daily net assets.
(b) Period from January 30, 2018 (Commencement of Operations) to June 30, 2018.
Neuberger Berman BD LLC (the "Distributor") is the Fund's "principal underwriter" within the meaning of the 1940 Act. It acts as agent in arranging for the sale of the Fund's Class I shares without sales commission or other compensation and bears all advertising and promotion expenses incurred in the sale of those shares. The Board adopted a non-fee distribution plan for the Fund's Class I.
The Board has adopted a distribution and shareholder services plan (the "Plan") for Class S shares pursuant to Rule 12b-1 under the 1940 Act. The Plan provides that, as compensation for administrative and other services related to the sale and distribution of Class S, and ongoing services provided to investors in the class, the Distributor receives from Class S a fee at the annual rate of 0.25% of Class S's average daily net assets. The Distributor may pay a portion of the proceeds from the 12b-1 fee to institutions that provide such services, including insurance companies or their affiliates and qualified plan administrators ("intermediaries") for services they provide respecting the Fund to current and prospective variable contract owners and qualified plan participants that invest in the Fund through the intermediaries. Those institutions may use the payments for, among other purposes, compensating employees engaged in sales and/or shareholder servicing. The amount of fees paid by the class during any year may be more or less than the cost of distribution and other services provided to the class. FINRA rules limit the amount of annual distribution fees that may be paid by a mutual fund and impose a ceiling on the cumulative distribution fees paid. The Plan complies with those rules.
Note C—Securities Transactions:
During the six months ended June 30, 2018, there were purchase and sale transactions of long-term securities of $11,856,946 and $17,657,843, respectively.
During the six months ended June 30, 2018, no brokerage commissions on securities transactions were paid to affiliated brokers.
17
Note D—Fund Share Transactions:
Share activity for the six months ended June 30, 2018 and for the year ended December 31, 2017 was as follows:
For the Six Months Ended June 30, 2018
| | Shares Sold | | Shares Issued on Reinvestment of Dividends and Distributions | | Shares Redeemed | | Total | |
Class I | | | 4,616,911 | | | | — | | | | (163,866 | ) | | | 4,453,045 | (a) | |
Class S | | | 58,324 | | | | — | | | | (4,737,547 | ) | | | (4,679,223 | ) | |
For the Year Ended December 31, 2017
| | Shares Sold | | Shares Issued on Reinvestment of Dividends and Distributions | | Shares Redeemed | | Total | |
Class S | | | 157,668 | | | | 40,035 | | | | (981,666 | ) | | | (783,963 | ) | |
(a) Period from January 30, 2018 (Commencement of Operations) to June 30, 2018.
Note E—Line of Credit:
At June 30, 2018, the Fund was a participant in a syndicated committed, unsecured $700,000,000 line of credit (the "Credit Facility"), to be used only for temporary or emergency purposes. Series of other investment companies managed by Management also participate in this line of credit on substantially the same terms. Interest is charged on borrowings under this Credit Facility at the highest of (a) a federal funds effective rate plus 1.00% per annum, (b) a Eurodollar rate for a one-month period plus 1.00% per annum, and (c) an overnight bank funding rate plus 1.00% per annum. The Credit Facility has an annual commitment fee of 0.15% per annum of the available line of credit, which is paid quarterly. The Fund has agreed to pay its pro rata share of the annual commitment fee, based on the ratio of its individual net assets to the net assets of all participants at the time the fee is due and payable, and interest charged on any borrowing made by the Fund and other costs incurred by the Fund. Because several mutual funds participate in the Credit Facility, there is no assurance that the Fund will have access to all or any part of the $700,000,000 at any particular time. There were no loans outstanding under the Credit Facility at June 30, 2018. During the period ended June 30, 2018, the Fund did not utilize the Credit Facility.
Note F—Unaudited Financial Information:
The financial information included in this interim report is taken from the records of the Fund without audit by an independent registered public accounting firm. Annual reports contain audited financial statements.
18
International Equity Portfolio
The following tables include selected data for a share outstanding throughout each period and other performance information derived from the Financial Statements. Amounts that do not round to $0.01 or $(0.01) per share are presented as $0.00 or $(0.00), respectively. Ratios that do not round to 0.01% or (0.01)% are presented as 0.00% or (0.00)%, respectively. A "—" indicates that the line item was not applicable in the corresponding period.
Class I | |
| | Period From January 30, 2018(a) to June 30, 2018 (Unaudited) | |
Net Asset Value, Beginning of Period | | $ | 14.42 | | |
Income From Investment Operations: | |
Net Investment Income/(Loss)@ | | | 0.12 | | |
Net Gains or Losses on Securities (both realized and unrealized) | | | (1.18 | ) | |
Total From Investment Operations | | | (1.06 | ) | |
Net Asset Value, End of Period | | $ | 13.36 | | |
Total Return† | | | (1.98 | )%* | |
Ratios/Supplemental Data | |
Net Assets, End of Period (in millions) | | $ | 59.5 | | |
Ratio of Gross Expenses to Average Net Assets# | | | 1.45 | %** | |
Ratio of Net Expenses to Average Net Assets | | | 1.01 | %** | |
Ratio of Net Investment Income/(Loss) to Average Net Assets | | | 2.09 | %** | |
Portfolio Turnover Rate | | | 15 | %^^* | |
See Notes to Financial Highlights
19
Financial Highlights (cont'd)
Class S | |
| | Six Months Ended June 30, | | Year Ended December 31, | |
| | 2018 | | 2017 | | 2016 | | 2015 | | 2014 | | 2013 | |
| | (Unaudited) | | | | | | | | | | | |
Net Asset Value, Beginning of Period | | $ | 13.63 | | | $ | 10.82 | | | $ | 11.15 | | | $ | 11.12 | | | $ | 11.54 | | | $ | 9.93 | | |
Income From Investment Operations: | |
Net Investment Income/(Loss)@ | | | 0.03 | | | | 0.05 | | | | 0.08 | | | | 0.07 | | | | 0.10 | | | | 0.09 | | |
Net Gains or Losses on Securities (both realized and unrealized) | | | (0.32 | ) | | | 2.84 | | | | (0.28 | ) | | | 0.10 | | | | (0.48 | ) | | | 1.67 | | |
Total From Investment Operations | | | (0.29 | ) | | | 2.89 | | | | (0.20 | ) | | | 0.17 | | | | (0.38 | ) | | | 1.76 | | |
Less Distributions From: | |
Net Investment Income | | | — | | | | (0.08 | ) | | | (0.07 | ) | | | (0.11 | ) | | | (0.04 | ) | | | (0.15 | ) | |
Net Realized Capital Gains | | | — | | | | — | | | | (0.06 | ) | | | (0.03 | ) | | | — | | | | — | | |
Total Distributions | | | — | | | | (0.08 | ) | | | (0.13 | ) | | | (0.14 | ) | | | (0.04 | ) | | | (0.15 | ) | |
Voluntary Contribution from Management | | | — | | | | — | | | | — | | | | — | | | | 0.00 | | | | — | | |
Net Asset Value, End of Period | | $ | 13.34 | | | $ | 13.63 | | | $ | 10.82 | | | $ | 11.15 | | | $ | 11.12 | | | $ | 11.54 | | |
Total Return† | | | (2.13 | )%* | | | 26.76 | % | | | (1.82 | )% | | | 1.53 | %^ | | | (3.27 | )%µ | | | 17.83 | % | |
Ratios/Supplemental Data | |
Net Assets, End of Period (in millions) | | $ | 19.4 | | | $ | 83.6 | | | $ | 74.8 | | | $ | 76.5 | | | $ | 77.3 | | | $ | 22.0 | | |
Ratio of Gross Expenses to Average Net Assets# | | | 1.69 | %** | | | 1.74 | % | | | 1.78 | % | | | 1.73 | % | | | 1.77 | % | | | 2.48 | % | |
Ratio of Net Expenses to Average Net Assets | | | 1.51 | %** | | | 1.50 | % | | | 1.50 | % | | | 1.50 | % | | | 1.50 | % | | | 1.50 | % | |
Ratio of Net Investment Income/(Loss) to Average Net Assets | | | 0.37 | %** | | | 0.42 | % | | | 0.76 | % | | | 0.61 | % | | | 0.90 | % | | | 0.88 | % | |
Portfolio Turnover Rate | | | 15 | %* | | | 23 | % | | | 28 | % | | | 27 | % | | | 35 | % | | | 33 | % | |
See Notes to Financial Highlights
20
Notes to Financial Highlights International Equity Portfolio
(Unaudited)
@ Calculated based on the average number of shares outstanding during each fiscal period.
† Total return based on per share NAV reflects the effects of changes in NAV on the performance of the Fund during each fiscal period. Returns assume income dividends and other distributions, if any, were reinvested. Results represent past performance and do not indicate future results. Current returns may be lower or higher than the performance data quoted. Investment returns and principal will fluctuate and shares, when redeemed, may be worth more or less than original cost. Total return would have been lower if Management had not reimbursed and/or waived certain expenses. The total return information shown does not reflect charges and other expenses that apply to the separate accounts or the related insurance policies or other qualified pension or retirement plans, and the inclusion of these charges and other expenses would reduce the total return for all fiscal periods shown.
* Not annualized.
^ The class action proceeds received in 2015 had no impact on the Fund's total return for the year ended December 31, 2015.
µ The voluntary contribution received in 2014 had no impact on the Fund's total return for the year ended December 31, 2014.
# Represents the annualized ratios of net expenses to average daily net assets if Management had not reimbursed certain expenses and/or waived a portion of the investment management fee.
** Annualized.
(a) The date investment operations commenced.
^^ Portfolio turnover is calculated at the Fund level. Percentage indicated was calculated for the six months ended June 30, 2018 for Class I.
21
Proxy Voting Policies and Procedures
A description of the policies and procedures that the Trust uses to determine how to vote proxies relating to portfolio securities is available, without charge, by calling 800-877-9700 (toll-free) and on the Securities and Exchange Commission's website at www.sec.gov. Information regarding how the Trust voted proxies relating to portfolio securities during the most recent 12-month period ended June 30 is also available upon request, without charge, by calling 800-877-9700 (toll-free), on the Securities and Exchange Commission's website at www.sec.gov, and on Management's website at www.nb.com.
Quarterly Portfolio Schedule
The Trust files a complete schedule of portfolio holdings for the Fund with the Securities and Exchange Commission for the first and third quarters of each fiscal year on Form N-Q. The Trust's Forms N-Q are available on the Securities and Exchange Commission's website at www.sec.gov and may be reviewed and copied at the Securities and Exchange Commission's Public Reference Room in Washington, DC. Information on the operation of the Public Reference Room may be obtained by calling 800-SEC-0330. The information on Form N-Q is available upon request, without charge, by calling 800-877-9700 (toll free).
22
![](https://capedge.com/proxy/N-CSRS/0000898432-18-000944/j18154463_aa001.jpg)
Neuberger Berman
Advisers Management Trust
Large Cap Value Portfolio
I Class Shares
Semi-Annual Report
June 30, 2018
Large Cap Value Portfolio Commentary
The Neuberger Berman Advisers Management Trust Large Cap Value Portfolio Class I posted a total return of –1.02% for the six months ended June 30, 2018, outperforming its benchmark, the Russell 1000® Value Index (the Index), which posted a –1.69% total return for the same period.
The equity market started the year off strong, propelled by the prospect of easier financial regulations and pro-business tax cuts under President Trump. Volatility soon rose, however, as rising inflation ignited concerns that the U.S. Federal Reserve would tighten rates more severely than some had hoped. Stocks were further pressured by anxiety about global trade, as President Trump began to carry out his promise to impose tariffs on select goods from China and other countries. The market steadied towards the back half of the period as U.S. corporate share repurchases reached record levels, earnings and revenue growth remained robust, and the domestic economy continued to be bolstered by record low unemployment and healthy consumer spending.
Over the past six months, the strongest performing sectors within the Index were Energy and Information Technology. Defensive segments such as Consumer Staples and Telecommunication Services underperformed the overall Index for the period, as did Industrials and Financials.
The largest contribution to Fund performance relative to the Index during the period came from Consumer Discretionary. This was largely due to shares of an athletic apparel retailer that soared as the company has consistently beat earnings expectations for the past several quarters, and management has projected better than expected guidance for the full year. Our heavier exposure to Utilities versus the Index was also positive on a relative basis as this was an outperforming area of the market. Within this area we owned two electric Utilities that experienced outsized returns, which further boosted relative performance.
Energy was the largest detractor from returns relative to the Index. We had less exposure to this outperforming segment of the market than the Index, and our holdings underperformed their Index sector counterparts. The largest drag in this segment was a gas-levered exploration and production holding, which dropped as a result of weak natural gas prices. Our lighter weighting in Information Technology was also negative, and our holdings in aggregate posted a negative absolute return, while this sector in the Index generated a positive absolute return.
The Fund's use of written options contributed positively to performance during the period.
While strong earnings growth and record share buybacks have contributed to the rise in equities since the start of the year, if these factors remain in place, we believe they could continue to push the market higher going forward. We remain cautious, however, as valuations have soared, that certain areas of the market could be susceptible to a pullback if investors take profits amidst growing uncertainty over the global economy and mounting anxiety that the Trump administration's efforts to correct trade imbalances could result in a full-blown trade war. A rising U.S. dollar and tightening interest rates also pose risks to domestic equities and underscore our rather guarded stance. Within this environment we are exploring all areas of the market for price dislocations that we believe could turn into rewarding investment opportunities. Our portfolio construction strategy entails seeking to uncover what we believe are underappreciated stocks with hidden value that can be realized if specific catalysts play out over time, and we believe that this approach is fundamental to generating favorable returns over the long term.
Sincerely,
ELI M. SALZMANN
PORTFOLIO MANAGER
Information about principal risks of investing in the Fund is set forth in the prospectus and statement of additional information.
The portfolio composition, industries and holdings of the Fund are subject to change without notice.
The opinions expressed are those of the Fund's portfolio manager. The opinions are as of the date of this report and are subject to change without notice.
1
Large Cap Value Portfolio
SECTOR ALLOCATION
(as a % of Total Investments*) | |
Consumer Discretionary | | | 3.9 | % | |
Consumer Staples | | | 18.4 | | |
Energy | | | 6.4 | | |
Financials | | | 15.1 | | |
Health Care | | | 19.7 | | |
Industrials | | | 6.3 | | |
Information Technology | | | 2.5 | | |
Materials | | | 5.1 | | |
Telecommunication Services | | | 5.2 | | |
Ulilities | | | 13.1 | | |
Short-Term Investments | | | 4.3 | | |
Total | | | 100.0 | % | |
* Derivatives, if any, are excluded from this chart.
PERFORMANCE HIGHLIGHTS
| | Inception | | Six Month Period Ended | | Average Annual Total Return Ended 06/30/2018 | |
| | Date | | 06/30/2018 | | 1 Year | | 5 Years | | 10 Years | | Life of Fund | |
Large Cap Value Portolio Class I | | | 03/22/1994 | | | | –1.02 | % | | | 7.35 | % | | | 9.90 | % | | | 5.42 | % | | | 8.39 | % | |
Russell 1000® Value Index1,2 | | | | | | | –1.69 | % | | | 6.77 | % | | | 10.34 | % | | | 8.49 | % | | | 9.46 | % | |
The performance data quoted represent past performance and do not indicate future results. Current performance may be lower or higher than the performance data quoted. For performance data current to the most recent month-end, please visit http://www.nb.com/amtportfolios/performance.
The results shown in the table reflect the reinvestment of income dividends and other distributions, if any. The results do not reflect the effect of taxes a shareholder would pay on Fund distributions or on the redemption of Fund shares. The results do not reflect fees and expenses of the variable annuity and variable life insurance policies or the qualified pension and retirement plans whose proceeds are invested in the Fund.
The investment return and principal value of an investment will fluctuate and shares, when redeemed, may be worth more or less than their original cost.
Returns would have been lower if Neuberger Berman Investment Advisers LLC ("Management") had not reimbursed certain expenses and/or waived a portion of the investment management fees during certain of the periods shown. Repayment by a class (of expenses previously reimbursed and/or fees previously waived by Management) will decrease the class's returns. Please see Note B in the Notes to Financial Statements for specific information regarding expense reimbursement and/or fee waiver arrangements.
As stated in the Fund's most recent prospectus, the total annual operating expense ratio for fiscal year 2017 was 1.12% for Class I shares (before expense reimbursements and/or fee waivers, if any). The expense ratios for the semi-annual period ended June 30, 2018, can be found in the Financial Highlights section of this report.
2
1 The date used to calculate Life of Fund performance for the index is March 22, 1994, the Fund's commencement of operations.
2 The Russell 1000® Value Index is a float-adjusted market capitalization-weighted index that measures the performance of the large-cap value segment of the U.S. equity market. It includes those Russell 1000® Index companies with lower price-to-book ratios and lower forecasted growth rates. The index is rebalanced annually in June. The Russell 1000 Index is a float-adjusted market capitalization-weighted index that measures the performance of the large-cap segment of the U.S. equity market, and includes approximately 1,000 of the largest securities in the Russell 3000® Index (which measures the performance of the 3,000 largest U.S. public companies based on total market capitalization). The index is rebalanced annually in June. Please note that the indices described in this report do not take into account any fees, expenses or tax consequences of investing in the individual securities that they track, and that individuals cannot invest directly in any index. Data about the performance of an index are prepared or obtained by Neuberger Berman Investment Advisers LLC ("Management") and reflect the reinvestment of income dividends and other distributions, if any. The Fund may invest in securities not included in a described index and generally does not invest in all securities included in a described index.
The investments for the Fund are managed by the same portfolio manager(s) who manage(s) one or more other registered funds that have names, investment objectives and investment styles that are similar to those of the Fund. You should be aware that the Fund is likely to differ from those other mutual fund(s) in size, cash flow pattern and tax matters. Accordingly, the holdings and performance of the Fund can be expected to vary from those of the other mutual fund(s).
Shares of the separate Neuberger Berman Advisers Management Trust Portfolios, including the Fund, are not available to the general public. Shares of the Fund may be purchased only by life insurance companies to be held in their separate accounts, which fund variable annuity and variable life insurance policies, and by qualified pension and retirement plans.
Statistics and projections in this report are derived from sources deemed to be reliable but cannot be regarded as a representation of future results of the Fund. This report is prepared for the general information of shareholders and is not an offer of shares of the Fund. Shares are sold only through the currently effective prospectus, which must precede or accompany this report.
The "Neuberger Berman" name and logo and "Neuberger Berman Investment Advisers LLC" name are registered service marks of Neuberger Berman Group LLC. The individual Fund name in this piece is either a service mark or registered service mark of Neuberger Berman Investment Advisers LLC , an affiliate of Neuberger Berman BD LLC, distributor, member FINRA.
© 2018 Neuberger Berman BD LLC, distributor. All rights reserved.
3
Information About Your Fund's Expenses (Unaudited)
As a Fund shareholder, you incur two types of costs: (1) transaction costs such as fees and expenses that are, or may be, imposed under your variable contract or qualified pension plan; and (2) ongoing costs, including management fees, distribution and/or service (12b-1) fees (if applicable), and other Fund expenses. This example is intended to help you understand your ongoing costs (in U.S. dollars) of investing in the Fund and compare these costs with the ongoing costs of investing in other mutual funds.
This table is designed to provide information regarding costs related to your investments. The following examples are based on an investment of $1,000 made at the beginning of the six month period ended June 30, 2018 and held for the entire period. The table illustrates the Fund's costs in two ways:
Actual Expenses and Performance: | | The first section of the table provides information about actual account values and actual expenses in dollars, based on the Fund's actual performance during the period indicated. You may use the information in this line, together with the amount you invested, to estimate the expenses 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 first section of the table under the heading entitled "Expenses Paid During the Period" to estimate the expenses you paid over the period. | |
Hypothetical Example for Comparison Purposes: | | The second section of the table provides information about hypothetical account values and hypothetical expenses based on the Fund's actual expense ratio and an assumed rate of return at 5% per year before expenses. This return is not the Fund's actual return. The hypothetical account values and expenses may not be used to estimate the actual ending account balance or expenses you paid for the period. You may use this information to compare the ongoing costs of investing in this Fund versus other funds. To do so, compare the expenses shown in this 5% hypothetical example with the 5% hypothetical examples that appear in the shareholder reports of other funds. | |
Please note that the expenses in the table are meant to highlight your ongoing costs only and do not include any transaction costs, such as fees and expenses that are, or may be imposed under your variable contract or qualified pension plan. Therefore, the information under the heading "Hypothetical (5% annual return before expenses)" is useful in comparing ongoing costs only, and will not help you determine the relative total costs of owning different funds. In addition, if these transaction costs were included, your costs would have been higher.
Expense Example (Unaudited)
NEUBERGER BERMAN ADVISERS MANAGEMENT TRUST LARGE CAP VALUE PORTFOLIO
Actual | | Beginning Account Value 1/1/18 | | Ending Account Value 6/30/18 | | Expenses Paid During the Period 1/1/18 – 6/30/18 | |
Class I | | $ | 1,000.00 | | | $ | 989.80 | | | $ | 5.48 | (a) | |
Hypothetical (5% annual return before expenses) | |
Class I | | $ | 1,000.00 | | | $ | 1,019.29 | | | $ | 5.56 | (b) | |
(a) Expenses are equal to the annualized expense ratio of 1.11%, multiplied by the average account value over the period, multiplied by 181/365 (to reflect the one-half year period shown).
(b) Hypothetical expenses are equal to the annualized expense ratio of 1.11%, multiplied by the average account value over the period (assuming a 5% annual return), multiplied by 181/365 (to reflect the one-half year period shown).
4
Schedule of Investments Large Cap Value Portfolio (Unaudited) June 30, 2018
NUMBER OF SHARES | | | | VALUE | |
Common Stocks 94.2% | | | |
Air Freight & Logistics 1.0% | | | |
| 3,025 | | | FedEx Corp. | | $ | 686,857 | | |
Banks 5.9% | | | |
| 5,178 | | | Citigroup, Inc. | | | 346,512 | | |
| 19,088 | | | JPMorgan Chase & Co. | | | 1,988,970 | | |
| 5,362 | | | M&T Bank Corp. | | | 912,344 | | |
| 1,881 | | | PNC Financial Services Group, Inc. | | | 254,123 | | |
| 9,462 | | | SunTrust Banks, Inc. | | | 624,681 | | |
| | | 4,126,630 | | |
Beverages 0.7% | | | |
| 4,493 | | | PepsiCo, Inc. | | | 489,153 | | |
Capital Markets 1.8% | | | |
| 5,944 | | | CME Group, Inc. | | | 974,341 | | |
| 3,602 | | | Intercontinental Exchange, Inc. | | | 264,927 | | |
| | | 1,239,268 | | |
Diversified Telecommunication Services 5.1% | | | |
| 33,117 | | | AT&T, Inc. | | | 1,063,387 | | |
| 50,475 | | | CenturyLink, Inc. | | | 940,854 | | |
| 31,547 | | | Verizon Communications, Inc. | | | 1,587,129 | | |
| | | 3,591,370 | | |
Electric Utilities 9.3% | | | |
| 20,791 | | | American Electric Power Co., Inc. | | | 1,439,777 | | |
| 4,518 | | | Entergy Corp. | | | 365,009 | | |
| 58,559 | | | Exelon Corp. | | | 2,494,613 | | |
| 44,115 | | | FirstEnergy Corp. | | | 1,584,170 | | |
| 3,723 | | | NextEra Energy, Inc. | | | 621,853 | | |
| | | 6,505,422 | | |
Energy Equipment & Services 0.8% | | | |
| 7,931 | | | Schlumberger Ltd. | | | 531,615 | | |
Equity Real Estate Investment Trusts 8.1% | | | |
| 2,314 | | | AvalonBay Communities, Inc. | | | 397,753 | | |
| 16,943 | | | Equity Residential | | | 1,079,100 | | |
| 1,449 | | | Mid-America Apartment Communities, Inc. | | | 145,871 | | |
| 11,350 | | | Prologis, Inc. | | | 745,582 | | |
| 4,310 | | | Public Storage | | | 977,767 | | |
| 5,971 | | | Simon Property Group, Inc. | | | 1,016,204 | | |
| 5,710 | | | SL Green Realty Corp. | | | 574,026 | | |
| 19,639 | | | Weyerhaeuser Co. | | | 716,038 | | |
| | | 5,652,341 | | |
NUMBER OF SHARES | | | | VALUE | |
Food & Staples Retailing 4.2% | | | |
| 4,679 | | | Costco Wholesale Corp. | | $ | 977,817 | | |
| 22,700 | | | Walmart, Inc. | | | 1,944,255 | | |
| | | 2,922,072 | | |
Food Products 7.6% | | | |
| 31,537 | | | Conagra Brands, Inc. | | | 1,126,817 | | |
| 20,895 | | | Kraft Heinz Co. | | | 1,312,624 | | |
| 69,521 | | | Mondelez International, Inc. Class A | | | 2,850,361 | | |
| | | 5,289,802 | | |
Health Care Equipment & Supplies 2.5% | | | |
| 15,436 | | | Abbott Laboratories | | | 941,442 | | |
| 4,772 | | | Baxter International, Inc. | | | 352,364 | | |
| 5,656 | | | Medtronic PLC | | | 484,210 | | |
| | | 1,778,016 | | |
Health Care Providers & Services 9.4% | | | |
| 25,364 | | | Centene Corp. | | | 3,125,098 | * | |
| 5,548 | | | Cigna Corp. | | | 942,883 | | |
| 5,295 | | | Express Scripts Holding Co. | | | 408,827 | * | |
| 18,626 | | | HCA Healthcare, Inc. | | | 1,911,028 | | |
| 1,246 | | | Quest Diagnostics, Inc. | | | 136,985 | | |
| | | 6,524,821 | | |
Hotels, Restaurants & Leisure 0.5% | | | |
| 5,959 | | | Carnival Corp. | | | 341,510 | | |
Household Products 3.7% | | | |
| 2,804 | | | Church & Dwight Co., Inc. | | | 149,061 | | |
| 31,306 | | | Procter & Gamble Co. | | | 2,443,746 | | |
| | | 2,592,807 | | |
Insurance 4.2% | | | |
| 5,148 | | | Aon PLC | | | 706,151 | | |
| 27,952 | | | Athene Holding Ltd. Class A | | | 1,225,416 | * | |
| 7,713 | | | Chubb Ltd. | | | 979,705 | | |
| | | 2,911,272 | | |
Metals & Mining 5.1% | | | |
| 76,445 | | | Newmont Mining Corp. | | | 2,882,741 | | |
| 11,603 | | | Rio Tinto PLC ADR | | | 643,734 | | |
| | | 3,526,475 | | |
Multi-Utilities 3.6% | | | |
| 13,529 | | | DTE Energy Co. | | | 1,402,010 | | |
| 29,593 | | | NiSource, Inc. | | | 777,704 | | |
| 2,687 | | | Sempra Energy | | | 311,988 | | |
| | | 2,491,702 | | |
See Notes to Financial Statements
5
Schedule of Investments Large Cap Value Portfolio (Unaudited) (cont'd)
NUMBER OF SHARES | | | | VALUE | |
Multiline Retail 0.7% | | | |
| 9,476 | | | Nordstrom, Inc. | | $ | 490,667 | | |
Oil, Gas & Consumable Fuels 5.6% | | | |
| 6,110 | | | Cabot Oil & Gas Corp. | | | 145,418 | | |
| 11,654 | | | EOG Resources, Inc. | | | 1,450,107 | | |
| 19,046 | | | Exxon Mobil Corp. | | | 1,575,676 | | |
| 6,304 | | | Phillips 66 | | | 708,002 | | |
| | | 3,879,203 | | |
Personal Products 1.9% | | | |
| 24,108 | | | Unilever NV | | | 1,343,298 | | |
Pharmaceuticals 7.4% | | | |
| 15,011 | | | Johnson & Johnson | | | 1,821,435 | | |
| 22,049 | | | Merck & Co., Inc. | | | 1,338,374 | | |
| 55,745 | | | Pfizer, Inc. | | | 2,022,429 | | |
| | | 5,182,238 | | |
Software 2.2% | | | |
| 8,436 | | | Autodesk, Inc. | | | 1,105,875 | * | |
| 4,308 | | | Microsoft Corp. | | | 424,812 | | |
| | | 1,530,687 | | |
NUMBER OF SHARES | | | | VALUE | |
Specialty Retail 0.7% | | | |
| 3,916 | | | Tiffany & Co. | | $ | 515,346 | | |
Technology Hardware, Storage & Peripherals 0.3% | | | |
| 8,621 | | | HP, Inc. | | | 195,610 | | |
Textiles, Apparel & Luxury Goods 1.9% | | | |
| 10,658 | | | lululemon Athletica, Inc. | | | 1,330,651 | * | |
| | | | Total Common Stocks (Cost $62,211,593) | | | 65,668,833
| | |
Short-Term Investments 4.2% | | | |
Investment Companies 4.2% | | | |
| 2,950,929
| | | State Street Institutional U.S. Government Money Market Fund Premier Class, 1.82%(a) (Cost $2,950,929) | | | 2,950,929
| | |
| | | | Total Investments 98.4% (Cost $65,162,522) | | | 68,619,762 | | |
| | | | Other Assets Less Liabilities 1.6% | | | 1,090,129 | | |
| | | | Net Assets 100.0% | | $ | 69,709,891 | | |
* Non-income producing security.
(a) Represents 7-day effective yield as of June 30, 2018.
Derivative Instruments
Written option contracts ("options written") | |
At June 30, 2018, the Fund did not have any outstanding options written.
For the six months ended June 30, 2018, the Fund had an average market value of $(293,723) in options written.
The following is a summary, categorized by Level (see Note A of Notes to Financial Statements), of inputs used to value the Fund's investments as of June 30, 2018:
Asset Valuation Inputs | | Level 1 | | Level 2 | | Level 3 | | Total | |
Investments: | |
Common Stocks(a) | | $ | 65,668,833 | | | $ | — | | | $ | — | | | $ | 65,668,833 | | |
Short-Term Investments | | | — | | | | 2,950,929 | | | | — | | | | 2,950,929 | | |
Total Investments | | $ | 65,668,833 | | | $ | 2,950,929 | | | $ | — | | | $ | 68,619,762 | | |
(a) The Schedule of Investments provides information on the industry categorization for the portfolio.
As of the six months ended June 30, 2018, no securities were transferred from one level (as of December 31, 2017) to another.
See Notes to Financial Statements
6
Statement of Assets and Liabilities (Unaudited)
Neuberger Berman Advisers Management Trust
| | LARGE CAP VALUE PORTFOLIO | |
| | June 30, 2018 | |
Assets | |
Investments in securities, at value* (Note A)—see Schedule of Investments: | |
Unaffiliated issuers(a) | | $ | 68,619,762 | | |
Dividends and interest receivable | | | 83,079 | | |
Receivable for securities sold | | | 3,234,307 | | |
Receivable for Fund shares sold | | | 127,434 | | |
Receivable for securities lending income (Note A) | | | 141 | | |
Prepaid expenses and other assets | | | 15,855 | | |
Total Assets | | | 72,080,578 | | |
Liabilities | |
Payable to investment manager (Note B) | | | 31,211 | | |
Payable for securities purchased | | | 2,133,903 | | |
Payable for Fund shares redeemed | | | 155,595 | | |
Payable to administrator (Note B) | | | 17,024 | | |
Payable to trustees | | | 531 | | |
Accrued expenses and other payables | | | 32,423 | | |
Total Liabilities | | | 2,370,687 | | |
Net Assets | | $ | 69,709,891 | | |
Net Assets consist of: | |
Paid-in capital | | $ | 52,699,624 | | |
Undistributed net investment income/(loss) | | | 1,291,536 | | |
Accumulated net realized gains/(losses) on investments | | | 12,261,491 | | |
Net unrealized appreciation/(depreciation) in value of investments | | | 3,457,240 | | |
Net Assets | | $ | 69,709,891 | | |
Shares Outstanding ($.001 par value; unlimited shares authorized) | | | 4,214,769 | | |
Net Asset Value, offering and redemption price per share | | $ | 16.54 | | |
*Cost of Investments: | | | |
(a) Unaffiliated issuers | | $ | 65,162,522 | | |
See Notes to Financial Statements
7
Statement of Operations (Unaudited)
Neuberger Berman Advisers Management Trust
| | LARGE CAP VALUE PORTFOLIO | |
| | For the Six Months Ended June 30, 2018 | |
Investment Income: | |
Income (Note A): | |
Dividend income—unaffiliated issuers | | $ | 828,126 | | |
Interest income—unaffiliated issuers | | | 29,083 | | |
Income from securities loaned—net (Note A) | | | 538 | | |
Foreign taxes withheld (Note A) | | | (1,155 | ) | |
Total income | | $ | 856,592 | | |
Expenses: | |
Investment management fees (Note B) | | | 193,393 | | |
Administration fees (Note B) | | | 105,487 | | |
Audit fees | | | 23,088 | | |
Custodian and accounting fees | | | 23,735 | | |
Insurance expense | | | 1,192 | | |
Legal fees | | | 11,909 | | |
Shareholder reports | | | 7,861 | | |
Trustees' fees and expenses | | | 21,336 | | |
Interest expense (Note A) | | | 76 | | |
Miscellaneous | | | 2,232 | | |
Total net expenses | | | 390,309 | | |
Net investment income/(loss) | | $ | 466,283 | | |
Realized and Unrealized Gain/(Loss) on Investments (Note A): | |
Net realized gain/(loss) on: | |
Transactions in investment securities of unaffiliated issuers | | | 4,923,497 | | |
Expiration or closing of option contracts written | | | 72,590 | | |
Change in net unrealized appreciation/(depreciation) in value of: | |
Investment securities of unaffiliated issuers | | | (6,567,680 | ) | |
Option contracts written | | | 274,520 | | |
Net gain/(loss) on investments | | | (1,297,073 | ) | |
Net increase/(decrease) in net assets resulting from operations | | $ | (830,790 | ) | |
See Notes to Financial Statements
8
Statements of Changes in Net Assets
Neuberger Berman Advisers Management Trust
| | LARGE CAP VALUE PORTFOLIO | |
| | Six Months Ended June 30, 2018 (Unaudited) | | Year Ended December 31, 2017 | |
Increase/(Decrease) in Net Assets: | |
From Operations (Note A): | |
Net investment income/(loss) | | $ | 466,283 | | | $ | 872,157 | | |
Net realized gain/(loss) on investments | | | 4,996,087 | | | | 8,159,891 | | |
Change in net unrealized appreciation/(depreciation) of investments | | | (6,293,160 | ) | | | 89,872 | | |
Net increase/(decrease) in net assets resulting from operations | | | (830,790 | ) | | | 9,121,920 | | |
Distributions to Shareholders From (Note A): | |
Net investment income | | | — | | | | (414,816 | ) | |
Net realized gain on investments | | | — | | | | (1,941,117 | ) | |
Total distributions to shareholders | | | — | | | | (2,355,933 | ) | |
From Fund Share Transactions (Note D): | |
Proceeds from shares sold | | | 5,008,168 | | | | 7,712,376 | | |
Proceeds from reinvestment of dividends and distributions | | | — | | | | 2,355,933 | | |
Payments for shares redeemed | | | (7,717,160 | ) | | | (22,206,583 | ) | |
Net increase/(decrease) from Fund share transactions | | | (2,708,992 | ) | | | (12,138,274 | ) | |
Net Increase/(Decrease) in Net Assets | | | (3,539,782 | ) | | | (5,372,287 | ) | |
Net Assets: | |
Beginning of period | | | 73,249,673 | | | | 78,621,960 | | |
End of period | | $ | 69,709,891 | | | $ | 73,249,673 | | |
Undistributed net investment income/(loss) at end of period | | $ | 1,291,536 | | | $ | 825,253 | | |
See Notes to Financial Statements
9
Notes to Financial Statements Large Cap Value Portfolio
(Unaudited)
Note A—Summary of Significant Accounting Policies:
1 General: Neuberger Berman Advisers Management Trust (the "Trust") is a Delaware statutory trust organized pursuant to an Amended and Restated Trust Instrument dated March 27, 2014. The Trust is currently comprised of eight separate operating series (each individually a "Fund," and collectively the "Funds") each of which is diversified. The Trust is registered as an open-end management investment company under the Investment Company Act of 1940, as amended (the "1940 Act"), and its shares are registered under the Securities Act of 1933, as amended. Neuberger Berman Advisers Management Trust Large Cap Value Portfolio (the "Fund") currently offers only Class I shares. The Trust's Board of Trustees (the "Board") may establish additional series or classes of shares without the approval of shareholders.
The assets of each Fund belong only to that Fund, and the liabilities of each Fund are borne solely by that Fund and no other.
The Fund is an investment company and accordingly follows the investment company accounting and reporting guidance of the Financial Accounting Standards Board ("FASB") Accounting Standards Codification ("ASC") Topic 946 "Financial Services—Investment Companies."
The preparation of financial statements in accordance with U.S. generally accepted accounting principles ("GAAP") requires Neuberger Berman Investment Advisers LLC ("Management") to make estimates and assumptions at the date of the financial statements. Actual results could differ from those estimates.
Shares of the Fund are not available to the general public and may be purchased only by life insurance companies to serve as an investment vehicle for premiums paid under their variable annuity and variable life insurance contracts and to certain qualified pension and other retirement plans.
2 Portfolio valuation: In accordance with ASC 820 "Fair Value Measurement" ("ASC 820"), all investments held by the Fund are carried at the value that Management believes the Fund would receive upon selling an investment in an orderly transaction to an independent buyer in the principal or most advantageous market for the investment under current market conditions. Various inputs, including the volume and level of activity for the asset or liability in the market, are considered in valuing the Fund's investments, some of which are discussed below. Significant Management judgment may be necessary to value investments in accordance with ASC 820.
ASC 820 established a three-tier hierarchy of inputs to create a classification of value measurements for disclosure purposes. The three-tier hierarchy of inputs is summarized in the three broad Levels listed below.
• Level 1—quoted prices in active markets for identical investments
• Level 2—other observable inputs (including quoted prices for similar investments, interest rates, prepayment speeds, credit risk, amortized cost, etc.)
• Level 3—unobservable inputs (including the Fund's own assumptions in determining the fair value of investments)
The inputs or methodology used for valuing an investment are not necessarily an indication of the risk associated with investing in those securities.
The value of the Fund's investments in equity securities, for which market quotations are readily available, is generally determined by Management by obtaining valuations from independent pricing services based on the latest sale price quoted on a principal exchange or market for that security (Level 1 inputs). Securities traded primarily on the NASDAQ Stock Market are normally valued at the NASDAQ Official Closing Price ("NOCP") provided by NASDAQ each business day. The NOCP is the most recently reported price as of 4:00:02 p.m., Eastern
10
Time, unless that price is outside the range of the "inside" bid and asked prices (i.e., the bid and asked prices that dealers quote to each other when trading for their own accounts); in that case, NASDAQ will adjust the price to equal the inside bid or asked price, whichever is closer. Because of delays in reporting trades, the NOCP may not be based on the price of the last trade to occur before the market closes. If there is no sale of a security on a particular day, the independent pricing services may value the security based on market quotations.
Management has developed a process to periodically review information provided by independent pricing services for all types of securities.
Investments in non-exchange traded investment companies are valued using the respective fund's daily calculated net asset value per share (Level 2 inputs).
If a valuation is not available from an independent pricing service, or if Management has reason to believe that the valuation received does not represent the amount the Fund might reasonably expect to receive on a current sale in an orderly transaction, Management seeks to obtain quotations from brokers or dealers (generally considered Level 2 or Level 3 inputs depending on the number of quotes available). If such quotations are not readily available, the security is valued using methods the Board has approved in the good-faith belief that the resulting valuation will reflect the fair value of the security. Numerous factors may be considered when determining the fair value of a security based on Level 2 or Level 3 inputs, including available analyst, media or other reports, securities within the same industry with recent highly correlated performance, trading in futures or American Depositary Receipts and whether the issuer of the security being fair valued has other securities outstanding.
Fair value prices are necessarily estimates, and there is no assurance that such a price will be at or close to the price at which the security is next quoted or next trades.
3 Foreign currency translations: The accounting records of the Fund are maintained in U.S. dollars. Foreign currency amounts are normally translated into U.S. dollars using the exchange rate as of 4:00 p.m. Eastern Time, on days the NYSE is open for business, to determine the value of investments, other assets and liabilities. Purchase and sale prices of securities, and income and expenses, are translated into U.S. dollars at the prevailing rate of exchange on the respective dates of such transactions. Net unrealized foreign currency gain/(loss), if any, arises from changes in the value of assets and liabilities, other than investments in securities, as a result of changes in exchange rates and is stated separately in the Statement of Operations.
4 Securities transactions and investment income: Securities transactions are recorded on trade date for financial reporting purposes. Dividend income is recorded on the ex-dividend date or, for certain foreign dividends, as soon as the Fund becomes aware of the dividends. Non-cash dividends included in dividend income, if any, are recorded at the fair market value of the securities received. Interest income, including accretion of original issue discount, where applicable, and accretion of discount on short-term investments, if any, is recorded on the accrual basis. Realized gains and losses from securities transactions and foreign currency transactions, if any, are recorded on the basis of identified cost and stated separately in the Statement of Operations. Included in net realized gain/(loss) on investments are proceeds from the settlements of class action litigation in which the Fund participated as a class member. The amount of such proceeds for the six months ended June 30, 2018 was $7,978.
5 Income tax information: The Fund is treated as a separate entity for U.S. federal income tax purposes. It is the policy of the Fund to continue to qualify for treatment as a regulated investment company ("RIC") by complying with the requirements of the U.S. Internal Revenue Code applicable to RICs and to distribute substantially all of its net investment income and net realized capital gains to its shareholders. To the extent the Fund distributes substantially all of its net investment income and net realized capital gains to shareholders, no federal income or excise tax provision is required.
The Fund has adopted the provisions of ASC 740 "Income Taxes" ("ASC 740"). ASC 740 sets forth a minimum threshold for financial statement recognition of a tax position taken, or expected to be taken, in a tax return. The Fund recognizes interest and penalties, if any, related to unrecognized tax positions as an income tax expense in the Statement of Operations. The Fund is subject to examination by U.S. federal and state tax authorities for returns
11
filed for the tax years for which the applicable statutes of limitations have not yet expired. As of June 30, 2018, the Fund did not have any unrecognized tax positions.
At June 30, 2018, the cost of long security positions and derivative instruments (if any) for U.S. federal income tax purposes was $65,393,138. Gross unrealized appreciation of long security positions was $4,507,081 and gross unrealized depreciation of long security positions was $1,280,457 resulting in net unrealized appreciation of $3,226,624 based on cost for U.S. federal income tax purposes.
Income distributions and capital gain distributions are determined in accordance with income tax regulations, which may differ from GAAP. These differences are primarily due to differing treatments of income and gains on various investment securities held by the Fund, timing differences and differing characterization of distributions made by the Fund. The Fund may also utilize earnings and profits distributed to shareholders on redemption of their shares as a part of the dividends-paid deduction for income tax purposes.
As determined on December 31, 2017, permanent differences resulting primarily from different book and tax accounting were reclassified at year end. Such differences are attributed to the tax treatment of foreign currency gains and losses, prior year return of capital adjustments and non-taxable adjustments to income. These reclassifications had no effect on net income, net asset value ("NAV") or NAV per share of the Fund. For the year ended December 31, 2017, the Fund recorded the following permanent reclassifications:
Paid-in Capital | | Undistributed Net Investment Income/(Loss) | | Accumulated Net Realized Gains/(Losses) on Investments | |
$ | — | | | $ | (47,032 | ) | | $ | 47,032 | | |
The tax character of distributions paid during the years ended December 31, 2017 and December 31, 2016 was as follows:
Distributions Paid From: | |
Ordinary Income | | Long-Term Capital Gain | | Total | |
2017 | | 2016 | | 2017 | | 2016 | | 2017 | | 2016 | |
$ | 1,951,874 | | | $ | 470,886 | | | $ | 404,059 | | | $ | 5,161,853 | | | $ | 2,355,933 | | | $ | 5,632,739 | | |
As of December 31, 2017, the components of distributable earnings (accumulated losses) on a U.S. federal income tax basis were as follows:
Undistributed Ordinary Income | | Undistributed Long-Term Capital Gain | | Unrealized Appreciation/ (Depreciation) | | Loss Carryforwards and Deferrals | | Other Temporary Differences | | Total | |
$ | 3,975,222 | | | $ | 4,172,326 | | | $ | 9,693,509 | | | $ | — | | | $ | — | | | $ | 17,841,057 | | |
The temporary differences between book basis and tax basis distributable earnings are primarily due to losses disallowed and recognized on wash sales.
6 Distributions to shareholders: The Fund may earn income, net of expenses, daily on its investments. Distributions from net investment income and net realized capital gains, if any, are generally distributed once a year (usually in October). Income distributions and capital gain distributions to shareholders are recorded on the ex-date.
7 Foreign taxes: Foreign taxes withheld, if any, represent amounts withheld by foreign tax authorities, net of refunds recoverable.
8 Expense allocation: Certain expenses are applicable to multiple funds within the complex of related investment companies. Expenses directly attributable to a fund are charged to that fund. Expenses of the Trust that are not directly attributable to a particular series of the Trust (e.g., the Fund) are allocated among the series of the Trust, on the basis of relative net assets, except where a more appropriate allocation of expenses to each of the series can
12
otherwise be made fairly. Expenses borne by the complex of related investment companies, which includes open-end and closed-end investment companies for which Management serves as investment manager, that are not directly attributable to a particular investment company in the complex (e.g., the Trust) or series thereof are allocated among the investment companies in the complex or series thereof on the basis of relative net assets, except where a more appropriate allocation of expenses to each of the investment companies in the complex or series thereof can otherwise be made fairly.
9 Investments in foreign securities: Investing in foreign securities may involve sovereign and other risks, in addition to the credit and market risks normally associated with domestic securities. These additional risks include the possibility of adverse political and economic developments (including political instability, nationalization, expropriation, or confiscatory taxation) and the potentially adverse effects of unavailability of public information regarding issuers, less governmental supervision and regulation of financial markets, reduced liquidity of certain financial markets, and the lack of uniform accounting, auditing, and financial reporting standards or the application of standards that are different or less stringent than those applied in the United States. Foreign securities also may experience greater price volatility, higher rates of inflation, and delays in settlement.
10 Investment company securities and exchange-traded funds: The Fund may invest in shares of other registered investment companies, including exchange-traded funds ("ETFs"), within the limitations prescribed by the 1940 Act or pursuant to an exemptive order from the Securities and Exchange Commission that permits the Fund to invest in both affiliated and unaffiliated investment companies, including ETFs, in excess of the limits in Section 12(d)(1)(A) of the 1940 Act, as amended, subject to the terms and conditions of such order. Some ETFs seek to track the performance of a particular market index. These indices include both broad-based market indices and more narrowly-based indices, including those relating to particular sectors, markets, regions or industries. However, some ETFs have an actively-managed investment objective. ETF shares are traded like traditional equity securities on a national securities exchange or NASDAQ. The Fund will indirectly bear its proportionate share of any management fees and other expenses paid by such other investment companies, which will increase expenses and decrease returns.
11 Derivative instruments: The Fund's use of derivatives during the six months ended June 30, 2018, is described below. Please see the Schedule of Investments for the Fund's open positions in derivatives, if any, at June 30, 2018. The Fund has adopted the provisions of ASC 815 "Derivatives and Hedging" ("ASC 815"). The disclosure requirements of ASC 815 distinguish between derivatives that qualify for hedge accounting and those that do not. Because investment companies value their derivatives at fair value and recognize changes in fair value through the Statement of Operations, they do not qualify for hedge accounting. Accordingly, even though the Fund's investments in derivatives may represent economic hedges, they are considered non-hedge transactions for purposes of this disclosure.
Options: During the six months ended June 30, 2018, the Fund used options written to enhance returns.
Premiums paid by the Fund upon purchasing a call or put option are recorded in the asset section of the Fund's Statement of Assets and Liabilities and are subsequently adjusted to the current market value. When an option is exercised, closed, or expired, the Fund realizes a gain or loss and the asset is eliminated.
Premiums received by the Fund upon writing a call option or a put option are recorded in the liability section of the Fund's Statement of Assets and Liabilities and are subsequently adjusted to the current market value. When an option is exercised, closed, or expired, the Fund realizes a gain or loss and the liability is eliminated.
When the Fund writes a call option on an underlying asset it does not own, its exposure on such an option is theoretically unlimited. When writing a covered call option, the Fund, in return for the premium, gives up the opportunity for profit from a price increase in the underlying security above the exercise price, but conversely retains the risk of loss should the price of the security decline. When writing a put option, the Fund, in return for the premium, takes the risk that it must purchase the underlying security at a price that may be higher than the current market price of the security. If a covered call or put option that the Fund has written expires unexercised,
13
the Fund will realize a gain in the amount of the premium. All securities covering outstanding written options are held in escrow by the custodian bank.
The impact of the use of these derivative instruments on the Statement of Operations during the six months ended June 30, 2018, was as follows:
Realized Gain/(Loss)
Derivative Type | | Statement of Operations Location | | Equity Risk | | Total | |
Options written | | Net realized gain/ (loss) on: expiration or closing of option contracts written | | $ | 72,590
| | | $ | 72,590
| | |
Total Realized Gain/(Loss) | | | | $ | 72,590 | | | $ | 72,590 | | |
Change in Appreciation/(Depreciation)
Derivative Type | | Statement of Operations Location | | Equity Risk | | Total | |
Options written | | Change in net unrealized appreciation/(depreciation) in value of: option contracts written | | $ | 274,520
| | | $ | 274,520
| | |
Total Change in Appreciation/(Depreciation) | | | | $ | 274,520 | | | $ | 274,520 | | |
While the Fund may receive rights and warrants in connection with its investments in securities, these rights and warrants are not considered "derivative instruments" under ASC 815.
12 Securities Lending: The Fund, using State Street Bank and Trust Company ("State Street") as its lending agent, may loan securities to qualified brokers and dealers in exchange for negotiated lender's fees. These fees, if any, would be disclosed within the Statement of Operations under the caption "Income from securities loaned-net" and are net of expenses retained by State Street as compensation for its services as lending agent. For the six months ended June 30, 2018, the Fund received net income under the securities lending arrangement of $538.
The initial cash collateral received by the Fund at the beginning of each transaction shall have a value equal to at least 102% of the prior day's market value of the loaned securities (105% in the case of international securities). The Fund may only receive collateral in the form of cash (U.S. dollars). Cash collateral is generally invested in a money market fund registered under the 1940 Act that is managed by an affiliate of State Street. The risks associated with lending portfolio securities include, but are not limited to, possible delays in receiving additional collateral or in the recovery of the loaned securities.
As of June 30, 2018, the Fund did not have any outstanding loans of securities.
13 Indemnifications: Like many other companies, the Trust's organizational documents provide that its officers and trustees are indemnified against certain liabilities arising out of the performance of their duties to the Trust. In addition, both in some of its principal service contracts and in the normal course of its business, the Trust enters into contracts that provide indemnifications to other parties for certain types of losses or liabilities. The Trust's maximum exposure under these arrangements is unknown as this could involve future claims against the Trust.
14
Note B—Investment Management Fees, Administration Fees, Distribution Arrangements, and Other Transactions with Affiliates:
The Fund retains Management as its investment manager under a Management Agreement. For such investment management services, the Fund pays Management a fee at the annual rate of 0.55% of the first $250 million of the Fund's average daily net assets, 0.525% of the next $250 million, 0.50% of the next $250 million, 0.475% of the next $250 million, 0.45% of the next $500 million, 0.425% of the next $2.5 billion, and 0.40% of average daily net assets in excess of $4 billion. Accordingly, for the six months ended June 30, 2018, the investment management fee pursuant to the Management Agreement was equivalent to an annual effective rate of 0.55% of the Fund's average daily net assets.
The Fund retains Management as its administrator under an Administration Agreement. The Fund pays Management an administration fee at the annual rate of 0.30% of its average daily net assets under this agreement. Additionally, Management retains State Street as its sub-administrator under a Sub-Administration Agreement. Management pays State Street a fee for all services received under the Sub-Administration Agreement.
Management has contractually agreed to waive fees and/or reimburse the Fund so that the total annual operating expenses do not exceed the expense limitation as detailed in the following table. This undertaking excludes fees payable to Management, interest, taxes, transaction costs, brokerage commissions, acquired fund fees and expenses, extraordinary expenses, and dividend and interest expenses relating to short sales, if any (commitment fees relating to borrowings are treated as interest for purposes of this exclusion) ("annual operating expenses"); consequently, net expenses may exceed the contractual expense limitation. The Fund has agreed that it will repay Management for fees and expenses waived or reimbursed provided that repayment does not cause the annual operating expenses to exceed its contractual expense limitation in place at the time the fees and expenses were waived or reimbursed, or the expense limitation in place at the time the Fund repays Management, whichever is lower. Any such repayment must be made within three years after the year in which Management incurred the expense.
During the six months ended June 30, 2018, there was no repayment to Management under its contractual expense limitation.
At June 30, 2018, the Fund had no contingent liability to Management under its contractual expense limitation.
| | | | | | Expenses Reimbursed in Year Ended December 31, | |
| | | | | | 2015 | | 2016 | | 2017 | | 2018 | |
| | | | | | Subject to Repayment until December 31, | |
Class | | Contractual Expense Limitation(a) | | Expiration | | 2018 | | 2019 | | 2020 | | 2021 | |
Class I | | | 1.00 | % | | 12/31/21 | | $ | — | | | $ | — | | | $ | — | | | $ | — | | |
(a) Expense limitation per annum of the Fund's average daily net assets.
Neuberger Berman BD LLC (the "Distributor") is the Fund's "principal underwriter" within the meaning of the 1940 Act. It acts as agent in arranging for the sale of the Fund's Class I shares without sales commission or other compensation and bears all advertising and promotion expenses incurred in the sale of those shares. The Board adopted a non-fee distribution plan for the Fund's Class I.
Note C—Securities Transactions:
During the six months ended June 30, 2018, there were purchase and sale transactions of long-term securities (excluding option contracts) of $69,020,765 and $71,050,220, respectively.
During the six months ended June 30, 2018, no brokerage commissions on securities transactions were paid to affiliated brokers.
15
Note D—Fund Share Transactions:
Share activity for the six months ended June 30, 2018 and for the year ended December 31, 2017 was as follows:
| | For the Six Months Ended June 30, 2018 | | For the Year Ended December 31, 2017 | |
Shares Sold | | | 300,437 | | | | 488,560 | | |
Shares Issued on Reinvestment of Dividends and Distributions | | | — | | | | 145,788 | | |
Shares Redeemed | | | (470,560 | ) | | | (1,408,535 | ) | |
Total | | | (170,123 | ) | | | (774,187 | ) | |
Note E—Line of Credit:
At June 30, 2018, the Fund was a participant in a syndicated committed, unsecured $700,000,000 line of credit (the "Credit Facility"), to be used only for temporary or emergency purposes. Series of other investment companies managed by Management also participate in this line of credit on substantially the same terms. Interest is charged on borrowings under this Credit Facility at the highest of (a) a federal funds effective rate plus 1.00% per annum, (b) a Eurodollar rate for a one-month period plus 1.00% per annum, and (c) an overnight bank funding rate plus 1.00% per annum. The Credit Facility has an annual commitment fee of 0.15% per annum of the available line of credit, which is paid quarterly. The Fund has agreed to pay its pro rata share of the annual commitment fee, based on the ratio of its individual net assets to the net assets of all participants at the time the fee is due and payable, and interest charged on any borrowing made by the Fund and other costs incurred by the Fund. Because several mutual funds participate in the Credit Facility, there is no assurance that the Fund will have access to all or any part of the $700,000,000 at any particular time. There were no loans outstanding under the Credit Facility at June 30, 2018. During the period ended June 30, 2018, the Fund did not utilize the Credit Facility.
Note F—Custodian Out-of-Pocket Expenses Refunded:
In May 2016, the Fund's custodian, State Street, announced that it had identified inconsistencies in the way in which the Fund was invoiced for categories of expenses, particularly those deemed "out-of-pocket" costs, from 1998 through November 2015. The amounts in the table below represent the refunded expenses and interest determined to be payable to the Fund for the period in question. These amounts were refunded to the Fund by State Street during the year ended December 31, 2017.
Expenses Refunded | | Interest Paid to the Fund | |
$ | 90,198 | | | $ | 9,969 | | |
Note G—Unaudited Financial Information:
The financial information included in this interim report is taken from the records of the Fund without audit by an independent registered public accounting firm. Annual reports contain audited financial statements.
16
Large Cap Value Portfolio
The following table includes selected data for a share outstanding throughout each period and other performance information derived from the Financial Statements. Amounts that do not round to $0.01 or $(0.01) per share are presented as $0.00 or $(0.00), respectively. Ratios that do not round to 0.01% or (0.01)% are presented as 0.00% or (0.00)%, respectively. A "—" indicates that the line item was not applicable in the corresponding period.
Class I | |
| | Six Months Ended June 30, | | Year Ended December 31, | |
| | 2018 | | 2017 | | 2016 | | 2015 | | 2014 | | 2013 | |
| | (Unaudited) | | | | | | | | | | | |
Net Asset Value, Beginning of Period | | $ | 16.71 | | | $ | 15.24 | | | $ | 13.19 | | | $ | 16.39 | | | $ | 15.04 | | | $ | 11.60 | | |
Income From Investment Operations: | |
Net Investment Income/(Loss)@ | | | 0.11 | | | | 0.19 | | | | 0.13 | | | | 0.14 | | | | 0.11 | | | | 0.10 | | |
Net Gains or Losses on Securities (both realized and unrealized) | | | (0.28 | ) | | | 1.83 | | | | 3.34 | | | | (2.00 | ) | | | 1.36 | | | | 3.50 | | |
Total From Investment Operations | | | (0.17 | ) | | | 2.02 | | | | 3.47 | | | | (1.86 | ) | | | 1.47 | | | | 3.60 | | |
Less Distributions From: | |
Net Investment Income | | | — | | | | (0.10 | ) | | | (0.12 | ) | | | (0.12 | ) | | | (0.12 | ) | | | (0.16 | ) | |
Net Realized Capital Gains | | | — | | | | (0.45 | ) | | | (1.30 | ) | | | (1.22 | ) | | | — | | | | — | | |
Total Distributions | | | — | | | | (0.55 | ) | | | (1.42 | ) | | | (1.34 | ) | | | (0.12 | ) | | | (0.16 | ) | |
Voluntary Contribution from Management | | | — | | | | — | | | | — | | | | — | | | | 0.00 | | | | — | | |
Net Asset Value, End of Period | | $ | 16.54 | | | $ | 16.71 | | | $ | 15.24 | | | $ | 13.19 | | | $ | 16.39 | | | $ | 15.04 | | |
Total Return† | | | (1.02 | )%*^ | | | 13.36 | %‡^ | | | 27.37 | %^ | | | (11.80 | )%^ | | | 9.85 | %µ^ | | | 31.14 | %^ | |
Ratios/Supplemental Data | |
Net Assets, End of Period (in millions) | | $ | 69.7 | | | $ | 73.2 | | | $ | 78.6 | | | $ | 53.3 | | | $ | 70.3 | | | $ | 69.9 | | |
Ratio of Gross Expenses to Average Net Assets# | | | 1.11 | %** | | | 1.11 | % | | | 1.18 | % | | | 1.14 | % | | | 1.10 | % | | | 1.13 | % | |
Ratio of Net Expenses to Average Net Assets | | | 1.11 | %** | | | 0.98 | %ß | | | 1.18 | % | | | 1.14 | % | | | 1.10 | % | | | 1.13 | % | |
Ratio of Net Investment Income/(Loss) to Average Net Assets | | | 1.33 | %** | | | 1.20 | %ß | | | 0.89 | % | | | 0.89 | % | | | 0.71 | % | | | 0.78 | % | |
Portfolio Turnover Rate | | | 103 | %* | | | 91 | % | | | 93 | % | | | 153 | % | | | 130 | % | | | 165 | % | |
See Notes to Financial Highlights
17
Notes to Financial Highlights Large Cap Value Portfolio
(Unaudited)
@ Calculated based on the average number of shares outstanding during each fiscal period.
† Total return based on per share NAV reflects the effects of changes in NAV on the performance of the Fund during each fiscal period. Returns assume income dividends and other distributions, if any, were reinvested. Results represent past performance and do not indicate future results. Current returns may be lower or higher than the performance data quoted. Investment returns and principal will fluctuate and shares, when redeemed, may be worth more or less than original cost. Total return would have been lower if Management had not reimbursed and/or waived certain expenses. The total return information shown does not reflect charges and other expenses that apply to the separate accounts or the related insurance policies or other qualified pension or retirement plans, and the inclusion of these charges and other expenses would reduce the total return for all fiscal periods shown.
^ The class action proceeds listed in Note A of the Notes to Financial Statements had no impact on the Fund's total return for the six months ended June 30, 2018. The class action proceeds received in 2017 had no impact on the Fund's total return for the year ended December 31, 2017. The class action proceeds received in 2016 had no impact on the Fund's total return for the year ended December 31, 2016. Had the Fund not received class action proceeds in 2015, total return based on per share NAV for the year ended December 31, 2015 would have been (11.94)%. Had the Fund not received class action proceeds in 2014, total return based on per share NAV for the year ended December 31, 2014 would have been 9.72%. Had the Fund not received class action proceeds in 2013, total return based on per share NAV for the year ended December 31, 2013 would have been 30.61%.
µ The voluntary contribution received in 2014 had no impact on the Fund's total return for the year ended December 31, 2014.
* Not annualized.
‡ Had the Fund not received the Custodian Out-of-Pocket Expenses Refunded listed in Note F of the Notes to Financial Statements, the total return based on per share NAV for the year ended December 31, 2017 would have been 13.22%.
# Represents the annualized ratios of net expenses to average daily net assets if Management had not reimbursed certain expenses and/or waived a portion of the investment management fee. Management did not reimburse or waive fees during the fiscal periods shown.
** Annualized.
ß Custodian Out-of-Pocket Expenses Refunded, as listed in Note F of the Notes to Financial Statements, is non-recurring, and is included in these ratios. Had the Fund not received the refund, the annualized ratios of net expenses to average net assets and net investment income/(loss) to average net assets would have been:
Ratio of Net Expenses to Average Net Assets Year Ended December 31, 2017 | | Ratio of Net Investment Income/(Loss) to Average Net Assets Year Ended December 31, 2017 | |
| 1.11 | % | | | 1.06 | % | |
18
Proxy Voting Policies and Procedures
A description of the policies and procedures that the Trust uses to determine how to vote proxies relating to portfolio securities is available, without charge, by calling 800-877-9700 (toll-free) and on the Securities and Exchange Commission's website at www.sec.gov. Information regarding how the Trust voted proxies relating to portfolio securities during the most recent 12-month period ended June 30 is also available upon request, without charge, by calling 800-877-9700 (toll-free), on the Securities and Exchange Commission's website at www.sec.gov, and on Management's website at www.nb.com.
Quarterly Portfolio Schedule
The Trust files a complete schedule of portfolio holdings for the Fund with the Securities and Exchange Commission for the first and third quarters of each fiscal year on Form N-Q. The Trust's Forms N-Q are available on the Securities and Exchange Commission's website at www.sec.gov and may be reviewed and copied at the Securities and Exchange Commission's Public Reference Room in Washington, DC. Information on the operation of the Public Reference Room may be obtained by calling 800-SEC-0330. The information on Form N-Q is available upon request, without charge, by calling 800-877-9700 (toll free).
19
![](https://capedge.com/proxy/N-CSRS/0000898432-18-000944/j18154463_aa001.jpg)
Neuberger Berman
Advisers Management Trust
Mid Cap Growth Portfolio
I Class Shares
S Class Shares
Semi-Annual Report
June 30, 2018
Mid Cap Growth Portfolio Commentary
The Neuberger Berman Advisers Management Trust Mid Cap Growth Portfolio Class I generated a 6.62% total return for the six months ended June 30, 2018, outperforming its benchmark, the Russell Midcap® Growth Index (the Index), which returned 5.40% for the same period. (Performance for all share classes is provided in the table immediately following this letter.)
Despite intermittent volatility, the first half of 2018 was a positive environment for small- and mid-cap growth stocks as inflation remained modest, underlying GDP growth continued to improve and the market, for the most part, remained willing to pay up for positive differentiation and compelling underlying corporate fundamentals. Further bolstering the bullish sentiment, the tenor out of the U.S. Federal Reserve remained largely constructive, while the pace of monetary tightening stayed consistent with the market's expectations. Trade became the dominant economic headline and while we're not close to any "point of no return", the market has been clearly uncomfortable with the escalating rhetoric and tit-for-tat tariff gamesmanship. We believe that there are no winners in a trade war as the resulting uncertainty can have a paralyzing effect on business decision-making and the potential is there for it to spiral out of control, negatively impacting both businesses and consumers.
Over the trailing six months, the Fund was primarily overweight the Health Care and Information Technology (IT) sectors versus the Index, and meaningfully underweight the Consumer Discretionary, Materials, Real Estate and Consumer Staples sectors versus the Index. These decisions reflect the compelling catalysts and underlying fundamentals that we continue to discover in Health Care and IT, our persistent wariness around retail and consumer spending and the fact that neither GDP-growth dependent commodities nor income-yielding real estate investment trusts (REITs) are an ideal fit with our earnings-centric philosophy. Breaking down performance, our Health Care efforts could be felt at all levels of the portfolio and ultimately helped to drive our positive results relative to the benchmark. At the industry level, strong stock selection within our overweight allocation to Biotechnology proved highly additive, while stock specific issues resulted in the Electronic Equipment, Instruments & Components industry within IT being the leading detractor. Drilling down to our holdings, ABIOMED, Inc., a leading provider of temporary mechanical circulatory support devices for heart failure patients during surgery, was boosted by strong execution and revenue growth that exceeded the market's expectations. Meanwhile, Universal Display Corporation, a developer of organic light emitting diode (OLED) technologies and materials for use in televisions, smart phones and other devices, was negatively impacted by Apple iPhone supply chain cuts and increased uncertainty around the pace of adoption for this next-gen screen technology. Given the decreased visibility, we exited our position.
Looking ahead, we anticipate the second half of 2018 to remain a largely positive environment for growth stocks if earnings continue to impress. We remain bullish on business sentiment, the potential for increased capital expenditures and the continued broad strength of economic fundamentals and trends. For better or worse, we believe fiscal and political agendas for the next four plus months will take a backseat to what will likely be an intense partisan battle to fill the U.S. Supreme Court vacancy. We're neutral on valuations, as we feel they are somewhat range-bound by inflation largely still being a non-factor (floor) and the implications of a rising rate environment (ceiling). If we're bearish on anything it would be the recent narrowing of market breadth and leadership, which bears watching as we go forward. While the potential for increased volatility remains strong, we're cautiously optimistic that with continued strong earnings and fair valuations, this market still has room to grow.
Sincerely,
KENNETH J. TUREK
PORTFOLIO MANAGER
Information about principal risks of investing in the Fund is set forth in the prospectus and statement of additional information.
The portfolio composition, industries and holdings of the Fund are subject to change without notice.
The opinions expressed are those of the Fund's portfolio manager. The opinions are as of the date of this report and are subject to change without notice.
1
SECTOR ALLOCATION
(as a % of Total Investments*) | |
Consumer Discretionary | | | 13.1 | % | |
Consumer Staples | | | 1.1 | | |
Energy | | | 2.0 | | |
Financials | | | 6.4 | | |
Health Care | | | 18.7 | | |
Industrials | | | 20.1 | | |
Information Technology | | | 27.3 | | |
Materials | | | 1.9 | | |
Telecommunication Services | | | 0.8 | | |
Ulilities | | | 0.6 | | |
Exchange-Traded Funds | | | 0.7 | | |
Short-Term Investments | | | 7.3 | | |
Total | | | 100.0 | % | |
* Derivatives, if any, are excluded from this chart.
PERFORMANCE HIGHLIGHTS
| | Inception | | Six Month Period Ended | | Average Annual Total Return Ended 06/30/2018 | |
| | Date | | 06/30/2018 | | 1 Year | | 5 Years | | 10 Years | | Life of Fund | |
Mid Cap Growth Portfolio Class I | | 11/03/1997 | | 6.62% | | 19.19% | | 12.54% | | 9.51% | | 9.44% | |
Mid Cap Growth Portfolio Class S2 | | 02/18/2003 | | 6.52% | | 18.94% | | 12.20% | | 9.20% | | 9.22% | |
Russell Midcap® Growth Index1,3 | | | | 5.40% | | 18.52% | | 13.37% | | 10.45% | | 8.46% | |
Russell Midcap® Index1,3 | | | | 2.35% | | 12.33% | | 12.22% | | 10.23% | | 9.58% | |
The performance data quoted represent past performance and do not indicate future results. Current performance may be lower or higher than the performance data quoted. For performance data current to the most recent month-end, please visit http://www.nb.com/amtportfolios/performance.
The results shown in the table reflect the reinvestment of income dividends and other distributions, if any. The results do not reflect the effect of taxes a shareholder would pay on Fund distributions or on the redemption of Fund shares. The results do not reflect fees and expenses of the variable annuity and variable life insurance policies or the qualified pension and retirement plans whose proceeds are invested in the Fund.
The investment return and principal value of an investment will fluctuate and shares, when redeemed, may be worth more or less than their original cost.
Returns would have been lower if Neuberger Berman Investment Advisers LLC ("Management") had not reimbursed certain expenses and/or waived a portion of the investment management fees during certain of the periods shown. Repayment by a class (of expenses previously reimbursed and/or fees previously waived by Management) will decrease the class's returns. Please see Note B in the Notes to Financial Statements for specific information regarding expense reimbursement and/or fee waiver arrangements.
As stated in the Fund's most recent prospectus, the total annual operating expense ratios for fiscal year 2017 were 0.95% and 1.20% for Class I and Class S shares, respectively (before expense reimbursements and/or fee waivers, if any). The expense ratio was 1.11% after expense reimbursements and/or fee waivers for Class S shares. The expense ratios for the semi-annual period ended June 30, 2018, can be found in the Financial Highlights section of this report.
2
1 The date used to calculate Life of Fund performance for the index is November 3, 1997, the inception date of the oldest share class.
2 Performance shown prior to February 18, 2003 for Class S shares is that of Class I shares, which has lower expenses and correspondingly higher returns than Class S shares.
3 The Russell Midcap® Growth Index is a float-adjusted market capitalization-weighted index that measures the performance of the mid-cap growth segment of the U.S. equity market. It includes those Russell Midcap® Index companies with higher price-to-book ratios and higher forecasted growth rates. The index is rebalanced annually in June. The Russell Midcap Index is a float-adjusted market capitalization-weighted index that measures the performance of the mid-cap segment of the U.S. equity market. It includes approximately 800 of the smallest securities in the Russell 1000® Index. The index is rebalanced annually in June. Please note that the indices described in this report do not take into account any fees, expenses or tax consequences of investing in the individual securities that they track, and that individuals cannot invest directly in any index. Data about the performance of an index are prepared or obtained by Neuberger Berman Investment Advisers LLC ("Management") and reflect the reinvestment of income dividends and other distributions, if any. The Fund may invest in securities not included in a described index and generally does not invest in all securities included in a described index.
The investments for the Fund are managed by the same portfolio manager(s) who manage(s) one or more other registered funds that have names, investment objectives and investment styles that are similar to those of the Fund. You should be aware that the Fund is likely to differ from those other mutual fund(s) in size, cash flow pattern and tax matters. Accordingly, the holdings and performance of the Fund can be expected to vary from those of the other mutual fund(s).
Shares of the separate Neuberger Berman Advisers Management Trust Portfolios, including the Fund, are not available to the general public. Shares of the Fund may be purchased only by life insurance companies to be held in their separate accounts, which fund variable annuity and variable life insurance policies, and by qualified pension and retirement plans.
Statistics and projections in this report are derived from sources deemed to be reliable but cannot be regarded as a representation of future results of the Fund. This report is prepared for the general information of shareholders and is not an offer of shares of the Fund. Shares are sold only through the currently effective prospectus, which must precede or accompany this report.
The "Neuberger Berman" name and logo and "Neuberger Berman Investment Advisers LLC" name are registered service marks of Neuberger Berman Group LLC. The individual Fund name in this piece is either a service mark or registered service mark of Neuberger Berman Investment Advisers LLC , an affiliate of Neuberger Berman BD LLC, distributor, member FINRA.
© 2018 Neuberger Berman BD LLC, distributor. All rights reserved.
3
Information About Your Fund's Expenses (Unaudited)
As a Fund shareholder, you incur two types of costs: (1) transaction costs such as fees and expenses that are, or may be, imposed under your variable contract or qualified pension plan; and (2) ongoing costs, including management fees, distribution and/or service (12b-1) fees (if applicable), and other Fund expenses. This example is intended to help you understand your ongoing costs (in U.S. dollars) of investing in the Fund and compare these costs with the ongoing costs of investing in other mutual funds.
This table is designed to provide information regarding costs related to your investments. The following examples are based on an investment of $1,000 made at the beginning of the six month period ended June 30, 2018 and held for the entire period. The table illustrates the Fund's costs in two ways:
Actual Expenses and Performance: | | The first section of the table provides information about actual account values and actual expenses in dollars, based on the Fund's actual performance during the period indicated. You may use the information in this line, together with the amount you invested, to estimate the expenses 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 first section of the table under the heading entitled "Expenses Paid During the Period" to estimate the expenses you paid over the period. | |
Hypothetical Example for Comparison Purposes: | | The second section of the table provides information about hypothetical account values and hypothetical expenses based on the Fund's actual expense ratio and an assumed rate of return at 5% per year before expenses. This return is not the Fund's actual return. The hypothetical account values and expenses may not be used to estimate the actual ending account balance or expenses you paid for the period. You may use this information to compare the ongoing costs of investing in this Fund versus other funds. To do so, compare the expenses shown in this 5% hypothetical example with the 5% hypothetical examples that appear in the shareholder reports of other funds. | |
Please note that the expenses in the table are meant to highlight your ongoing costs only and do not include any transaction costs, such as fees and expenses that are, or may be imposed under your variable contract or qualified pension plan. Therefore, the information under the heading "Hypothetical (5% annual return before expenses)" is useful in comparing ongoing costs only, and will not help you determine the relative total costs of owning different funds. In addition, if these transaction costs were included, your costs would have been higher.
Expense Example (Unaudited)
NEUBERGER BERMAN ADVISERS MANAGEMENT TRUST MID CAP GROWTH PORTFOLIO
Actual | | Beginning Account Value 1/1/18 | | Ending Account Value 6/30/18 | | Expenses Paid During the Period 1/1/18 – 6/30/18 | | Expense Ratio | |
Class I | | $ | 1,000.00 | | | $ | 1,066.20 | | | $ | 4.71 | (a) | | | 0.92 | % | |
Class S | | $ | 1,000.00 | | | $ | 1,065.20 | | | $ | 5.63 | (a) | | | 1.10 | % | |
Hypothetical (5% annual return before expenses) | |
Class I | | $ | 1,000.00 | | | $ | 1,020.23 | | | $ | 4.61 | (b) | | | 0.92 | % | |
Class S | | $ | 1,000.00 | | | $ | 1,019.34 | | | $ | 5.51 | (b) | | | 1.10 | % | |
(a) For each class, expenses are equal to the annualized expense ratio for the class, multiplied by the average account value over the period, multiplied by 181/365 (to reflect the one-half year period shown).
(b) Hypothetical expenses are equal to the annualized expense ratios for each class, multiplied by the average account value over the period (assuming a 5% annual return), multiplied by 181/365 (to reflect the one-half year period shown).
4
Schedule of Investments Mid Cap Growth Portfolio (Unaudited) June 30, 2018
NUMBER OF SHARES | | | | VALUE | |
Common Stocks 93.7% | | | |
Aerospace & Defense 1.6% | | | |
| 31,500 | | | Harris Corp. | | $ | 4,553,010 | | |
| 37,500 | | | KLX, Inc. | | | 2,696,250 | * | |
| | | 7,249,260 | | |
Auto Components 1.5% | | | |
| 50,000 | | | Aptiv PLC | | | 4,581,500 | | |
| 46,666 | | | Delphi Technologies PLC | | | 2,121,436 | | |
| | | 6,702,936 | | |
Banks 3.3% | | | |
| 42,500 | | | Comerica, Inc. | | | 3,864,100 | | |
| 57,500 | | | East West Bancorp, Inc. | | | 3,749,000 | | |
| 25,500 | | | SVB Financial Group | | | 7,363,380 | * | |
| | | 14,976,480 | | |
Biotechnology 7.0% | | | |
| 35,000 | | | Agios Pharmaceuticals, Inc. | | | 2,948,050 | * | |
| 155,000 | | | Array BioPharma, Inc. | | | 2,600,900 | * | |
| 52,500 | | | BioMarin Pharmaceutical, Inc. | | | 4,945,500 | * | |
| 205,000 | | | Exelixis, Inc. | | | 4,411,600 | * | |
| 70,000 | | | Incyte Corp. | | | 4,690,000 | * | |
| 70,000 | | | Neurocrine Biosciences, Inc. | | | 6,876,800 | * | |
| 27,500 | | | Sarepta Therapeutics, Inc. | | | 3,634,950 | * | |
| 20,000 | | | Seattle Genetics, Inc. | | | 1,327,800 | * | |
| | | 31,435,600 | | |
Capital Markets 3.2% | | | |
| 20,000 | | | Affiliated Managers Group, Inc. | | | 2,973,400 | | |
| 40,000 | | | Cboe Global Markets, Inc. | | | 4,162,800 | | |
| 10,000 | | | MarketAxess Holdings, Inc. | | | 1,978,600 | | |
| 57,500 | | | Raymond James Financial, Inc. | | | 5,137,625 | | |
| | | 14,252,425 | | |
Chemicals 0.9% | | | |
| 92,500 | | | Chemours Co. | | | 4,103,300 | | |
Commercial Services & Supplies 3.7% | | | |
| 60,000 | | | Brink's Co. | | | 4,785,000 | | |
| 33,000 | | | Cintas Corp. | | | 6,107,310 | | |
| 75,750 | | | Waste Connections, Inc. | | | 5,702,460 | | |
| | | 16,594,770 | | |
Communications Equipment 2.3% | | | |
| 16,500 | | | Arista Networks, Inc. | | | 4,248,585 | * | |
| 52,500 | | | Motorola Solutions, Inc. | | | 6,109,425 | | |
| | | 10,358,010 | | |
NUMBER OF SHARES | | | | VALUE | |
Construction & Engineering 0.7% | | | |
| 60,000 | | | MasTec, Inc. | | $ | 3,045,000 | * | |
Containers & Packaging 1.0% | | | |
| 40,000 | | | Packaging Corp. of America | | | 4,471,600 | | |
Diversified Consumer Services 2.1% | | | |
| 53,050 | | | Bright Horizons Family Solutions, Inc. | | | 5,438,686 | * | |
| 112,750 | | | Service Corp. International | | | 4,035,323 | | |
| | | 9,474,009 | | |
Diversified Telecommunication Services 0.8% | | | |
| 100,500 | | | Zayo Group Holdings, Inc. | | | 3,666,240 | * | |
Electrical Equipment 1.9% | | | |
| 75,000 | | | AMETEK, Inc. | | | 5,412,000 | | |
| 19,500 | | | Rockwell Automation, Inc. | | | 3,241,485 | | |
| | | 8,653,485 | | |
Electronic Equipment, Instruments & Components 5.2% | | | |
| 71,000 | | | Amphenol Corp. Class A | | | 6,187,650 | | |
| 87,500 | | | CDW Corp. | | | 7,069,125 | | |
| 80,000 | | | Cognex Corp. | | | 3,568,800 | | |
| 10,000 | | | IPG Photonics Corp. | | | 2,206,300 | * | |
| 135,000 | | | Trimble, Inc. | | | 4,433,400 | * | |
| | | 23,465,275 | | |
Equity Real Estate Investment Trusts 0.7% | | | |
| 52,500 | | | CyrusOne, Inc. | | | 3,063,900 | | |
Food Products 0.7% | | | |
| 45,000 | | | Lamb Weston Holdings, Inc. | | | 3,082,950 | | |
Health Care Equipment & Supplies 5.2% | | | |
| 8,000 | | | ABIOMED, Inc. | | | 3,272,400 | * | |
| 10,000 | | | Align Technology, Inc. | | | 3,421,400 | * | |
| 37,500 | | | AxoGen, Inc. | | | 1,884,375 | * | |
| 25,100 | | | Edwards Lifesciences Corp. | | | 3,653,807 | * | |
| 45,000 | | | Hill-Rom Holdings, Inc. | | | 3,930,300 | | |
| 80,000 | | | Merit Medical Systems, Inc. | | | 4,096,000 | * | |
| 40,000 | | | Nevro Corp. | | | 3,194,000 | * | |
| | | 23,452,282 | | |
Health Care Providers & Services 1.4% | | | |
| 52,500 | | | Encompass Health Corp. | | | 3,555,300 | | |
| 72,500 | | | Tivity Health, Inc. | | | 2,552,000 | * | |
| | | 6,107,300 | | |
See Notes to Financial Statements
5
Schedule of Investments Mid Cap Growth Portfolio (Unaudited) (cont'd)
NUMBER OF SHARES | | | | VALUE | |
Health Care Technology 1.0% | | | |
| 60,000 | | | Veeva Systems, Inc. Class A | | $ | 4,611,600 | * | |
Hotels, Restaurants & Leisure 4.4% | | | |
| 98,500 | | | Aramark | | | 3,654,350 | | |
| 137,500 | | | MGM Resorts International | | | 3,991,625 | | |
| 65,000 | | | Norwegian Cruise Line Holdings Ltd. | | | 3,071,250 | * | |
| 90,000 | | | Red Rock Resorts, Inc. Class A | | | 3,015,000 | | |
| 22,500 | | | Vail Resorts, Inc. | | | 6,169,275 | | |
| | | 19,901,500 | | |
Household Products 0.4% | | | |
| 35,000 | | | Church & Dwight Co., Inc. | | | 1,860,600 | | |
Independent Power and Renewable Electricity Producers 0.6% | | | |
| 120,000 | | | Vistra Energy Corp. | | | 2,839,200 | * | |
Industrial Conglomerates 1.4% | | | |
| 23,500 | | | Roper Technologies, Inc. | | | 6,483,885 | | |
Internet Software & Services 2.9% | | | |
| 22,500 | | | IAC/InterActiveCorp | | | 3,431,025 | * | |
| 15,000 | | | MercadoLibre, Inc. | | | 4,483,950 | | |
| 102,500 | | | Nutanix, Inc. Class A | | | 5,285,925 | * | |
| | | 13,200,900 | | |
IT Services 4.7% | | | |
| 50,000 | | | DXC Technology Co. | | | 4,030,500 | | |
| 62,500 | | | Global Payments, Inc. | | | 6,968,125 | | |
| 25,000 | | | Perspecta, Inc. | | | 513,750 | | |
| 100,000 | | | Square, Inc. Class A | | | 6,164,000 | * | |
| 40,000 | | | Total System Services, Inc. | | | 3,380,800 | | |
| | | 21,057,175 | | |
Life Sciences Tools & Services 2.7% | | | |
| 24,500 | | | Bio-Rad Laboratories, Inc. Class A | | | 7,069,230 | * | |
| 54,000 | | | PRA Health Sciences, Inc. | | | 5,041,440 | * | |
| | | 12,110,670 | | |
Machinery 5.4% | | | |
| 70,000 | | | Fortive Corp. | | | 5,397,700 | | |
| 125,000 | | | Gardner Denver Holdings, Inc. | | | 3,673,750 | * | |
| 44,000 | | | IDEX Corp. | | | 6,005,120 | | |
| 20,000 | | | John Bean Technologies Corp. | | | 1,778,000 | | |
| 146,750 | | | Milacron Holdings Corp. | | | 2,777,977 | * | |
| 35,000 | | | Stanley Black & Decker, Inc. | | | 4,648,350 | | |
| | | 24,280,897 | | |
NUMBER OF SHARES | | | | VALUE | |
Media 0.7% | | | |
| 175,000 | | | Altice USA, Inc. Class A | | $ | 2,985,500 | | |
Oil, Gas & Consumable Fuels 2.0% | | | |
| 25,000 | | | Concho Resources, Inc. | | | 3,458,750 | * | |
| 130,000 | | | Devon Energy Corp. | | | 5,714,800 | | |
| | | 9,173,550 | | |
Pharmaceuticals 1.8% | | | |
| 62,500 | | | Aerie Pharmaceuticals, Inc. | | | 4,221,875 | * | |
| 23,500 | | | Jazz Pharmaceuticals PLC | | | 4,049,050 | * | |
| | | 8,270,925 | | |
Professional Services 2.3% | | | |
| 25,000 | | | CoStar Group, Inc. | | | 10,315,750 | * | |
Road & Rail 1.9% | | | |
| 34,500 | | | J.B. Hunt Transport Services, Inc. | | | 4,193,475 | | |
| 30,000 | | | Old Dominion Freight Line, Inc. | | | 4,468,800 | | |
| | | 8,662,275 | | |
Semiconductors & Semiconductor Equipment 3.5% | | | |
| 17,500 | | | Lam Research Corp. | | | 3,024,875 | | |
| 65,000 | | | Microchip Technology, Inc. | | | 5,911,750 | (a) | |
| 50,000 | | | Monolithic Power Systems, Inc. | | | 6,683,500 | | |
| | | 15,620,125 | | |
Software 9.2% | | | |
| 40,000 | | | Autodesk, Inc. | | | 5,243,600 | * | |
| 34,000 | | | Electronic Arts, Inc. | | | 4,794,680 | * | |
| 60,000 | | | Proofpoint, Inc. | | | 6,918,600 | * | |
| 47,500 | | | RingCentral, Inc. Class A | | | 3,341,625 | * | |
| 40,000 | | | ServiceNow, Inc. | | | 6,898,800 | * | |
| 35,000 | | | Splunk, Inc. | | | 3,468,850 | * | |
| 70,000 | | | Take-Two Interactive Software, Inc. | | | 8,285,200 | * | |
| 12,500 | | | Tyler Technologies, Inc. | | | 2,776,250 | * | |
| | | 41,727,605 | | |
Specialty Retail 4.7% | | | |
| 47,000 | | | Burlington Stores, Inc. | | | 7,074,910 | * | |
| 64,000 | | | Five Below, Inc. | | | 6,253,440 | * | |
| 100,000 | | | Hudson Ltd. Class A | | | 1,749,000 | * | |
| 73,000 | | | Ross Stores, Inc. | | | 6,186,750 | | |
| | | 21,264,100 | | |
Trading Companies & Distributors 0.9% | | | |
| 27,500 | | | United Rentals, Inc. | | | 4,059,550 | * | |
| | | | Total Common Stocks (Cost $311,842,357) | | | 422,580,629 | | |
See Notes to Financial Statements
6
Schedule of Investments Mid Cap Growth Portfolio (Unaudited) (cont'd)
NUMBER OF SHARES | | | | VALUE | |
Exchange-Traded Funds 0.7% | | | |
| 25,000 | | | iShares Russell Mid-Cap Growth ETF (Cost $2,836,676) | | $ | 3,168,250 | (a) | |
Short-Term Investments 7.4% | | | |
Investment Companies 7.4% | | | |
| 27,057,182 | | | State Street Institutional U.S. Government Money Market Fund Premier Class, 1.82%(b) | | | 27,057,182 | | |
| 6,167,636 | | | State Street Navigator Securities Lending Government Money Market Portfolio, 1.93%(b) | | | 6,167,636 | (c) | |
| | | | Total Short-Term Investments (Cost $33,224,818) | | | 33,224,818 | | |
| | | | Total Investments 101.8% (Cost $347,903,851) | | | 458,973,697 | | |
| | | | Liabilities Less Other Assets (1.8)% | | | (7,985,527 | ) | |
| | | | Net Assets 100.0% | | $ | 450,988,170 | | |
* Non-income producing security.
(a) The security or a portion of this security is on loan at June 30, 2018. Total value of all such securities at June 30, 2018 amounted to $6,079,791 for the Fund.
(b) Represents 7-day effective yield as of June 30, 2018.
(c) Represents investment of cash collateral received from securities lending.
The following is a summary, categorized by Level (see Note A of Notes to Financial Statements), of inputs used to value the Fund's investments as of June 30, 2018:
Asset Valuation Inputs | | Level 1 | | Level 2 | | Level 3 | | Total | |
Investments: | |
Common Stocks(a) | | $ | 422,580,629 | | | $ | — | | | $ | — | | | $ | 422,580,629 | | |
Exchange-Traded Funds | | | 3,168,250 | | | | — | | | | — | | | | 3,168,250 | | |
Short-Term Investments | | | — | | | | 33,224,818 | | | | — | | | | 33,224,818 | | |
Total Investments | | $ | 425,748,879 | | | $ | 33,224,818 | | | $ | — | | | $ | 458,973,697 | | |
(a) The Schedule of Investments provides information on the industry categorization for the portfolio.
As of the six months ended June 30, 2018, no securities were transferred from one level (as of December 31, 2017) to another.
See Notes to Financial Statements
7
Statement of Assets and Liabilities (Unaudited)
Neuberger Berman Advisers Management Trust
| | MID CAP GROWTH PORTFOLIO | |
| | June 30, 2018 | |
Assets | | | |
Investments in securities, at value*† (Note A)—see Schedule of Investments: | |
Unaffiliated issuers(a) | | $ | 458,973,697 | | |
Dividends and interest receivable | | | 259,548 | | |
Receivable for Fund shares sold | | | 18,336 | | |
Receivable for securities lending income (Note A) | | | 12,501 | | |
Prepaid expenses and other assets | | | 18,384 | | |
Total Assets | | | 459,282,466 | | |
Liabilities | | | |
Payable to investment manager (Note B) | | | 204,562 | | |
Payable for securities purchased | | | 413,305 | | |
Payable for Fund shares redeemed | | | 1,299,265 | | |
Payable to administrator—net (Note B) | | | 162,634 | | |
Payable to trustees | | | 129 | | |
Payable for loaned securities collateral (Note A) | | | 6,167,636 | | |
Accrued expenses and other payables | | | 46,765 | | |
Total Liabilities | | | 8,294,296 | | |
Net Assets | | $ | 450,988,170 | | |
Net Assets consist of: | | | |
Paid-in capital | | $ | 284,156,424 | | |
Undistributed net investment income/(loss) | | | (670,906 | ) | |
Accumulated net realized gains/(losses) on investments | | | 56,432,806 | | |
Net unrealized appreciation/(depreciation) in value of investments | | | 111,069,846 | | |
Net Assets | | $ | 450,988,170 | | |
Net Assets | | | |
Class I | | $ | 108,902,334 | | |
Class S | | | 342,085,836 | | |
Shares Outstanding ($.001 par value; unlimited shares authorized) | | | |
Class I | | | 3,675,279 | | |
Class S | | | 12,460,879 | | |
Net Asset Value, offering and redemption price per share | | | |
Class I | | $ | 29.63 | | |
Class S | | | 27.45 | | |
†Securities on loan, at value: | | | |
Unaffiliated issuers | | $ | 6,079,791 | | |
*Cost of Investments: | | | |
(a) Unaffiliated issuers | | $ | 347,903,851 | | |
See Notes to Financial Statements
8
Statement of Operations (Unaudited)
Neuberger Berman Advisers Management Trust
| | MID CAP GROWTH PORTFOLIO | |
| | For the Six Months Ended June 30, 2018 | |
Investment Income: | |
Income (Note A): | |
Dividend income—unaffiliated issuers | | $ | 1,503,789 | | |
Interest income—unaffiliated issuers | | | 147,518 | | |
Income from securities loaned—net (Note A) | | | 20,745 | | |
Foreign taxes withheld (Note A) | | | (3,180 | ) | |
Total income | | $ | 1,668,872 | | |
Expenses: | |
Investment management fees (Note B) | | | 1,191,721 | | |
Administration fees (Note B): | |
Class I | | | 164,239 | | |
Class S | | | 499,034 | | |
Distribution fees (Note B): | |
Class S | | | 415,862 | | |
Audit fees | | | 23,088 | | |
Custodian and accounting fees | | | 28,652 | | |
Insurance expense | | | 6,081 | | |
Legal fees | | | 81,028 | | |
Shareholder reports | | | 12,744 | | |
Trustees' fees and expenses | | | 21,336 | | |
Miscellaneous | | | 11,514 | | |
Total expenses | | | 2,455,299 | | |
Expenses reimbursed by Management (Note B) | | | (115,521 | ) | |
Total net expenses | | | 2,339,778 | | |
Net investment income/(loss) | | $ | (670,906 | ) | |
Realized and Unrealized Gain/(Loss) on Investments (Note A): | |
Net realized gain/(loss) on: | |
Transactions in investment securities of unaffiliated issuers | | | 22,182,180 | | |
Settlement of foreign currency transactions | | | 10 | | |
Change in net unrealized appreciation/(depreciation) in value of: | |
Investment securities of unaffiliated issuers | | | 6,270,101 | | |
Net gain/(loss) on investments | | | 28,452,291 | | |
Net increase/(decrease) in net assets resulting from operations | | $ | 27,781,385 | | |
See Notes to Financial Statements
9
Statements of Changes in Net Assets
Neuberger Berman Advisers Management Trust
| | MID CAP GROWTH PORTFOLIO | |
| | Six Months Ended June 30, 2018 (Unaudited) | | Year Ended December 31, 2017 | |
Increase/(Decrease) in Net Assets: | |
From Operations (Note A): | |
Net investment income/(loss) | | $ | (670,906 | ) | | $ | (1,434,739 | ) | |
Net realized gain/(loss) on investments | | | 22,182,190 | | | | 35,848,629 | | |
Change in net unrealized appreciation/(depreciation) of investments | | | 6,270,101 | | | | 48,640,801 | | |
Net increase/(decrease) in net assets resulting from operations | | | 27,781,385 | | | | 83,054,691 | | |
Distributions to Shareholders From (Note A): | |
Net realized gain on investments: | |
Class I | | | — | | | | (1,908,113 | ) | |
Class S | | | — | | | | (6,175,835 | ) | |
Total distributions to shareholders | | | — | | | | (8,083,948 | ) | |
From Fund Share Transactions (Note D): | |
Proceeds from shares sold: | |
Class I | | | 4,329,507 | | | | 11,405,854 | | |
Class S | | | 13,110,117 | | | | 23,967,787 | | |
Proceeds from reinvestment of dividends and distributions: | |
Class I | | | — | | | | 1,908,113 | | |
Class S | | | — | | | | 6,175,835 | | |
Payments for shares redeemed: | |
Class I | | | (8,895,194 | ) | | | (12,440,891 | ) | |
Class S | | | (9,431,719 | ) | | | (12,114,888 | ) | |
Net increase/(decrease) from Fund share transactions | | | (887,289 | ) | | | 18,901,810 | | |
Net Increase/(Decrease) in Net Assets | | | 26,894,096 | | | | 93,872,553 | | |
Net Assets: | |
Beginning of period | | | 424,094,074 | | | | 330,221,521 | | |
End of period | | $ | 450,988,170 | | | $ | 424,094,074 | | |
Undistributed net investment income/(loss) at end of period | | $ | (670,906 | ) | | $ | — | | |
See Notes to Financial Statements
10
Notes to Financial Statements Mid Cap Growth Portfolio (Unaudited)
Note A—Summary of Significant Accounting Policies:
1 General: Neuberger Berman Advisers Management Trust (the "Trust") is a Delaware statutory trust organized pursuant to an Amended and Restated Trust Instrument dated March 27, 2014. The Trust is currently comprised of eight separate operating series (each individually a "Fund," and collectively the "Funds") each of which is diversified. The Trust is registered as an open-end management investment company under the Investment Company Act of 1940, as amended (the "1940 Act"), and its shares are registered under the Securities Act of 1933, as amended. Neuberger Berman Advisers Management Trust Mid Cap Growth Portfolio (the "Fund") currently offers Class I and Class S shares. The Trust's Board of Trustees (the "Board") may establish additional series or classes of shares without the approval of shareholders.
The assets of each Fund belong only to that Fund, and the liabilities of each Fund are borne solely by that Fund and no other.
The Fund is an investment company and accordingly follows the investment company accounting and reporting guidance of the Financial Accounting Standards Board ("FASB") Accounting Standards Codification ("ASC") Topic 946 "Financial Services—Investment Companies."
The preparation of financial statements in accordance with U.S. generally accepted accounting principles ("GAAP") requires Neuberger Berman Investment Advisers LLC ("Management") to make estimates and assumptions at the date of the financial statements. Actual results could differ from those estimates.
Shares of the Fund are not available to the general public and may be purchased only by life insurance companies to serve as an investment vehicle for premiums paid under their variable annuity and variable life insurance contracts and to certain qualified pension and other retirement plans.
2 Portfolio valuation: In accordance with ASC 820 "Fair Value Measurement" ("ASC 820"), all investments held by the Fund are carried at the value that Management believes the Fund would receive upon selling an investment in an orderly transaction to an independent buyer in the principal or most advantageous market for the investment under current market conditions. Various inputs, including the volume and level of activity for the asset or liability in the market, are considered in valuing the Fund's investments, some of which are discussed below. Significant Management judgment may be necessary to value investments in accordance with ASC 820.
ASC 820 established a three-tier hierarchy of inputs to create a classification of value measurements for disclosure purposes. The three-tier hierarchy of inputs is summarized in the three broad Levels listed below.
• Level 1—quoted prices in active markets for identical investments
• Level 2—other observable inputs (including quoted prices for similar investments, interest rates, prepayment speeds, credit risk, amortized cost, etc.)
• Level 3—unobservable inputs (including the Fund's own assumptions in determining the fair value of investments)
The inputs or methodology used for valuing an investment are not necessarily an indication of the risk associated with investing in those securities.
The value of the Fund's investments in equity securities and exchange-traded funds ("ETFs"), for which market quotations are readily available, is generally determined by Management by obtaining valuations from independent pricing services based on the latest sale price quoted on a principal exchange or market for that security (Level 1 inputs). Securities traded primarily on the NASDAQ Stock Market are normally valued at the NASDAQ Official Closing Price ("NOCP") provided by NASDAQ each business day. The NOCP is the most recently reported price
11
as of 4:00:02 p.m., Eastern Time, unless that price is outside the range of the "inside" bid and asked prices (i.e., the bid and asked prices that dealers quote to each other when trading for their own accounts); in that case, NASDAQ will adjust the price to equal the inside bid or asked price, whichever is closer. Because of delays in reporting trades, the NOCP may not be based on the price of the last trade to occur before the market closes. If there is no sale of a security on a particular day, the independent pricing services may value the security based on market quotations.
Management has developed a process to periodically review information provided by independent pricing services for all types of securities.
Investments in non-exchange traded investment companies are valued using the respective fund's daily calculated net asset value per share (Level 2 inputs).
If a valuation is not available from an independent pricing service, or if Management has reason to believe that the valuation received does not represent the amount the Fund might reasonably expect to receive on a current sale in an orderly transaction, Management seeks to obtain quotations from brokers or dealers (generally considered Level 2 or Level 3 inputs depending on the number of quotes available). If such quotations are not readily available, the security is valued using methods the Board has approved in the good-faith belief that the resulting valuation will reflect the fair value of the security. Numerous factors may be considered when determining the fair value of a security based on Level 2 or Level 3 inputs, including available analyst, media or other reports, securities within the same industry with recent highly correlated performance, trading in futures or American Depositary Receipts and whether the issuer of the security being fair valued has other securities outstanding.
Fair value prices are necessarily estimates, and there is no assurance that such a price will be at or close to the price at which the security is next quoted or next trades.
3 Foreign currency translations: The accounting records of the Fund are maintained in U.S. dollars. Foreign currency amounts are normally translated into U.S. dollars using the exchange rate as of 4:00 p.m. Eastern Time, on days the NYSE is open for business, to determine the value of investments, other assets and liabilities. Purchase and sale prices of securities, and income and expenses, are translated into U.S. dollars at the prevailing rate of exchange on the respective dates of such transactions. Net unrealized foreign currency gain/(loss), if any, arises from changes in the value of assets and liabilities, other than investments in securities, as a result of changes in exchange rates and is stated separately in the Statement of Operations.
4 Securities transactions and investment income: Securities transactions are recorded on trade date for financial reporting purposes. Dividend income is recorded on the ex-dividend date or, for certain foreign dividends, as soon as the Fund becomes aware of the dividends. Non-cash dividends included in dividend income, if any, are recorded at the fair market value of the securities received. Interest income, including accretion of original issue discount, where applicable, and accretion of discount on short-term investments, if any, is recorded on the accrual basis. Realized gains and losses from securities transactions and foreign currency transactions, if any, are recorded on the basis of identified cost and stated separately in the Statement of Operations. Included in net realized gain/(loss) on investments are proceeds from the settlements of class action litigation in which the Fund participated as a class member. The amount of such proceeds for the six months ended June 30, 2018 was $20,269.
5 Income tax information: The Fund is treated as a separate entity for U.S. federal income tax purposes. It is the policy of the Fund to continue to qualify for treatment as a regulated investment company ("RIC") by complying with the requirements of the U.S. Internal Revenue Code applicable to RICs and to distribute substantially all of its net investment income and net realized capital gains to its shareholders. To the extent the Fund distributes substantially all of its net investment income and net realized capital gains to shareholders, no federal income or excise tax provision is required.
The Fund has adopted the provisions of ASC 740 "Income Taxes" ("ASC 740"). ASC 740 sets forth a minimum threshold for financial statement recognition of a tax position taken, or expected to be taken, in a tax return. The Fund recognizes interest and penalties, if any, related to unrecognized tax positions as an income tax expense in the Statement of Operations. The Fund is subject to examination by U.S. federal and state tax authorities for returns
12
filed for the tax years for which the applicable statutes of limitations have not yet expired. As of June 30, 2018, the Fund did not have any unrecognized tax positions.
At June 30, 2018, the cost of long security positions and derivative instruments (if any) for U.S. federal income tax purposes was $348,042,463. Gross unrealized appreciation of long security positions was $115,777,836 and gross unrealized depreciation of long security positions was $4,846,602 resulting in net unrealized appreciation of $110,931,234 based on cost for U.S. federal income tax purposes.
Income distributions and capital gain distributions are determined in accordance with income tax regulations, which may differ from GAAP. These differences are primarily due to differing treatments of income and gains on various investment securities held by the Fund, timing differences and differing characterization of distributions made by the Fund. The Fund may also utilize earnings and profits distributed to shareholders on redemption of their shares as a part of the dividends-paid deduction for income tax purposes.
As determined on December 31, 2017, permanent differences resulting primarily from different book and tax accounting were reclassified at year end. Such differences are attributed to the tax treatment of net operating losses netted against short term capital gains, adjustments related to real estate investment trusts ("REITs"), non-taxable adjustments to income and foreign currency gains and losses and prior year REIT/non-REIT adjustments. These reclassifications had no effect on net income, net asset value ("NAV") or NAV per share of the Fund. For the year ended December 31, 2017, the Fund recorded the following permanent reclassifications:
Paid-in Capital | | Undistributed Net Investment Income/(Loss) | | Accumulated Net Realized Gains/(Losses) on Investments | |
$ | (56,063 | ) | | $ | 1,434,739 | | | $ | (1,378,676 | ) | |
The tax character of distributions paid during the years ended December 31, 2017 and December 31, 2016 was as follows:
Distributions Paid From: | |
Ordinary Income | | Long-Term Capital Gain | | Total | |
2017 | | 2016 | | 2017 | | 2016 | | 2017 | | 2016 | |
$ | — | | | $ | — | | | $ | 8,083,948 | | | $ | 15,899,098 | | | $ | 8,083,948 | | | $ | 15,899,098 | | |
As of December 31, 2017, the components of distributable earnings (accumulated losses) on a U.S. federal income tax basis were as follows:
Undistributed Ordinary Income | | Undistributed Long-Term Capital Gain | | Unrealized Appreciation/ (Depreciation) | | Loss Carryforwards and Deferrals | | Other Temporary Differences | | Total | |
$ | 5,444,501 | | | $ | 29,007,941 | | | $ | 104,597,919 | | | $ | — | | | $ | — | | | $ | 139,050,361 | | |
The temporary difference between book basis and tax basis distributable earnings is primarily due to losses disallowed and recognized on wash sales and tax adjustments related to REITs.
6 Distributions to shareholders: The Fund may earn income, net of expenses, daily on its investments. Distributions from net investment income and net realized capital gains, if any, are generally distributed once a year (usually in October). Income distributions and capital gain distributions to shareholders are recorded on the ex-date.
7 Foreign taxes: Foreign taxes withheld, if any, represent amounts withheld by foreign tax authorities, net of refunds recoverable.
8 Expense allocation: Certain expenses are applicable to multiple funds within the complex of related investment companies. Expenses directly attributable to a fund are charged to that fund. Expenses of the Trust that are not directly attributable to a particular series of the Trust (e.g., the Fund) are allocated among the series of the Trust, on
13
the basis of relative net assets, except where a more appropriate allocation of expenses to each of the series can otherwise be made fairly. Expenses borne by the complex of related investment companies, which includes open-end and closed-end investment companies for which Management serves as investment manager, that are not directly attributable to a particular investment company in the complex (e.g., the Trust) or series thereof are allocated among the investment companies in the complex or series thereof on the basis of relative net assets, except where a more appropriate allocation of expenses to each of the investment companies in the complex or series thereof can otherwise be made fairly. The Fund's expenses (other than those specific to each class) are allocated proportionally each day among the classes based upon the relative net assets of each class.
9 Investments in foreign securities: Investing in foreign securities may involve sovereign and other risks, in addition to the credit and market risks normally associated with domestic securities. These additional risks include the possibility of adverse political and economic developments (including political instability, nationalization, expropriation, or confiscatory taxation) and the potentially adverse effects of unavailability of public information regarding issuers, less governmental supervision and regulation of financial markets, reduced liquidity of certain financial markets, and the lack of uniform accounting, auditing, and financial reporting standards or the application of standards that are different or less stringent than those applied in the United States. Foreign securities also may experience greater price volatility, higher rates of inflation, and delays in settlement.
10 Investment company securities and exchange-traded funds: The Fund may invest in shares of other registered investment companies, including ETFs, within the limitations prescribed by the 1940 Act or pursuant to an exemptive order from the Securities and Exchange Commission that permits the Fund to invest in both affiliated and unaffiliated investment companies, including ETFs, in excess of the limits in Section 12(d)(1)(A) of the 1940 Act, as amended, subject to the terms and conditions of such order. Some ETFs seek to track the performance of a particular market index. These indices include both broad-based market indices and more narrowly-based indices, including those relating to particular sectors, markets, regions or industries. However, some ETFs have an actively-managed investment objective. ETF shares are traded like traditional equity securities on a national securities exchange or NASDAQ. The Fund will indirectly bear its proportionate share of any management fees and other expenses paid by such other investment companies, which will increase expenses and decrease returns.
11 Securities Lending: The Fund, using State Street Bank and Trust Company ("State Street") as its lending agent, may loan securities to qualified brokers and dealers in exchange for negotiated lender's fees. These fees, if any, would be disclosed within the Statement of Operations under the caption "Income from securities loaned-net" and are net of expenses retained by State Street as compensation for its services as lending agent. For the six months ended June 30, 2018, the Fund received income under the securities lending arrangement of $20,745.
The initial cash collateral received by the Fund at the beginning of each transaction shall have a value equal to at least 102% of the prior day's market value of the loaned securities (105% in the case of international securities). The Fund may only receive collateral in the form of cash (U.S. dollars). Cash collateral is generally invested in a money market fund registered under the 1940 Act that is managed by an affiliate of State Street. The risks associated with lending portfolio securities include, but are not limited to, possible delays in receiving additional collateral or in the recovery of the loaned securities.
As of June 30, 2018, the Fund had outstanding loans of securities to certain brokers, with a value of $6,079,791, for which it received collateral as follows:
| | Remaining Contractual Maturity of the Agreements | |
| | Overnight and Continuous | | Less Than 30 Days | | Between 30 & 90 Days | | Greater Than 90 Days | | Total | |
Securities Lending Transactions(a) | |
Common Stocks | | $ | 5,995,604 | | | $ | — | | | $ | — | | | $ | — | | | $ | 5,995,604 | | |
Exchange-Traded Funds | | | 172,032 | | | | — | | | | — | | | | — | | | | 172,032 | | |
Total Securities Lending Transactions | | $ | 6,167,636 | | | $ | — | | | $ | — | | | $ | — | | | $ | 6,167,636 | | |
(a) Amounts represent the payable for loaned securities collateral received.
14
The Fund discloses both gross and net information for assets and liabilities related to derivatives, repurchase and reverse repurchase agreements, and securities lending and securities borrowing transactions, if any, that are eligible for offset or subject to an enforceable master netting or similar agreement. The following tables present the Fund's securities lending assets and liabilities by counterparty, net of amounts available for offset under a master netting or similar agreement and net of the related collateral received by the Fund for assets and pledged by the Fund for liabilities as of June 30, 2018.
Description | | Gross Amounts of Recognized Assets | | Gross Amounts Offset in the Statement of Assets and Liabilities | | Net Amounts of Assets Presented in the Statement of Assets and Liabilities | |
Securities lending | | $ | 6,079,791 | | | $ | — | | | $ | 6,079,791 | | |
Total | | $ | 6,079,791 | | | $ | — | | | $ | 6,079,791 | | |
Gross Amounts Not Offset in the Statement of Assets and Liabilities
Counterparty | | Net Amounts of Assets Presented in the Statement of Assets and Liabilities | | Liabilities Available for Offset | | Collateral Received(a) | | Net Amount(b) | |
State Street Bank and Trust Company | | $ | 6,079,791 | | | $ | — | | | $ | (6,079,791 | ) | | $ | — | | |
Total | | $ | 6,079,791 | | | $ | — | | | $ | (6,079,791 | ) | | $ | — | | |
(a) Collateral received (or pledged) is limited to an amount not to exceed 100% of the net amount of assets (or liabilities) in the tables presented above.
(b) Net Amount represents amounts subject to loss at June 30, 2018, in the event of a counterparty failure.
12 Indemnifications: Like many other companies, the Trust's organizational documents provide that its officers and trustees are indemnified against certain liabilities arising out of the performance of their duties to the Trust. In addition, both in some of its principal service contracts and in the normal course of its business, the Trust enters into contracts that provide indemnifications to other parties for certain types of losses or liabilities. The Trust's maximum exposure under these arrangements is unknown as this could involve future claims against the Trust.
13 Other: All net investment income and realized and unrealized capital gains and losses of the Fund are allocated, on the basis of relative net assets, pro rata among its respective classes.
Note B—Investment Management Fees, Administration Fees, Distribution Arrangements, and Other Transactions with Affiliates:
The Fund retains Management as its investment manager under a Management Agreement. For such investment management services, the Fund pays Management a fee at the annual rate of 0.55% of the first $250 million of the Fund's average daily net assets, 0.525% of the next $250 million, 0.50% of the next $250 million, 0.475% of the next $250 million, 0.45% of the next $500 million, 0.425% of the next $2.5 billion, and 0.40% of average daily net assets in excess of $4 billion. Accordingly, for the six months ended June 30, 2018, the investment management fee pursuant to the Management Agreement was equivalent to an annual effective rate of 0.54% of the Fund's average daily net assets.
The Fund retains Management as its administrator under an Administration Agreement. Each class pays Management an administration fee at the annual rate of 0.30% of its average daily net assets under this agreement. Additionally, Management retains State Street as its sub-administrator under a Sub-Administration Agreement. Management pays State Street a fee for all services received under the Sub-Administration Agreement.
Management has contractually agreed to waive fees and/or reimburse the Fund's Class I and Class S shares so that the total annual operating expenses of those classes do not exceed the expense limitations as detailed in the
15
following table. These undertakings include fees payable to Management for the Fund's Class S shares but exclude such fees payable for the Fund's Class I shares and exclude, for each class, interest, taxes, transaction costs, brokerage commissions, acquired fund fees and expenses, extraordinary expenses, and dividend and interest expenses relating to short sales, if any (commitment fees relating to borrowings are treated as interest for purposes of this exclusion) ("annual operating expenses"); consequently, net expenses may exceed the contractual expense limitations. The Fund has agreed that each of its classes will repay Management for fees and expenses waived or reimbursed for that class provided that repayment does not cause that class's annual operating expenses to exceed its contractual expense limitation in place at the time the fees and expenses were waived or reimbursed, or the expense limitation in place at the time the Fund repays Management, whichever is lower. Any such repayment must be made within three years after the year in which Management incurred the expense.
During the six months ended June 30, 2018, there was no repayment to Management under its contractual expense limitation.
At June 30, 2018, the Fund's contingent liabilities to Management under its contractual expense limitation were as follows:
| | | | | | Expenses Reimbursed in Year Ended December 31, | |
| | | | | | 2015 | | 2016 | | 2017 | | 2018 | |
| | | | | | Subject to Repayment until December 31, | |
Class | | Contractual Expense Limitation(a) | | Expiration | | 2018 | | 2019 | | 2020 | | 2021 | |
Class I | | | 1.00 | % | | 12/31/21 | | $ | — | | | $ | — | | | $ | — | | | $ | — | | |
Class S | | | 1.10 | % | | 12/31/21 | | | — | | | | — | | | | 18,432 | | | | 115,521 | | |
(a) Expense limitation per annum of the respective class's average daily net assets.
Neuberger Berman BD LLC (the "Distributor") is the Fund's "principal underwriter" within the meaning of the 1940 Act. It acts as agent in arranging for the sale of the Fund's Class I shares without sales commission or other compensation and bears all advertising and promotion expenses incurred in the sale of those shares. The Board adopted a non-fee distribution plan for the Fund's Class I.
The Board has adopted a distribution and shareholder services plan (the "Plan") for Class S shares pursuant to Rule 12b-1 under the 1940 Act. The Plan provides that, as compensation for administrative and other services related to the sale and distribution of Class S, and ongoing services provided to investors in the class, the Distributor receives from Class S a fee at the annual rate of 0.25% of Class S's average daily net assets. The Distributor may pay a portion of the proceeds from the 12b-1 fee to institutions that provide such services, including insurance companies or their affiliates and qualified plan administrators ("intermediaries") for services they provide respecting the Fund to current and prospective variable contract owners and qualified plan participants that invest in the Fund through the intermediaries. Those institutions may use the payments for, among other purposes, compensating employees engaged in sales and/or shareholder servicing. The amount of fees paid by the class during any year may be more or less than the cost of distribution and other services provided to the class. FINRA rules limit the amount of annual distribution fees that may be paid by a mutual fund and impose a ceiling on the cumulative distribution fees paid. The Plan complies with those rules.
Note C—Securities Transactions:
During the six months ended June 30, 2018, there were purchase and sale transactions of long-term securities of $93,665,339 and $101,078,342, respectively.
During the six months ended June 30, 2018, no brokerage commissions on securities transactions were paid to affiliated brokers.
16
Note D—Fund Share Transactions:
Share activity for the six months ended June 30, 2018 and for the year ended December 31, 2017 was as follows:
For the Six Months Ended June 30, 2018
| | Shares Sold | | Shares Issued on Reinvestment of Dividends and Distributions | |
Shares Redeemed | |
Total | |
Class I | | | 149,322 | | | | — | | | | (304,091 | ) | | | (154,769 | ) | |
Class S | | | 480,712 | | | | — | | | | (348,775 | ) | | | 131,937 | | |
For the Year Ended December 31, 2017
| | Shares Sold | | Shares Issued on Reinvestment of Dividends and Distributions | |
Shares Redeemed | |
Total | |
Class I | | | 456,710 | | | | 72,249 | | | | (492,973 | ) | | | 35,986 | | |
Class S | | | 1,018,271 | | | | 252,075 | | | | (513,879 | ) | | | 756,467 | | |
Note E—Line of Credit:
At June 30, 2018, the Fund was a participant in a syndicated committed, unsecured $700,000,000 line of credit (the "Credit Facility"), to be used only for temporary or emergency purposes. Series of other investment companies managed by Management also participate in this line of credit on substantially the same terms. Interest is charged on borrowings under this Credit Facility at the highest of (a) a federal funds effective rate plus 1.00% per annum, (b) a Eurodollar rate for a one-month period plus 1.00% per annum, and (c) an overnight bank funding rate plus 1.00% per annum. The Credit Facility has an annual commitment fee of 0.15% per annum of the available line of credit, which is paid quarterly. The Fund has agreed to pay its pro rata share of the annual commitment fee, based on the ratio of its individual net assets to the net assets of all participants at the time the fee is due and payable, and interest charged on any borrowing made by the Fund and other costs incurred by the Fund. Because several mutual funds participate in the Credit Facility, there is no assurance that the Fund will have access to all or any part of the $700,000,000 at any particular time. There were no loans outstanding under the Credit Facility at June 30, 2018. During the period ended June 30, 2018, the Fund did not utilize the Credit Facility.
Note F—Custodian Out-of-Pocket Expenses Refunded:
In May 2016, the Fund's custodian, State Street, announced that it had identified inconsistencies in the way in which the Fund was invoiced for categories of expenses, particularly those deemed "out-of-pocket" costs, from 1998 through November 2015. The amounts in the table below represent the refunded expenses and interest determined to be payable to the Fund for the period in question. These amounts were refunded to the Fund by State Street during the year ended December 31, 2017.
Expenses Refunded | | Interest Paid to the Fund | |
$ | 286,595 | | | $ | 34,329 | | |
Note G—Unaudited Financial Information:
The financial information included in this interim report is taken from the records of the Fund without audit by an independent registered public accounting firm. Annual reports contain audited financial statements.
17
Mid Cap Growth Portfolio
The following tables include selected data for a share outstanding throughout each period and other performance information derived from the Financial Statements. Amounts that do not round to $0.01 or $(0.01) per share are presented as $0.00 or $(0.00), respectively. Ratios that do not round to 0.01% or (0.01)% are presented as 0.00% or (0.00)%, respectively. A "—" indicates that the line item was not applicable in the corresponding period.
Class I | |
| | Six Months Ended June 30, | | Year Ended December 31, | |
| | 2018 | | 2017 | | 2016 | | 2015 | | 2014 | | 2013 | |
| | (Unaudited) | | | | | | | | | | | |
Net Asset Value, Beginning of Period | | $ | 27.79 | | | $ | 22.61 | | | $ | 22.73 | | | $ | 24.50 | | | $ | 41.07 | | | $ | 30.97 | | |
Income From Investment Operations: | |
Net Investment Income/(Loss)@ | | | (0.02 | ) | | | 0.01 | | | | (0.08 | ) | | | (0.14 | ) | | | (0.19 | ) | | | (0.19 | ) | |
Net Gains or Losses on Securities (both realized and unrealized) | | | 1.86 | | | | 5.68 | | | | 1.04 | | | | 0.49 | | | | 1.08 | | | | 10.29 | | |
Total From Investment Operations | | | 1.84 | | | | 5.69 | | | | 0.96 | | | | 0.35 | | | | 0.89 | | | | 10.10 | | |
Less Distributions From: | |
Net Realized Capital Gains | | | — | | | | (0.51 | ) | | | (1.08 | ) | | | (2.14 | ) | | | (17.46 | ) | | | — | | |
Voluntary Contribution from Management | | | — | | | | — | | | | — | | | | 0.02 | | | | 0.00 | | | | — | | |
Net Asset Value, End of Period | | $ | 29.63 | | | $ | 27.79 | | | $ | 22.61 | | | $ | 22.73 | | | $ | 24.50 | | | $ | 41.07 | | |
Total Return† | | | 6.62 | %*^ | | | 25.29 | %^‡ | | | 4.40 | %^ | | | 1.28 | %^µ | | | 7.58 | %µ | | | 32.61 | %^ | |
Ratios/Supplemental Data | |
Net Assets, End of Period (in millions) | | $ | 108.9 | | | $ | 106.4 | | | $ | 85.8 | | | $ | 112.6 | | | $ | 69.6 | | | $ | 68.6 | | |
Ratio of Gross Expenses to Average Net Assets# | | | 0.92 | %** | | | 0.94 | % | | | 0.99 | % | | | 0.98 | % | | | 1.00 | % | | | 0.99 | % | |
Ratio of Net Expenses to Average Net Assets | | | 0.92 | %** | | | 0.65 | %ß | | | 0.99 | % | | | 0.98 | % | | | 1.00 | % | | | 0.99 | % | |
Ratio of Net Investment Income/(Loss) to Average Net Assets | | | (0.17 | )%** | | | 0.04 | %ß | | | (0.35 | )% | | | (0.54 | )% | | | (0.53 | )% | | | (0.57 | )% | |
Portfolio Turnover Rate | | | 22 | %* | | | 57 | % | | | 54 | % | | | 58 | %ñ | | | 64 | % | | | 43 | % | |
See Notes to Financial Highlights
18
Financial Highlights (cont'd)
Class S | |
| | Six Months Ended June 30, | | Year Ended December 31, | |
| | 2018 | | 2017 | | 2016 | | 2015 | | 2014 | | 2013 | |
| | (Unaudited) | | | | | | | | | | | |
Net Asset Value, Beginning of Period | | $ | 25.77 | | | $ | 21.12 | | | $ | 21.35 | | | $ | 23.20 | | | $ | 39.95 | | | $ | 30.21 | | |
Income From Investment Operations: | |
Net investment loss@ | | | (0.05 | ) | | | (0.12 | ) | | | (0.12 | ) | | | (0.19 | ) | | | (0.27 | ) | | | (0.26 | ) | |
Net Gains or Losses on Securities (both realized and unrealized) | | | 1.73 | | | | 5.28 | | | | 0.97 | | | | 0.46 | | | | 0.98 | | | | 10.00 | | |
Total From Investment Operations | | | 1.68 | | | | 5.16 | | | | 0.85 | | | | 0.27 | | | | 0.71 | | | | 9.74 | | |
Less Distributions From: | |
Net Realized Capital Gains | | | — | | | | (0.51 | ) | | | (1.08 | ) | | | (2.14 | ) | | | (17.46 | ) | | | — | | |
Voluntary Contribution from Management | | | — | | | | — | | | | — | | | | 0.02 | | | | 0.00 | | | | — | | |
Net Asset Value, End of Period | | $ | 27.45 | | | $ | 25.77 | | | $ | 21.12 | | | $ | 21.35 | | | $ | 23.20 | | | $ | 39.95 | | |
Total Return† | | | 6.52 | %*^ | | | 24.56 | %^‡ | | | 4.16 | %^ | | | 1.00 | %^µ | | | 7.31 | %µ | | | 32.24 | % | |
Ratios/Supplemental Data | |
Net Assets, End of Period (in millions) | | $ | 342.1 | | | $ | 317.7 | | | $ | 244.4 | | | $ | 236.6 | | | $ | 149.3 | | | $ | 127.8 | | |
Ratio of Gross Expenses to Average Net Assets | | | 1.17 | %** | | | 1.19 | %# | | | 1.24 | % | | | 1.24 | % | | | 1.25 | % | | | 1.26 | %# | |
Ratio of Net Expenses to Average Net Assets | | | 1.10 | %** | | | 1.18 | %ß | | | 1.24 | % | | | 1.24 | %§ | | | 1.25 | %§ | | | 1.25 | % | |
Ratio of Net Investment Income/(Loss) to Average Net Assets | | | (0.35 | )%** | | | (0.52 | )%ß | | | (0.59 | )% | | | (0.80 | )% | | | (0.78 | )% | | | (0.76 | )% | |
Portfolio Turnover Rate | | | 22 | %* | | | 57 | % | | | 54 | % | | | 58 | %ñ | | | 64 | % | | | 43 | % | |
See Notes to Financial Highlights
19
Notes to Financial Highlights Mid Cap Growth Portfolio
(Unaudited)
@ Calculated based on the average number of shares outstanding during each fiscal period.
† Total return based on per share NAV reflects the effects of changes in NAV on the performance of the Fund during each fiscal period. Returns assume income dividends and other distributions, if any, were reinvested. Results represent past performance and do not indicate future results. Current returns may be lower or higher than the performance data quoted. Investment returns and principal will fluctuate and shares, when redeemed, may be worth more or less than original cost. Total return would have been lower if Management had not reimbursed and/or waived certain expenses. The total return information shown does not reflect charges and other expenses that apply to the separate accounts or the related insurance policies or other qualified pension or retirement plans, and the inclusion of these charges and other expenses would reduce the total return for all fiscal periods shown.
* Not annualized.
^ The class action proceeds listed in Note A of the Notes to Financial Statements had no impact on the Fund's total return for the six months ended June 30, 2018. The class action proceeds received in 2017 had no impact on the Fund's total return for the year ended December 31, 2017. Had the Fund not received class action proceeds in 2016, total return based on per share NAV for the year ended December 31, 2016 would have been 4.35% and 4.11% for Class I and Class S, respectively. The class action proceeds received in 2015 had no impact on the Fund's total return for the year ended December 31, 2015. Had the Fund not received class action proceeds in 2013, total return based on per share NAV for the year ended December 31, 2013 would have been 32.58% for Class I.
µ Had the Fund not received a voluntary contribution, total return based on per share NAV for the year ended December 31, 2015 would have been 1.23% and 0.95% for Class I and Class S, respectively. The voluntary contribution received in 2014 had no impact on the Fund's total return for the year ended December 31, 2014.
‡ The Custodian Out-of-Pocket Expenses Refunded, as listed in Note F of the Notes to Financial Statements had no impact on Class S's total return for the year ended December 31, 2017. Had the Fund not received the Custodian Out-of-Pocket Expenses Refunded listed in Note F of the Notes to Financial Statements, the total return based on per share NAV for the year ended December 31, 2017 for Class I would have been 24.93%.
# Represents the annualized ratios of net expenses to average daily net assets if Management had not reimbursed certain expenses and/or waived a portion of the investment management fee. Management did not reimburse or waive fees during the fiscal periods shown for Class I.
** Annualized.
§ After repayment of expenses previously reimbursed and/or fees previously waived by Management, as applicable. Had the Fund not made such repayments, the annualized ratios of net expenses to average net assets would have been:
| | Year Ended December 31, | |
| | 2015 | | 2014 | |
Class S | | | 1.24 | % | | | 1.25 | % | |
ñ On November 6, 2015, the Fund acquired all of the net assets of Neuberger Berman Balanced Portfolio ("Balanced"), Neuberger Berman Growth Portfolio ("Growth") and Neuberger Berman Small Cap Growth Portfolio ("Small Cap Growth") in a tax-free exchange of shares pursuant to an Agreement and Plan of Reorganization and Dissolution approved by the Board. Portfolio turnover excludes purchases and sales of securities by Balanced, Growth and Small Cap Growth (acquired funds) prior to the merger date.
20
Notes to Financial Highlights Mid Cap Growth Portfolio
(Unaudited) (cont'd)
ß Custodian Out-of-Pocket Expenses Refunded, as listed in Note F of the Notes to Financial Statements, is non-recurring, and is included in these ratios. Had the Fund not received the refund, the annualized ratios of net expenses to average net assets and net investment income/(loss) to average net assets would have been:
| | Ratio of Net Expenses to Average Net Assets Year Ended December 31, 2017 | | Ratio of Net Investment Income/(Loss) to Average Net Assets Year Ended December 31, 2017 | |
Class I | | | 0.94 | % | | | (0.29 | %) | |
Class S | | | 1.18 | % | | | (0.53 | %) | |
21
Proxy Voting Policies and Procedures
A description of the policies and procedures that the Trust uses to determine how to vote proxies relating to portfolio securities is available, without charge, by calling 800-877-9700 (toll-free) and on the Securities and Exchange Commission's website, at www.sec.gov. Information regarding how the Trust voted proxies relating to portfolio securities during the most recent 12-month period ended June 30 is also available upon request, without charge, by calling 800-877-9700 (toll-free), on the Securities and Exchange Commission's website at www.sec.gov, and on Management's website at www.nb.com.
Quarterly Portfolio Schedule
The Trust files a complete schedule of portfolio holdings for the Fund with the Securities and Exchange Commission for the first and third quarters of each fiscal year on Form N-Q. The Trust's Forms N-Q are available on the Securities and Exchange Commission's website at www.sec.gov and may be reviewed and copied at the Securities and Exchange Commission's Public Reference Room in Washington, DC. Information on the operation of the Public Reference Room may be obtained by calling 800-SEC-0330. The information on Form N-Q is available upon request, without charge, by calling 800-877-9700 (toll free).
22
![](https://capedge.com/proxy/N-CSRS/0000898432-18-000944/j18154463_aa001.jpg)
Neuberger Berman
Advisers Management Trust
Mid Cap Intrinsic Value Portfolio
I Class Shares
S Class Shares
Semi-Annual Report
June 30, 2018
Mid Cap Intrinsic Value Portfolio Commentary
For the six months ended June 30, 2018, the Neuberger Berman Advisers Management Trust Mid Cap Intrinsic Value Portfolio Class I generated a total return of 1.79%, outperforming its benchmark, the Russell Midcap® Value Index (the Index) which posted a total return of -0.16% for the same period. (Performance for all share classes is provided in the table immediately following this letter.)
After being down at the end of the first quarter of 2018, the Index advanced in the second quarter of 2018 recovering most of its first quarter losses. Stocks reacted positively to strong earnings gains, fueled in part by the new corporate tax cuts. Continuing recent trends, momentum and growth factors strongly outperformed value. In our opinion, we are in the later stages of this economic cycle and we anticipate rising inflation and interest rates to result in continued market volatility.
Equity markets entered 2018 with above average price to earnings ratios. As we exit the first half of the year, valuations have dropped to five year average lows driven by a slightly down market and extraordinary earnings growth. Looking ahead to the back half of 2018, we expect many cross currents to create volatility in a market that appears to us to be discounting a somewhat positive scenario. Interest rates, despite rising year to date, remain below normal levels, but with inflation picking up, we believe they are likely to move higher.
Tax reform, deregulation and continued government spending have contributed to the acceleration in economic growth and corporate earnings. While inflation has increased, it remains near the U.S. Federal Reserve's (Fed) target level. Mergers and acquisitions (M&A) activity is booming. In our opinion, a recession appears unlikely in the near term and with market valuations at average levels, a bear market is doubtful. However, interest rates are rising and the Fed is anticipated to accelerate its quantitative tightening. Inflation is up and oil prices have jumped substantially. The European Central Bank is predicted to end its open market purchases in December and the potential for a trade war has been weighing on the market. All of which have the potential to have a negative impact on the market.
Stock specific factors had a big impact on the portfolio during the first half of 2018. Performance was helped by M&A activity—both Envision Healthcare and Vectren Corp. agreed to be acquired in all cash transactions, Northrop Grumman completed its previously announced acquisition of Orbital ATK, Wyndham Destinations completed its spin-off of Wyndham Hotels and Resorts and Devon Energy approved the sale of its ownership interest in EnLink and will use the proceeds to return cash to shareholders. TreeHouse Foods, Teva Pharmaceuticals and SeaWorld Entertainment, each with a new CEO, rebounded sharply based on new strategic plans and better than expected earnings. Several of our Technology holdings—Nuance Communications and Flex (2018 guidance was below expectations)—and Producer Durables companies—American Airlines (rising fuel costs), General Dynamics (North Korean discussions), and Itron (poor first quarter results)—came under pressure during the period.
During the first half of the year we were active in the portfolio. We initiated nine new positions and added to six. We also participated in an IPO, but sold the position after it opened at a significant premium to the IPO price and close to our near-term intrinsic value estimate1. On the sell side, we eliminated two names and trimmed nine, after most rallied strongly during the period.
As we begin the second half of 2018, we believe interest rates will continue to rise making significant gains in the index difficult. However, valuations have dropped to more normal levels and a recession seems unlikely to us for the near-term. We anticipate M&A activity to remain robust which usually benefits our investment style. In our opinion, the changes we have made during the last six months have improved the Fund's risk/reward profile. Barring a meaningful escalation in trade wars and given the portfolio's discount to our intrinsic value estimate and our focus on franchises with a demonstrated ability to generate cash, we believe the Fund has the potential to generate moderate returns during the remainder of the year.
Sincerely,
MICHAEL C. GREENE
PORTFOLIO MANAGER
1Intrinsic value reflects the portfolio management team's analysis and estimates of a company's value. There is no guarantee that any intrinsic values will be realized; security prices may decrease regardless of intrinsic values.
Information about principal risks of investing in the Fund is set forth in the prospectus and statement of additional information.
The portfolio composition, industries and holdings of the Fund are subject to change without notice.
The opinions expressed are those of the Fund's portfolio manager. The opinions are as of the date of this report and are subject to change without notice.
1
Mid Cap Intrinsic Value Portfolio
SECTOR ALLOCATION
(as a % of Total Investments*) | |
Consumer Discretionary | | | 10.5 | % | |
Consumer Staples | | | 6.6 | | |
Energy | | | 10.0 | | |
Financial Services | | | 18.7 | | |
Health Care | | | 9.9 | | |
Materials & Processing | | | 5.7 | | |
Producer Durables | | | 13.9 | | |
Technology | | | 16.6 | | |
Utilities | | | 5.2 | | |
Short-Term Investments | | | 2.9 | | |
Total | | | 100.0 | % | |
* Derivatives, if any, are excluded from this chart.
PERFORMANCE HIGHLIGHTS
| | Inception | | Six Month Period Ended | | Average Annual Total Return Ended 06/30/2018 | |
| | Date | | 06/30/2018 | | 1 Year | | 5 Years | | 10 Years | | Life of Fund | |
Mid Cap Intrinsic Value Portfolio Class I | | 08/22/2001 | | 1.79% | | 8.61% | | 10.85% | | 8.62% | | 8.68% | |
Mid Cap Intrinsic Value Portfolio Class S2 | | 04/29/2005 | | 1.67% | | 8.30% | | 10.57% | | 8.38% | | 8.50% | |
Russell Midcap® Value Index1,3 | | | | -0.16% | | 7.60% | | 11.27% | | 10.06% | | 9.91% | |
Russell Midcap® Index1,3 | | | | 2.35% | | 12.33% | | 12.22% | | 10.23% | | 9.83% | |
The performance data quoted represent past performance and do not indicate future results. Current performance may be lower or higher than the performance data quoted. For performance data current to the most recent month-end, please visit http://www.nb.com/amtportfolios/performance.
The results shown in the table reflect the reinvestment of income dividends and other distributions, if any. The results do not reflect the effect of taxes a shareholder would pay on Fund distributions or on the redemption of Fund shares. The results do not reflect fees and expenses of the variable annuity and variable life insurance policies or the qualified pension and retirement plans whose proceeds are invested in the Fund.
The investment return and principal value of an investment will fluctuate and shares, when redeemed, may be worth more or less than their original cost.
Returns would have been lower if Neuberger Berman Investment Advisers LLC ("Management") had not reimbursed certain expenses and/ or waived a portion of the investment management fees during certain of the periods shown. Repayment by a class (of expenses previously reimbursed and/ or fees previously waived by Management) will decrease the class's returns. Please see Note B in the Notes to Financial Statements for specific information regarding expense reimbursement and/ or fee waiver arrangements.
As stated in the Fund's most recent prospectus, the total annual operating expense ratios for fiscal year 2017 were 1.00% and 1.26% for Class I and Class S shares, respectively (before expense reimbursements and/or fee waivers, if any). The total annual operating expense ratio for Class S includes the class's repayment of expenses previously reimbursed and/or fees previously waived by Management. The expense ratios for the semi-annual period ended June 30, 2018, can be found in the Financial Highlights section of this report.
2
1 The date used to calculate Life of Fund performance for the index is August 22, 2001, the inception date of the oldest share class.
2 Performance shown prior to April 29, 2005 for Class S shares is that of Class I shares, which has lower expenses and correspondingly higher returns than Class S shares.
3 The Russell Midcap® Value Index is a float-adjusted market capitalization-weighted index that measures the performance of the mid-cap value segment of the U.S. equity market. It includes those Russell Midcap® Index companies with lower price-to-book ratios and lower forecasted growth rates. The index is rebalanced annually in June. The Russell Midcap Index is a float-adjusted market capitalization-weighted index that measures the performance of the mid-cap segment of the U.S. equity market. It includes approximately 800 of the smallest securities in the Russell 1000® Index. The index is rebalanced annually in June. Please note that the indices described in this report do not take into account any fees, expenses or tax consequences of investing in the individual securities that they track, and that individuals cannot invest directly in any index. Data about the performance of an index are prepared or obtained by Neuberger Berman Investment Advisers LLC ("Management") and reflect the reinvestment of income dividends and other distributions, if any. The Fund may invest in securities not included in a described index and generally does not invest in all securities included in a described index.
The investments for the Fund are managed by the same portfolio manager(s) who manage(s) one or more other registered funds that have names, investment objectives and investment styles that are similar to those of the Fund. You should be aware that the Fund is likely to differ from those other mutual fund(s) in size, cash flow pattern and tax matters. Accordingly, the holdings and performance of the Fund can be expected to vary from those of the other mutual fund(s).
Shares of the separate Neuberger Berman Advisers Management Trust Portfolios, including the Fund, are not available to the general public. Shares of the Fund may be purchased only by life insurance companies to be held in their separate accounts, which fund variable annuity and variable life insurance policies, and by qualified pension and retirement plans.
Statistics and projections in this report are derived from sources deemed to be reliable but cannot be regarded as a representation of future results of the Fund. This report is prepared for the general information of shareholders and is not an offer of shares of the Fund. Shares are sold only through the currently effective prospectus, which must precede or accompany this report.
The "Neuberger Berman" name and logo and "Neuberger Berman Investment Advisers LLC" name are registered service marks of Neuberger Berman Group LLC. The individual Fund name in this piece is either a service mark or registered service mark of Neuberger Berman Investment Advisers LLC , an affiliate of Neuberger Berman BD LLC, distributor, member FINRA.
© 2018 Neuberger Berman BD LLC, distributor. All rights reserved.
3
Information About Your Fund's Expenses (Unaudited)
As a Fund shareholder, you incur two types of costs: (1) transaction costs such as fees and expenses that are, or may be, imposed under your variable contract or qualified pension plan; and (2) ongoing costs, including management fees, distribution and/or service (12b-1) fees (if applicable), and other Fund expenses. This example is intended to help you understand your ongoing costs (in U.S. dollars) of investing in the Fund and compare these costs with the ongoing costs of investing in other mutual funds.
This table is designed to provide information regarding costs related to your investments. The following examples are based on an investment of $1,000 made at the beginning of the six month period ended June 30, 2018 and held for the entire period. The table illustrates the Fund's costs in two ways:
Actual Expenses and Performance: | | The first section of the table provides information about actual account values and actual expenses in dollars, based on the Fund's actual performance during the period indicated. You may use the information in this line, together with the amount you invested, to estimate the expenses 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 first section of the table under the heading entitled "Expenses Paid During the Period" to estimate the expenses you paid over the period. | |
Hypothetical Example for Comparison Purposes: | | The second section of the table provides information about hypothetical account values and hypothetical expenses based on the Fund's actual expense ratio and an assumed rate of return at 5% per year before expenses. This return is not the Fund's actual return. The hypothetical account values and expenses may not be used to estimate the actual ending account balance or expenses you paid for the period. You may use this information to compare the ongoing costs of investing in this Fund versus other funds. To do so, compare the expenses shown in this 5% hypothetical example with the 5% hypothetical examples that appear in the shareholder reports of other funds. | |
Please note that the expenses in the table are meant to highlight your ongoing costs only and do not include any transaction costs, such as fees and expenses that are, or may be imposed under your variable contract or qualified pension plan. Therefore, the information under the heading "Hypothetical (5% annual return before expenses)" is useful in comparing ongoing costs only, and will not help you determine the relative total costs of owning different funds. In addition, if these transaction costs were included, your costs would have been higher.
Expense Example (Unaudited)
NEUBERGER BERMAN ADVISERS MANAGEMENT TRUST MID CAP INTRINSIC VALUE PORTFOLIO
Actual | | Beginning Account Value 1/1/18 | | Ending Account Value 6/30/18 | | Expenses Paid During the Period 1/1/18 – 6/30/18 | | Expense Ratio | |
Class I | | $ | 1,000.00 | | | $ | 1,017.90 | | | $ | 4.95 | (a) | | | 0.99 | % | |
Class S | | $ | 1,000.00 | | | $ | 1,016.70 | | | $ | 6.25 | (a) | | | 1.25 | % | |
Hypothetical (5% annual return before expenses) | |
Class I | | $ | 1,000.00 | | | $ | 1,019.89 | | | $ | 4.96 | (b) | | | 0.99 | % | |
Class S | | $ | 1,000.00 | | | $ | 1,018.60 | | | $ | 6.26 | (b) | | | 1.25 | % | |
(a) For each class, expenses are equal to the annualized expense ratio for the class, multiplied by the average account value over the period, multiplied by 181/365 (to reflect the one-half year period shown).
(b) Hypothetical expenses are equal to the annualized expense ratios for each class, multiplied by the average account value over the period (assuming a 5% annual return), multiplied by 181/365 (to reflect the one-half year period shown).
4
Schedule of Investments Mid Cap Intrinsic Value Portfolio (Unaudited) June 30, 2018
NUMBER OF SHARES | | | | VALUE | |
Common Stocks 97.0% | | | |
Aerospace & Defense 6.0% | | | |
| 16,500 | | | Esterline Technologies Corp. | | $ | 1,217,700 | * | |
| 27,550 | | | General Dynamics Corp. | | | 5,135,595 | | |
| 29,900 | | | Hexcel Corp. | | | 1,984,762 | | |
| 25,400 | | | Spirit AeroSystems Holdings, Inc. Class A | | | 2,182,114 | | |
| | | 10,520,171 | | |
Airlines 1.7% | | | |
| 78,300 | | | American Airlines Group, Inc. | | | 2,972,268 | | |
Banks 7.7% | | | |
| 94,300 | | | BankUnited, Inc. | | | 3,852,155 | | |
| 56,800 | | | BB&T Corp. | | | 2,864,992 | | |
| 35,500 | | | Comerica, Inc. | | | 3,227,660 | | |
| 175,900 | | | KeyCorp | | | 3,437,086 | | |
| | | 13,381,893 | | |
Beverages 1.7% | | | |
| 42,900 | | | Molson Coors Brewing Co. Class B | | | 2,918,916 | | |
Biotechnology 1.1% | | | |
| 15,400 | | | Alexion Pharmaceuticals, Inc. | | | 1,911,910 | * | |
Building Products 2.3% | | | |
| 121,510 | | | Johnson Controls International PLC | | | 4,064,510 | | |
Capital Markets 1.7% | | | |
| 32,300 | | | State Street Corp. | | | 3,006,807 | | |
Chemicals 3.3% | | | |
| 34,400 | | | Ashland Global Holdings, Inc. | | | 2,689,392 | | |
| 140,139 | | | Valvoline, Inc. | | | 3,022,798 | | |
| | | 5,712,190 | | |
Commercial Services & Supplies 2.3% | | | |
| 243,000 | | | Covanta Holding Corp. | | | 4,009,500 | | |
Communications Equipment 3.2% | | | |
| 99,600 | | | ARRIS International PLC | | | 2,434,722 | * | |
| 121,300 | | | Ciena Corp. | | | 3,215,663 | * | |
| | | 5,650,385 | | |
Construction & Engineering 1.9% | | | |
| 21,700 | | | Valmont Industries, Inc. | | | 3,271,275 | | |
NUMBER OF SHARES | | | | VALUE | |
Electric Utilities 1.6% | | | |
| 43,700 | | | Edison International | | $ | 2,764,899 | | |
Electrical Equipment 1.1% | | | |
| 16,300 | | | Acuity Brands, Inc. | | | 1,888,681 | | |
Electronic Equipment, Instruments & Components 2.6% | | | |
| 207,800 | | | Flex Ltd. | | | 2,932,058 | * | |
| 27,900 | | | Itron, Inc. | | | 1,675,395 | * | |
| | | 4,607,453 | | |
Equity Real Estate Investment Trusts 3.0% | | | |
| 113,300 | | | CoreCivic, Inc. | | | 2,706,737 | | |
| 109,170 | | | Invitation Homes, Inc. | | | 2,517,460 | | |
| | | 5,224,197 | | |
Food Products 4.9% | | | |
| 133,300 | | | Hain Celestial Group, Inc. | | | 3,972,340 | * | |
| 87,000 | | | TreeHouse Foods, Inc. | | | 4,568,370 | * | |
| | | 8,540,710 | | |
Health Care Equipment & Supplies 3.0% | | | |
| 47,000 | | | Zimmer Biomet Holdings, Inc. | | | 5,237,680 | | |
Health Care Providers & Services 2.4% | | | |
| 39,500 | | | Envision Healthcare Corp. | | | 1,738,395 | * | |
| 24,400 | | | Molina Healthcare, Inc. | | | 2,389,736 | * | |
| | | 4,128,131 | | |
Hotels, Restaurants & Leisure 2.3% | | | |
| 123,400 | | | SeaWorld Entertainment, Inc. | | | 2,692,588 | * | |
| 12,700 | | | Wyndham Destinations, Inc. | | | 562,229 | | |
| 12,700 | | | Wyndham Hotels & Resorts, Inc. | | | 747,141 | | |
| | | 4,001,958 | | |
Household Durables 1.9% | | | |
| 22,400 | | | Whirlpool Corp. | | | 3,275,552 | | |
Independent Power and Renewable Electricity Producers 2.5% | | | |
| 329,900 | | | AES Corp. | | | 4,423,959 | | |
IT Services 4.3% | | | |
| 26,600 | | | Amdocs Ltd. | | | 1,760,654 | | |
| 165,900 | | | Conduent, Inc. | | | 3,014,403 | * | |
| 67,100 | | | Teradata Corp. | | | 2,694,065 | * | |
| | | 7,469,122 | | |
See Notes to Financial Statements
5
Schedule of Investments Mid Cap Intrinsic Value Portfolio (Unaudited) (cont'd)
NUMBER OF SHARES | | | | VALUE | |
Media 2.7% | | | |
| 38,150
| | | Lions Gate Entertainment Corp. Class A | | $ | 946,883
| | |
| 38,150 | | | Lions Gate Entertainment Corp. Class B | | | 894,999 | | |
| 121,100 | | | MSG Networks, Inc. Class A | | | 2,900,345 | * | |
| | | 4,742,227 | | |
Mortgage Real Estate Investment 2.5% | | | |
| 197,300 | | | Starwood Property Trust, Inc. | | | 4,283,383 | | |
Multi-Utilities 1.1% | | | |
| 26,900 | | | Vectren Corp. | | | 1,922,005 | | |
Multiline Retail 1.2% | | | |
| 57,700 | | | Macy's, Inc. | | | 2,159,711 | | |
Oil, Gas & Consumable Fuels 8.2% | | | |
| 148,400 | | | Cabot Oil & Gas Corp. | | | 3,531,920 | | |
| 83,100 | | | Devon Energy Corp. | | | 3,653,076 | | |
| 64,500 | | | ONEOK, Inc. | | | 4,504,035 | | |
| 95,900 | | | Williams Cos., Inc. | | | 2,599,849 | | |
| | | 14,288,880 | | |
Pharmaceuticals 3.5% | | | |
| 46,400 | | | Perrigo Co. PLC | | | 3,383,024 | | |
| 107,900 | | | Teva Pharmaceutical Industries Ltd. ADR | | | 2,624,128 | | |
| | | 6,007,152 | | |
Semiconductors & Semiconductor Equipment 2.7% | | | |
| 106,800 | | | ON Semiconductor Corp. | | | 2,374,698 | * | |
| 23,200 | | | Skyworks Solutions, Inc. | | | 2,242,280 | | |
| | | 4,616,978 | | |
NUMBER OF SHARES | | | | VALUE | |
Software 4.2% | | | |
| 42,700
| | | Check Point Software Technologies Ltd. | | $ | 4,170,936
| * | |
| 222,500 | | | Nuance Communications, Inc. | | | 3,089,413 | * | |
| | | 7,260,349 | | |
Specialty Retail 2.6% | | | |
| 11,600 | | | Best Buy Co., Inc. | | | 865,128 | | |
| 207,600 | | | Chico's FAS, Inc. | | | 1,689,864 | | |
| 131,200 | | | Party City Holdco, Inc. | | | 2,000,800 | * | |
| | | 4,555,792 | | |
Technology Hardware, Storage & Peripherals 2.3% | | | |
| 52,421 | | | Western Digital Corp. | | | 4,057,910 | | |
Trading Companies & Distributors 3.5% | | | |
| 112,400 | | | AerCap Holdings NV | | | 6,086,460 | * | |
| | | | Total Common Stocks (Cost $134,798,732) | | | 168,963,014
| | |
Short-Term Investments 2.9% | | | |
Investment Companies 2.9% | | | |
| 5,111,545 | | | State Street Institutional U.S. Government Money Market Fund Premier Class, 1.82%(a)(Cost $5,111,545) | | | 5,111,545 | | |
| | | | Total Investments 99.9% (Cost $139,910,277) | | | 174,074,559 | | |
| | | | Other Assets Less Liabilities 0.1% | | | 188,188 | | |
| | | | Net Assets 100.0% | | $ | 174,262,747 | | |
* Non-income producing security.
(a) Represents 7-day effective yield as of June 30, 2018.
See Notes to Financial Statements
6
Schedule of Investments Mid Cap Intrinsic Value Portfolio (Unaudited) (cont'd)
The following is a summary, categorized by Level (see Note A of Notes to Financial Statements), of inputs used to value the Fund's investments as of June 30, 2018:
Asset Valuation Inputs | | Level 1 | | Level 2 | | Level 3(b) | | Total | |
Investments: | |
Common Stocks(a) | | $ | 168,963,014 | | | $ | — | | | $ | — | | | $ | 168,963,014 | | |
Short-Term Investments | | | — | | | | 5,111,545 | | | | — | | | | 5,111,545 | | |
Total Long Positions | | $ | 168,963,014 | | | $ | 5,111,545 | | | $ | — | | | $ | 174,074,559 | | |
(a) The Schedule of Investments provides information on the industry categorization for the portfolio.
(b) The following is a reconciliation between the beginning and ending balances of investments in which unobservable inputs (Level 3) were used in determining value:
| | Beginning balance, as of 1/1/2018 | | Accrued discounts/ (premiums) | | Realized gain/(loss) | | Change in unrealized appreciation/ (depreciation) | | Purchases | | Sales | | Transfers into Level 3 | | Transfers out of Level 3 | | Balance as of 6/30/2018 | | Net change in unrealized appreciation/ (depreciation) from investments still held as of 6/30/2018 | |
Investments in Securities: | |
Rights(c) | |
Food & Staples Retailing | | $ | 21,106 | | | $ | — | | | $ | (4,194 | ) | | $ | 20,040 | | | $ | — | | | $ | (36,952 | ) | | $ | — | | | $ | — | | | $ | — | | | $ | — | | |
Total | | $ | 21,106 | | | $ | — | | | $ | (4,194 | ) | | $ | 20,040 | | | $ | — | | | $ | (36,952 | ) | | $ | — | | | $ | — | | | $ | — | | | $ | — | | |
(c) At the beginning of the period, this security was valued based on a single quotation obtained from a dealer. The Fund held no Level 3 investments at June 30, 2018.
As of the six months ended June 30, 2018, no securities were transferred from one level (as of December 31, 2017) to another.
See Notes to Financial Statements
7
Statement of Assets and Liabilities (Unaudited)
Neuberger Berman Advisers Management Trust
| | MID CAP INTRINSIC VALUE PORTFOLIO | |
| | June 30, 2018 | |
Assets | | | |
Investments in securities, at value* (Note A)—see Schedule of Investments: | | | |
Unaffiliated issuers(a) | | $ | 174,074,559 | | |
Dividends and interest receivable | | | 390,107 | | |
Receivable for securities sold | | | 923,623 | | |
Receivable for Fund shares sold | | | 10,656 | | |
Prepaid expenses and other assets | | | 4,593 | | |
Total Assets | | | 175,403,538 | | |
Liabilities | | | |
Payable to investment manager (Note B) | | | 79,172 | | |
Payable for securities purchased | | | 835,451 | | |
Payable for Fund shares redeemed | | | 129,574 | | |
Payable to administrator—net (Note B) | | | 55,094 | | |
Payable to trustees | | | 404 | | |
Accrued expenses and other payables | | | 41,096 | | |
Total Liabilities | | | 1,140,791 | | |
Net Assets | | $ | 174,262,747 | | |
Net Assets consist of: | | | |
Paid-in capital | | $ | 122,810,787 | | |
Undistributed net investment income/(loss) | | | 1,740,319 | | |
Accumulated net realized gains/(losses) on investments | | | 15,547,359 | | |
Net unrealized appreciation/(depreciation) in value of investments | | | 34,164,282 | | |
Net Assets | | $ | 174,262,747 | | |
Net Assets | | | |
Class I | | $ | 118,229,401 | | |
Class S | | | 56,033,346 | | |
Shares Outstanding ($.001 par value; unlimited shares authorized) | | | |
Class I | | | 5,933,673 | | |
Class S | | | 2,480,987 | | |
Net Asset Value, offering and redemption price per share | | | |
Class I | | $ | 19.93 | | |
Class S | | | 22.59 | | |
*Cost of Investments: | | | |
(a) Unaffiliated issuers | | $ | 139,910,277 | | |
See Notes to Financial Statements
8
Statement of Operations (Unaudited)
Neuberger Berman Advisers Management Trust
| | MID CAP INTRINSIC VALUE PORTFOLIO | |
| | For the Six Months Ended June 30, 2018 | |
Investment Income: | |
Income (Note A): | |
Dividend income—unaffiliated issuers | | $ | 1,513,963 | | |
Interest income—unaffiliated issuers | | | 30,073 | | |
Foreign taxes withheld (Note A) | | | (2,060 | ) | |
Total income | | $ | 1,541,976 | | |
Expenses: | |
Investment management fees (Note B) | | | 477,163 | | |
Administration fees (Note B): | |
Class I | | | 174,432 | | |
Class S | | | 85,838 | | |
Distribution fees (Note B): | |
Class S | | | 71,532 | | |
Audit fees | | | 23,088 | | |
Custodian and accounting fees | | | 22,380 | | |
Insurance expense | | | 2,846 | | |
Legal fees | | | 33,227 | | |
Repayment to Management of expenses previously assumed by Management (Note B) | | | 4,661 | | |
Shareholder reports | | | 11,043 | | |
Trustees' fees and expenses | | | 21,336 | | |
Interest expense (Note A) | | | 31 | | |
Miscellaneous | | | 5,017 | | |
Total net expenses | | | 932,594 | | |
Net investment income/(loss) | | $ | 609,382 | | |
Realized and Unrealized Gain/(Loss) on Investments (Note A): | |
Net realized gain/(loss) on: | |
Transactions in investment securities of unaffiliated issuers | | | 7,693,449 | | |
Change in net unrealized appreciation/(depreciation) in value of: | |
Investment securities of unaffiliated issuers | | | (5,172,259 | ) | |
Net gain/(loss) on investments | | | 2,521,190 | | |
Net increase/(decrease) in net assets resulting from operations | | $ | 3,130,572 | | |
See Notes to Financial Statements
9
Statements of Changes in Net Assets
Neuberger Berman Advisers Management Trust
| | MID CAP INTRINSIC VALUE PORTFOLIO | |
| | Six Months Ended June 30, 2018 (Unaudited) | | Year Ended December 31, 2017 | |
Increase/(Decrease) in Net Assets: | |
From Operations (Note A): | |
Net investment income/(loss) | | $ | 609,382 | | | $ | 1,180,800 | | |
Net realized gain/(loss) on investments | | | 7,693,449 | | | | 17,280,535 | | |
Change in net unrealized appreciation/(depreciation) of investments | | | (5,172,259 | ) | | | 7,764,324 | | |
Net increase/(decrease) in net assets resulting from operations | | | 3,130,572 | | | | 26,225,659 | | |
Distributions to Shareholders From (Note A): | |
Net investment income: | |
Class I | | | — | | | | (961,599 | ) | |
Class S | | | — | | | | (290,561 | ) | |
Total distributions to shareholders | | | — | | | | (1,252,160 | ) | |
From Fund Share Transactions (Note D): | |
Proceeds from shares sold: | |
Class I | | | 9,460,177 | | | | 21,410,589 | | |
Class S | | | 1,625,972 | | | | 9,368,377 | | |
Proceeds from reinvestment of dividends and distributions: | |
Class I | | | — | | | | 961,599 | | |
Class S | | | — | | | | 290,561 | | |
Payments for shares redeemed: | |
Class I | | | (12,522,859 | ) | | | (24,400,598 | ) | |
Class S | | | (5,793,953 | ) | | | (15,887,986 | ) | |
Net increase/(decrease) from Fund share transactions | | | (7,230,663 | ) | | | (8,257,458 | ) | |
Net Increase/(Decrease) in Net Assets | | | (4,100,091 | ) | | | 16,716,041 | | |
Net Assets: | |
Beginning of period | | | 178,362,838 | | | | 161,646,797 | | |
End of period | | $ | 174,262,747 | | | $ | 178,362,838 | | |
Undistributed net investment income/(loss) at end of period | | $ | 1,740,319 | | | $ | 1,130,937 | | |
See Notes to Financial Statements
10
Notes to Financial Statements Mid Cap Intrinsic Value Portfolio (Unaudited)
Note A—Summary of Significant Accounting Policies:
1 General: Neuberger Berman Advisers Management Trust (the "Trust") is a Delaware statutory trust organized pursuant to an Amended and Restated Trust Instrument dated March 27, 2014. The Trust is currently comprised of eight separate operating series (each individually a "Fund," and collectively the "Funds") each of which is diversified. The Trust is registered as an open-end management investment company under the Investment Company Act of 1940, as amended (the "1940 Act"), and its shares are registered under the Securities Act of 1933, as amended. Neuberger Berman Advisers Management Trust Mid Cap Intrinsic Value Portfolio (the "Fund") currently offers Class I and Class S shares. The Trust's Board of Trustees (the "Board") may establish additional series or classes of shares without the approval of shareholders.
The assets of each Fund belong only to that Fund, and the liabilities of each Fund are borne solely by that Fund and no other.
The Fund is an investment company and accordingly follows the investment company accounting and reporting guidance of the Financial Accounting Standards Board ("FASB") Accounting Standards Codification ("ASC") Topic 946 "Financial Services—Investment Companies."
The preparation of financial statements in accordance with U.S. generally accepted accounting principles ("GAAP") requires Neuberger Berman Investment Advisers LLC ("Management") to make estimates and assumptions at the date of the financial statements. Actual results could differ from those estimates.
Shares of the Fund are not available to the general public and may be purchased only by life insurance companies to serve as an investment vehicle for premiums paid under their variable annuity and variable life insurance contracts and to certain qualified pension and other retirement plans.
2 Portfolio valuation: In accordance with ASC 820 "Fair Value Measurement" ("ASC 820"), all investments held by the Fund are carried at the value that Management believes the Fund would receive upon selling an investment in an orderly transaction to an independent buyer in the principal or most advantageous market for the investment under current market conditions. Various inputs, including the volume and level of activity for the asset or liability in the market, are considered in valuing the Fund's investments, some of which are discussed below. Significant Management judgment may be necessary to value investments in accordance with ASC 820.
ASC 820 established a three-tier hierarchy of inputs to create a classification of value measurements for disclosure purposes. The three-tier hierarchy of inputs is summarized in the three broad Levels listed below.
• Level 1—quoted prices in active markets for identical investments
• Level 2—other observable inputs (including quoted prices for similar investments, interest rates, prepayment speeds, credit risk, amortized cost, etc.)
• Level 3—unobservable inputs (including the Fund's own assumptions in determining the fair value of investments)
The inputs or methodology used for valuing an investment are not necessarily an indication of the risk associated with investing in those securities.
The value of the Fund's investments in equity securities, for which market quotations are readily available, is generally determined by Management by obtaining valuations from independent pricing services based on the latest sale price quoted on a principal exchange or market for that security (Level 1 inputs). Securities traded primarily on the NASDAQ Stock Market are normally valued at the NASDAQ Official Closing Price ("NOCP") provided by NASDAQ each business day. The NOCP is the most recently reported price as of 4:00:02 p.m., Eastern
11
Time, unless that price is outside the range of the "inside" bid and asked prices (i.e., the bid and asked prices that dealers quote to each other when trading for their own accounts); in that case, NASDAQ will adjust the price to equal the inside bid or asked price, whichever is closer. Because of delays in reporting trades, the NOCP may not be based on the price of the last trade to occur before the market closes. If there is no sale of a security on a particular day, the independent pricing services may value the security based on market quotations.
Management has developed a process to periodically review information provided by independent pricing services for all types of securities.
Investments in non-exchange traded investment companies are valued using the respective fund's daily calculated net asset value per share (Level 2 inputs).
If a valuation is not available from an independent pricing service, or if Management has reason to believe that the valuation received does not represent the amount the Fund might reasonably expect to receive on a current sale in an orderly transaction, Management seeks to obtain quotations from brokers or dealers (generally considered Level 2 or Level 3 inputs depending on the number of quotes available). If such quotations are not readily available, the security is valued using methods the Board has approved in the good-faith belief that the resulting valuation will reflect the fair value of the security. Numerous factors may be considered when determining the fair value of a security based on Level 2 or Level 3 inputs, including available analyst, media or other reports, securities within the same industry with recent highly correlated performance, trading in futures or American Depositary Receipts and whether the issuer of the security being fair valued has other securities outstanding.
Fair value prices are necessarily estimates, and there is no assurance that such a price will be at or close to the price at which the security is next quoted or next trades.
3 Foreign currency translations: The accounting records of the Fund are maintained in U.S. dollars. Foreign currency amounts are normally translated into U.S. dollars using the exchange rate as of 4:00 p.m. Eastern Time, on days the NYSE is open for business, to determine the value of investments, other assets and liabilities. Purchase and sale prices of securities, and income and expenses, are translated into U.S. dollars at the prevailing rate of exchange on the respective dates of such transactions. Net unrealized foreign currency gain/(loss), if any, arises from changes in the value of assets and liabilities, other than investments in securities, as a result of changes in exchange rates and is stated separately in the Statement of Operations.
4 Securities transactions and investment income: Securities transactions are recorded on trade date for financial reporting purposes. Dividend income is recorded on the ex-dividend date or, for certain foreign dividends, as soon as the Fund becomes aware of the dividends. Non-cash dividends included in dividend income, if any, are recorded at the fair market value of the securities received. Interest income, including accretion of original issue discount, where applicable, and accretion of discount on short-term investments, if any, is recorded on the accrual basis. Realized gains and losses from securities transactions and foreign currency transactions, if any, are recorded on the basis of identified cost and stated separately in the Statement of Operations. Included in net realized gain/(loss) on investments are proceeds from the settlements of class action litigation in which the Fund participated as a class member. The amount of such proceeds for the six months ended June 30, 2018 was $463.
5 Income tax information: The Fund is treated as a separate entity for U.S. federal income tax purposes. It is the policy of the Fund to continue to qualify for treatment as a regulated investment company ("RIC") by complying with the requirements of the U.S. Internal Revenue Code applicable to RICs and to distribute substantially all of its net investment income and net realized capital gains to its shareholders. To the extent the Fund distributes substantially all of its net investment income and net realized capital gains to shareholders, no federal income or excise tax provision is required.
The Fund has adopted the provisions of ASC 740 "Income Taxes" ("ASC 740"). ASC 740 sets forth a minimum threshold for financial statement recognition of a tax position taken, or expected to be taken, in a tax return. The Fund recognizes interest and penalties, if any, related to unrecognized tax positions as an income tax expense in the Statement of Operations. The Fund is subject to examination by U.S. federal and state tax authorities for returns
12
filed for the tax years for which the applicable statutes of limitations have not yet expired. As of June 30, 2018, the Fund did not have any unrecognized tax positions.
At June 30, 2018, the cost of long security positions and derivative instruments (if any) for U.S. federal income tax purposes was $139,265,427. Gross unrealized appreciation of long security positions was $39,581,984 and gross unrealized depreciation of long security positions was $4,772,852 resulting in net unrealized appreciation of $34,809,132 based on cost for U.S. federal income tax purposes.
Income distributions and capital gain distributions are determined in accordance with income tax regulations, which may differ from GAAP. These differences are primarily due to differing treatments of income and gains on various investment securities held by the Fund, timing differences and differing characterization of distributions made by the Fund. The Fund may also utilize earnings and profits distributed to shareholders on redemption of their shares as a part of the dividends-paid deduction for income tax purposes.
As determined on December 31, 2017, permanent differences resulting primarily from different book and tax accounting were reclassified at year end. Such differences are attributed to the tax treatment of prior year adjustments, return of capital distributions from real estate investment trusts ("REITs") and capital gain distributions from REITs. These reclassifications had no effect on net income, net asset value ("NAV") or NAV per share of the Fund. For the year ended December 31, 2017, the Fund recorded the following permanent reclassifications:
Paid-in Capital | | Undistributed Net Investment Income/(Loss) | | Accumulated Net Realized Gains/(Losses) on Investments | |
$ | (33 | ) | | $ | (35,683 | ) | | $ | 35,716 | | |
The tax character of distributions paid during the years ended December 31, 2017 and December 31, 2016 was as follows:
Distributions Paid From: | |
Ordinary Income | | Long-Term Capital Gain | | Total | |
2017 | | 2016 | | 2017 | | 2016 | | 2017 | | 2016 | |
$ | 1,252,160 | | | $ | 766,176 | | | $ | — | | | $ | 10,781,252 | | | $ | 1,252,160 | | | $ | 11,547,428 | | |
As of December 31, 2017, the components of distributable earnings (accumulated losses) on a U.S. federal income tax basis were as follows:
Undistributed Ordinary Income | | Undistributed Long-Term Capital Gain | | Unrealized Appreciation/ (Depreciation) | | Loss Carryforwards and Deferrals | | Other Temporary Differences | | Total | |
$ | 1,130,937 | | | $ | 7,418,091 | | | $ | 39,772,360 | | | $ | — | | | $ | — | | | $ | 48,321,388 | | |
The temporary differences between book basis and tax basis distributable earnings are primarily due to losses disallowed and recognized on wash sales and return of capital adjustments.
To the extent the Fund's net realized capital gains, if any, can be offset by capital loss carryforwards, it is the policy of the Fund not to distribute such gains. The Regulated Investment Company Modernization Act of 2010 (the "Act") made changes to the capital loss carryforward rules allowing for RICs to carry forward capital losses indefinitely and to retain the character of capital loss carryforwards as short-term or long-term ("Post-Enactment"). Rules in effect previously limited the carryforward period to eight years and all carryforwards were considered short-term in character ("Pre-Enactment"). As determined at December 31, 2017, the Fund had no unused capital loss carryforwards available for federal income tax purposes to offset net realized capital gains.
13
Post-Enactment capital loss carryforwards must be fully used before Pre-Enactment capital loss carryforwards; therefore, under certain circumstances, Pre-Enactment capital loss carryforwards available as of the report date may expire unused.
During the year ended December 31, 2017, the Fund utilized capital loss carryforwards of $9,779,072.
6 Distributions to shareholders: The Fund may earn income, net of expenses, daily on its investments. Distributions from net investment income and net realized capital gains, if any, are generally distributed once a year (usually in October). Income distributions and capital gain distributions to shareholders are recorded on the ex-date.
It is the policy of the Fund to pass through to its shareholders substantially all real estate investment trust ("REIT") distributions and other income it receives, less operating expenses. The distributions the Fund receives from REITs are generally composed of income, capital gains, and/or return of REIT capital, but the REITs do not report this information to the Fund until the following calendar year. At June 30, 2018, the Fund estimated these amounts within the financial statements because the 2018 information is not available from the REITs until after the Fund's fiscal year-end. All estimates are based upon REIT information sources available to the Fund together with actual IRS Forms 1099-DIV received to date. For the year ended December 31, 2017, the character of distributions, if any, paid to shareholders disclosed within the Statements of Changes in Net Assets is based on estimates made at that time. Based on past experience it is possible that a portion of the Fund's distributions during the current fiscal year, if any, will be considered tax return of capital, but the actual amount of the tax return of capital, if any, is not determinable until after the Fund's fiscal year-end. After calendar year-end, when the Fund learns the nature of the distributions paid by REITs during that year, distributions previously identified as income are often re-characterized as return of capital and/or capital gain. After all applicable REITs have informed the Fund of the actual breakdown of distributions paid to the Fund during its fiscal year, estimates previously recorded are adjusted on the books of the Fund to reflect actual results. As a result, the composition of the Fund's distributions as reported herein may differ from the final composition determined after calendar year-end and reported to Fund shareholders on IRS Form 1099-DIV.
7 Foreign taxes: Foreign taxes withheld, if any, represent amounts withheld by foreign tax authorities, net of refunds recoverable.
8 Expense allocation: Certain expenses are applicable to multiple funds within the complex of related investment companies. Expenses directly attributable to a fund are charged to that fund. Expenses of the Trust that are not directly attributable to a particular series of the Trust (e.g., the Fund) are allocated among the series of the Trust, on the basis of relative net assets, except where a more appropriate allocation of expenses to each of the series can otherwise be made fairly. Expenses borne by the complex of related investment companies, which includes open-end and closed-end investment companies for which Management serves as investment manager, that are not directly attributable to a particular investment company in the complex (e.g., the Trust) or series thereof are allocated among the investment companies in the complex or series thereof on the basis of relative net assets, except where a more appropriate allocation of expenses to each of the investment companies in the complex or series thereof can otherwise be made fairly. The Fund's expenses (other than those specific to each class) are allocated proportionally each day among the classes based upon the relative net assets of each class.
9 Investments in foreign securities: Investing in foreign securities may involve sovereign and other risks, in addition to the credit and market risks normally associated with domestic securities. These additional risks include the possibility of adverse political and economic developments (including political instability, nationalization, expropriation, or confiscatory taxation) and the potentially adverse effects of unavailability of public information regarding issuers, less governmental supervision and regulation of financial markets, reduced liquidity of certain financial markets, and the lack of uniform accounting, auditing, and financial reporting standards or the application of standards that are different or less stringent than those applied in the United States. Foreign securities also may experience greater price volatility, higher rates of inflation, and delays in settlement.
14
10 Investment company securities and exchange-traded funds: The Fund may invest in shares of other registered investment companies, including exchange-traded funds ("ETFs"), within the limitations prescribed by the 1940 Act or pursuant to an exemptive order from the Securities and Exchange Commission that permits the Fund to invest in both affiliated and unaffiliated investment companies, including ETFs, in excess of the limits in Section 12(d)(1)(A) of the 1940 Act, as amended, subject to the terms and conditions of such order. Some ETFs seek to track the performance of a particular market index. These indices include both broad-based market indices and more narrowly-based indices, including those relating to particular sectors, markets, regions or industries. However, some ETFs have an actively-managed investment objective. ETF shares are traded like traditional equity securities on a national securities exchange or NASDAQ. The Fund will indirectly bear its proportionate share of any management fees and other expenses paid by such other investment companies, which will increase expenses and decrease returns.
11 Securities Lending: The Fund, using State Street Bank and Trust Company ("State Street") as its lending agent, may loan securities to qualified brokers and dealers in exchange for negotiated lender's fees. These fees, if any, would be disclosed within the Statement of Operations under the caption "Income from securities loaned-net" and are net of expenses retained by State Street as compensation for its services as lending agent.
The initial cash collateral received by the Fund at the beginning of each transaction shall have a value equal to at least 102% of the prior day's market value of the loaned securities (105% in the case of international securities). The Fund may only receive collateral in the form of cash (U.S. dollars). Cash collateral is generally invested in a money market fund registered under the 1940 Act that is managed by an affiliate of State Street. The risks associated with lending portfolio securities include, but are not limited to, possible delays in receiving additional collateral or in the recovery of the loaned securities.
As of June 30, 2018, the Fund did not participate in securities lending.
12 Indemnifications: Like many other companies, the Trust's organizational documents provide that its officers and trustees are indemnified against certain liabilities arising out of the performance of their duties to the Trust. In addition, both in some of its principal service contracts and in the normal course of its business, the Trust enters into contracts that provide indemnifications to other parties for certain types of losses or liabilities. The Trust's maximum exposure under these arrangements is unknown as this could involve future claims against the Trust.
13 Other: All net investment income and realized and unrealized capital gains and losses of the Fund are allocated, on the basis of relative net assets, pro rata among its respective classes.
Note B—Investment Management Fees, Administration Fees, Distribution Arrangements, and Other Transactions with Affiliates:
The Fund retains Management as its investment manager under a Management Agreement. For such investment management services, the Fund pays Management a fee at the annual rate of 0.55% of the first $250 million of the Fund's average daily net assets, 0.525% of the next $250 million, 0.50% of the next $250 million, 0.475% of the next $250 million, 0.45% of the next $500 million, 0.425% of the next $2.5 billion, and 0.40% of average daily net assets in excess of $4 billion. Accordingly, for the six months ended June 30, 2018, the investment management fee pursuant to the Management Agreement was equivalent to an annual effective rate of 0.55% of the Fund's average daily net assets.
The Fund retains Management as its administrator under an Administration Agreement. Each class pays Management an administration fee at the annual rate of 0.30% of its average daily net assets under this agreement. Additionally, Management retains State Street Bank and Trust Company ("State Street") as its sub-administrator under a Sub-Administration Agreement. Management pays State Street a fee for all services received under the Sub-Administration Agreement.
Management has contractually agreed to waive fees and/or reimburse the Fund's Class I and Class S shares so that the total annual operating expenses of those classes do not exceed the expense limitations as detailed in the
15
following table. These undertakings include fees payable to Management but exclude interest, taxes, transaction costs, brokerage commissions, acquired fund fees and expenses, extraordinary expenses, and dividend and interest expenses relating to short sales, if any (commitment fees relating to borrowings are treated as interest for purposes of this exclusion) ("annual operating expenses"); consequently, net expenses may exceed the contractual expense limitations. The Fund has agreed that each of its classes will repay Management for fees and expenses waived or reimbursed for that class provided that repayment does not cause that class's annual operating expenses to exceed its contractual expense limitation in place at the time the fees and expenses were waived or reimbursed, or the expense limitation in place at the time the Fund repays Management, whichever is lower. Any such repayment must be made within three years after the year in which Management incurred the expense.
During the six months ended June 30, 2018, Class S repaid Management $4,661 under its contractual expense limitation.
At June 30, 2018, the Fund's contingent liabilities to Management under its contractual expense limitation were as follows:
| | | | | | Expenses Reimbursed in Year Ended December 31, | |
| | | | | | 2015 | | 2016 | | 2017 | | 2018 | |
| | | | | | Subject to Repayment until December 31, | |
Class | | Contractual Expense Limitation(a) | | Expiration | | 2018 | | 2019 | | 2020 | | 2021 | |
Class I | | | 1.50 | % | | 12/31/21 | | $ | — | | | $ | — | | | $ | — | | | $ | — | | |
Class S | | | 1.25 | % | | 12/31/21 | | | 11,802 | | | | 23,969 | | | | — | | | | — | | |
(a) Expense limitation per annum of the respective class's average daily net assets.
Neuberger Berman BD LLC (the "Distributor") is the Fund's "principal underwriter" within the meaning of the 1940 Act. It acts as agent in arranging for the sale of the Fund's Class I shares without sales commission or other compensation and bears all advertising and promotion expenses incurred in the sale of those shares. The Board adopted a non-fee distribution plan for the Fund's Class I.
The Board has adopted a distribution and shareholder services plan (the "Plan") for Class S shares pursuant to Rule 12b-1 under the 1940 Act. The Plan provides that, as compensation for administrative and other services related to the sale and distribution of Class S, and ongoing services provided to investors in the class, the Distributor receives from Class S a fee at the annual rate of 0.25% of Class S's average daily net assets. The Distributor may pay a portion of the proceeds from the 12b-1 fee to institutions that provide such services, including insurance companies or their affiliates and qualified plan administrators ("intermediaries") for services they provide respecting the Fund to current and prospective variable contract owners and qualified plan participants that invest in the Fund through the intermediaries. Those institutions may use the payments for, among other purposes, compensating employees engaged in sales and/or shareholder servicing. The amount of fees paid by the class during any year may be more or less than the cost of distribution and other services provided to the class. FINRA rules limit the amount of annual distribution fees that may be paid by a mutual fund and impose a ceiling on the cumulative distribution fees paid. The Plan complies with those rules.
Note C—Securities Transactions:
During the six months ended June 30, 2018, there were purchase and sale transactions of long-term securities of $27,291,638 and $32,704,253, respectively.
During the six months ended June 30, 2018, no brokerage commissions on securities transactions were paid to affiliated brokers.
16
Note D—Fund Share Transactions:
Share activity for the six months ended June 30, 2018 and for the year ended December 31, 2017 was as follows:
For the Six Months Ended June 30, 2018
| | Shares Sold | | Shares Issued on Reinvestment of Dividends and Distributions | | Shares Redeemed | | Total | |
Class I | | | 480,150 | | | | — | | | | (631,133 | ) | | | (150,983 | ) | |
Class S | | | 72,494 | | | | — | | | | (258,203 | ) | | | (185,709 | ) | |
For the Year Ended December 31, 2017
| | Shares Sold | | Shares Issued on Reinvestment of Dividends and Distributions | | Shares Redeemed | | Total | |
Class I | | | 1,178,093 | | | | 50,293 | | | | (1,333,957 | ) | | | (105,571 | ) | |
Class S | | | 459,971 | | | | 13,384 | | | | (774,232 | ) | | | (300,877 | ) | |
Note E—Line of Credit:
At June 30, 2018, the Fund was a participant in a syndicated committed, unsecured $700,000,000 line of credit (the "Credit Facility"), to be used only for temporary or emergency purposes. Series of other investment companies managed by Management also participate in this line of credit on substantially the same terms. Interest is charged on borrowings under this Credit Facility at the highest of (a) a federal funds effective rate plus 1.00% per annum, (b) a Eurodollar rate for a one-month period plus 1.00% per annum, and (c) an overnight bank funding rate plus 1.00% per annum. The Credit Facility has an annual commitment fee of 0.15% per annum of the available line of credit, which is paid quarterly. The Fund has agreed to pay its pro rata share of the annual commitment fee, based on the ratio of its individual net assets to the net assets of all participants at the time the fee is due and payable, and interest charged on any borrowing made by the Fund and other costs incurred by the Fund. Because several mutual funds participate in the Credit Facility, there is no assurance that the Fund will have access to all or any part of the $700,000,000 at any particular time. There were no loans outstanding under the Credit Facility at June 30, 2018. During the period ended June 30, 2018, the Fund did not utilize the Credit Facility.
Note F—Custodian Out-of-Pocket Expenses Refunded:
In May 2016, the Fund's custodian, State Street, announced that it had identified inconsistencies in the way in which the Fund was invoiced for categories of expenses, particularly those deemed "out-of-pocket" costs, from 1998 through November 2015. The amounts in the table below represent the refunded expenses and interest determined to be payable to the Fund for the period in question. These amounts were refunded to the Fund by State Street during the year ended December 31, 2017.
Expenses Refunded | | Interest Paid to the Fund | |
$ | 29,788 | | | $ | 2,504 | | |
Note G—Unaudited Financial Information:
The financial information included in this interim report is taken from the records of the Fund without audit by an independent registered public accounting firm. Annual reports contain audited financial statements.
17
Mid Cap Intrinsic Value Portfolio
The following tables include selected data for a share outstanding throughout each period and other performance information derived from the Financial Statements. Amounts that do not round to $0.01 or $(0.01) per share are presented as $0.00 or $(0.00), respectively. Ratios that do not round to 0.01% or (0.01)% are presented as 0.00% or (0.00)%, respectively. A "—" indicates that the line item was not applicable in the corresponding period.
Class I | |
| | Six Months Ended June 30, | | Year Ended December 31, | |
| | 2018 | | 2017 | | 2016 | | 2015 | | 2014 | | 2013 | |
| | (Unaudited) | | | | | | | | | | | |
Net Asset Value, Beginning of Period | | $ | 19.58 | | | $ | 16.91 | | | $ | 15.85 | | | $ | 17.87 | | | $ | 16.38 | | | $ | 12.09 | | |
Income From Investment Operations: | |
Net Investment Income/(Loss)@ | | | 0.08 | | | | 0.14 | | | | 0.18 | | | | 0.07 | | | | 0.20 | | | | 0.17 | | |
Net Gains or Losses on Securities (both realized and unrealized) | | | 0.27 | | | | 2.69 | | | | 2.27 | | | | (1.53 | ) | | | 1.98 | | | | 4.30 | | |
Total From Investment Operations | | | 0.35 | | | | 2.83 | | | | 2.45 | | | | (1.46 | ) | | | 2.18 | | | | 4.47 | | |
Less Distributions From: | |
Net Investment Income | | | — | | | | (0.16 | ) | | | (0.11 | ) | | | (0.14 | ) | | | (0.19 | ) | | | (0.18 | ) | |
Net Realized Capital Gains | | | — | | | | — | | | | (1.28 | ) | | | (0.42 | ) | | | (0.50 | ) | | | — | | |
Total Distributions | | | — | | | | (0.16 | ) | | | (1.39 | ) | | | (0.56 | ) | | | (0.69 | ) | | | (0.18 | ) | |
Voluntary Contribution from Management | | | — | | | | — | | | | — | | | | — | | | | 0.00 | | | | — | | |
Net Asset Value, End of Period | | $ | 19.93 | | | $ | 19.58 | | | $ | 16.91 | | | $ | 15.85 | | | $ | 17.87 | | | $ | 16.38 | | |
Total Return† | | | 1.79 | %^* | | | 16.74 | %^‡ | | | 16.17 | %^ | | | (8.34 | )%^ | | | 13.84 | %µ | | | 37.05 | %^ | |
Ratios/Supplemental Data | |
Net Assets, End of Period (in millions) | | $ | 118.2 | | | $ | 119.1 | | | $ | 104.7 | | | $ | 90.7 | | | $ | 92.4 | | | $ | 84.1 | | |
Ratio of Gross Expenses to Average Net Assets# | | | 0.99 | %** | | | 0.99 | % | | | 1.05 | % | | | 1.03 | % | | | 1.02 | % | | | 1.03 | % | |
Ratio of Net Expenses to Average Net Assets | | | 0.99 | %** | | | 0.97 | %ß | | | 1.05 | % | | | 1.03 | % | | | 1.02 | % | | | 1.03 | % | |
Ratio of Net Investment Income/(Loss) to Average Net Assets | | | 0.79 | %** | | | 0.79 | %ß | | | 1.12 | % | | | 0.42 | % | | | 1.20 | % | | | 1.16 | % | |
Portfolio Turnover Rate | | | 16 | %* | | | 35 | % | | | 36 | % | | | 41 | % | | | 30 | % | | | 35 | % | |
See Notes to Financial Highlights
18
Financial Highlights (cont'd)
Class S | |
| | Six Months Ended June 30, | | Year Ended December 31, | |
| | 2018 | | 2017 | | 2016 | | 2015 | | 2014 | | 2013 | |
| | (Unaudited) | | | | | | | | | | | |
Net Asset Value, Beginning of Period | | $ | 22.22 | | | $ | 19.19 | | | $ | 17.78 | | | $ | 19.95 | | | $ | 18.20 | | | $ | 13.43 | | |
Income From Investment Operations: | |
Net Investment Income/(Loss)@ | | | 0.06 | | | | 0.10 | | | | 0.17 | | | | 0.04 | | | | 0.18 | | | | 0.15 | | |
Net Gains or Losses on Securities (both realized and unrealized) | | | 0.31 | | | | 3.03 | | | | 2.57 | | | | (1.72 | ) | | | 2.21 | | | | 4.77 | | |
Total From Investment Operations | | | 0.37 | | | | 3.13 | | | | 2.74 | | | | (1.68 | ) | | | 2.39 | | | | 4.92 | | |
Less Distributions From: | |
Net Investment Income | | | — | | | | (0.10 | ) | | | (0.05 | ) | | | (0.07 | ) | | | (0.14 | ) | | | (0.15 | ) | |
Net Realized Capital Gains | | | — | | | | — | | | | (1.28 | ) | | | (0.42 | ) | | | (0.50 | ) | | | — | | |
Total Distributions | | | — | | | | (0.10 | ) | | | (1.33 | ) | | | (0.49 | ) | | | (0.64 | ) | | | (0.15 | ) | |
Voluntary Contribution from Management | | | — | | | | — | | | | — | | | | — | | | | 0.00 | | | | — | | |
Net Asset Value, End of Period | | $ | 22.59 | | | $ | 22.22 | | | $ | 19.19 | | | $ | 17.78 | | | $ | 19.95 | | | $ | 18.20 | | |
Total Return† | | | 1.67 | %^* | | | 16.35 | %‡^ | | | 15.98 | %^ | | | (8.52 | )%^ | | | 13.56 | %µ | | | 36.71 | %^ | |
Ratios/Supplemental Data | |
Net Assets, End of Period (in millions) | | $ | 56.0 | | | $ | 59.3 | | | $ | 56.9 | | | $ | 55.6 | | | $ | 62.9 | | | $ | 62.5 | | |
Ratio of Gross Expenses to Average Net Assets# | | | 1.25 | %** | | | 1.25 | % | | | 1.30 | % | | | 1.28 | % | | | 1.27 | % | | | 1.28 | % | |
Ratio of Net Expenses to Average Net Assets | | | 1.25 | %§** | | | 1.25 | %ߧ | | | 1.25 | % | | | 1.25 | % | | | 1.25 | % | | | 1.25 | % | |
Ratio of Net Investment Income/(Loss) to Average Net Assets | | | 0.52 | %** | | | 0.49 | %ß | | | 0.91 | % | | | 0.18 | % | | | 0.97 | % | | | 0.95 | % | |
Portfolio Turnover Rate | | | 16 | %* | | | 35 | % | | | 36 | % | | | 41 | % | | | 30 | % | | | 35 | % | |
See Notes to Financial Highlights
19
Notes to Financial Highlights Mid Cap Intrinsic Value Portfolio (Unaudited)
@ Calculated based on the average number of shares outstanding during each fiscal period.
‡ The Custodian Out-of-Pocket Expenses Refunded as listed in Note F of the Notes to Financial Statements had no impact on the Fund's total return for the year ended December 31, 2017.
^ The class action proceeds listed in Note A of the Notes to Financial Statements had no impact on the Fund's total return for the six months ended June 30, 2018. The class action proceeds received in 2017 had no impact on the Fund's total return for the year ended December 31, 2017. The class action proceeds received in 2016 had no impact on the Fund's total return for the year ended December 31, 2016. The class action proceeds received in 2015 had no impact on the Fund's total return for the year ended December 31, 2015. Had the Fund not received class action proceeds in 2013, total return based on per share NAV for the year ended December 31, 2013 would have been 36.88% and 36.56% for Class I and Class S, respectively.
† Total return based on per share NAV reflects the effects of changes in NAV on the performance of the Fund during each fiscal period. Returns assume income dividends and other distributions, if any, were reinvested. Results represent past performance and do not indicate future results. Current returns may be lower or higher than the performance data quoted. Investment returns and principal will fluctuate and shares, when redeemed, may be worth more or less than original cost. Total return would have been lower if Management had not reimbursed and/or waived certain expenses. The total return information shown does not reflect charges and other expenses that apply to the separate accounts or the related insurance policies or other qualified pension or retirement plans, and the inclusion of these charges and other expenses would reduce the total return for all fiscal periods shown.
* Not annualized.
µ The voluntary contribution received in 2014 had no impact on the Fund's total return for the year ended December 31, 2014.
# Represents the annualized ratios of net expenses to average daily net assets if Management had not reimbursed certain expenses and/or waived a portion of the investment management fee. Management did not reimburse or waive fees during the fiscal periods shown for Class I.
** Annualized.
ß Custodian Out-of-Pocket Expenses Refunded, as listed in Note F of the Notes to Financial Statements, is non-recurring, and is included in these ratios. Had the Fund not received the refund, the annualized ratios of net expenses to average net assets and net investment income/(loss) to average net assets would have been:
| | Ratio of Net Expenses to Average Net Assets Year Ended December 31, 2017 | | Ratio of Net Investment Income/(Loss) to Average Net Assets Year Ended December 31, 2017 | |
Class I | | | 0.99 | % | | | 0.77 | % | |
Class S | | | 1.25 | % | | | 0.48 | % | |
20
Notes to Financial Highlights Mid Cap Intrinsic Value Portfolio (Unaudited) (cont'd)
§ After repayment of expenses previously reimbursed and/or fees previously waived by Management, as applicable. Had the Fund not made such repayments, the annualized ratios of net expenses to average net assets would have been:
| | Six Months Ended June 30, 2018 | | Year Ended December 31, 2017 | |
Class S | | | 1.24 | % | | | 1.24 | % | |
21
Proxy Voting Policies and Procedures
A description of the policies and procedures that the Trust uses to determine how to vote proxies relating to portfolio securities is available, without charge, by calling 800-877-9700 (toll-free) and on the Securities and Exchange Commission's website at www.sec.gov. Information regarding how the Trust voted proxies relating to portfolio securities during the most recent 12-month period ended June 30 is also available upon request, without charge, by calling 800-877-9700 (toll-free), on the Securities and Exchange Commission's website at www.sec.gov, and on Management's website at www.nb.com.
Quarterly Portfolio Schedule
The Trust files a complete schedule of portfolio holdings for the Fund with the Securities and Exchange Commission for the first and third quarters of each fiscal year on Form N-Q. The Trust's Forms N-Q are available on the Securities and Exchange Commission's website at www.sec.gov and may be reviewed and copied at the Securities and Exchange Commission's Public Reference Room in Washington, DC. Information on the operation of the Public Reference Room may be obtained by calling 800-SEC-0330. The information on Form N-Q is available upon request, without charge, by calling 800-877-9700 (toll free).
22
![](https://capedge.com/proxy/N-CSRS/0000898432-18-000944/j18154463_aa001.jpg)
Neuberger Berman
Advisers Management Trust
Short Duration Bond Portfolio
I Class Shares
Semi-Annual Report
June 30, 2018
Short Duration Bond Portfolio Commentary
The Neuberger Berman Advisers Management Trust Short Duration Bond Portfolio Class I posted a –0.10% total return for the six months ended June 30, 2018, underperforming its benchmark, the Bloomberg Barclays 1-3 Year U.S. Government/Credit Bond Index (the Index), which returned 0.08% for the same period.
The U.S. Treasury yield curve flattened during the reporting period, as short-term rates increased more than their longer-term counterparts. Short-term rates rose as the U.S. Federal Reserve (Fed) raised interest rates in March and June 2018. The Fed currently anticipates two additional rate hikes before the end of the year. For the six months ended June 30, 2018, the yield on the two-year U.S. Treasury moved 63 basis points (bps) higher, whereas the 10-year U.S. Treasury yield rose 45 bps. Many spread sectors (i.e., those segments of the bond market where investors seek greater yield by undertaking the additional risks of investing in corporate or other securities not backed by the U.S. Treasury) generated negative returns during the reporting period.
The primary detractors from the Fund's performance during the reporting period were its out-of-benchmark allocations to U.S. government agency mortgage-backed securities. These positions were headwinds for results as they generated negative absolute returns over the period. The Fund maintained a defensive duration position relative to the benchmark, with an underweight to the two to three year area of the yield curve. This positioning was beneficial as those particular maturities underperformed the rest of the yield curve as their rates rose sharply during the period in conjunction with the two Fed interest rate hikes. Elsewhere, within the investment-grade corporate bond sector, having an overweight to banks detracted from relative returns. The Fund's use of Treasury futures detracted from performance.
The Fund maintained an overweight to the spread sectors and an underweight to Treasuries and agency debt versus the Index during the reporting period. However, several adjustments were made to the Fund, including increasing its overweights to investment grade corporate bonds and asset-backed securities. In both cases we found what we think are attractive investment opportunities. We also opportunistically increased the Fund's exposure to corporate floating rate notes. These securities have limited interest rate sensitivity and allowed us to capture higher coupons. These changes were funded by reducing the Fund's allocation to Treasuries securities.
Looking ahead, we believe gradually rising interest rates in the U.S. are likely to remain a central theme in the second half of 2018. The Fed's June 2018 rate hike brought the upper bound of the Fed's target rate to 2%. The Fed appears willing to tolerate inflation above its 2% target for a "temporary period" as part of its objective of "symmetric inflation" approach—that is, targeting an inflation rate this is neither too high nor too low. As the Fed grapples with the "neutral" level of interest rates that neither stimulates nor curbs economic growth, its efforts are complicated by a need to reconcile the economic tailwinds of tax cuts and increased government spending with the potential headwinds of tariffs and other trade tensions. The Fed may become even more measured and symmetrical in its policy approach as its 2% rate target nears, especially given markets' reaction to tighter liquidity conditions thus far in 2018. In stark contrast with 2017's sanguine environment, the ongoing removal of liquidity from the system this year has contributed to choppy equity markets, widening credit spreads and a stronger U.S. dollar. We anticipate these volatile conditions to become even more pronounced in the second half of the year as the Fed's expected balance sheet reductions increase and the European Central Bank likely ends its bond purchase program.
Sincerely,
THOMAS SONTAG, MICHAEL FOSTER AND MATTHEW MCGINNIS
PORTFOLIO MANAGERS
Information about principal risks of investing in the Fund is set forth in the prospectus and statement of additional information.
The portfolio composition, industries and holdings of the Fund are subject to change without notice.
The opinions expressed are those of the Fund's portfolio managers. The opinions are as of the date of this report and are subject to change without notice.
1
Short Duration Bond Portfolio
PORTFOLIO BY TYPE OF SECURITY
(as a % of Total Net Assets) | |
Asset-Backed Securities | | | 15.3 | % | |
Corporate Bonds | | | 54.5 | | |
Mortgage-Backed Securities | | | 30.0 | | |
Short-Term Investments | | | 1.7 | | |
Other Assets Less Liabilities | | | (1.5 | )* | |
Total | | | 100.0 | % | |
* Percentage includes appreciation/depreciation from derivatives, if any.
PERFORMANCE HIGHLIGHTS
| | Inception | | Six Month Period Ended | | Average Annual Total Return Ended 06/30/2018 | |
| | Date | | 06/30/2018 | | 1 Year | | 5 Years | | 10 Years | | Life of Fund | |
Short Duration Bond Portfolio Class I | | 09/10/1984 | | | –0.10 | % | | | –0.06 | % | | | 0.68 | % | | | 1.49 | % | | | 4.70 | % | |
Bloomberg Barclays 1-3 Year U.S. Government/ Credit Bond Index1,2 | | | | | 0.08 | % | | | 0.21 | % | | | 0.84 | % | | | 1.65 | % | | | 5.28 | % | |
The performance data quoted represent past performance and do not indicate future results. Current performance may be lower or higher than the performance data quoted. For performance data current to the most recent month-end, please visit http://www.nb.com/amtportfolios/performance.
The results shown in the table reflect the reinvestment of income dividends and other distributions, if any. The results do not reflect the effect of taxes a shareholder would pay on Fund distributions or on the redemption of Fund shares. The results do not reflect fees and expenses of the variable annuity and variable life insurance policies or the qualified pension and retirement plans whose proceeds are invested in the Fund.
The investment return and principal value of an investment will fluctuate and shares, when redeemed, may be worth more or less than their original cost.
Returns would have been lower if Neuberger Berman Investment Advisers LLC ("Management") had not reimbursed certain expenses and/ or waived a portion of the investment management fees during certain of the periods shown. Repayment by a class (of expenses previously reimbursed and/ or fees previously waived by Management) will decrease the class's returns. Please see Note B in the Notes to Financial Statements for specific information regarding expense reimbursement and/ or fee waiver arrangements.
For the period ended June 30, 2018, the 30-day SEC yield was 1.70% for Class I shares.
As stated in the Fund's most recent prospectus, the total annual operating expense ratio for fiscal year 2017 was 0.86% for Class I shares (before expense reimbursements and/ or fee waivers, if any). The expense ratios for the semi-annual period ended June 30, 2018, can be found in the Financial Highlights section of this report.
2
1 The date used to calculate Life of Fund performance for the index is September 10, 1984, the Fund's commencement of operations.
2 The Bloomberg Barclays 1-3 Year U.S. Government/Credit Bond Index is the 1-3 year component of the Barclays U.S. Government/Credit Index. The Bloomberg Barclays U.S. Government/Credit Index is the non-securitized component of the Bloomberg Barclays U.S. Aggregate Bond Index and includes Treasuries and government-related (agency, sovereign, supranational, and local authority debt) and corporate securities. Please note that the indices described in this report do not take into account any fees, expenses or tax consequences of investing in the individual securities that they track, and that individuals cannot invest directly in any index. Data about the performance of an index are prepared or obtained by Neuberger Berman Investment Advisers LLC ("Management") and reflect the reinvestment of income dividends and other distributions, if any. The Fund may invest in securities not included in a described index and generally does not invest in all securities included in a described index.
The investments for the Fund are managed by the same portfolio manager(s) who manage(s) one or more other registered funds that have names, investment objectives and investment styles that are similar to those of the Fund. You should be aware that the Fund is likely to differ from those other mutual fund(s) in size, cash flow pattern and tax matters. Accordingly, the holdings and performance of the Fund can be expected to vary from those of the other mutual fund(s).
Shares of the separate Neuberger Berman Advisers Management Trust Portfolios, including the Fund, are not available to the general public. Shares of the Fund may be purchased only by life insurance companies to be held in their separate accounts, which fund variable annuity and variable life insurance policies, and by qualified pension and retirement plans.
Statistics and projections in this report are derived from sources deemed to be reliable but cannot be regarded as a representation of future results of the Fund. This report is prepared for the general information of shareholders and is not an offer of shares of the Fund. Shares are sold only through the currently effective prospectus, which must precede or accompany this report.
The "Neuberger Berman" name and logo and "Neuberger Berman Investment Advisers LLC" name are registered service marks of Neuberger Berman Group LLC. The individual Fund name in this piece is either a service mark or registered service mark of Neuberger Berman Investment Advisers LLC , an affiliate of Neuberger Berman BD LLC, distributor, member FINRA.
© 2018 Neuberger Berman BD LLC, distributor. All rights reserved.
3
Information About Your Fund's Expenses (Unaudited)
As a Fund shareholder, you incur two types of costs: (1) transaction costs such as fees and expenses that are, or may be, imposed under your variable contract or qualified pension plan; and (2) ongoing costs, including management fees, distribution and/or service (12b-1) fees (if applicable), and other Fund expenses. This example is intended to help you understand your ongoing costs (in U.S. dollars) of investing in the Fund and compare these costs with the ongoing costs of investing in other mutual funds.
This table is designed to provide information regarding costs related to your investments. The following examples are based on an investment of $1,000 made at the beginning of the six month period ended June 30, 2018 and held for the entire period. The table illustrates the Fund's costs in two ways:
Actual Expenses and Performance: | | The first section of the table provides information about actual account values and actual expenses in dollars, based on the Fund's actual performance during the period indicated. You may use the information in this line, together with the amount you invested, to estimate the expenses 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 first section of the table under the heading entitled "Expenses Paid During the Period" to estimate the expenses you paid over the period. | |
Hypothetical Example for Comparison Purposes: | | The second section of the table provides information about hypothetical account values and hypothetical expenses based on the Fund's actual expense ratio and an assumed rate of return at 5% per year before expenses. This return is not the Fund's actual return. The hypothetical account values and expenses may not be used to estimate the actual ending account balance or expenses you paid for the period. You may use this information to compare the ongoing costs of investing in this Fund versus other funds. To do so, compare the expenses shown in this 5% hypothetical example with the 5% hypothetical examples that appear in the shareholder reports of other funds. | |
Please note that the expenses in the table are meant to highlight your ongoing costs only and do not include any transaction costs, such as fees and expenses that are, or may be imposed under your variable contract or qualified pension plan. Therefore, the information under the heading "Hypothetical (5% annual return before expenses)" is useful in comparing ongoing costs only, and will not help you determine the relative total costs of owning different funds. In addition, if these transaction costs were included, your costs would have been higher.
Expense Example (Unaudited)
NEUBERGER BERMAN ADVISERS MANAGEMENT TRUST SHORT DURATION BOND PORTFOLIO
Actual | | Beginning Account Value 1/1/18 | | Ending Account Value 6/30/18 | | Expenses Paid During the Period 1/1/18 – 6/30/18 | |
Class I | | $ | 1,000.00 | | | $ | 999.00 | | | $ | 4.26 | (a) | |
Hypothetical (5% annual return before expenses) | |
Class I | | $ | 1,000.00 | | | $ | 1,020.53 | | | $ | 4.31 | (b) | |
(a) Expenses are equal to the annualized expense ratio of 0.86%, multiplied by the average account value over the period, multiplied by 181/365 (to reflect the one-half year period shown).
(b) Hypothetical expenses are equal to the annualized expense ratio of 0.86%, multiplied by the average account value over the period (assuming a 5% annual return), multiplied by 181/365 (to reflect the one-half year period shown).
4
Schedule of Investments Short Duration Bond Portfolio (Unaudited) June 30, 2018
PRINCIPAL AMOUNT | | | | VALUE | |
Mortgage-Backed Securities 30.0% | | | |
Adjustable Mixed Balance 0.2% | | | |
$ | 226,480 | | | Harborview Mortgage Loan Trust, Ser. 2004-4, Class 3A, (1 Month USD LIBOR + 1.13%), 3.11%, due 6/19/34 | | $ | 219,691
| (a) | |
Commercial Mortgage-Backed 23.3% | | | |
| 943,902 | | | BBCMS Mortgage Trust, Ser. 2017-C1, Class A1, 2.01%, due 2/15/50 | | | 927,496 | | |
| | | | CD Mortgage Trust | | | | | |
| 648,810 | | | Ser. 2017-CD3, Class A1, 1.97%, due 2/10/50 | | | 637,705 | | |
| 2,526,444 | | | Ser. 2017-CD5, Class A1, 2.03%, due 8/15/50 | | | 2,468,502 | | |
| | | | Citigroup Commercial Mortgage Trust | | | | | |
| 1,671,413 | | | Ser. 2016-P6, Class A1, 1.88%, due 12/10/49 | | | 1,640,887 | | |
| 1,640,000 | | | Ser. 2018-C5, Class A1, 3.13%, due 6/10/51 | | | 1,640,676 | | |
| | | | Commercial Mortgage Pass-Through Certificates | | | | | |
| 997,668 | | | Ser. 2014-LC15, Class A1, 1.26%, due 4/10/47 | | | 993,759 | | |
| 163,581 | | | Ser. 2014-CR16, Class A1, 1.45%, due 4/10/47 | | | 163,152 | | |
| 525,433 | | | Ser. 2014-UBS3, Class A1, 1.40%, due 6/10/47 | | | 522,714 | | |
| 350,379 | | | Ser. 2014-UBS4, Class A1, 1.31%, due 8/10/47 | | | 349,407 | | |
| 732,280 | | | Ser. 2015-CR25, Class A1, 1.74%, due 8/10/48 | | | 723,858 | | |
| 926,911 | | | Ser. 2016-CR28, Class A1, 1.77%, due 2/10/49 | | | 915,192 | | |
| 767,500 | | | Ser. 2015-PC1, Class A1, 1.67%, due 7/10/50 | | | 763,447 | | |
| 1,363,323 | | | CSAIL Commercial Mortgage Trust, Ser. 2017-CX10, Class A1, 2.23%, due 11/15/50 | | | 1,337,931 | | |
| 1,285,657 | | | DBJPM Mortgage Trust, Ser. 2016-C3, Class A1, 1.50%, due 9/10/49 | | | 1,256,403 | | |
| 498,951 | | | GS Mortgage Securities Trust, Ser. 2015-GS1, Class A1, 1.94%, due 11/10/48 | | | 493,131 | | |
| 798,338 | | | Ladder Capital Commercial Mortgage Securities LLC, Ser. 2017-LC26, Class A1, 1.98%, due 7/12/50 | | | 783,534
| (b) | |
| | | | Morgan Stanley Bank of America Merrill Lynch Trust | | | | | |
| 1,221,707 | | | Ser. 2016-C28, Class A1, 1.53%, due 1/15/49 | | | 1,197,508 | | |
| 1,299,448 | | | Ser. 2017-C33, Class A1, 2.03%, due 5/15/50 | | | 1,272,333 | | |
| 1,019,439 | | | SG Commercial Mortgage Securities Trust, Ser. 2016-C5, Class A1, 1.35%, due 10/10/48 | | | 995,839 | | |
| | | | UBS Commercial Mortgage Trust | | | | | |
| 356,760 | | | Ser. 2017-C1, Class A1, 1.89%, due 6/15/50 | | | 348,662 | | |
| 2,439,088 | | | Ser. 2017-C2, Class A1, 2.01%, due 8/15/50 | | | 2,383,516 | | |
| | | | Wells Fargo Commercial Mortgage Trust | | | | | |
| 514,896 | | | Ser. 2015-P2, Class A1, 1.97%, due 12/15/48 | | | 509,453 | | |
| 1,491,069 | | | Ser. 2016-NXS6, Class A1, 1.42%, due 11/15/49 | | | 1,457,114 | | |
| 2,500,000 | | | Ser. 2018-C45, Class A1, 3.18%, due 6/15/51 | | | 2,499,987 | (c)(d) | |
| 1,595,666 | | | Ser. 2016-NXS5, Class A1, 1.56%, due 1/15/59 | | | 1,573,423 | | |
| 1,170,629 | | | Ser. 2016-C32, Class A1, 1.58%, due 1/15/59 | | | 1,153,458 | | |
| | | 29,009,087 | | |
Fannie Mae 3.8% | | | |
| | | | Pass-Through Certificates | | | | | |
| 826,589 | | | 3.50%, due 10/1/25 | | | 836,886 | | |
| 1,811,621 | | | 3.00%, due 9/1/27 | | | 1,807,707 | | |
| 2,020,119 | | | 4.50%, due 5/1/41 – 5/1/44 | | | 2,122,623 | | |
| | | 4,767,216 | | |
Freddie Mac 2.7% | | | |
| | | | Pass-Through Certificates | | | | | |
| 950,601 | | | 3.50%, due 5/1/26 | | | 961,779 | | |
| 1,360,597 | | | 3.00%, due 1/1/27 | | | 1,360,814 | | |
| 1,047,033 | | | 4.50%, due 11/1/39 | | | 1,101,153 | | |
| | | 3,423,746 | | |
| | | | Total Mortgage-Backed Securities (Cost $38,125,225) | | | 37,419,740 | | |
See Notes to Financial Statements
5
Schedule of Investments Short Duration Bond Portfolio (Unaudited) (cont'd)
PRINCIPAL AMOUNT | | | | VALUE | |
Corporate Bonds 54.5% | | | |
Agriculture 1.3% | | | |
$ | 1,600,000 | | | BAT Capital Corp., 2.30%, due 8/14/20 | | $ | 1,565,427 | (b) | |
Auto Manufacturers 3.3% | | | |
| 885,000 | | | Daimler Finance N.A. LLC, 1.50%, due 7/5/19 | | | 872,121 | (b) | |
| 2,000,000 | | | Ford Motor Credit Co. LLC, 2.02%, due 5/3/19 | | | 1,983,440 | | |
| 1,190,000 | | | Harley-Davidson Financial Services, Inc., (3 Month USD LIBOR + 0.50%), 2.83%, due 5/21/20 | | | 1,192,472 | (a)(b) | |
| | | 4,048,033 | | |
Banks 21.8% | | | |
| | | | Bank of America Corp. | | | | | |
| 620,000 | | | Ser. L, 2.60%, due 1/15/19 | | | 619,611 | | |
| 2,335,000 | | | 5.63%, due 7/1/20 | | | 2,443,324 | | |
| 1,125,000 | | | Capital One Financial Corp., 2.50%, due 5/12/20 | | | 1,109,004 | | |
| 1,125,000 | | | Capital One N.A., 2.35%, due 8/17/18 | | | 1,124,638 | | |
| 2,815,000 | | | Citigroup, Inc., 2.45%, due 1/10/20 | | | 2,783,299 | | |
| 2,615,000 | | | Goldman Sachs Group, Inc., 2.60%, due 4/23/20 | | | 2,590,228 | | |
| 1,250,000 | | | HSBC Holdings PLC, (3 Month USD LIBOR + 0.60%), 2.93%, due 5/18/21 | | | 1,251,821 | (a) | |
| 2,180,000 | | | JPMorgan Chase & Co., 2.25%, due 1/23/20 | | | 2,152,208 | | |
| 2,500,000 | | | Morgan Stanley, 5.75%, due 1/25/21 | | | 2,643,537 | | |
| 780,000 | | | National Australia Bank Ltd., 1.38%, due 7/12/19 | | | 768,442 | | |
| 1,995,000 | | | Santander UK PLC, 2.50%, due 1/5/21 | | | 1,948,896 | | |
| 1,295,000 | | | Sumitomo Mitsui Banking Corp., 2.51%, due 1/17/20 | | | 1,281,296 | | |
| 595,000 | | | Synchrony Bank, 3.65%, due 5/24/21 | | | 595,300 | | |
| 1,875,000 | | | Toronto-Dominion Bank, 3.25%, due 6/11/21 | | | 1,874,296 | | |
| 1,300,000 | | | Wells Fargo & Co., 2.50%, due 3/4/21 | | | 1,271,536 | | |
| 2,795,000 | | | Westpac Banking Corp., 2.15%, due 3/6/20 | | | 2,749,822 | | |
| | | 27,207,258 | | |
Beverages 1.4% | | | |
| 1,830,000 | | | Anheuser-Busch InBev Finance, Inc., 2.65%, due 2/1/21 | | | 1,804,392 | | |
Biotechnology 1.5% | | | |
| 1,850,000 | | | Gilead Sciences, Inc., (3 Month USD LIBOR + 0.17%), 2.49%, due 9/20/18 | | | 1,850,230 | (a) | |
Commercial Services 1.8% | | | |
| 2,210,000 | | | ERAC USA Finance LLC, 5.25%, due 10/1/20 | | | 2,295,243 | (b) | |
Diversified Financial Services 2.6% | | | |
| 850,000 | | | AIG Global Funding, 2.15%, due 7/2/20 | | | 833,078 | (b) | |
| 2,465,000 | | | American Express Co., 2.20%, due 10/30/20 | | | 2,407,334 | | |
| | | 3,240,412 | | |
Electric 3.4% | | | |
| 500,000 | | | Dominion Resources, Inc., Ser. B, 1.60%, due 8/15/19 | | | 492,286 | | |
| 1,340,000 | | | Pennsylvania Electric Co., 5.20%, due 4/1/20 | | | 1,376,428 | | |
| | | | Sempra Energy | | | | | |
| 1,315,000 | | | (3 Month USD LIBOR + 0.25%), 2.60%, due 7/15/19 | | | 1,315,288 | (a) | |
| 635,000 | | | 2.40%, due 2/1/20 | | | 627,305 | | |
| 370,000 | | | Southern Co., 1.55%, due 7/1/18 | | | 370,000 | | |
| | | 4,181,307 | | |
See Notes to Financial Statements
6
Schedule of Investments Short Duration Bond Portfolio (Unaudited) (cont'd)
PRINCIPAL AMOUNT | | | | VALUE | |
Household Products—Wares 1.0% | | | |
$ | 1,250,000 | | | Reckitt Benckiser Treasury Services PLC, 2.13%, due 9/21/18 | | $ | 1,248,811 | (b) | |
Media 1.5% | | | |
| 1,140,000 | | | Charter Communications Operating LLC/Charter Communications Operating Capital, 3.58%, due 7/23/20 | | | 1,139,830 | | |
| 740,000 | | | Discovery Communications LLC, 2.20%, due 9/20/19 | | | 731,878 | | |
| | | 1,871,708 | | |
Oil & Gas 2.2% | | | |
| 1,140,000 | | | BP AMI Leasing, Inc., 5.52%, due 5/8/19 | | | 1,166,774 | (b) | |
| 405,000 | | | BP Capital Markets PLC, 1.68%, due 5/3/19 | | | 401,524 | | |
| 1,195,000 | | | Total Capital Int'l SA, (3 Month USD LIBOR + 0.57%), 2.92%, due 8/10/18 | | | 1,195,883 | (a) | |
| | | 2,764,181 | | |
Pharmaceuticals 5.9% | | | |
| 1,325,000 | | | AbbVie, Inc., 2.50%, due 5/14/20 | | | 1,308,579 | | |
| 1,190,000 | | | Bayer US Finance II LLC, 3.50%, due 6/25/21 | | | 1,192,277 | (b) | |
| | | | CVS Health Corp. | | | | | |
| 2,065,000 | | | 1.90%, due 7/20/18 | | | 2,064,566 | | |
| 1,290,000 | | | 2.80%, due 7/20/20 | | | 1,279,062 | | |
| 495,000 | | | Mylan NV, 2.50%, due 6/7/19 | | | 492,750 | | |
| 1,080,000 | | | Shire Acquisitions Investments Ireland DAC, 1.90%, due 9/23/19 | | | 1,063,487 | | |
| | | 7,400,721 | | |
Pipelines 1.6% | | | |
| 1,525,000 | | | Enterprise Products Operating LLC, 2.55%, due 10/15/19 | | | 1,514,667 | | |
| 490,000 | | | Kinder Morgan Energy Partners L.P., 6.85%, due 2/15/20 | | | 515,955 | | |
| | | 2,030,622 | | |
Retail 1.1% | | | |
| 1,365,000 | | | Walmart, Inc., (3 Month USD LIBOR + 0.23%), 2.57%, due 6/23/21 | | | 1,366,324 | (a) | |
Telecommunications 4.1% | | | |
| 2,535,000 | | | AT&T, Inc., 2.80%, due 2/17/21 | | | 2,494,464 | | |
| 705,000 | | | Cisco Systems, Inc., (3 Month USD LIBOR + 0.50%), 2.80%, due 3/1/19 | | | 707,343 | (a) | |
| 1,790,000 | | | Verizon Communications, Inc., 4.60%, due 4/1/21 | | | 1,850,233 | | |
| | | 5,052,040 | | |
| | | | Total Corporate Bonds (Cost $68,587,300) | | | 67,926,709 | | |
Asset-Backed Securities 15.3% | | | |
| 900,000 | | | Ally Auto Receivables Trust, Ser. 2018-1, Class A3, 2.35%, due 6/15/22 | | | 892,119 | | |
| 2,190,000 | | | American Express Credit Account Master Trust, Ser. 2018-1, Class A, 2.67%, due 10/17/22 | | | 2,184,311 | | |
| 800,000 | | | Bank of America Credit Card Trust, Ser. 2017-A1, Class A1, 1.95%, due 8/15/22 | | | 787,798 | | |
| 2,800,000 | | | Capital One Multi-Asset Execution Trust, Ser. 2016-A3, Class A3, 1.34%, due 4/15/22 | | | 2,763,496 | | |
| 4,200,000 | | | Chase Issuance Trust, Ser. 2016-A5, Class A5, 1.27%, due 7/15/21 | | | 4,139,232 | | |
| | | | Citibank Credit Card Issuance Trust | | | | | |
| 1,870,000 | | | Ser. 2016-A1, Class A1, 1.75%, due 11/19/21 | | | 1,842,403 | | |
| 1,400,000 | | | Ser. 2017-A3, Class A3, 1.92%, due 4/7/22 | | | 1,376,364 | | |
| 560,205 | | | Fannie Mae Grantor Trust, Ser. 2003-T4, Class 1A, (1 Month USD LIBOR + 0.22%), 2.32%, due 9/26/33 | | | 557,667 | (a) | |
| 1,400,000 | | | Ford Credit Auto Owner Trust, Ser. 2017-A, Class A3, 1.67%, due 6/15/21 | | | 1,383,913 | | |
See Notes to Financial Statements
7
Schedule of Investments Short Duration Bond Portfolio (Unaudited) (cont'd)
PRINCIPAL AMOUNT | | | | VALUE | |
$ | 776,340 | | | SLM Student Loan Trust, Ser. 2013-2, Class A, (1 Month USD LIBOR + 0.45%), 2.41%, due 9/25/43 | | $ | 778,890
| (a) | |
| 900,000 | | | Toyota Auto Receivables Owner Trust, Ser. 2018-A, Class A3, 2.35%, due 5/16/22 | | | 890,940 | | |
| 1,425,000 | | | Verizon Owner Trust, Ser. 2016-1A, Class A, 1.42%, due 1/20/21 | | | 1,416,134 | (b)(e) | |
| | | | Total Asset-Backed Securities (Cost $19,138,177) | | | 19,013,267 | | |
NUMBER OF SHARES | |
Short-Term Investments 1.7% | | | |
Investment Companies 1.7% | | | |
| 2,088,353 | | | State Street Institutional U.S. Government Money Market Fund Premier Class, 1.82%(f)(Cost $2,088,353) | | | 2,088,353 | (e) | |
| | | | Total Investments 101.5% (Cost $127,939,055) | | | 126,448,069 | | |
| | | | Liabilities Less Other Assets (1.5)% | | | (1,909,853 | )(g) | |
| | | | Net Assets 100.0% | | $ | 124,538,216 | | |
(a) Variable or floating rate security. The interest rate shown was the current rate as of June 30, 2018 and changes periodically.
Benchmarks for Variable/Floating Rates:
LIBOR—London Interbank Offered Rate
(b) Securities were purchased under Rule 144A of the 1933 Act, as amended, or are otherwise restricted and, unless registered under the Securities Act of 1933 or exempted from registration, may only be sold to qualified institutional investors or may have other restrictions on resale. At June 30, 2018, these securities amounted to $12,565,871, which represents 10.1% of net assets of the Fund. These securities have been deemed by the investment manager to be liquid.
(c) Value determined using significant unobservable inputs.
(d) When-issued security. Total value of all such securities at June 30, 2018, amounted to $2,499,987, which represents 2.0% of net assets of the Fund.
(e) All or a portion of this security is segregated in connection with obligations for when-issued and/or future contracts with a total value of $3,504,487.
(f) Represents 7-day effective yield as of June 30, 2018.
(g) Includes the impact of the Fund's open positions in derivatives at June 30, 2018.
See Notes to Financial Statements
8
Schedule of Investments Short Duration Bond Portfolio (Unaudited) (cont'd)
Derivative Instruments
Futures contracts ("futures")
At June 30, 2018, open positions in futures for the Fund were as follows:
Long Futures:
Expiration Date | | Number of Contracts | | Open Contracts | | Notional Amount | | Value and Unrealized Appreciation/ (Depreciation) | |
9/2018 | | | 32 | | | U.S. Treasury Note, 2 Year | | $ | 6,778,500 | | | $ | (26,500 | ) | |
Total Futures | | | | | | $ | 6,778,500 | | | $ | (26,500 | ) | |
At June 30, 2018, the Fund had $51,505 deposited in a segregated account to cover margin requirements on open futures.
For the six months ended June 30, 2018, the average notional value of futures for the Fund was $8,261,770 for long positions.
The following is a summary, categorized by Level (see Note A of Notes to Financial Statements), of inputs used to value the Fund's investments as of June 30, 2018:
Asset Valuation Inputs | | Level 1 | | Level 2 | | Level 3(b) | | Total | |
Investments: | |
Mortgage-Backed Securities | |
Commercial Mortgage-Backed | | $ | — | | | $ | 26,509,100 | | | $ | 2,499,987 | | | $ | 29,009,087 | | |
Other Mortgage-Backed Securities(a) | | | — | | | | 8,410,653 | | | | — | | | | 8,410,653 | | |
Total Mortgage-Backed Securities | | | — | | | | 34,919,753 | | | | 2,499,987 | | | | 37,419,740 | | |
Corporate Bonds(a) | | | — | | | | 67,926,709 | | | | — | | | | 67,926,709 | | |
Asset-Backed Securities | | | — | | | | 19,013,267 | | | | — | | | | 19,013,267 | | |
Short-Term Investments | | | — | | | | 2,088,353 | | | | — | | | | 2,088,353 | | |
Total Investments | | $ | — | | | $ | 123,948,082 | | | $ | 2,499,987 | | | $ | 126,448,069 | | |
(a) The Schedule of Investments provides information on the industry or sector categorization for the portfolio.
See Notes to Financial Statements
9
Schedule of Investments Short Duration Bond Portfolio (Unaudited) (cont'd)
(b) The following is reconciliation between the beginning and ending balances of investments in which unobservable inputs (Level 3) were used in determining value:
| | Beginning balance, as of 1/1/2018 | | Accrued discounts/ (premiums) | | Realized gain/(loss) | | Change in unrealized appreciation/ (depreciation) | | Purchases | | Sales | | Transfers into Level 3 | | Transfers out of Level 3 | | Balance, as of 6/30/2018 | | Net change in unrealized appreciation/ (depreciation) from investments still held as of 6/30/2018 | |
Investments in Securities: | |
Mortgage- Backed Securities(c) | |
Commercial Mortgage- Backed | | $ | — | | | $ | — | | | $ | — | | | $ | — | | | $ | 2,499,987 | | | $ | — | | | $ | — | | | $ | — | | | $ | 2,499,987 | | | $ | — | | |
Total | | $ | — | | | $ | — | | | $ | — | | | $ | — | | | $ | 2,499,987 | | | $ | — | | | $ | — | | | $ | — | | | $ | 2,499,987 | | | $ | — | | |
(c) Securities categorized as Level 3 are valued based on a single quotation obtained from a dealer. The Fund does not have access to unobservable inputs and therefore cannot disclose such inputs used in formulating such quotation.
As of the six months ended June 30, 2018, no securities were transferred from one level (as of December 31, 2017) to another.
The following is a summary, categorized by Level (see Note A of Notes to Financial Statements), and of inputs used to value the Fund's derivatives as of June 30, 2018:
Other Financial Instruments | | Level 1 | | Level 2 | | Level 3 | | Total | |
Futures(a) | |
Liabilities | | $ | (26,500 | ) | | $ | — | | | $ | — | | | $ | (26,500 | ) | |
Total | | $ | (26,500 | ) | | $ | — | | | $ | — | | | $ | (26,500 | ) | |
(a) Futures are reported at the cumulative unrealized appreciation/(depreciation) of the instrument.
See Notes to Financial Statements
10
Statement of Assets and Liabilities (Unaudited)
Neuberger Berman Advisers Management Trust
| | SHORT DURATION BOND PORTFOLIO | |
| | June 30, 2018 | |
Assets | |
Investments in securities, at value* (Note A)—see Schedule of Investments: | |
Unaffiliated issuers(a) | | $ | 126,448,069 | | |
Cash collateral segregated for futures contracts (Note A) | | | 51,505 | | |
Interest receivable | | | 697,386 | | |
Receivable for Fund shares sold | | | 16,382 | | |
Prepaid expenses and other assets | | | 5,361 | | |
Total Assets | | | 127,218,703 | | |
Liabilities | |
Payable to investment manager (Note B) | | | 25,765 | | |
Payable for securities purchased | | | 2,503,466 | | |
Payable for Fund shares redeemed | | | 30,222 | | |
Payable to administrator (Note B) | | | 41,225 | | |
Payable to trustees | | | 426 | | |
Payable for accumulated variation margin on futures contracts (Note A) | | | 26,500 | | |
Accrued expenses and other payables | | | 52,883 | | |
Total Liabilities | | | 2,680,487 | | |
Net Assets | | $ | 124,538,216 | | |
Net Assets consist of: | |
Paid-in capital | | $ | 157,077,844 | | |
Undistributed net investment income/(loss) | | | 2,734,463 | | |
Accumulated net realized gains/(losses) on investments | | | (33,756,605 | ) | |
Net unrealized appreciation/(depreciation) in value of investments | | | (1,517,486 | ) | |
Net Assets | | $ | 124,538,216 | | |
Shares Outstanding ($.001 par value; unlimited shares authorized) | | | 11,912,932 | | |
Net Asset Value, offering and redemption price per share | | $ | 10.45 | | |
*Cost of Investments: | | | |
(a) Unaffiliated issuers | | $ | 127,939,055 | | |
See Notes to Financial Statements
11
Statement of Operations (Unaudited)
Neuberger Berman Advisers Management Trust
| | SHORT DURATION BOND PORTFOLIO | |
| | For the Six Months Ended June 30, 2018 | |
Investment Income: | |
Income (Note A): | |
Interest income—unaffiliated issuers | | $ | 1,368,846 | | |
Expenses: | |
Investment management fees (Note B) | | | 158,845 | | |
Administration fees (Note B) | | | 254,152 | | |
Audit fees | | | 28,350 | | |
Custodian and accounting fees | | | 38,759 | | |
Insurance expense | | | 2,335 | | |
Legal fees | | | 21,289 | | |
Shareholder reports | | | 18,791 | | |
Trustees' fees and expenses | | | 21,336 | | |
Miscellaneous | | | 4,390 | | |
Total net expenses | | | 548,247 | | |
Net investment income/(loss) | | $ | 820,599 | | |
Realized and Unrealized Gain/(Loss) on Investments (Note A): | |
Net realized gain/(loss) on: | |
Transactions in investment securities of unaffiliated issuers | | | (72,572 | ) | |
Expiration or closing of futures contracts | | | (50,515 | ) | |
Change in net unrealized appreciation/(depreciation) in value of: | |
Investment securities of unaffiliated issuers | | | (839,599 | ) | |
Futures contracts | | | (10,094 | ) | |
Net gain/(loss) on investments | | | (972,780 | ) | |
Net increase/(decrease) in net assets resulting from operations | | $ | (152,181 | ) | |
See Notes to Financial Statements
12
Statements of Changes in Net Assets
Neuberger Berman Advisers Management Trust
| | SHORT DURATION BOND PORTFOLIO | |
| | Six Months Ended June 30, 2018 | | Year Ended December 31, 2017 (Unaudited) | |
Increase/(Decrease) in Net Assets: | |
From Operations (Note A): | |
Net investment income/(loss) | | $ | 820,599 | | | $ | 1,417,146 | | |
Net realized gain/(loss) on investments | | | (123,087 | ) | | | (116,908 | ) | |
Change in net unrealized appreciation/(depreciation) of investments | | | (849,693 | ) | | | 16,960 | | |
Net increase/(decrease) in net assets resulting from operations | | | (152,181 | ) | | | 1,317,198 | | |
Distributions to Shareholders From (Note A): | |
Net investment income | | | — | | | | (1,965,876 | ) | |
From Fund Share Transactions (Note D): | |
Proceeds from shares sold | | | 6,020,558 | | | | 11,436,459 | | |
Proceeds from reinvestment of dividends and distributions | | | — | | | | 1,965,876 | | |
Payments for shares redeemed | | | (12,975,274 | ) | | | (24,109,698 | ) | |
Net increase/(decrease) from Fund share transactions | | | (6,954,716 | ) | | | (10,707,363 | ) | |
Net Increase/(Decrease) in Net Assets | | | (7,106,897 | ) | | | (11,356,041 | ) | |
Net Assets: | |
Beginning of period | | | 131,645,113 | | | | 143,001,154 | | |
End of period | | $ | 124,538,216 | | | $ | 131,645,113 | | |
Undistributed net investment income/(loss) at end of period | | $ | 2,734,463 | | | $ | 1,913,864 | | |
See Notes to Financial Statements
13
Notes to Financial Statements Short Duration Bond Portfolio
(Unaudited)
Note A—Summary of Significant Accounting Policies:
1 General: Neuberger Berman Advisers Management Trust (the "Trust") is a Delaware statutory trust organized pursuant to an Amended and Restated Trust Instrument dated March 27, 2014. The Trust is currently comprised of eight separate operating series (each individually a "Fund," and collectively the "Funds") each of which is diversified. The Trust is registered as an open-end management investment company under the Investment Company Act of 1940, as amended (the "1940 Act"), and its shares are registered under the Securities Act of 1933, as amended. Neuberger Berman Advisers Management Trust Short Duration Bond Portfolio (the "Fund") currently offers only Class I shares. The Trust's Board of Trustees (the "Board") may establish additional series or classes of shares without the approval of shareholders.
The assets of each Fund belong only to that Fund, and the liabilities of each Fund are borne solely by that Fund and no other.
The Fund is an investment company and accordingly follows the investment company accounting and reporting guidance of the Financial Accounting Standards Board ("FASB") Accounting Standards Codification ("ASC") Topic 946 "Financial Services—Investment Companies."
The preparation of financial statements in accordance with U.S. generally accepted accounting principles ("GAAP") requires Neuberger Berman Investment Advisers LLC ("Management") to make estimates and assumptions at the date of the financial statements. Actual results could differ from those estimates.
Shares of the Fund are not available to the general public and may be purchased only by life insurance companies to serve as an investment vehicle for premiums paid under their variable annuity and variable life insurance contracts and to certain qualified pension and other retirement plans.
2 Portfolio valuation: In accordance with ASC 820 "Fair Value Measurement" ("ASC 820"), all investments held by the Fund are carried at the value that Management believes the Fund would receive upon selling an investment in an orderly transaction to an independent buyer in the principal or most advantageous market for the investment under current market conditions. Various inputs, including the volume and level of activity for the asset or liability in the market, are considered in valuing the Fund's investments, some of which are discussed below. Significant Management judgment may be necessary to value investments in accordance with ASC 820.
ASC 820 established a three-tier hierarchy of inputs to create a classification of value measurements for disclosure purposes. The three-tier hierarchy of inputs is summarized in the three broad Levels listed below.
• Level 1—quoted prices in active markets for identical investments
• Level 2—other observable inputs (including quoted prices for similar investments, interest rates, prepayment speeds, credit risk, amortized cost, etc.)
• Level 3—unobservable inputs (including the Fund's own assumptions in determining the fair value of investments)
The inputs or methodology used for valuing an investment are not necessarily an indication of the risk associated with investing in those securities.
The value of the Fund's investments in debt securities is determined by Management primarily by obtaining valuations from independent pricing services based on readily available bid quotations, or if quotations are not available, by methods which include various considerations based on security type (generally Level 2 inputs). In addition to the consideration of yields or prices of securities of comparable quality, coupon, maturity and type, indications as to values from dealers, and general market conditions, the following is a description of other Level 2
14
inputs and related valuation techniques used by independent pricing services to value certain types of debt securities held by the Fund:
Corporate Bonds. Inputs used to value corporate debt securities generally include relative credit information, observed market movements, sector news, U.S. Treasury yield curve or relevant benchmark curve, and other market information, which may include benchmark yields, reported trades, broker-dealer quotes, issuer spreads, benchmark securities, bids, offers, and reference data, such as market research publications, when available ("Other Market Information").
Asset-Backed Securities and Mortgage-Backed Securities. Inputs used to value asset-backed securities and mortgage-backed securities generally include models that consider a number of factors, which may include the following: prepayment speeds, cash flows, spread adjustments and Other Market Information.
The value of futures is determined by Management by obtaining valuations from independent pricing services at the settlement price at the market close (Level 1 inputs).
Management has developed a process to periodically review information provided by independent pricing services for all types of securities.
Investments in non-exchange traded investment companies are valued using the respective fund's daily calculated net asset value per share (Level 2 inputs).
If a valuation is not available from an independent pricing service, or if Management has reason to believe that the valuation received does not represent the amount the Fund might reasonably expect to receive on a current sale in an orderly transaction, Management seeks to obtain quotations from brokers or dealers (generally considered Level 2 or Level 3 inputs depending on the number of quotes available). If such quotations are not readily available, the security is valued using methods the Board has approved in the good-faith belief that the resulting valuation will reflect the fair value of the security. Numerous factors may be considered when determining the fair value of a security based on Level 2 or Level 3 inputs, including available analyst, media or other reports, securities within the same industry with recent highly correlated performance, trading in futures or American Depositary Receipts and whether the issuer of the security being fair valued has other securities outstanding.
Fair value prices are necessarily estimates, and there is no assurance that such a price will be at or close to the price at which the security is next quoted or next trades.
3 Foreign currency translations: The accounting records of the Fund are maintained in U.S. dollars. Foreign currency amounts are normally translated into U.S. dollars using the exchange rate as of 4:00 p.m. Eastern Time, on days the NYSE is open for business, to determine the value of investments, other assets and liabilities. Purchase and sale prices of securities, and income and expenses, are translated into U.S. dollars at the prevailing rate of exchange on the respective dates of such transactions. Net unrealized foreign currency gain/(loss), if any, arises from changes in the value of assets and liabilities, other than investments in securities, as a result of changes in exchange rates and is stated separately in the Statement of Operations.
4 Securities transactions and investment income: Securities transactions are recorded on trade date for financial reporting purposes. Interest income, including accretion of discount (adjusted for original issue discount, where applicable) is recorded on the accrual basis. Realized gains and losses from securities transactions and foreign currency transactions, if any, are recorded on the basis of identified cost and stated separately in the Statement of Operations. Included in net realized gain/(loss) on investments are proceeds from the settlements of class action litigation in which the Fund participated as a class member. The amount of such proceeds for the six months ended June 30, 2018 was $124,948.
5 Income tax information: The Fund is treated as a separate entity for U.S. federal income tax purposes. It is the policy of the Fund to continue to qualify for treatment as a regulated investment company ("RIC") by complying with the requirements of the U.S. Internal Revenue Code applicable to RICs and to distribute substantially all of its net investment income and net realized capital gains to its shareholders. To the extent the Fund distributes
15
substantially all of its net investment income and net realized capital gains to shareholders, no federal income or excise tax provision is required.
The Fund has adopted the provisions of ASC 740 "Income Taxes" ("ASC 740"). ASC 740 sets forth a minimum threshold for financial statement recognition of a tax position taken, or expected to be taken, in a tax return. The Fund recognizes interest and penalties, if any, related to unrecognized tax positions as an income tax expense in the Statement of Operations. The Fund is subject to examination by U.S. federal and state tax authorities for returns filed for the tax years for which the applicable statutes of limitations have not yet expired. As of June 30, 2018, the Fund did not have any unrecognized tax positions.
At June 30, 2018, the cost of long security positions and derivative instruments (if any) for U.S. federal income tax purposes was $128,187,150. Gross unrealized appreciation of long security positions was $75,580 and gross unrealized depreciation of long security positions was $1,798,255 resulting in net unrealized depreciation of $1,722,675 based on cost for U.S. federal income tax purposes.
Income distributions and capital gain distributions are determined in accordance with income tax regulations, which may differ from GAAP. These differences are primarily due to differing treatments of income and gains on various investment securities held by the Fund, timing differences and differing characterization of distributions made by the Fund. The Fund may also utilize earnings and profits distributed to shareholders on redemption of their shares as a part of the dividends-paid deduction for income tax purposes.
As determined on December 31, 2017, permanent differences resulting primarily from different book and tax accounting were reclassified at year end. Such differences are attributed to the tax treatment of paydown gains and losses, amortization of bond premium and expiration of capital loss carryforwards. These reclassifications had no effect on net income, net asset value ("NAV") or NAV per share of the Fund. For the year ended December 31, 2017, the Fund recorded the following permanent reclassifications:
Paid-in Capital | | Undistributed Net Investment Income/(Loss) | | Accumulated Net Realized Gains/(Losses) on Investments | |
$ | (45,541,698 | ) | | $ | 496,819 | | | $ | 45,044,879 | | |
The tax character of distributions paid during the years ended December 31, 2017 and December 31, 2016 was as follows:
Distributions Paid From: | |
Ordinary Income | | Total | |
2017 | | 2016 | | 2017 | | 2016 | |
$ | 1,965,876 | | | $ | 1,778,567 | | | $ | 1,965,876 | | | $ | 1,778,567 | | |
As of December 31, 2017, the components of distributable earnings (accumulated losses) on a U.S. federal income tax basis were as follows:
Undistributed Ordinary Income | | Undistributed Long-Term Capital Gain | | Unrealized Appreciation/ (Depreciation) | | Loss Carryforwards and Deferrals | | Other Temporary Differences | | Total | |
$ | 1,913,864 | | | $ | — | | | $ | (908,268 | ) | | $ | (33,393,043 | ) | | $ | — | | | $ | (32,387,447 | ) | |
The temporary differences between book basis and tax basis distributable earnings are primarily due to: losses disallowed and recognized on wash sales, amortization of bond premium and mark-to-market adjustments on futures.
To the extent the Fund's net realized capital gains, if any, can be offset by capital loss carryforwards, it is the policy of the Fund not to distribute such gains. The Regulated Investment Company Modernization Act of 2010 (the
16
"Act") made changes to the capital loss carryforward rules allowing for RICs to carry forward capital losses indefinitely and to retain the character of capital loss carryforwards as short-term or long-term ("Post-Enactment"). Rules in effect previously limited the carryforward period to eight years and all carryforwards were considered short-term in character ("Pre-Enactment"). As determined at December 31, 2017, the Fund had unused capital loss carryforwards available for federal income tax purposes to offset net realized capital gains, if any, as follows:
Pre-Enactment | |
Expiring in: 2018 | |
$ | 7,896,656 | | |
Post-Enactment (No Expiration Date) | |
Long-Term | | Short-Term | |
$ | 23,467,143 | | | $ | 2,029,244 | | |
Post-Enactment capital loss carryforwards must be fully used before Pre-Enactment capital loss carryforwards; therefore, under certain circumstances, Pre-Enactment capital loss carryforwards available as of the report date may expire unused.
During the year ended December 31, 2017, the Fund had capital loss carryforwards expire of $45,541,698.
6 Distributions to shareholders: The Fund may earn income, net of expenses, daily on its investments. Distributions from net investment income and net realized capital gains, if any, are generally distributed once a year (usually in October). Income distributions and capital gain distributions to shareholders are recorded on the ex-date.
7 Foreign taxes: Foreign taxes withheld, if any, represent amounts withheld by foreign tax authorities, net of refunds recoverable.
8 Expense allocation: Certain expenses are applicable to multiple funds within the complex of related investment companies. Expenses directly attributable to a fund are charged to that fund. Expenses of the Trust that are not directly attributable to a particular series of the Trust (e.g., the Fund) are allocated among the series of the Trust, on the basis of relative net assets, except where a more appropriate allocation of expenses to each of the series can otherwise be made fairly. Expenses borne by the complex of related investment companies, which includes open-end and closed-end investment companies for which Management serves as investment manager, that are not directly attributable to a particular investment company in the complex (e.g., the Trust) or series thereof are allocated among the investment companies in the complex or series thereof on the basis of relative net assets, except where a more appropriate allocation of expenses to each of the investment companies in the complex or series thereof can otherwise be made fairly.
9 Dollar rolls: The Fund may enter into dollar roll transactions with respect to mortgage-backed securities. In a dollar roll transaction, the Fund sells securities for delivery in the current month and simultaneously agrees to repurchase substantially similar (i.e., same type and coupon) securities on a specified future date from the same party. During the period before this repurchase, the Fund forgoes principal and interest payments on the securities. The Fund is compensated by the difference between the current sales price and the forward price for the future purchase (often referred to as the "drop"), as well as by the interest earned on the cash proceeds of the initial sale. Dollar rolls may increase fluctuations in the Fund's NAV and may be viewed as a form of leverage. There is a risk that the counterparty will be unable or unwilling to complete the transaction as scheduled, which may result in losses to the Fund.
10 Investments in foreign securities: Investing in foreign securities may involve sovereign and other risks, in addition to the credit and market risks normally associated with domestic securities. These additional risks include the possibility of adverse political and economic developments (including political instability, nationalization, expropriation, or confiscatory taxation) and the potentially adverse effects of unavailability of public information regarding issuers, less governmental supervision and regulation of financial markets, reduced liquidity of certain
17
financial markets, and the lack of uniform accounting, auditing, and financial reporting standards or the application of standards that are different or less stringent than those applied in the United States. Foreign securities also may experience greater price volatility, higher rates of inflation, and delays in settlement.
11 Investment company securities and exchange-traded funds: The Fund may invest in shares of other registered investment companies, including exchange-traded funds ("ETFs"), within the limitations prescribed by the 1940 Act or pursuant to an exemptive order from the Securities and Exchange Commission that permits the Fund to invest in both affiliated and unaffiliated investment companies, including ETFs, in excess of the limits in Section 12(d)(1)(A) of the 1940 Act, as amended, subject to the terms and conditions of such order. Some ETFs seek to track the performance of a particular market index. These indices include both broad-based market indices and more narrowly-based indices, including those relating to particular sectors, markets, regions or industries. However, some ETFs have an actively-managed investment objective. ETF shares are traded like traditional equity securities on a national securities exchange or NASDAQ. The Fund will indirectly bear its proportionate share of any management fees and other expenses paid by such other investment companies, which will increase expenses and decrease returns.
12 Derivative instruments: The Fund's use of derivatives during the six months ended June 30, 2018, is described below. Please see the Schedule of Investments for the Fund's open positions in derivatives, if any, at June 30, 2018. The Fund has adopted the provisions of ASC 815 "Derivatives and Hedging" ("ASC 815"). The disclosure requirements of ASC 815 distinguish between derivatives that qualify for hedge accounting and those that do not. Because investment companies value their derivatives at fair value and recognize changes in fair value through the Statement of Operations, they do not qualify for hedge accounting. Accordingly, even though the Fund's investments in derivatives may represent economic hedges, they are considered non-hedge transactions for purposes of this disclosure.
Futures contracts: During the six months ended June 30, 2018, the Fund used U.S. Treasury futures to manage the duration of the Fund.
At the time the Fund enters into a futures contract, it is required to deposit with the futures commission merchant a specified amount of cash or liquid securities, known as "initial margin," which is a percentage of the value of the futures contract being traded that is set by the exchange upon which the futures contract is traded. Each day, the futures contract is valued at the official settlement price of the board of trade or U.S. commodity exchange on which such futures contract is traded. Subsequent payments, known as "variation margin," to and from the broker are made on a daily basis, or as needed, as the market price of the futures contract fluctuates. Daily variation margin adjustments, arising from this "mark to market," are recorded by the Fund as unrealized gains or losses.
Although some futures by their terms call for actual delivery or acquisition of the underlying securities or currency, in most cases the contracts are closed out prior to delivery by offsetting purchases or sales of matching futures. When the contracts are closed, the Fund recognizes a gain or loss. Risks of entering into futures contracts include the possibility there may be an illiquid market, possibly at a time of rapidly declining prices, and/or a change in the value of the contract may not correlate with changes in the value of the underlying securities. Futures executed on regulated futures exchanges have minimal counterparty risk to the Fund because the exchange's clearinghouse assumes the position of the counterparty in each transaction. Thus, the Fund is exposed to risk only in connection with the clearinghouse and not in connection with the original counterparty to the transaction.
For U.S. federal income tax purposes, the futures transactions undertaken by the Fund may cause the Fund to recognize gains or losses from marking contracts to market even though its positions have not been sold or terminated, may affect the character of the gains or losses recognized as long-term or short-term, and may affect the timing of some capital gains and losses realized by the Fund. Also, the Fund's losses on transactions involving futures contracts may be deferred rather than being taken into account currently in calculating the Fund's taxable income.
18
At June 30, 2018, the Fund had the following derivatives (which did not qualify as hedging instruments under ASC 815), grouped by primary risk exposure:
Liability Derivatives
Derivative Type | | Statement of Assets and Liabilities Location | | Interest Rate Risk | | Total | |
Futures | | Receivable/Payable for accumulated variation margin on futures contracts | | $ | (26,500
| ) | | $ | (26,500
| ) | |
Total Value—Liabilities | | | | | | $ | (26,500 | ) | | $ | (26,500 | ) | |
The impact of the use of these derivative instruments on the Statement of Operations during the six months ended June 30, 2018, was as follows:
Realized Gain/(Loss)
Derivative Type | | Statement of Operations Location | | Interest Rate Risk | | Total | |
Futures | | Net realized gain/ (loss) on: expiration or closing of futures contracts | | $ | (50,515
| ) | | $ | (50,515
| ) | |
Total Realized Gain/(Loss) | | | | | | $ | (50,515 | ) | | $ | (50,515 | ) | |
Change in Appreciation/(Depreciation)
Derivative Type | | Statement of Operations Location | | Interest Rate Risk | | Total | |
Futures | | Change in net unrealized appreciation/(depreciation) in value of: futures contracts | | $ | (10,094
| ) | | $ | (10,094
| ) | |
Total Change in Appreciation/(Depreciation) | | | | $ | (10,094 | ) | | $ | (10,094 | ) | |
While the Fund may receive rights and warrants in connection with its investments in securities, these rights and warrants are not considered "derivative instruments" under ASC 815.
13 Securities Lending: The Fund, using State Street Bank and Trust Company ("State Street") as its lending agent, may loan securities to qualified brokers and dealers in exchange for negotiated lender's fees. These fees, if any, would be disclosed within the Statement of Operations under the caption "Income from securities loaned-net" and are net of expenses retained by State Street as compensation for its services as lending agent.
The initial cash collateral received by the Fund at the beginning of each transaction shall have a value equal to at least 102% of the prior day's market value of the loaned securities (105% in the case of international securities). The Fund may only receive collateral in the form of cash (U.S. dollars). Cash collateral is generally invested in a money market fund registered under the 1940 Act that is managed by an affiliate of State Street. The risks associated with lending portfolio securities include, but are not limited to, possible delays in receiving additional collateral or in the recovery of the loaned securities.
As of June 30, 2018, the Fund did not participate in securities lending.
14 Indemnifications: Like many other companies, the Trust's organizational documents provide that its officers and trustees are indemnified against certain liabilities arising out of the performance of their duties to the Trust. In
19
addition, both in some of its principal service contracts and in the normal course of its business, the Trust enters into contracts that provide indemnifications to other parties for certain types of losses or liabilities. The Trust's maximum exposure under these arrangements is unknown as this could involve future claims against the Trust.
Note B—Investment Management Fees, Administration Fees, Distribution Arrangements, and Other Transactions with Affiliates:
The Fund retains Management as its investment manager under a Management Agreement. For such investment management services, the Fund pays Management a fee at the annual rate of 0.25% of the first $500 million of the Fund's average daily net assets, 0.225% of the next $500 million, 0.20% of the next $500 million, 0.175% of the next $500 million, and 0.15% of average daily net assets in excess of $2 billion. Accordingly, for the six months ended June 30, 2018, the investment management fee pursuant to the Management Agreement was equivalent to an annual effective rate of 0.25% of the Fund's average daily net assets.
The Fund retains Management as its administrator under an Administration Agreement. The Fund pays Management an administration fee at the annual rate of 0.40% of its average daily net assets under this agreement. Additionally, Management retains State Street as its sub-administrator under a Sub-Administration Agreement. Management pays State Street a fee for all services received under the Sub-Administration Agreement.
Management has contractually agreed to waive fees and/or reimburse the Fund so that the total annual operating expenses do not exceed the expense limitation as detailed in the following table. This undertaking excludes fees payable to Management, interest, taxes, transaction costs, brokerage commissions, acquired fund fees and expenses, extraordinary expenses, and dividend and interest expenses relating to short sales, if any (commitment fees relating to borrowings are treated as interest for purposes of this exclusion) ("annual operating expenses"); consequently, net expenses may exceed the contractual expense limitation. The Fund has agreed that it will repay Management for fees and expenses waived or reimbursed provided that repayment does not cause the annual operating expenses to exceed its contractual expense limitation in place at the time the fees and expenses were waived or reimbursed, or the expense limitation in place at the time the Fund repays Management, whichever is lower. Any such repayment must be made within three years after the year in which Management incurred the expense.
During the six months ended June 30, 2018, there was no repayment to Management under its contractual expense limitation.
At June 30, 2018, the Fund had no contingent liability to Management under its contractual expense limitation.
| | | | | | Expenses Reimbursed in Year Ended December 31, | |
| | | | | | 2015 | | 2016 | | 2017 | | 2018 | |
| | | | | | Subject to Repayment until December 31, | |
Class | | Contractual Expense Limitation(a) | | Expiration | | 2018 | | 2019 | | 2020 | | 2021 | |
Class I | | | 1.00 | % | | 12/31/21 | | $ | — | | | $ | — | | | $ | — | | | $ | — | | |
(a) Expense limitation per annum of the Fund's average daily net assets.
Neuberger Berman BD LLC is the Fund's "principal underwriter" within the meaning of the 1940 Act. It acts as agent in arranging for the sale of the Fund's Class I shares without sales commission or other compensation and bears all advertising and promotion expenses incurred in the sale of those shares. The Board adopted a non-fee distribution plan for the Fund's Class I.
20
Note C—Securities Transactions:
Cost of purchases and proceeds of sales and maturities of long-term securities (excluding futures) for the six months ended June 30, 2018 were as follows:
Purchases of U.S. Government and Agency Obligations | | Purchases excluding U.S. Government and Agency Obligations | | Sales and Maturities of U.S. Government and Agency Obligations | | Sales and Maturities excluding U.S. Government and Agency Obligations | |
$ | 10,087,268 | | | $ | 39,702,230 | | | $ | 19,878,645 | | | $ | 30,060,836 | | |
Note D—Fund Share Transactions:
Share activity for the six months ended June 30, 2018 and for the year ended December 31, 2017 was as follows:
| | For the Six Months Ended June 30, 2018 | | For the Year Ended December 31, 2017 | |
Shares Sold | | | 576,620 | | | | 1,080,443 | | |
Shares Issued on Reinvestment of Dividends and Distributions | | | — | | | | 187,405 | | |
Shares Redeemed | | | (1,243,375 | ) | | | (2,281,644 | ) | |
Total | | | (666,755 | ) | | | (1,013,796 | ) | |
Note E—Line of Credit:
At June 30, 2018, the Fund was a participant in a syndicated committed, unsecured $700,000,000 line of credit (the "Credit Facility"), to be used only for temporary or emergency purposes. Series of other investment companies managed by Management also participate in this line of credit on substantially the same terms. Interest is charged on borrowings under this Credit Facility at the highest of (a) a federal funds effective rate plus 1.00% per annum, (b) a Eurodollar rate for a one-month period plus 1.00% per annum, and (c) an overnight bank funding rate plus 1.00% per annum. The Credit Facility has an annual commitment fee of 0.15% per annum of the available line of credit, which is paid quarterly. The Fund has agreed to pay its pro rata share of the annual commitment fee, based on the ratio of its individual net assets to the net assets of all participants at the time the fee is due and payable, and interest charged on any borrowing made by the Fund and other costs incurred by the Fund. Because several mutual funds participate in the Credit Facility, there is no assurance that the Fund will have access to all or any part of the $700,000,000 at any particular time. There were no loans outstanding under the Credit Facility at June 30, 2018. During the period ended June 30, 2018, the Fund did not utilize the Credit Facility.
Note F—Custodian Out-of-Pocket Expenses Refunded:
In May 2016, the Fund's custodian, State Street, announced that it had identified inconsistencies in the way in which the Fund was invoiced for categories of expenses, particularly those deemed "out-of-pocket" costs, from 1998 through November 2015. The amounts in the table below represent the refunded expenses and interest determined to be payable to the Fund for the period in question. These amounts were refunded to the Fund by State Street during the year ended December 31, 2017.
Expenses Refunded | | Interest Paid to the Fund | |
$ | 143,479 | | | $ | 15,861 | | |
21
Note G—Recent Accounting Pronouncement:
In March 2017, FASB issued Accounting Standards Update No. 2017-08, "Receivables—Nonrefundable Fees and Other Costs (Subtopic 310-20), Premium Amortization on Purchased Callable Debt Securities" ("ASU 2017-08"). ASU 2017-08 shortens the amortization period to the earliest call date for certain purchased callable debt securities held at a premium. The guidance is effective for fiscal years, and interim periods within those fiscal years, beginning after December 15, 2018. Management is currently evaluating the impact of applying this guidance.
Note H—Unaudited Financial Information:
The financial information included in this interim report is taken from the records of the Fund without audit by an independent registered public accounting firm. Annual reports contain audited financial statements.
22
Short Duration Bond Portfolio
The following table includes selected data for a share outstanding throughout each period and other performance information derived from the Financial Statements. Amounts that do not round to $0.01 or $(0.01) per share are presented as $0.00 or $(0.00), respectively. Ratios that do not round to 0.01% or (0.01)% are presented as 0.00% or (0.00)%, respectively. A "—" indicates that the line item was not applicable in the corresponding period.
Class I | |
| | Six Months Ended June 30, | | Year Ended December 31, | |
| | 2018 | | 2017 | | 2016 | | 2015 | | 2014 | | 2013 | |
| | (Unaudited) | | | | | | | | | | | |
Net Asset Value, Beginning of Period | | $ | 10.46 | | | $ | 10.52 | | | $ | 10.52 | | | $ | 10.66 | | | $ | 10.78 | | | $ | 10.95 | | |
Income From Investment Operations: | |
Net Investment Income/(Loss)@ | | | 0.07 | | | | 0.11 | | | | 0.07 | | | | 0.02 | | | | 0.07 | | | | 0.07 | | |
Net Gains or Losses on Securities (both realized and unrealized) | | | (0.08 | ) | | | (0.02 | ) | | | 0.06 | | | | 0.00 | | | | 0.00 | | | | (0.00 | ) | |
Total From Investment Operations | | | (0.01 | ) | | | 0.09 | | | | 0.13 | | | | 0.02 | | | | 0.07 | | | | 0.07 | | |
Less Distributions From: | |
Net Investment Income | | | — | | | | (0.15 | ) | | | (0.13 | ) | | | (0.16 | ) | | | (0.19 | ) | | | (0.24 | ) | |
Voluntary Contribution from Management | | | — | | | | — | | | | — | | | | — | | | | 0.00 | | | | — | | |
Net Asset Value, End of Period | | $ | 10.45 | | | $ | 10.46 | | | $ | 10.52 | | | $ | 10.52 | | | $ | 10.66 | | | $ | 10.78 | | |
Total Return† | | | (0.10 | )%*^ | | | 0.89 | %‡^ | | | 1.22 | %^ | | | 0.18 | %^ | | | 0.61 | %µ | | | 0.62 | % | |
Ratios/Supplemental Data | |
Net Assets, End of Period (in millions) | | $ | 124.5 | | | $ | 131.6 | | | $ | 143.0 | | | $ | 160.0 | | | $ | 184.6 | | | $ | 227.7 | | |
Ratio of Gross Expenses to Average Net Assets# | | | 0.86 | %** | | | 0.85 | % | | | 0.88 | % | | | 0.84 | % | | | 0.82 | % | | | 0.80 | % | |
Ratio of Net Expenses to Average Net Assets | | | 0.86 | %** | | | 0.75 | %ß | | | 0.88 | % | | | 0.84 | % | | | 0.82 | % | | | 0.80 | % | |
Ratio of Net Investment Income/(Loss) to Average Net Assets | | | 1.29 | %** | | | 1.03 | %ß | | | 0.68 | % | | | 0.19 | % | | | 0.69 | % | | | 0.64 | % | |
Portfolio Turnover Rate | | | 41 | %* | | | 87 | % | | | 79 | % | | | 65 | % | | | 58 | % | | | 72 | % | |
See Notes to Financial Highlights
23
Notes to Financial Highlights Short Duration Bond Portfolio
(Unaudited)
@ Calculated based on the average number of shares outstanding during each fiscal period.
† Total return based on per share NAV reflects the effects of changes in NAV on the performance of the Fund during each fiscal period. Returns assume income dividends and other distributions, if any, were reinvested. Results represent past performance and do not indicate future results. Current returns may be lower or higher than the performance data quoted. Investment returns and principal will fluctuate and shares, when redeemed, may be worth more or less than original cost. Total return would have been lower if Management had not reimbursed and/or waived certain expenses. The total return information shown does not reflect charges and other expenses that apply to the separate accounts or the related insurance policies or other qualified pension or retirement plans, and the inclusion of these charges and other expenses would reduce the total return for all fiscal periods shown.
^ Had the Fund not received the class action proceeds listed in Note A of the Notes to Financial Statements, total return based on per share NAV for the six months ended June 30, 2018 would have been (0.19)%. The class action proceeds received in 2017 had no impact on the Fund's total return for the year ended December 31, 2017. Had the Fund not received the class action proceeds in 2016, the total return based on per share NAV for the year ended December 31, 2016 would have been 0.64%. Had the Fund not received class action proceeds in 2015, total return based on per share NAV for the year ended December 31, 2015 would have been 0.09%.
µ The voluntary contribution received in 2014 had no impact on the Fund's total return for the year ended December 31, 2014.
* Not annualized.
‡ Had the Fund not received the Custodian Out-of-Pocket Expenses Refunded listed in Note F of the Notes to Financial Statements, the total return based on per share NAV for the year ended December 31, 2017 would have been 0.79%.
# Represents the annualized ratios of net expenses to average daily net assets if Management had not reimbursed certain expenses and/or waived a portion of the investment management fee. Management did not reimburse or waive fees during the fiscal periods shown.
** Annualized.
ß Custodian Out-of-Pocket Expenses Refunded, as listed in Note F of the Notes to Financial Statements, is non-recurring, and is included in these ratios. Had the Fund not received the refund, the annualized ratios of net expenses to average net assets and net investment income/(loss) to average net assets would have been:
Ratio of Net Expenses to Average Net Assets Year Ended December 31, 2017 | | Ratio of Net Investment Income/(Loss) to Average Net Assets Year Ended December 31, 2017 | |
| 0.85 | % | | | 0.92 | % | |
24
Proxy Voting Policies and Procedures
A description of the policies and procedures that the Trust uses to determine how to vote proxies relating to portfolio securities is available, without charge, by calling 800-877-9700 (toll-free) and on the Securities and Exchange Commission's website, at www.sec.gov. Information regarding how the Trust voted proxies relating to portfolio securities during the most recent 12-month period ended June 30 is also available upon request, without charge, by calling 800-877-9700 (toll-free), on the Securities and Exchange Commission's website at www.sec.gov, and on Management's website at www.nb.com.
Quarterly Portfolio Schedule
The Trust files a complete schedule of portfolio holdings for the Fund with the Securities and Exchange Commission for the first and third quarters of each fiscal year on Form N-Q. The Trust's Forms N-Q are available on the Securities and Exchange Commission's website at www.sec.gov and may be reviewed and copied at the Securities and Exchange Commission's Public Reference Room in Washington, DC. Information on the operation of the Public Reference Room may be obtained by calling 800-SEC-0330. The information on Form N-Q is available upon request, without charge, by calling 800-877-9700 (toll free).
25
![](https://capedge.com/proxy/N-CSRS/0000898432-18-000944/j18154463_aa001.jpg)
Neuberger Berman
Advisers Management Trust
Sustainable Equity Portfolio
(formerly Socially Responsive Portfolio)
I Class Shares
S Class Shares
Semi-Annual Report
June 30, 2018
Sustainable Equity Portfolio Commentary*
The Neuberger Berman Advisers Management Trust Sustainable Equity Portfolio Class I generated a total return of 4.14% for the six months ended June 30, 2018, outperforming the 2.65% total return of its benchmark, the S&P 500® Index (the Index), for the same time period. (Performance for all share classes is provided in the table immediately following this letter.)
The Index ended the first half of this year with positive returns, driven by expectations of tax reform, regulatory relief and infrastructure spending. However, the market continued to be narrow, with internet-related growth stocks driving market returns.
Despite the fiscal stimulus from tax cuts, investors seem to be concerned about the impact of rising short-term rates, given the U.S. Federal Reserve's indication of a slightly more restrictive monetary policy in light of rising inflation and reduced labor market slack. Enthusiasm around tax reform was also somewhat dampened as many companies announced reinvesting the tax savings back in their businesses. Despite healthy economic fundamentals, concerns about a potential trade war also roiled markets.
The Fund's relative performance was driven by stock selection, primarily within the Industrials, Consumer Staples and Financials sectors. W.W. Grainger, Advance Auto Parts and MasterCard were among top contributors. W.W. Grainger and Advance Auto Parts both benefited from strong end markets (industrial distribution and auto aftermarkets, respectively) as well as consecutive quarters of better than expected operating performance. MasterCard continued its positive growth trajectory benefitting from the secular trend toward electronic payments in the payments market.
Consumer Discretionary, Information Technology and Energy allocations were a drag on the Fund's performance relative to the Index, with Comcast, 3M Company and Newell Brands among individual detractors. Comcast's stock was impacted by a combination of broader cable and media weakness followed by market dissatisfaction with a competing bid the company made for British distributor Sky PLC. 3M Company lowered earnings guidance for the year on the back of softer trends in a few niche end markets, which contributed to weakness in the stock. Newell was impacted by a weak retail environment, compounded by inventory destocking, and resin price spikes (from the hurricanes last year) pressuring margins. We have since sold Newell Brands as the company's operating performance undermined our investment premise. We continue to hold Comcast and 3M Company in our portfolio.
Looking ahead, notwithstanding the potential for market volatility and absent an exogenous shock, we continue to anticipate a slow growth environment in the U.S. However, we are incrementally cautious about economic growth given a full labor market and a tightening in monetary policy. With inflationary indicators tracking up slightly, we continue to be mindful of its potential impact across our portfolio in terms of overall portfolio positioning.
On the international front, geopolitical volatility, particularly increasing tensions with China, continued uncertainty created by Brexit, as well as any potential disruptions to global trade as a result of the current U.S. administration's trade policies could be sources of market volatility.
While we are cognizant of the above, we continue to focus on the fundamentals of the businesses we own and believe they can translate top-line growth into stronger, advantaged bottom-line growth, supported by competitive advantages, attractive return on capital profiles and demonstrated leadership practices in environmental, social and governance (ESG) practices. We believe our portfolio holdings also have the balance sheet strength and free cash flow generation that could enable them to weather global economic turmoil, should it occur.
We look forward to continuing to serve your investment needs.
Sincerely,
INGRID S. DYOTT AND SAJJAD S. LADIWALA
CO-PORTFOLIO MANAGERS
* Effective May 1, 2018, Socially Responsive Portfolio changed its name to Sustainable Equity Portfolio.
Information about principal risks of investing in the Fund is set forth in the prospectus and statement of additional information.
The portfolio composition, industries and holdings of the Fund are subject to change without notice.
The opinions expressed are those of the Fund's portfolio managers. The opinions are as of the date of this report and are subject to change without notice.
1
Sustainable Equity Portfolio
SECTOR ALLOCATION
(as a % of Total Investments*) | |
Consumer Discretionary | | | 14.5 | % | |
Consumer Staples | | | 6.4 | | |
Energy | | | 8.0 | | |
Financials | | | 15.9 | | |
Health Care | | | 16.3 | | |
Industrials | | | 11.0 | | |
Information Technology | | | 19.1 | | |
Materials | | | 4.0 | | |
Real Estate | | | 2.7 | | |
Short-Term Investments | | | 2.1 | | |
Total | | | 100.0 | % | |
* Derivatives, if any, are excluded from this chart.
PERFORMANCE HIGHLIGHTS
| | Inception | | Six Month Period Ended | | Average Annual Total Return Ended 06/30/2018 | |
| | Date | | 06/30/2018 | | 1 Year | | 5 Years | | 10 Years | | Life of Fund | |
Sustainable Equity Portfolio Class I | | | 02/18/1999 | | | | 4.14 | % | | | 12.79 | % | | | 11.83 | % | | | 9.04 | % | | | 7.42 | % | |
Sustainable Equity Portfolio Class S2 | | | 05/01/2006 | | | | 4.05 | % | | | 12.51 | % | | | 11.60 | % | | | 8.89 | % | | | 7.32 | % | |
S&P 500® Index1,3 | | | | | | | 2.65 | % | | | 14.37 | % | | | 13.42 | % | | | 10.17 | % | | | 6.21 | % | |
The performance data quoted represent past performance and do not indicate future results. Current performance may be lower or higher than the performance data quoted. For performance data current to the most recent month-end, please visit http://www.nb.com/amtportfolios/performance.
The results shown in the table reflect the reinvestment of income dividends and other distributions, if any. The results do not reflect the effect of taxes a shareholder would pay on Fund distributions or on the redemption of Fund shares. The results do not reflect fees and expenses of the variable annuity and variable life insurance policies or the qualified pension and retirement plans whose proceeds are invested in the Fund.
The investment return and principal value of an investment will fluctuate and shares, when redeemed, may be worth more or less than their original cost.
Returns would have been lower if Neuberger Berman Investment Advisers LLC ("Management") had not reimbursed certain expenses and/or waived a portion of the investment management fees during certain of the periods shown. Repayment by a class (of expenses previously reimbursed and/or fees previously waived by Management) will decrease the class's returns. Please see Note B in the Notes to Financial Statements for specific information regarding expense reimbursement and/or fee waiver arrangements.
As stated in the Fund's most recent prospectus, the total annual operating expense ratios for fiscal year 2017 were 0.94% and 1.19% for Class I and Class S shares, respectively (before expense reimbursements and/or fee waivers, if any). The expense ratio was 1.18% for Class S shares after expense reimbursements and/or fee waivers. The expense ratios for the semi-annual period ended June 30, 2018, can be found in the Financial Highlights section of this report.
2
1 The date used to calculate Life of Fund performance for the index is February 18, 1999, the inception date of the oldest share class.
2 Performance shown prior to May 1, 2006 for Class S shares is that of Class I shares, which has lower expenses and correspondingly higher returns than Class S shares.
3 The S&P 500® Index is a float-adjusted market capitalization-weighted index that focuses on the large-cap segment of the U.S. equity market, and includes a significant portion of the total value of the market. Please note that the index described in this report does not take into account any fees, expenses or tax consequences of investing in the individual securities that it tracks, and that individuals cannot invest directly in any index. Data about the performance of an index are prepared or obtained by Neuberger Berman Investment Advisers LLC ("Management") and reflect the reinvestment of income dividends and other distributions, if any. The Fund may invest in securities not included in a described index and generally does not invest in all securities included in a described index.
The investments for the Fund are managed by the same portfolio manager(s) who manage(s) one or more other registered funds that have names, investment objectives and investment styles that are similar to those of the Fund. You should be aware that the Fund is likely to differ from those other mutual fund(s) in size, cash flow pattern and tax matters. Accordingly, the holdings and performance of the Fund can be expected to vary from those of the other mutual fund(s).
Shares of the separate Neuberger Berman Advisers Management Trust Portfolios, including the Fund, are not available to the general public. Shares of the Fund may be purchased only by life insurance companies to be held in their separate accounts, which fund variable annuity and variable life insurance policies, and by qualified pension and retirement plans.
Statistics and projections in this report are derived from sources deemed to be reliable but cannot be regarded as a representation of future results of the Fund. This report is prepared for the general information of shareholders and is not an offer of shares of the Fund. Shares are sold only through the currently effective prospectus, which must precede or accompany this report.
The "Neuberger Berman" name and logo and "Neuberger Berman Investment Advisers LLC" name are registered service marks of Neuberger Berman Group LLC. The individual Fund name in this piece is either a service mark or registered service mark of Neuberger Berman Investment Advisers LLC , an affiliate of Neuberger Berman BD LLC, distributor, member FINRA.
© 2018 Neuberger Berman BD LLC, distributor. All rights reserved.
3
Information About Your Fund's Expenses (Unaudited)
As a Fund shareholder, you incur two types of costs: (1) transaction costs such as fees and expenses that are, or may be, imposed under your variable contract or qualified pension plan; and (2) ongoing costs, including management fees, distribution and/or service (12b-1) fees (if applicable), and other Fund expenses. This example is intended to help you understand your ongoing costs (in U.S. dollars) of investing in the Fund and compare these costs with the ongoing costs of investing in other mutual funds.
This table is designed to provide information regarding costs related to your investments. The following examples are based on an investment of $1,000 made at the beginning of the six month period ended June 30, 2018 and held for the entire period. The table illustrates the Fund's costs in two ways:
Actual Expenses and Performance: | | The first section of the table provides information about actual account values and actual expenses in dollars, based on the Fund's actual performance during the period indicated. You may use the information in this line, together with the amount you invested, to estimate the expenses 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 first section of the table under the heading entitled "Expenses Paid During the Period" to estimate the expenses you paid over the period. | |
Hypothetical Example for Comparison Purposes: | | The second section of the table provides information about hypothetical account values and hypothetical expenses based on the Fund's actual expense ratio and an assumed rate of return at 5% per year before expenses. This return is not the Fund's actual return. The hypothetical account values and expenses may not be used to estimate the actual ending account balance or expenses you paid for the period. You may use this information to compare the ongoing costs of investing in this Fund versus other funds. To do so, compare the expenses shown in this 5% hypothetical example with the 5% hypothetical examples that appear in the shareholder reports of other funds. | |
Please note that the expenses in the table are meant to highlight your ongoing costs only and do not include any transaction costs, such as fees and expenses that are, or may be imposed under your variable contract or qualified pension plan. Therefore, the information under the heading "Hypothetical (5% annual return before expenses)" is useful in comparing ongoing costs only, and will not help you determine the relative total costs of owning different funds. In addition, if these transaction costs were included, your costs would have been higher.
Expense Example (Unaudited)
NEUBERGER BERMAN ADVISERS MANAGEMENT TRUST SUSTAINABLE EQUITY PORTFOLIO
Actual | | Beginning Account Value 1/1/18 | | Ending Account Value 6/30/18 | | Expenses Paid During the Period 1/1/18 – 6/30/18 | | Expense Ratio | |
Class I | | $ | 1,000.00 | | | $ | 1,041.40 | | | $ | 4.76 | (a) | | | 0.94 | % | |
Class S | | $ | 1,000.00 | | | $ | 1,040.50 | | | $ | 5.92 | (a) | | | 1.17 | % | |
Hypothetical (5% annual return before expenses) | |
Class I | | $ | 1,000.00 | | | $ | 1,020.13 | | | $ | 4.71 | (b) | | | 0.94 | % | |
Class S | | $ | 1,000.00 | | | $ | 1,018.99 | | | $ | 5.86 | (b) | | | 1.17 | % | |
(a) For each class, expenses are equal to the annualized expense ratio for the class, multiplied by the average account value over the period, multiplied by 181/365 (to reflect the one-half year period shown).
(b) Hypothetical expenses are equal to the annualized expense ratios for each class, multiplied by the average account value over the period (assuming a 5% annual return), multiplied by 181/365 (to reflect the one-half year period shown).
4
Schedule of Investments Sustainable Equity Portfolio (Unaudited) June 30, 2018
NUMBER OF SHARES | | | | VALUE | |
Common Stocks 97.9% | | | |
Airlines 2.2% | | | |
| 89,599 | | | Ryanair Holdings PLC ADR | | $ | 10,234,894 | * | |
Auto Components 3.6% | | | |
| 179,083 | | | Aptiv PLC | | | 16,409,375 | | |
Banks 5.5% | | | |
| 130,687 | | | JPMorgan Chase & Co. | | | 13,617,586 | | |
| 237,265 | | | U.S. Bancorp | | | 11,867,995 | | |
| | | 25,485,581 | | |
Capital Markets 3.7% | | | |
| 231,636 | | | Intercontinental Exchange, Inc. | | | 17,036,828 | | |
Chemicals 2.1% | | | |
| 23,892 | | | Sherwin-Williams Co. | | | 9,737,662 | | |
Consumer Finance 2.4% | | | |
| 113,487 | | | American Express Co. | | | 11,121,726 | | |
Energy Equipment & Services 2.5% | | | |
| 172,469 | | | Schlumberger Ltd. | | | 11,560,597 | | |
Equity Real Estate Investment Trust 2.7% | | | |
| 343,502 | | | Weyerhaeuser Co. | | | 12,524,083 | | |
Food & Staples Retailing 3.3% | | | |
| 543,318 | | | Kroger Co. | | | 15,457,397 | | |
Health Care Equipment & Supplies 9.9% | | | |
| 68,252 | | | Becton, Dickinson & Co. | | | 16,350,449 | | |
| 169,599 | | | Danaher Corp. | | | 16,736,029 | | |
| 144,994 | | | Medtronic PLC | | | 12,412,937 | | |
| | | 45,499,415 | | |
Health Care Providers & Services 4.8% | | | |
| 172,217 | | | AmerisourceBergen Corp. | | | 14,684,943 | | |
| 199,460 | | | Premier, Inc. Class A | | | 7,256,355 | * | |
| | | 21,941,298 | | |
Hotels, Restaurants & Leisure 2.2% | | | |
| 470,085 | | | Compass Group PLC | | | 10,020,156 | | |
Industrial Conglomerates 2.7% | | | |
| 63,903 | | | 3M Co. | | | 12,570,998 | | |
NUMBER OF SHARES | | | | VALUE | |
Insurance 4.3% | | | |
| 337,324 | | | Progressive Corp. | | $ | 19,952,715 | | |
Internet Software & Services 6.1% | | | |
| 12,855 | | | Alphabet, Inc. Class A | | | 14,515,738 | * | |
| 381,601 | | | eBay, Inc. | | | 13,836,852 | * | |
| | | 28,352,590 | | |
IT Services 5.9% | | | |
| 185,117 | | | Cognizant Technology Solutions Corp. Class A | | | 14,622,392 | | |
| 65,230 | | | MasterCard, Inc. Class A | | | 12,818,999 | | |
| | | 27,441,391 | | |
Media 3.8% | | | |
| 531,119 | | | Comcast Corp. Class A | | | 17,426,014 | | |
Oil, Gas & Consumable Fuels 5.5% | | | |
| 34,098 | | | Cimarex Energy Co. | | | 3,469,130 | | |
| 183,594 | | | EQT Corp. | | | 10,130,717 | | |
| 331,639 | | | Noble Energy, Inc. | | | 11,700,224 | | |
| | | 25,300,071 | | |
Personal Products 3.0% | | | |
| 252,842 | | | Unilever NV | | | 14,088,356 | | |
Pharmaceuticals 1.7% | | | |
| 34,887 | | | Roche Holding AG | | | 7,739,959 | | |
Road & Rail 1.9% | | | |
| 72,574 | | | J.B. Hunt Transport Services, Inc. | | | 8,821,370 | | |
Semiconductors & Semiconductor Equipment 4.6% | | | |
| 190,968 | | | Texas Instruments, Inc. | | | 21,054,222 | | |
Software 2.5% | | | |
| 56,627 | | | Intuit, Inc. | | | 11,569,179 | | |
Specialty Chemicals 1.9% | | | |
| 170,092 | | | Novozymes A/S B Shares | | | 8,602,950 | | |
Specialty Retail 3.7% | | | |
| 125,001 | | | Advance Auto Parts, Inc. | | | 16,962,636 | | |
Textiles, Apparel & Luxury Goods 1.3% | | | |
| 211,010 | | | Gildan Activewear, Inc. | | | 5,942,042 | | |
See Notes to Financial Statements
5
Schedule of Investments Sustainable Equity Portfolio (Unaudited) (cont'd)
NUMBER OF SHARES | | | | VALUE | |
Trading Companies & Distributors 4.1% | | | |
| 83,167 | | | Fastenal Co. | | $ | 4,002,828 | | |
| 48,398 | | | W.W. Grainger, Inc. | | | 14,925,943 | | |
| | | 18,928,771 | | |
| | | | Total Common Stocks (Cost $306,562,457) | | | 451,782,276 | | |
Short-Term Investments 2.1% | | | |
PRINCIPAL AMOUNT | | | | | |
Certificates of Deposit 0.0%(a) | | | |
$ | 100,000
| | | Self Help Credit Union, 0.25%, due 7/29/18 | | | 100,000
| | |
| 100,000
| | | Self Help Credit Union, 0.25%, due 9/29/18 | | | 100,000
| | |
| | | 200,000 | | |
NUMBER OF SHARES | | | | | |
Investment Companies 2.1% | | | |
| 9,469,515 | | | State Street Institutional Treasury Money Market Fund Premier Class, 1.74%(b) | | | 9,469,515 | | |
| | | | Total Short-Term Investments (Cost $9,669,515) | | | 9,669,515 | | |
| | | | Total Investments 100.0% (Cost $316,231,972) | | | 461,451,791 | | |
| | | | Liabilities Less Other Assets (0.0)%(a) | | | (913 | ) | |
| | | | Net Assets 100.0% | | $ | 461,450,878 | | |
* Non-income producing security.
(a) Represents less than 0.05% of net assets.
(b) Represents 7-day effective yield as of June 30, 2018.
See Notes to Financial Statements
6
Schedule of Investments Sustainable Equity Portfolio (Unaudited) (cont'd)
The following is a summary, categorized by Level (see Note A of Notes to Financial Statements), of inputs used to value the Fund's investments as of June 30, 2018:
Asset Valuation Inputs | | Level 1 | | Level 2 | | Level 3 | | Total | |
Investments: | |
Common Stocks | |
Hotels, Restaurants & Leisure | | $ | — | | | $ | 10,020,156 | | | $ | — | | | $ | 10,020,156 | | |
Pharmaceuticals | | | — | | | | 7,739,959 | | | | — | | | | 7,739,959 | | |
Specialty Chemicals | | | — | | | | 8,602,950 | | | | — | | | | 8,602,950 | | |
Other Common Stocks(a) | | | 425,419,211 | | | | — | | | | — | | | | 425,419,211 | | |
Total Common Stocks | | | 425,419,211 | | | | 26,363,065 | | | | — | | | | 451,782,276 | | |
Short-Term Investments | | | — | | | | 9,669,515 | | | | — | | | | 9,669,515 | | |
Total Investments | | $ | 425,419,211 | | | $ | 36,032,580 | | | $ | — | | | $ | 461,451,791 | | |
(a) The Schedule of Investments provides information on the industry categorization for the portfolio.
As of the six months ended June 30, 2018, certain securities were transferred from one level (as of December 31, 2017) to another. Based on beginning of period market values as of January 1, 2018, $23,613,489 was transferred from Level 1 to Level 2. These securities were categorized as Level 2 as of June 30, 2018, due to the use of Interactive Data Pricing and Reference Data LLC adjusted prices, as stated in the description of the valuation methods of foreign equity securities in Note A of the Notes to Financial Statements.
See Notes to Financial Statements
7
Statement of Assets and Liabilities (Unaudited)
Neuberger Berman Advisers Management Trust
| | SUSTAINABLE EQUITY PORTFOLIO | |
| | June 30, 2018 | |
Assets | |
Investments in securities, at value* (Note A)—see Schedule of Investments: | |
Unaffiliated issuers(a) | | $ | 461,451,791 | | |
Dividends and interest receivable | | | 542,390 | | |
Receivable for Fund shares sold | | | 2,769 | | |
Prepaid expenses and other assets | | | 12,632 | | |
Total Assets | | | 462,009,582 | | |
Liabilities | |
Payable to investment manager (Note B) | | | 207,393 | | |
Due to custodian | | | 100,000 | | |
Payable for Fund shares redeemed | | | 107,915 | | |
Payable to administrator—net (Note B) | | | 129,257 | | |
Payable to trustees | | | 49 | | |
Accrued expenses and other payables | | | 14,090 | | |
Total Liabilities | | | 558,704 | | |
Net Assets | | $ | 461,450,878 | | |
Net Assets consist of: | |
Paid-in capital | | $ | 275,361,772 | | |
Undistributed net investment income/(loss) | | | 3,433,690 | | |
Accumulated net realized gains/(losses) on investments | | | 37,443,428 | | |
Net unrealized appreciation/(depreciation) in value of investments | | | 145,211,988 | | |
Net Assets | | $ | 461,450,878 | | |
Net Assets | |
Class I | | $ | 381,348,915 | | |
Class S | | | 80,101,963 | | |
Shares Outstanding ($.001 par value; unlimited shares authorized) | |
Class I | | | 14,300,522 | | |
Class S | | | 2,997,182 | | |
Net Asset Value, offering and redemption price per share | |
Class I | | $ | 26.67 | | |
Class S | | | 26.73 | | |
*Cost of Investments: (a) Unaffiliated issuers | | $ | 316,231,972 | | |
See Notes to Financial Statements
8
Statement of Operations (Unaudited)
Neuberger Berman Advisers Management Trust
| | SUSTAINABLE EQUITY PORTFOLIO | |
| | For the Six Months Ended June 30, 2018 | |
Investment Income: | |
Income (Note A): | |
Dividend income—unaffiliated issuers | | $ | 3,741,835 | | |
Interest income—unaffiliated issuers | | | 98,033 | | |
Foreign taxes withheld (Note A) | | | (107,520 | ) | |
Total income | | $ | 3,732,348 | | |
Expenses: | |
Investment management fees (Note B) | | | 1,247,838 | | |
Administration fees (Note B): | |
Class I | | | 569,537 | | |
Class S | | | 125,803 | | |
Distribution fees (Note B): | |
Class S | | | 104,836 | | |
Audit fees | | | 23,088 | | |
Custodian and accounting fees | | | 28,312 | | |
Insurance expense | | | 7,167 | | |
Legal fees | | | 84,309 | | |
Shareholder reports | | | 52,227 | | |
Trustees' fees and expenses | | | 21,336 | | |
Miscellaneous | | | 12,512 | | |
Total expenses | | | 2,276,965 | | |
Expenses reimbursed by Management (Note B) | | | (5,685 | ) | |
Total net expenses | | | 2,271,280 | | |
Net investment income/(loss) | | $ | 1,461,068 | | |
Realized and Unrealized Gain/(Loss) on Investments (Note A): | |
Net realized gain/(loss) on: | |
Transactions in investment securities of unaffiliated issuers | | | 13,311,209 | | |
Settlement of foreign currency transactions | | | (2,883 | ) | |
Change in net unrealized appreciation/(depreciation) in value of: | |
Investment securities of unaffiliated issuers | | | 4,207,815 | | |
Foreign currency translations | | | (7,057 | ) | |
Net gain/(loss) on investments | | | 17,509,084 | | |
Net increase/(decrease) in net assets resulting from operations | | $ | 18,970,152 | | |
See Notes to Financial Statements
9
Statements of Changes in Net Assets
Neuberger Berman Advisers Management Trus
| | SUSTAINABLE EQUITY PORTFOLIO | |
| | Six Months Ended June 30, 2018 (Unaudited) | | Year Ended December 31, 2017 | |
Increase/(Decrease) in Net Assets: | |
From Operations (Note A): | |
Net investment income/(loss) | | $ | 1,461,068 | | | $ | 1,973,646 | | |
Net realized gain/(loss) on investments | | | 13,308,326 | | | | 24,490,775 | | |
Change in net unrealized appreciation/(depreciation) of investments | | | 4,200,758 | | | | 46,968,784 | | |
Net increase/(decrease) in net assets resulting from operations | | | 18,970,152 | | | | 73,433,205 | | |
Distributions to Shareholders From (Note A): | |
Net investment income: | |
Class I | | | — | | | | (1,857,268 | ) | |
Class S | | | — | | | | (285,796 | ) | |
Net realized gain on investments: | |
Class I | | | — | | | | (13,367,478 | ) | |
Class S | | | — | | | | (3,071,328 | ) | |
Total distributions to shareholders | | | — | | | | (18,581,870 | ) | |
From Fund Share Transactions (Note D): | |
Proceeds from shares sold: | |
Class I | | | 2,734,026 | | | | 12,494,005 | | |
Class S | | | 2,790,529 | | | | 4,512,214 | | |
Proceeds from reinvestment of dividends and distributions: | |
Class I | | | — | | | | 15,224,746 | | |
Class S | | | — | | | | 3,357,124 | | |
Payments for shares redeemed: | |
Class I | | | (16,615,239 | ) | | | (21,657,226 | ) | |
Class S | | | (11,753,811 | ) | | | (10,704,877 | ) | |
Net increase/(decrease) from Fund share transactions | | | (22,844,495 | ) | | | 3,225,986 | | |
Net Increase/(Decrease) in Net Assets | | | (3,874,343 | ) | | | 58,077,321 | | |
Net Assets: | |
Beginning of period | | | 465,325,221 | | | | 407,247,900 | | |
End of period | | $ | 461,450,878 | | | $ | 465,325,221 | | |
Undistributed net investment income/(loss) at end of period | | $ | 3,433,690 | | | $ | 1,972,622 | | |
See Notes to Financial Statements
10
Notes to Financial Statements Sustainable Equity Portfolio
(Unaudited)
Note A—Summary of Significant Accounting Policies:
1 General: Neuberger Berman Advisers Management Trust (the "Trust") is a Delaware statutory trust organized pursuant to an Amended and Restated Trust Instrument dated March 27, 2014. The Trust is currently comprised of eight separate operating series (each individually a "Fund," and collectively the "Funds") each of which is diversified. The Trust is registered as an open-end management investment company under the Investment Company Act of 1940, as amended (the "1940 Act"), and its shares are registered under the Securities Act of 1933, as amended. Neuberger Berman Advisers Management Trust Sustainable Equity Portfolio (the "Fund") (formerly, Socially Responsive Portfolio) currently offers Class I and Class S shares. The Trust's Board of Trustees (the "Board") may establish additional series or classes of shares without the approval of shareholders.
The assets of each Fund belong only to that Fund, and the liabilities of each Fund are borne solely by that Fund and no other.
The Fund is an investment company and accordingly follows the investment company accounting and reporting guidance of the Financial Accounting Standards Board ("FASB") Accounting Standards Codification ("ASC") Topic 946 "Financial Services—Investment Companies."
The preparation of financial statements in accordance with U.S. generally accepted accounting principles ("GAAP") requires Neuberger Berman Investment Advisers LLC ("Management") to make estimates and assumptions at the date of the financial statements. Actual results could differ from those estimates.
Shares of the Fund are not available to the general public and may be purchased only by life insurance companies to serve as an investment vehicle for premiums paid under their variable annuity and variable life insurance contracts and to certain qualified pension and other retirement plans.
2 Portfolio valuation: In accordance with ASC 820 "Fair Value Measurement" ("ASC 820"), all investments held by the Fund are carried at the value that Management believes the Fund would receive upon selling an investment in an orderly transaction to an independent buyer in the principal or most advantageous market for the investment under current market conditions. Various inputs, including the volume and level of activity for the asset or liability in the market, are considered in valuing the Fund's investments, some of which are discussed below. Significant Management judgment may be necessary to value investments in accordance with ASC 820.
ASC 820 established a three-tier hierarchy of inputs to create a classification of value measurements for disclosure purposes. The three-tier hierarchy of inputs is summarized in the three broad Levels listed below.
• Level 1—quoted prices in active markets for identical investments
• Level 2—other observable inputs (including quoted prices for similar investments, interest rates, prepayment speeds, credit risk, amortized cost, etc.)
• Level 3—unobservable inputs (including the Fund's own assumptions in determining the fair value of investments)
The inputs or methodology used for valuing an investment are not necessarily an indication of the risk associated with investing in those securities.
The value of the Fund's investments in equity securities, for which market quotations are readily available, is generally determined by Management by obtaining valuations from independent pricing services based on the latest sale price quoted on a principal exchange or market for that security (Level 1 inputs). Securities traded primarily on the NASDAQ Stock Market are normally valued at the NASDAQ Official Closing Price ("NOCP") provided by NASDAQ each business day. The NOCP is the most recently reported price as of 4:00:02 p.m., Eastern
11
Time, unless that price is outside the range of the "inside" bid and asked prices (i.e., the bid and asked prices that dealers quote to each other when trading for their own accounts); in that case, NASDAQ will adjust the price to equal the inside bid or asked price, whichever is closer. Because of delays in reporting trades, the NOCP may not be based on the price of the last trade to occur before the market closes. If there is no sale of a security on a particular day, the independent pricing services may value the security based on market quotations.
Management has developed a process to periodically review information provided by independent pricing services for all types of securities.
Certificates of deposit are valued at amortized cost (Level 2 inputs).
Investments in non-exchange traded investment companies are valued using the respective fund's daily calculated net asset value per share (Level 2 inputs).
If a valuation is not available from an independent pricing service, or if Management has reason to believe that the valuation received does not represent the amount the Fund might reasonably expect to receive on a current sale in an orderly transaction, Management seeks to obtain quotations from brokers or dealers (generally considered Level 2 or Level 3 inputs depending on the number of quotes available). If such quotations are not readily available, the security is valued using methods the Board has approved in the good-faith belief that the resulting valuation will reflect the fair value of the security. Numerous factors may be considered when determining the fair value of a security based on Level 2 or Level 3 inputs, including available analyst, media or other reports, securities within the same industry with recent highly correlated performance, trading in futures or American Depositary Receipts and whether the issuer of the security being fair valued has other securities outstanding.
The value of the Fund's investments in foreign securities is generally determined using the same valuation methods and inputs as other Fund investments, as discussed above. Foreign security prices expressed in local currency values are normally translated from the local currency into U.S. dollars using the exchange rates as of 4:00 p.m., Eastern Time on days the New York Stock Exchange ("NYSE") is open for business. The Board has approved the use of Interactive Data Pricing and Reference Data LLC ("Interactive") to assist in determining the fair value of foreign equity securities when changes in the value of a certain index suggest that the closing prices on the foreign exchanges may no longer represent the amount that the Fund could expect to receive for those securities or on days when foreign markets are closed and U.S. markets are open. In each of these events, Interactive will provide adjusted prices for certain foreign equity securities using a statistical analysis of historical correlations of multiple factors (Level 2 inputs). In the absence of precise information about the market values of these foreign securities as of the time as of which the Fund's share price is calculated, the Board has determined on the basis of available data that prices adjusted in this way are likely to be closer to the prices the Fund could realize on a current sale than are the prices of those securities established at the close of the foreign markets in which the securities primarily trade.
Fair value prices are necessarily estimates, and there is no assurance that such a price will be at or close to the price at which the security is next quoted or next trades.
3 Foreign currency translations: The accounting records of the Fund are maintained in U.S. dollars. Foreign currency amounts are normally translated into U.S. dollars using the exchange rate as of 4:00 p.m. Eastern Time, on days the NYSE is open for business, to determine the value of investments, other assets and liabilities. Purchase and sale prices of securities, and income and expenses, are translated into U.S. dollars at the prevailing rate of exchange on the respective dates of such transactions. Net unrealized foreign currency gain/(loss), if any, arises from changes in the value of assets and liabilities, other than investments in securities, as a result of changes in exchange rates and is stated separately in the Statement of Operations.
4 Securities transactions and investment income: Securities transactions are recorded on trade date for financial reporting purposes. Dividend income is recorded on the ex-dividend date or, for certain foreign dividends, as soon as the Fund becomes aware of the dividends. Non-cash dividends included in dividend income, if any, are recorded at the fair market value of the securities received. Interest income, including accretion of original issue discount, where applicable, and accretion of discount on short-term investments, if any, is recorded on the accrual basis.
12
Realized gains and losses from securities transactions and foreign currency transactions, if any, are recorded on the basis of identified cost and stated separately in the Statement of Operations.
5 Income tax information: The Fund is treated as a separate entity for U.S. federal income tax purposes. It is the policy of the Fund to continue to qualify for treatment as a regulated investment company ("RIC") by complying with the requirements of the U.S. Internal Revenue Code applicable to RICs and to distribute substantially all of its net investment income and net realized capital gains to its shareholders. To the extent the Fund distributes substantially all of its net investment income and net realized capital gains to shareholders, no federal income or excise tax provision is required.
The Fund has adopted the provisions of ASC 740 "Income Taxes" ("ASC 740"). ASC 740 sets forth a minimum threshold for financial statement recognition of a tax position taken, or expected to be taken, in a tax return. The Fund recognizes interest and penalties, if any, related to unrecognized tax positions as an income tax expense in the Statement of Operations. The Fund is subject to examination by U.S. federal and state tax authorities for returns filed for the tax years for which the applicable statutes of limitations have not yet expired. As of June 30, 2018, the Fund did not have any unrecognized tax positions.
At June 30, 2018, the cost of long security positions and derivative instruments (if any) for U.S. federal income tax purposes was $316,590,747. Gross unrealized appreciation of long security positions was $152,364,649 and gross unrealized depreciation of long security positions was $7,503,605 resulting in net unrealized appreciation of $144,861,044 based on cost for U.S. federal income tax purposes.
Income distributions and capital gain distributions are determined in accordance with income tax regulations, which may differ from GAAP. These differences are primarily due to differing treatments of income and gains on various investment securities held by the Fund, timing differences and differing characterization of distributions made by the Fund. The Fund may also utilize earnings and profits distributed to shareholders on redemption of their shares as a part of the dividends-paid deduction for income tax purposes.
As determined on December 31, 2017, permanent differences resulting primarily from different book and tax accounting were reclassified at year end. Such differences are attributed to the tax treatment of foreign currency gains and losses and non-real estate investment trusts ("REITs") income adjustments. These reclassifications had no effect on net income, net asset value ("NAV") or NAV per share of the Fund. For the year ended December 31, 2017, the Fund recorded the following permanent reclassifications:
Paid-in Capital | | Undistributed Net Investment Income/(Loss) | | Accumulated Net Realized Gains/(Losses) on Investments | |
$ | — | | | $ | (34,633 | ) | | $ | 34,633 | | |
The tax character of distributions paid during the years ended December 31, 2017 and December 31, 2016 was as follows:
Distributions Paid From: | |
Ordinary Income | | Long-Term Capital Gain | | Total | |
2017 | | 2016 | | 2017 | | 2016 | | 2017 | | 2016 | |
$ | 3,218,402 | | | $ | 2,558,897 | | | $ | 15,363,468 | | | $ | 13,959,506 | | | $ | 18,581,870 | | | $ | 16,518,403 | | |
As of December 31, 2017, the components of distributable earnings (accumulated losses) on a U.S. federal income tax basis were as follows:
Undistributed Ordinary Income | | Undistributed Long-Term Capital Gain | | Unrealized Appreciation/ (Depreciation) | | Loss Carryforwards and Deferrals | | Other Temporary Differences | | Total | |
$ | 4,301,820 | | | $ | 22,164,679 | | | $ | 140,652,455 | | | $ | — | | | $ | — | | | $ | 167,118,954 | | |
13
The temporary differences between book basis and tax basis distributable earnings are primarily due to losses disallowed and recognized on wash sales and non-REIT income adjustments.
6 Distributions to shareholders: The Fund may earn income, net of expenses, daily on its investments. Distributions from net investment income and net realized capital gains, if any, are generally distributed once a year (usually in October). Income distributions and capital gain distributions to shareholders are recorded on the ex-date.
It is the policy of the Fund to pass through to its shareholders substantially all REIT distributions and other income it receives, less operating expenses. The distributions the Fund receives from REITs are generally composed of income, capital gains, and/or return of REIT capital, but the REITs do not report this information to the Fund until the following calendar year. At June 30, 2018, the Fund estimated these amounts for the period January 1, 2018 to June 30, 2018 within the financial statements because the 2018 information is not available from the REITs until after the Fund's fiscal year-end. All estimates are based upon REIT information sources available to the Fund together with actual IRS Forms 1099-DIV received to date. For the year ended December 31, 2017, the character of distributions, if any, paid to shareholders disclosed within the Statements of Changes in Net Assets is based on estimates made at that time. Based on past experience it is possible that a portion of the Fund's distributions during the current fiscal year, if any, will be considered tax return of capital, but the actual amount of the tax return of capital, if any, is not determinable until after the Fund's fiscal year-end. After calendar year-end, when the Fund learns the nature of the distributions paid by REITs during that year, distributions previously identified as income are often re-characterized as return of capital and/or capital gain. After all applicable REITs have informed the Fund of the actual breakdown of distributions paid to the Fund during its fiscal year, estimates previously recorded are adjusted on the books of the Fund to reflect actual results. As a result, the composition of the Fund's distributions as reported herein may differ from the final composition determined after calendar year-end and reported to Fund shareholders on IRS Form 1099-DIV.
7 Foreign taxes: Foreign taxes withheld, if any, represent amounts withheld by foreign tax authorities, net of refunds recoverable.
8 Expense allocation: Certain expenses are applicable to multiple funds within the complex of related investment companies. Expenses directly attributable to a fund are charged to that fund. Expenses of the Trust that are not directly attributable to a particular series of the Trust (e.g., the Fund) are allocated among the series of the Trust, on the basis of relative net assets, except where a more appropriate allocation of expenses to each of the series can otherwise be made fairly. Expenses borne by the complex of related investment companies, which includes open-end and closed-end investment companies for which Management serves as investment manager, that are not directly attributable to a particular investment company in the complex (e.g., the Trust) or series thereof are allocated among the investment companies in the complex or series thereof on the basis of relative net assets, except where a more appropriate allocation of expenses to each of the investment companies in the complex or series thereof can otherwise be made fairly. The Fund's expenses (other than those specific to each class) are allocated proportionally each day among the classes based upon the relative net assets of each class.
9 Investments in foreign securities: Investing in foreign securities may involve sovereign and other risks, in addition to the credit and market risks normally associated with domestic securities. These additional risks include the possibility of adverse political and economic developments (including political instability, nationalization, expropriation, or confiscatory taxation) and the potentially adverse effects of unavailability of public information regarding issuers, less governmental supervision and regulation of financial markets, reduced liquidity of certain financial markets, and the lack of uniform accounting, auditing, and financial reporting standards or the application of standards that are different or less stringent than those applied in the United States. Foreign securities also may experience greater price volatility, higher rates of inflation, and delays in settlement.
10 Investment company securities and exchange-traded funds: The Fund may invest in shares of other registered investment companies, including exchange-traded funds ("ETFs"), within the limitations prescribed by the 1940 Act or pursuant to an exemptive order from the Securities and Exchange Commission that permits the Fund to invest in both affiliated and unaffiliated investment companies, including ETFs, in excess of the limits in
14
Section 12(d)(1)(A) of the 1940 Act, as amended, subject to the terms and conditions of such order. Some ETFs seek to track the performance of a particular market index. These indices include both broad-based market indices and more narrowly-based indices, including those relating to particular sectors, markets, regions or industries. However, some ETFs have an actively-managed investment objective. ETF shares are traded like traditional equity securities on a national securities exchange or NASDAQ. The Fund will indirectly bear its proportionate share of any management fees and other expenses paid by such other investment companies, which will increase expenses and decrease returns.
11 Securities Lending: The Fund, using State Street Bank and Trust Company ("State Street") as its lending agent, may loan securities to qualified brokers and dealers in exchange for negotiated lender's fees. These fees, if any, would be disclosed within the Statement of Operations under the caption "Income from securities loaned-net" and are net of expenses retained by State Street as compensation for its services as lending agent.
The initial cash collateral received by the Fund at the beginning of each transaction shall have a value equal to at least 102% of the prior day's market value of the loaned securities (105% in the case of international securities). The Fund may only receive collateral in the form of cash (U.S. dollars). Cash collateral is generally invested in a money market fund registered under the 1940 Act that is managed by an affiliate of State Street. The risks associated with lending portfolio securities include, but are not limited to, possible delays in receiving additional collateral or in the recovery of the loaned securities.
As of June 30, 2018, the Fund did not participate in securities lending.
12 Indemnifications: Like many other companies, the Trust's organizational documents provide that its officers and trustees are indemnified against certain liabilities arising out of the performance of their duties to the Trust. In addition, both in some of its principal service contracts and in the normal course of its business, the Trust enters into contracts that provide indemnifications to other parties for certain types of losses or liabilities. The Trust's maximum exposure under these arrangements is unknown as this could involve future claims against the Trust.
13 Other: All net investment income and realized and unrealized capital gains and losses of the Fund are allocated, on the basis of relative net assets, pro rata among its respective classes.
Note B—Investment Management Fees, Administration Fees, Distribution Arrangements, and Other Transactions with Affiliates:
The Fund retains Management as its investment manager under a Management Agreement. For such investment management services, the Fund pays Management a fee at the annual rate of 0.55% of the first $250 million of the Fund's average daily net assets, 0.525% of the next $250 million, 0.50% of the next $250 million, 0.475% of the next $250 million, 0.45% of the next $500 million, 0.425% of the next $2.5 billion, and 0.40% of average daily net assets in excess of $4 billion. Accordingly, for the six months ended June 30, 2018, the investment management fee pursuant to the Management Agreement was equivalent to an annual effective rate of 0.54% of the Fund's average daily net assets.
The Fund retains Management as its administrator under an Administration Agreement. Each class pays Management an administration fee at the annual rate of 0.30% of its average daily net assets under this agreement. Additionally, Management retains State Street as its sub-administrator under a Sub-Administration Agreement. Management pays State Street a fee for all services received under the Sub-Administration Agreement.
Management has contractually agreed to waive fees and/or reimburse the Fund's Class I and Class S shares so that the total annual operating expenses of those classes do not exceed the expense limitations as detailed in the following table. These undertakings exclude interest, taxes, transaction costs, brokerage commissions, acquired fund fees and expenses, extraordinary expenses, and dividend and interest expenses relating to short sales, if any (commitment fees relating to borrowings are treated as interest for purposes of this exclusion) ("annual operating expenses"); consequently, net expenses may exceed the contractual expense limitations. The Fund has agreed that each of its classes will repay Management for fees and expenses waived or reimbursed for that class provided that
15
repayment does not cause that class's annual operating expenses to exceed its contractual expense limitation in place at the time the fees and expenses were waived or reimbursed, or the expense limitation in place at the time the Fund repays Management, whichever is lower. Any such repayment must be made within three years after the year in which Management incurred the expense.
During the six months ended June 30, 2018, there was no repayment to Management under its contractual expense limitation.
At June 30, 2018, the Fund's contingent liabilities to Management under its contractual expense limitation were as follows:
| | | | | | Expenses Reimbursed in Year Ended December 31, | |
| | | | | | 2015 | | 2016 | | 2017 | | 2018 | |
| | | | | | Subject to Repayment until December 31, | |
Class | | Contractual Expense Limitation(a) | | Expiration | | 2018 | | 2019 | | 2020 | | 2021 | |
Class I | | | 1.30 | % | | 12/31/21 | | $ | — | | | $ | — | | | $ | — | | | $ | — | | |
Class S | | | 1.17 | % | | 12/31/21 | | | 46,277 | | | | 54,583 | | | | 15,076 | | | | 5,685 | | |
(a) Expense limitation per annum of the respective class's average daily net assets.
Neuberger Berman BD LLC (the "Distributor") is the Fund's "principal underwriter" within the meaning of the 1940 Act. It acts as agent in arranging for the sale of the Fund's Class I shares without sales commission or other compensation and bears all advertising and promotion expenses incurred in the sale of those shares. The Board adopted a non-fee distribution plan for the Fund's Class I.
The Board has adopted a distribution and shareholder services plan (the "Plan") for Class S shares pursuant to Rule 12b-1 under the 1940 Act. The Plan provides that, as compensation for administrative and other services related to the sale and distribution of Class S, and ongoing services provided to investors in the class, the Distributor receives from Class S a fee at the annual rate of 0.25% of Class S's average daily net assets. The Distributor may pay a portion of the proceeds from the 12b-1 fee to institutions that provide such services, including insurance companies or their affiliates and qualified plan administrators ("intermediaries") for services they provide respecting the Fund to current and prospective variable contract owners and qualified plan participants that invest in the Fund through the intermediaries. Those institutions may use the payments for, among other purposes, compensating employees engaged in sales and/or shareholder servicing. The amount of fees paid by the class during any year may be more or less than the cost of distribution and other services provided to the class. FINRA rules limit the amount of annual distribution fees that may be paid by a mutual fund and impose a ceiling on the cumulative distribution fees paid. The Plan complies with those rules.
Note C—Securities Transactions:
During the six months ended June 30, 2018, there were purchase and sale transactions of long-term securities of $30,062,281 and $46,263,689, respectively.
During the six months ended June 30, 2018, no brokerage commissions on securities transactions were paid to affiliated brokers.
16
Note D—Fund Share Transactions:
Share activity for the six months ended June 30, 2018 and for the year ended December 31, 2017 was as follows:
For the Six Months Ended June 30, 2018
| | Shares Sold | | Shares Issued on Reinvestment of Dividends and Distributions | | Shares Redeemed | | Total | |
Class I | | | 104,238 | | | | — | | | | (629,781 | ) | | | (525,543 | ) | |
Class S | | | 105,033 | | | | — | | | | (442,838 | ) | | | (337,805 | ) | |
For the Year Ended December 31, 2017
| | Shares Sold | | Shares Issued on Reinvestment of Dividends and Distributions | | Shares Redeemed | | Total | |
Class I | | | 511,719 | | | | 623,454 | | | | (890,640 | ) | | | 244,533 | | |
Class S | | | 183,574 | | | | 136,914 | | | | (436,094 | ) | | | (115,606 | ) | |
Note E—Line of Credit:
At June 30, 2018, the Fund was a participant in a syndicated committed, unsecured $700,000,000 line of credit (the "Credit Facility"), to be used only for temporary or emergency purposes. Series of other investment companies managed by Management also participate in this line of credit on substantially the same terms. Interest is charged on borrowings under this Credit Facility at the highest of (a) a federal funds effective rate plus 1.00% per annum, (b) a Eurodollar rate for a one-month period plus 1.00% per annum, and (c) an overnight bank funding rate plus 1.00% per annum. The Credit Facility has an annual commitment fee of 0.15% per annum of the available line of credit, which is paid quarterly. The Fund has agreed to pay its pro rata share of the annual commitment fee, based on the ratio of its individual net assets to the net assets of all participants at the time the fee is due and payable, and interest charged on any borrowing made by the Fund and other costs incurred by the Fund. Because several mutual funds participate in the Credit Facility, there is no assurance that the Fund will have access to all or any part of the $700,000,000 at any particular time. There were no loans outstanding under the Credit Facility at June 30, 2018. During the period ended June 30, 2018, the Fund did not utilize the Credit Facility.
Note F—Custodian Out-of-Pocket Expenses Refunded:
In May 2016, the Fund's custodian, State Street, announced that it had identified inconsistencies in the way in which the Fund was invoiced for categories of expenses, particularly those deemed "out-of-pocket" costs, from 1998 through November 2015. The amounts in the table below represent the refunded expenses and interest determined to be payable to the Fund for the period in question. These amounts were refunded to the Fund by State Street during the year ended December 31, 2017.
Expenses Refunded | | Interest Paid to the Fund | |
$ | 48,363 | | | $ | 4,855 | | |
Note G—Unaudited Financial Information:
The financial information included in this interim report is taken from the records of the Fund without audit by an independent registered public accounting firm. Annual reports contain audited financial statements.
17
Sustainable Equity Portfolio
The following tables include selected data for a share outstanding throughout each period and other performance information derived from the Financial Statements. Amounts that do not round to $0.01 or $(0.01) per share are presented as $0.00 or $(0.00), respectively. Ratios that do not round to 0.01% or (0.01)% are presented as 0.00% or (0.00)%, respectively. A "—" indicates that the line item was not applicable in the corresponding period.
Class I | |
| | Six Months Ended June 30, | | Year Ended December 31, | |
| | 2018 | | 2017 | | 2016 | | 2015 | | 2014 | | 2013 | |
| | (Unaudited) | | | | | | | | | | | |
Net Asset Value, Beginning of Period | | $ | 25.61 | | | $ | 22.57 | | | $ | 21.46 | | | $ | 23.88 | | | $ | 21.72 | | | $ | 15.89 | | |
Income From Investment Operations: | |
Net Investment Income/(Loss)@ | | | 0.09 | | | | 0.12 | | | | 0.13 | | | | 0.16 | | | | 0.15 | | | | 0.09 | | |
Net Gains or Losses on Securities (both realized and unrealized) | | | 0.97 | | | | 3.99 | | | | 1.94 | | | | (0.28 | ) | | | 2.10 | | | | 5.87 | | |
Total From Investment Operations | | | 1.06 | | | | 4.11 | | | | 2.07 | | | | (0.12 | ) | | | 2.25 | | | | 5.96 | | |
Less Distributions From: | |
Net Investment Income | | | — | | | | (0.13 | ) | | | (0.16 | ) | | | (0.14 | ) | | | (0.09 | ) | | | (0.13 | ) | |
Net Realized Capital Gains | | | — | | | | (0.94 | ) | | | (0.80 | ) | | | (2.16 | ) | | | — | | | | — | | |
Total Distributions | | | — | | | | (1.07 | ) | | | (0.96 | ) | | | (2.30 | ) | | | (0.09 | ) | | | (0.13 | ) | |
Voluntary Contribution from Management | | | — | | | | — | | | | — | | | | — | | | | 0.00 | | | | — | | |
Net Asset Value, End of Period | | $ | 26.67 | | | $ | 25.61 | | | $ | 22.57 | | | $ | 21.46 | | | $ | 23.88 | | | $ | 21.72 | | |
Total Return† | | | 4.14 | %* | | | 18.43 | %^‡ | | | 9.86 | % | | | (0.46 | )%^ | | | 10.38 | %µ | | | 37.60 | % | |
Ratios/Supplemental Data | |
Net Assets, End of Period (in millions) | | $ | 381.3 | | | $ | 379.6 | | | $ | 329.1 | | | $ | 307.6 | | | $ | 301.3 | | | $ | 244.2 | | |
Ratio of Gross Expenses to Average Net Assets# | | | 0.94 | %** | | | 0.94 | % | | | 1.00 | % | | | 0.98 | % | | | 0.98 | % | | | 0.99 | % | |
Ratio of Net Expenses to Average Net Assets | | | 0.94 | %** | | | 0.93 | %ß | | | 1.00 | % | | | 0.98 | % | | | 0.98 | % | | | 0.99 | % | |
Ratio of Net Investment Income/(Loss) to Average Net Assets | | | 0.67 | %** | | | 0.50 | %ß | | | 0.59 | % | | | 0.70 | % | | | 0.68 | % | | | 0.49 | % | |
Portfolio Turnover Rate | | | 7 | %* | | | 18 | % | | | 31 | % | | | 24 | % | | | 37 | % | | | 29 | % | |
See Notes to Financial Highlights
18
Financial Highlights (cont'd)
Class S | |
| | Six Months Ended June 30, | | Year Ended December 31, | |
| | 2018 | | 2017 | | 2016 | | 2015 | | 2014 | | 2013 | |
| | (Unaudited) | | | | | | | | | | | |
Net Asset Value, Beginning of Period | | $ | 25.69 | | | $ | 22.66 | | | $ | 21.54 | | | $ | 23.93 | | | $ | 21.76 | | | $ | 15.92 | | |
Income From Investment Operations: | |
Net Investment Income/(Loss)@ | | | 0.06 | | | | 0.06 | | | | 0.09 | | | | 0.12 | | | | 0.12 | | | | 0.06 | | |
Net Gains or Losses on Securities (both realized and unrealized) | | | 0.98 | | | | 3.99 | | | | 1.94 | | | | (0.27 | ) | | | 2.08 | | | | 5.89 | | |
Total From Investment Operations | | | 1.04 | | | | 4.05 | | | | 2.03 | | | | (0.15 | ) | | | 2.20 | | | | 5.95 | | |
Less Distributions From: | |
Net Investment Income | | | — | | | | (0.08 | ) | | | (0.11 | ) | | | (0.08 | ) | | | (0.03 | ) | | | (0.11 | ) | |
Net Realized Capital Gains | | | — | | | | (0.94 | ) | | | (0.80 | ) | | | (2.16 | ) | | | — | | | | — | | |
Total Distributions | | | — | | | | (1.02 | ) | | | (0.91 | ) | | | (2.24 | ) | | | (0.03 | ) | | | (0.11 | ) | |
Voluntary Contribution from Management | | | — | | | | — | | | | — | | | | — | | | | 0.00 | | | | — | | |
Net Asset Value, End of Period | | $ | 26.73 | | | $ | 25.69 | | | $ | 22.66 | | | $ | 21.54 | | | $ | 23.93 | | | $ | 21.76 | | |
Total Return† | | | 4.05 | %* | | | 18.11 | %^‡ | | | 9.64 | % | | | (0.59 | )%^ | | | 10.11 | %µ | | | 37.41 | % | |
Ratios/Supplemental Data | |
Net Assets, End of Period (in millions) | | $ | 80.1 | | | $ | 85.7 | | | $ | 78.2 | | | $ | 74.9 | | | $ | 81.1 | | | $ | 80.7 | | |
Ratio of Gross Expenses to Average Net Assets# | | | 1.19 | %** | | | 1.19 | % | | | 1.25 | % | | | 1.23 | % | | | 1.23 | % | | | 1.24 | % | |
Ratio of Net Expenses to Average Net Assets | | | 1.17 | %** | | | 1.17 | %ß | | | 1.17 | % | | | 1.17 | % | | | 1.17 | % | | | 1.17 | % | |
Ratio of Net Investment Income/(Loss) to Average Net Assets | | | 0.44 | %** | | | 0.25 | %ß | | | 0.42 | % | | | 0.52 | % | | | 0.52 | % | | | 0.32 | % | |
Portfolio Turnover Rate | | | 7 | %* | | | 18 | % | | | 31 | % | | | 24 | % | | | 37 | % | | | 29 | % | |
See Notes to Financial Highlights
19
Notes to Financial Highlights Sustainable Equity Portfolio
(Unaudited)
@ Calculated based on the average number of shares outstanding during each fiscal period.
^ The class action proceeds received in 2017 had no impact on the Fund's total return for the year ended December 31, 2017. The class action proceeds received in 2015 had no impact on the Fund's total return for the year ended December 31, 2015.
µ The voluntary contribution received in 2014 had no impact on the Fund's total return for the year ended December 31, 2014.
* Not annualized.
† Total return based on per share NAV reflects the effects of changes in NAV on the performance of the Fund during each fiscal period. Returns assume income dividends and other distributions, if any, were reinvested. Results represent past performance and do not indicate future results. Current returns may be lower or higher than the performance data quoted. Investment returns and principal will fluctuate and shares, when redeemed, may be worth more or less than original cost. Total return would have been lower if Management had not reimbursed and/or waived certain expenses. The total return information shown does not reflect charges and other expenses that apply to the separate accounts or the related insurance policies or other qualified pension or retirement plans, and the inclusion of these charges and other expenses would reduce the total return for all fiscal periods shown.
‡ The Custodian Out-of-Pocket Expenses Refunded as listed in Note F of the Notes to Financial Statements had no impact on the Fund's total return for the year ended December 31, 2017.
# Represents the annualized ratios of net expenses to average daily net assets if Management had not reimbursed certain expenses and/or waived a portion of the investment management fee. Management did not reimburse or waive fees during the fiscal periods shown for Class I.
** Annualized.
ß Custodian Out-of-Pocket Expenses Refunded, as listed in Note F of the Notes to Financial Statements, is non-recurring, and is included in these ratios. Had the Fund not received the refund, the annualized ratios of net expenses to average net assets and net investment income/(loss) to average net assets would have been:
| | Ratio of Net Expenses to Average Net Assets Year Ended December 31, 2017 | | Ratio of Net Investment Income/ (Loss) to Average Net Assets Year Ended December 31, 2017 | |
Class I | | | 0.94 | % | | | 0.48 | % | |
Class S | | | 1.17 | % | | | 0.25 | % | |
20
Proxy Voting Policies and Procedures
A description of the policies and procedures that the Trust uses to determine how to vote proxies relating to portfolio securities is available, without charge, by calling 800-877-9700 (toll-free) and on the Securities and Exchange Commission's website at www.sec.gov. Information regarding how the Trust voted proxies relating to portfolio securities during the most recent 12-month period ended June 30 is also available upon request, without charge, by calling 800-877-9700 (toll-free), on the Securities and Exchange Commission's website at www.sec.gov, and on Management's website at www.nb.com.
Quarterly Portfolio Schedule
The Trust files a complete schedule of portfolio holdings for the Fund with the Securities and Exchange Commission for the first and third quarters of each fiscal year on Form N-Q. The Trust's Forms N-Q are available on the Securities and Exchange Commission's website at www.sec.gov and may be reviewed and copied at the Securities and Exchange Commission's Public Reference Room in Washington, DC. Information on the operation of the Public Reference Room may be obtained by calling 800-SEC-0330. The information on Form N-Q is available upon request, without charge, by calling 800-877-9700 (toll free).
21
![](https://capedge.com/proxy/N-CSRS/0000898432-18-000944/j18154463_aa001.jpg)
Neuberger Berman
Advisers Management Trust
U.S. Equity Index PutWrite Strategy Portfolio
S Class Shares
Semi-Annual Report
June 30, 2018
U.S. Equity Index PutWrite Strategy Portfolio Commentary
The Neuberger Berman Advisers Management Trust U.S. Equity Index PutWrite Strategy Portfolio Class S generated a total return of -1.31% for the six months ended June 30, 2018, trailing the 1.74% total return of its benchmark, a blend of 85% CBOE S&P 500® PutWrite Index and 15% CBOE Russell 2000® PutWrite Index (the "benchmark"), for the same period.
Year-to-date performance results continue to reflect the extreme performance of the benchmark during the first quarter, rather than a structural change in market conditions. To the contrary, material increases in both index option implied volatility1 levels and short-term U.S. Treasury rates have created what we believe is a healthy market environment for index putwrite strategies.
As we see it, equity markets appear to have transitioned to a more favorable environment for our strategies through a series of small, abruptly painful events rather than a major dislocation. The favorable environment includes a resetting of equity market implied volatility to levels that are materially higher than 2017 averages, the departure of a number of speculative volatility strategies from the markets, and interest rates that have increased significantly. We have been waiting a long time for a less robust equity environment with higher volatility and higher rates, yet we always presumed the transition to that environment would require a more dramatic event. Now that we seem to be there, we believe a value proposition such as ours, of allocating to lower volatility equity strategies, remains as high as ever.
The Fund posted a gain during the second quarter, but performance lagged the underlying benchmark due to the benchmark's higher market exposure (beta) held at the beginning of the quarter. Within the Fund, our S&P 500 and Russell 2000 PutWrite strategies continued to recover from the first quarter, which favored the passive CBOE S&P 500 PutWrite and CBOE Russell 2000 PutWrite Index methodologies.
Year-to-date, S&P 500 put writing remains a detractor on cumulative results, as losses resulting from the first quarter price reversals of the S&P 500 Index are still weighing on cumulative premium collection. Despite the short spell of volatility during the first quarter, the S&P 500 Index has returned 14.37% over the past 12 months which is a market environment in which we would anticipate the Fund's S&P 500 strategy to underperform.
The Fund's Russell 2000 put writing strategy was a positive contributor to the Fund on an absolute basis, year to date. However, similar to S&P 500 put writing, put writing on the Russell 2000 Index underperformed relative to the underlying Russell 2000 Index which had a strong second quarter, returning 7.66% year-to-date through June 30.
We continue to roll maturing bond collateral into new 2 to 3 year U.S. Treasury Notes at yield levels that are markedly higher than six months ago.
As we reflect on our strategy results in the first half of 2018 and look forward to the second half of 2018, we feel compelled to drop 'cautious' from the 'cautious optimism' we had coming into the year. We are pleased to have avoided a significant erosion of capital suffered by many volatility and risk-premia strategies year-to-date, and believe we will see increased market uncertainty without a full recessionary economic environment, which we anticipate will bode well for our ability to earn equity index option premiums and short-term bond income (these compound meaningfully over quarters and years, not days, weeks and months) relative to a continued dependence on capital appreciation.
Sincerely,
DEREK DEVENS
PORTFOLIO MANAGER
1 Implied volatility is the anticipated volatility inferred by the option prices observed in the market.
Information about principal risks of investing in the Fund is set forth in the prospectus and statement of additional information.
The portfolio composition, industries and holdings of the Fund are subject to change without notice.
The opinions expressed are those of the Fund's portfolio manager. The opinions are as of the date of this report and are subject to change without notice.
1
U.S. Equity Index PutWrite Strategy Portfolio
PORTFOLIO BY TYPE OF SECURITY
(as a % of Total Net Assets) | |
Corporate Bonds | | | 0.0 | % | |
Rights | | | 0.0 | | |
U.S. Government Agency Securities | | | 57.5 | | |
U.S. Treasury Obligations | | | 42.7 | | |
Put Options Written | | | (1.9 | ) | |
Short-Term Investments | | | 1.7 | | |
Other Assets Less Liabilities | | | 0.0 | | |
Total | | | 100.0 | % | |
PERFORMANCE HIGHLIGHTS1
| | | | Six Month | | Average Annual Total Return Ended 06/30/2018 | |
| | Inception Date | | Period Ended 06/30/2018 | | 1-Year | | Life of Fund | |
U.S. Equity Index PutWrite | | | | | | | | | | | | | | | | | |
Strategy Portfolio Class S* | | 05/01/2014 | | | -1.31 | % | | | 2.95 | % | | | -0.17 | % | |
85% CBOE S&P 500® PutWrite Index/15% CBOE Russell 2000® PutWrite Index2,3 | | | | | | | 1.74 | % | | | 5.20 | % | | | 6.95 | % | |
*Prior to May 1, 2017, the Fund had different investment goals, fees and expenses, principal investment strategies and portfolio managers. Please also see Endnote 1.
The performance data quoted represent past performance and do not indicate future results. Current performance may be lower or higher than the performance data quoted. For performance data current to the most recent month-end, please visit http://www.nb.com/amtportfolios/performance.
The results shown in the table reflect the reinvestment of income dividends and other distributions, if any. The results do not reflect the effect of taxes a shareholder would pay on Fund distributions or on the redemption of Fund shares. The results do not reflect fees and expenses of the variable annuity and variable life insurance policies or the qualified pension and retirement plans whose proceeds are invested in the Fund.
The investment return and principal value of an investment will fluctuate and shares, when redeemed, may be worth more or less than their original cost.
Returns would have been lower if Neuberger Berman Investment Advisers LLC ("NBIA" or "Management") had not reimbursed certain expenses and/or waived a portion of the investment management fees during certain of the periods shown. Repayment by a class (of expenses previously reimbursed and/or fees previously waived by Management) will decrease the class's returns. Please see Note B in the Notes to Financial Statements for specific information regarding expense reimbursement and/or fee waiver arrangements.
As stated in the Fund's most recent prospectus, the estimated total annual operating expense ratios for fiscal year 2018 is 2.10% for Class S shares (before expense reimbursements and/or fee waivers, if any). The estimated total annual operating expense ratio for fiscal year 2018 is 1.06% for Class S shares after expense reimbursements and/or fee waivers. The expense ratios for the semi-annual period ended June 30, 2018, can be found in the Financial Highlights section of this report.
2
1 The Fund was relatively small prior to December 31, 2014, which could have impacted Fund performance. The same techniques used to produce returns in a small fund may not work to produce similar returns in a larger fund. Effective May 1, 2017, Absolute Return Multi-Manager Portfolio changed its name to the U.S. Equity Index PutWrite Strategy Portfolio and changed its investment goal, fees and expenses, principal investment strategies, risks and portfolio managers. Prior to that date, the Fund had a higher management fee, different expenses, and a different goal and principal investment strategies, which included a multi-manager strategy, and risks. Its performance prior to that date might have been different if the current fees and expenses, goal, and principal investment strategies had been in effect.
2 The date used to calculate Life of Fund performance for the index is May 1, 2014, the Fund's commencement of operations. Effective May 1, 2017, the Fund began comparing its performance to the 85% CBOE S&P 500® PutWrite Index and 15% CBOE Russell 2000® PutWrite Index rather than the HFRX Global Hedge Fund Index to correspond with the Fund's revised principal investment strategy, as discussed in Endnote 1 above and Note A in the Notes to Financial Statements.
3 The 85% CBOE S&P 500 PutWrite Index and 15% CBOE Russell 2000 PutWrite Index is a blended index composed of 85% CBOE S&P 500 PutWrite Index and 15% CBOE Russell 2000 PutWrite Index, and is rebalanced monthly. The CBOE S&P 500 PutWrite Index tracks the value of a passive investment strategy which consists of overlaying S&P 500 (SPX) short put options over a money market account invested in one- and three-months Treasury bills. The SPX puts are struck at-the-money and are sold on a monthly basis. The CBOE Russell 2000 PutWrite Index tracks the value of a passive investment strategy which consists of overlaying Russell 2000 (RUT) short put options over a money market account invested in one-month Treasury bills. The RUT puts are struck at-the-money and are sold on a monthly basis. Please note that individuals cannot invest directly in any index. The indices described in this report do not take into account any fees, expenses or tax consequences of investing in the individual securities that they track.
Data about the performance of an index are prepared or obtained by Neuberger Berman Investment Advisers LLC ("Management") and reflect the reinvestment of income dividends and other distributions, if any. The Fund may invest in securities not included in a described index and generally does not invest in all securities included in a described index.
The investments for the Fund are managed by the same portfolio manager(s) who manage one or more other registered funds that have names, investment objectives and investment styles that are similar to those of the Fund. You should be aware that the Fund is likely to differ from those other mutual fund(s) in size, cash flow pattern and tax matters. Accordingly, the holdings and performance of the Fund can be expected to vary from those of the other mutual fund(s).
Shares of the separate Neuberger Berman Advisers Management Trust Portfolios, including the Fund, are not available to the general public. Shares of the Fund may be purchased only by life insurance companies to be held in their separate accounts, which fund variable annuity and variable life insurance policies, and by qualified pension and retirement plans.
Statistics and projections in this report are derived from sources deemed to be reliable but cannot be regarded as a representation of future results of the Fund. This report is prepared for the general information of shareholders and is not an offer of shares of the Fund. Shares are sold only through the currently effective prospectus, which you can obtain by calling 877.628.2583.
The "Neuberger Berman" name and logo and "Neuberger Berman Investment Advisers LLC" name are registered service marks of Neuberger Berman Group LLC. The individual Fund name in this piece is either a service mark or registered service mark of Neuberger Berman Investment Advisers LLC , an affiliate of Neuberger Berman BD LLC, distributor, member FINRA.
© 2018 Neuberger Berman BD LLC, distributor. All rights reserved.
3
Information About Your Fund's Expenses (Unaudited)
As a Fund shareholder, you incur two types of costs: (1) transaction costs such as fees and expenses that are, or may be, imposed under your variable contract or qualified pension plan; and (2) ongoing costs, including management fees, distribution and/or service (12b-1) fees (if applicable), and other Fund expenses. This example is intended to help you understand your ongoing costs (in U.S. dollars) of investing in the Fund and compare these costs with the ongoing costs of investing in other mutual funds.
This table is designed to provide information regarding costs related to your investments. The following examples are based on an investment of $1,000 made at the beginning of the six month period ended June 30, 2018 and held for the entire period. The table illustrates the Fund's costs in two ways:
Actual Expenses and Performance: | | The first section of the table provides information about actual account values and actual expenses in dollars, based on the Fund's actual performance during the period indicated. You may use the information in this line, together with the amount you invested, to estimate the expenses 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 first section of the table under the heading entitled "Expenses Paid During the Period" to estimate the expenses you paid over the period. | |
Hypothetical Example for Comparison Purposes: | | The second section of the table provides information about hypothetical account values and hypothetical expenses based on the Fund's actual expense ratio and an assumed rate of return at 5% per year before expenses. This return is not the Fund's actual return. The hypothetical account values and expenses may not be used to estimate the actual ending account balance or expenses you paid for the period. You may use this information to compare the ongoing costs of investing in this Fund versus other funds. To do so, Compare the expenses shown in this 5% hypothetical example with the 5% hypothetical examples that appear in the shareholder reports of other funds. | |
Please note that the expenses in the table are meant to highlight your ongoing costs only and do not include any transaction costs, such as fees and expenses that are, or may be imposed under your variable contract or qualified pension plan. Therefore, the information under the heading "Hypothetical (5% annual return before expenses)" is useful in comparing ongoing costs only, and will not help you determine the relative total costs of owning different funds. In addition, if these transaction costs were included, your costs would have been higher.
NEUBERGER BERMAN ADVISERS MANAGEMENT TRUST U.S. EQUITY INDEX PUTWRITE STRATEGY PORTFOLIO
Actual | | Beginning Account Value 1/1/2018 | | Ending Account Value 6/30/2018 | | Expenses Paid During the Period 1/1/2018 – 6/30/2018 | |
Class S | | $ | 1,000.00 | | | $ | 986.90 | | | $ | 5.17 | (a) | |
Hypothetical (5% annual return before expenses) | |
Class S | | $ | 1,000.00 | | | $ | 1,019.59 | | | $ | 5.26 | (b) | |
(a) Expenses are equal to the annualized expense ratio of 1.05%, multiplied by the average account value over the period, multiplied by 181/365 (to reflect the one-half year period shown).
(b) Hypothetical expenses are equal to the annualized expense ratio of 1.05%, multiplied by the average account value over the period (assuming a 5% annual return), multiplied by 181/365 (to reflect the one-half year period shown).
4
Schedule of Investments U.S. Equity Index PutWrite Strategy Portfolio (Unaudited) June 30, 2018
PRINCIPAL AMOUNT | | | | VALUE | |
U.S. Government Agency Securities 57.5% | | | |
$ | 1,000,000
| | | Federal Agricultural Mortgage Corp. 1.64%, 4/17/2020 | | $ | 983,556
| | |
| 1,000,000 |
| | FFCB 1.18%, 10/18/2019 | | | 982,479
| | |
| 1,500,000 |
| | FHLB 1.00%, 9/26/2019 | | | 1,473,855
| | |
| 1,700,000 |
| | FHLMC 1.50%, 1/17/2020 | | | 1,673,852
| | |
| 1,000,000 |
| | FNMA 1.75%, 6/20/2019 | | | 993,868 | | |
| | | | Total U.S. Government Agency Securities (Cost $6,195,820) | | | 6,107,610
| | |
U.S. Treasury Obligations 42.7% | | | |
| | | | U.S. Treasury Notes | | | | | |
| 600,000 | | | 1.00%, 3/15/2019 | | | 594,774 | | |
| 2,000,000 | | | 1.63%, 3/15/2020(a) | | | 1,970,235 | | |
| 2,000,000 | | | 1.63%, 6/30/2020(b) | | | 1,964,453 | | |
| | | | Total U.S. Treasury Obligations (Cost $4,609,266) | | | 4,529,462
| | |
NO. OF RIGHTS | | | | | |
Rights 0.0%(c) | | | |
Biotechnology 0.0%(c) | | | |
| 500 | | | Dyax Corp., CVR*(d)(e)(f) | | | 555 | | |
| 225 |
| | Tobira Therapeutics, Inc., CVR*(d)(e)(f) | | | 14 | | |
| | | 569 | | |
NO. OF RIGHTS | | | | VALUE | |
Media 0.0% | | | |
| 2,550 | | | Media General, Inc., CVR*(d)(e)(f) | | $ | — | | |
| | | | Total Rights (Cost $7,172) | | | 569
| | |
PRINCIPAL AMOUNT | | | | | |
Corporate Bonds 0.0% | | | |
Oil, Gas & Consumable Fuels 0.0% | | | |
$ | 18,000
| | | Midstates Petroleum Co., Inc. Escrow 10.00%, 6/1/2020(d)(e)(f)(g) (Cost $—) | | | —
| | |
SHARES | | | | | |
Short-Term Investments 1.7% | | | |
Investment Companies 1.7% | | | |
| 185,668 | | | Invesco Government & Agency Portfolio Institutional Class, 1.81%(h) | | | 185,668 | | |
| 132 | | | Morgan Stanley Institutional Liquidity Funds Treasury Portfolio Institutional Class, 1.46%(b)(h) | | | 132 | | |
| | | | Total Investment Companies (Cost $185,800) | | | 185,800 | | |
| | | | Total Investments 101.9% (Cost $10,998,058) | | | 10,823,441 | | |
| | | | Liabilities Less Other Assets (1.9%)(i) | | | (196,641 | ) | |
| | | | Net Assets 100.0% | | $ | 10,626,800 | | |
* Non-income producing security.
(a) All or a portion of this security is pledged with the custodian for options written.
(b) All or a portion of this security is segregated in connection with obligations for options written with a total value of $1,964,585.
(c) Represents less than 0.05% of net assets.
(d) Security fair valued as of June 30, 2018 in accordance with procedures approved by the Board of Trustees. Total value of all such securities at June 30, 2018 amounted to $569, which represents 0.0% of net assets of the Fund.
(e) Illiquid security.
(f) Value determined using significant unobservable inputs.
(g) Defaulted security.
(h) Represents 7-day effective yield as of June 30, 2018.
(i) Includes the impact of the Fund's open positions in derivatives at June 30, 2018.
See Notes to Financial Statements
5
Schedule of Investments U.S. Equity Index PutWrite Strategy Portfolio (Unaudited) (cont'd)
Abbreviations
CVR Contingent Value Rights
FFCB Federal Farm Credit Bank
FHLB Federal Home Loan Bank
FHLMC Federal Home Loan Mortgage Corp.
FNMA Federal National Mortgage Association
Equity swap contracts ("equity swaps")
For the six months ended June 30, 2018, the average notional value of swaps for the Fund was $1,052 for long positions.
At June 30, 2018, there were no open equity swaps for the Fund.
Written option contracts ("options written")
At June 30, 2018, the Fund had outstanding options written as follows:
Description | | Number of Contracts | | Notional Amount | | Exercise Price | | Expiration Date | | Value | |
Puts | |
Index Funds | |
Russell 2000 Index | | | 2 | | | $ | (328,613 | ) | | $ | 1,665 | | | 7/6/2018 | | $ | (4,880 | ) | |
Russell 2000 Index | | | 1 | | | | (164,307 | ) | | | 1,670 | | | 7/6/2018 | | | (2,820 | ) | |
Russell 2000 Index | | | 1 | | | | (164,307 | ) | | | 1,675 | | | 7/13/2018 | | | (3,600 | ) | |
Russell 2000 Index | | | 1 | | | | (164,307 | ) | | | 1,680 | | | 7/13/2018 | | | (3,985 | ) | |
Russell 2000 Index | | | 1 | | | | (164,307 | ) | | | 1,680 | | | 7/20/2018 | | | (4,245 | ) | |
Russell 2000 Index | | | 1 | | | | (164,307 | ) | | | 1,685 | | | 7/20/2018 | | | (4,610 | ) | |
Russell 2000 Index | | | 1 | | | | (164,307 | ) | | | 1,650 | | | 7/27/2018 | | | (2,975 | ) | |
Russell 2000 Index | | | 1 | | | | (164,307 | ) | | | 1,670 | | | 7/27/2018 | | | (3,985 | ) | |
S&P 500 Index | | | 1 | | | | (271,837 | ) | | | 2,730 | | | 7/6/2018 | | | (2,250 | ) | |
S&P 500 Index | | | 1 | | | | (271,837 | ) | | | 2,745 | | | 7/6/2018 | | | (3,105 | ) | |
S&P 500 Index | | | 5 | | | | (1,359,185 | ) | | | 2,760 | | | 7/6/2018 | | | (21,075 | ) | |
S&P 500 Index | | | 2 | | | | (543,674 | ) | | | 2,770 | | | 7/6/2018 | | | (10,140 | ) | |
S&P 500 Index | | | 1 | | | | (271,837 | ) | | | 2,770 | | | 7/13/2018 | | | (5,490 | ) | |
S&P 500 Index | | | 8 | | | | (2,174,696 | ) | | | 2,785 | | | 7/13/2018 | | | (53,680 | ) | |
S&P 500 Index | | | 3 | | | | (815,511 | ) | | | 2,760 | | | 7/20/2018 | | | (15,360 | ) | |
S&P 500 Index | | | 3 | | | | (815,511 | ) | | | 2,770 | | | 7/20/2018 | | | (17,310 | ) | |
S&P 500 Index | | | 1 | | | | (271,837 | ) | | | 2,780 | | | 7/20/2018 | | | (6,500 | ) | |
S&P 500 Index | | | 2 | | | | (543,674 | ) | | | 2,705 | | | 7/27/2018 | | | (6,280 | ) | |
S&P 500 Index | | | 1 | | | | (271,837 | ) | | | 2,715 | | | 7/27/2018 | | | (3,455 | ) | |
S&P 500 Index | | | 5 | | | | (1,359,185 | ) | | | 2,740 | | | 7/27/2018 | | | (22,375 | ) | |
Total options written (premium received $118,266) | | | | | | | | | | $ | (198,120 | ) | |
For the six months ended June 30, 2018, the Fund had an average notional value of $(163,705) in options written. At June 30, 2018, the Fund had securities pledged in the amount of $1,970,235 to cover collateral requirements for options written.
See Notes to Financial Statements
6
Schedule of Investments U.S. Equity Index PutWrite Strategy Portfolio (Unaudited) (cont'd)
The following is a summary, categorized by Level (see Note A of Notes to Financial Statements), of inputs used to value the Fund's investments as of June 30, 2018:
Asset Valuation Inputs
| | Level 1 | | Level 2 | | Level 3* | | Total | |
Investments: | |
U.S. Government Agency Securities | | $ | — | | | $ | 6,107,610 | | | $ | — | | | $ | 6,107,610 | | |
U.S. Treasury Obligations | | | — | | | | 4,529,462 | | | | — | | | | 4,529,462 | | |
Rights | |
Biotechnology | | | — | | | | — | | | | 569 | | | | 569 | | |
Media | | | — | | | | — | | | | — | (b) | | | — | (b) | |
Total Rights | | | — | | | | — | | | | 569 | | | | 569 | | |
Corporate Bonds(a) | | | — | | | | — | | | | — | (b) | | | — | (b) | |
Short-Term Investments | | | — | | | | 185,800 | | | | — | | | | 185,800 | | |
Total Long Positions | | $ | — | | | $ | 10,822,872 | | | $ | 569 | | | $ | 10,823,441 | | |
(a) The Schedule of Investments provides information on the industry categorization for the portfolio.
(b) Amount less than one dollar.
* The following is a reconciliation between the beginning and ending balances of investments in which unobservable inputs (Level 3) were used in determining value:
| | Beginning balance as of 1/1/2018 | | Accrued discounts/ (premiums) | | Realized gain/loss and change in unrealized appreciation/ (depreciation) | | Purchases | | Sales | | Transfers into Level 3 | | Transfers out of Level 3 | | Balance as of 6/30/2018 | | Net change in unrealized appreciation/ (depreciation) from investments still held as of 6/30/2018 | |
Investments in Securities: | |
Rights(a) | |
Biotechnology | | $ | 569 | | | $ | — | | | $ | — | | | $ | — | | | $ | — | | | $ | — | | | $ | — | | | $ | 569 | | | $ | — | | |
Food & Staples Retailing | | | 535 | | | | — | | | | 354 | | | | — | | | | (889 | ) | | | — | | | | — | | | | — | | | | — | | |
Media | | | — | (b) | | | — | | | | — | | | | — | | | | — | | | | — | | | | — | | | | — | (b) | | | — | | |
Corporate Bonds(a) | |
Oil, Gas & Consumable Fuels | | | — | (b) | | | — | | | | — | | | | — | | | | — | | | | — | | | | — | | | | — | (b) | | | — | | |
Common Stock(a) | |
Capital Markets | | | — | (b) | | | — | | | | — | (b) | | | — | | | | — | (b) | | | — | | | | — | | | | — | | | | — | | |
Semiconductors & Semiconductor Equipment | | | — | (b) | | | — | | | | — | (b) | | | — | | | | — | (b) | | | — | | | | — | | | | — | | | | — | | |
See Notes to Financial Statements
7
Schedule of Investments U.S. Equity Index PutWrite Strategy Portfolio (Unaudited) (cont'd)
| | Beginning balance as of 1/1/2018 | | Accrued discounts/ (premiums) | | Realized gain/loss and change in unrealized appreciation/ (depreciation) | | Purchases | | Sales | | Transfers into Level 3 | | Transfers out of Level 3 | | Balance as of 6/30/2018 | | Net change in unrealized appreciation/ (depreciation) from investments still held as of 6/30/2018 | |
Investments in Securities (cont'd): | |
Loan Assignments | |
Semiconductors & Semiconductor Equipment | | $ | 714 | | | $ | — | | | $ | 98 | | | $ | — | | | $ | (812 | ) | | $ | — | | | $ | — | | | $ | — | | | $ | — | | |
Warrants | |
Biotechnology | | | — | (b) | | | — | | | | — | | | | — | | | | — | (b) | | | — | | | | — | | | | — | | | | — | | |
Total | | $ | 1,818 | | | $ | — | | | $ | 452 | | | $ | — | | | $ | (1,701 | ) | | $ | — | | | $ | — | | | $ | 569 | | | $ | — | | |
(a) As of the six months ended June 30, 2018, these securities were valued in accordance with procedures approved by the Board of Trustees. These investments did not have a material impact on the Fund's net assets and, therefore, disclosure of unobservable inputs used in formulating valuations is not presented.
(b) Amount less than one dollar.
As of the six months ended June 30, 2018, no securities were transferred from one level (as of December 31, 2017) to another.
The following is a summary, categorized by Level (see Note A of Notes to Financial Statements), of inputs used to value the Fund's derivatives as of June 30, 2018:
Other Financial Instruments
| | Level 1 | | Level 2 | | Level 3* | | Total | |
Options Written | |
Liabilities | | $ | (198,120 | ) | | $ | — | | | $ | — | | | $ | (198,120 | ) | |
* The following is reconciliation between the beginning and ending balances of derivative investments in which unobservable inputs (Level 3) were used in determining value:
| | Beginning balance as of 1/1/2018 | | Accrued discounts/ (premiums) | | Realized gain/loss and change in unrealized appreciation/ (depreciation) | | Purchases | | Sales | | Transfers into Level 3 | | Transfers out of Level 3 | | Balance as of 6/30/2018 | | Net change in unrealized appreciation/ (depreciation) from investments still held as of 6/30/2018 | |
Other Financial Instruments: | |
Equity swaps | |
United States | | $ | 1,609 | | | $ | — | | | $ | 1,208 | | | $ | — | | | $ | (2,817 | ) | | $ | — | | | $ | — | | | $ | — | | | $ | — | | |
See Notes to Financial Statements
8
Statement of Assets and Liabilities (Unaudited)
Neuberger Berman Advisers Management Trust
| | U.S. EQUITY INDEX PUTWRITE STRATEGY PORTFOLIO | |
| | June 30, 2018 | |
Assets | |
Investments in securities, at value* (Note A)—see Schedule of Investments: | |
Unaffiliated issuers(a) | | $ | 10,823,441 | | |
Dividends and interest receivable | | | 51,477 | | |
Receivable for securities sold | | | 239,701 | | |
Receivable for Fund shares sold | | | 2 | | |
Receivable from administrator—net (Note B) | | | 9,451 | | |
Prepaid expenses and other assets | | | 307 | | |
Total Assets | | | 11,124,379 | | |
Liabilities | |
Options contracts written, at value(b) (Note A) | | | 198,120 | | |
Due to custodian | | | 204,453 | | |
Payable to investment manager (Note B) | | | 4,119 | | |
Payable for securities purchased | | | 21,270 | | |
Payable for Fund shares redeemed | | | 7,196 | | |
Payable to trustees | | | 19,655 | | |
Accrued expenses and other payables | | | 42,766 | | |
Total Liabilities | | | 497,579 | | |
Net Assets | | $ | 10,626,800 | | |
Net Assets consist of: | |
Paid-in capital | | $ | 10,641,570 | | |
Undistributed net investment income/(loss) | | | 20,035 | | |
Accumulated net realized gains/(losses) on investments | | | 219,653 | | |
Net unrealized appreciation/(depreciation) in value of investments | | | (254,458 | ) | |
Net Assets | | $ | 10,626,800 | | |
Shares Outstanding ($.001 par value; unlimited shares authorized) | | | 1,088,046 | | |
Net Asset Value, offering and redemption price per share | | | | | |
Class S | | $ | 9.77 | | |
*Cost of Investments: | | | |
(a)Unaffiliated issuers | | $ | 10,998,058 | | |
(b)Premium received from option contracts written | | $ | 118,266 | | |
See Notes to Financial Statements
9
Statement of Operations (Unaudited)
Neuberger Berman Advisers Management Trust
| | U.S. EQUITY INDEX PUTWRITE STRATEGY PORTFOLIO | |
| | For the Six Months Ended June 30, 2018 | |
Investment Income: | |
Income (Note A): | |
Dividend income—unaffiliated issuers | | $ | 50 | | |
Interest income—unaffiliated issuers | | | 90,042 | | |
Foreign taxes withheld (Note A) | | | (51 | ) | |
Total income | | $ | 90,041 | | |
Expenses: | |
Investment management fees (Note B) | | | 26,914 | | |
Administration fees (Note B) | | | 17,943 | | |
Distribution fees (Note B) | | | 14,952 | | |
Audit fees | | | 26,679 | | |
Custodian and accounting fees | | | 22,810 | | |
Insurance expense | | | 305 | | |
Legal fees | | | 14,878 | | |
Shareholder reports | | | 8,773 | | |
Trustees' fees and expenses | | | 22,315 | | |
Miscellaneous | | | 209 | | |
Total expenses | | | 155,778 | | |
Expenses reimbursed by Management (Note B) | | | (92,776 | ) | |
Total net expenses | | | 63,002 | | |
Net investment income/(loss) | | $ | 27,039 | | |
Realized and Unrealized Gain/(Loss) on Investments (Note A): | |
Net realized gain/(loss) on: | |
Transactions in investment securities of unaffiliated issuers | | | (43,736 | ) | |
Settlement of foreign currency transactions | | | 11 | | |
Expiration or closing of option contracts written | | | (49,814 | ) | |
Expiration or closing of swap contracts | | | 2,817 | | |
Change in net unrealized appreciation/(depreciation) in value of: | |
Investment securities of unaffiliated issuers | | | (27,113 | ) | |
Foreign currency transactions | | | (47 | ) | |
Option contracts written | | | (95,468 | ) | |
Swap contracts | | | (1,609 | ) | |
Net gain/(loss) on investments | | | (214,959 | ) | |
Net increase/(decrease) in net assets resulting from operations | | $ | (187,920 | ) | |
See Notes to Financial Statements
10
Statements of Changes in Net Assets
Neuberger Berman Advisers Management Trust
| | U.S. EQUITY INDEX PUTWRITE STRATEGY PORTFOLIO | |
| | Six Months Ended June 30, 2018 (Unaudited) | | Year Ended December 31, 2017 | |
Increase/(Decrease) in Net Assets: | |
From Operations (Note A): | |
Net investment income/(loss) | | $ | 27,039 | | | $ | (35,534 | ) | |
Net realized gain/(loss) on investments | | | (90,722 | ) | | | 1,163,926 | | |
Change in net unrealized appreciation/(depreciation) of investments | | | (124,237 | ) | | | (241,673 | ) | |
Net increase/(decrease) in net assets resulting from operations | | | (187,920 | ) | | | 886,719 | | |
From Fund Share Transactions (Note D): | |
Proceeds from shares sold | | | 4,530,794 | | | | 5,171,887 | | |
Payments for shares redeemed | | | (5,883,843 | ) | | | (8,343,867 | ) | |
Net increase/(decrease) from Fund share transactions | | | (1,353,049 | ) | | | (3,171,980 | ) | |
Net Increase/(Decrease) in Net Assets | | | (1,540,969 | ) | | | (2,285,261 | ) | |
Net Assets: | |
Beginning of period | | | 12,167,769 | | | | 14,453,030 | | |
End of period | | $ | 10,626,800 | | | $ | 12,167,769 | | |
Undistributed net investment income/(loss) at end of period | | | 20,035 | | | | (7,004 | ) | |
See Notes to Financial Statements
11
Notes to Financial Statements U.S. Equity Index PutWrite Strategy Portfolio (Unaudited)
Note A—Summary of Significant Accounting Policies:
1 General: Neuberger Berman Advisers Management Trust (the "Trust") is a Delaware statutory trust organized pursuant to an Amended and Restated Trust Instrument dated March 27, 2014. The Trust is currently comprised of eight separate operating series (each individually a "Fund," and collectively the "Funds") each of which is diversified. The Trust is registered as an open-end management investment company under the Investment Company Act of 1940, as amended (the "1940 Act"), and its shares are registered under the 1933 Act, as amended (the "1933 Act"). Neuberger Berman Advisers Management Trust U.S. Equity Index PutWrite Strategy Portfolio (the "Fund") currently offers only Class S shares. The Trust's Board of Trustees (the "Board") may establish additional series or classes of shares without the approval of shareholders.
The assets of each Fund belong only to that Fund, and the liabilities of each Fund are borne solely by that Fund and no other.
The Fund is an investment company and accordingly follows the investment company accounting and reporting guidance of the Financial Accounting Standards Board ("FASB") Accounting Standards Codification ("ASC") Topic 946 "Financial Services—Investment Companies."
The preparation of financial statements in accordance with U.S. generally accepted accounting principles ("GAAP") requires Neuberger Berman Investment Advisers LLC ("Management") to make estimates and assumptions at the date of the financial statements. Actual results could differ from those estimates.
Shares of the Fund are not available to the general public and may be purchased only by life insurance companies to serve as an investment vehicle for premiums paid under their variable annuity and variable life insurance contracts and to certain qualified pension and other retirement plans.
2 Portfolio valuation: In accordance with ASC 820 "Fair Value Measurement" ("ASC 820"), all investments held by the Fund are carried at the value that Management believes the Fund would receive upon selling an investment in an orderly transaction to an independent buyer in the principal or most advantageous market for the investment under current market conditions. Various inputs, including the volume and level of activity for the asset or liability in the market, are considered in valuing the Fund's investments, some of which are discussed below. Significant Management judgment may be necessary to value investments in accordance with ASC 820.
ASC 820 established a three-tier hierarchy of inputs to create a classification of value measurements for disclosure purposes. The three-tier hierarchy of inputs is summarized in the three broad Levels listed below.
• Level 1 – quoted prices in active markets for identical investments
• Level 2 – other observable inputs (including quoted prices for similar investments, interest rates, prepayment speeds, credit risk, amortized cost, etc.)
• Level 3 – unobservable inputs (including the Fund's own assumptions in determining the fair value of investments)
The inputs or methodology used for valuing an investment are not necessarily an indication of the risk associated with investing in those securities.
The value of the Fund's investments in exchange traded options written and rights for which market quotations are readily available, is generally determined by Management by obtaining valuations from independent pricing services based on the latest sale price quoted on a principal exchange or market for that security (Level 1 inputs). Securities traded primarily on the NASDAQ Stock Market are normally valued at the NASDAQ Official Closing Price ("NOCP") provided by NASDAQ each business day. The NOCP is the most recently reported price as of 4:00:02 p.m., Eastern Time, unless that price is outside the range of the "inside" bid and asked prices (i.e., the bid
12
and asked prices that dealers quote to each other when trading for their own accounts); in that case, NASDAQ will adjust the price to equal the inside bid or asked price, whichever is closer. Because of delays in reporting trades, the NOCP may not be based on the price of the last trade to occur before the market closes. If there is no sale of a security on a particular day, the independent pricing services may value the security based on market quotations.
The value of the Fund's investments in debt securities is determined by Management primarily by obtaining valuations from independent pricing services based on readily available bid quotations, or if quotations are not available, by methods which include various considerations based on security type (generally Level 2 inputs). In addition to the consideration of yields or prices of securities of comparable quality, coupon, maturity and type, indications as to values from dealers, and general market conditions, the following is a description of other Level 2 inputs and related valuation techniques used by independent pricing services to value certain types of debt securities held by the Fund:
Corporate Bonds. Inputs used to value corporate debt securities generally include relative credit information, observed market movements, sector news, U.S. Treasury yield curve or relevant benchmark curve, and other market information which may include benchmark yields, reported trades, broker-dealer quotes, issuer spreads, benchmark securities, bids, offers, and reference data, such as market research publications, when available ("Other Market Information").
U.S. Treasury Obligations. Inputs used to value U.S. Treasury securities generally include quotes from several inter-dealer brokers and Other Market Information.
U.S. Government Agency Securities. Inputs used to value U.S. Government Agency securities generally include obtaining benchmark quotes and Other Market Information.
Management has developed a process to periodically review information provided by independent pricing services for all types of securities.
Investments in non-exchange traded investment companies are valued using the respective fund's daily calculated net asset value per share (Level 2 inputs).
If a valuation is not available from an independent pricing service, or if Management has reason to believe that the valuation received does not represent the amount the Fund might reasonably expect to receive on a current sale in an orderly transaction, Management seeks to obtain quotations from brokers or dealers (generally considered Level 2 or Level 3 inputs depending on the number of quotes available). If such quotations are not readily available, the security is valued using methods the Board has approved in the good-faith belief that the resulting valuation will reflect the fair value of the security. Numerous factors may be considered when determining the fair value of a security based on Level 2 or Level 3 inputs, including available analyst, media or other reports, securities within the same industry with recent highly correlated performance, trading in futures or American Depositary Receipts and whether the issuer of the security being fair valued has other securities outstanding.
Fair value prices are necessarily estimates, and there is no assurance that such a price will be at or close to the price at which the security is next quoted or next trades.
3 Foreign currency translations: The accounting records of the Fund are maintained in U.S. dollars. Foreign currency amounts are normally translated into U.S. dollars using the exchange rate as of 4:00 p.m. Eastern Time, on days the NYSE is open for business, to determine the value of investments, other assets and liabilities. Purchase and sale prices of securities, and income and expenses, are translated into U.S. dollars at the prevailing rate of exchange on the respective dates of such transactions. Net unrealized foreign currency gain (loss), if any, arises from changes in the value of assets and liabilities, other than investments in securities, as a result of changes in exchange rates and is stated separately in the Statement of Operations.
4 Securities transactions and investment income: Securities transactions are recorded on trade date for financial reporting purposes. Dividend income is recorded on the ex-dividend date or, for certain foreign dividends, as soon as the Fund becomes aware of the dividends. Non-cash dividends included in dividend income, if any, are recorded
13
at the fair market value of the securities received. Interest income, including accretion of discount (adjusted for original issue discount, where applicable) and amortization of premium, where applicable, and accretion of discount on short-term investments, if any, is recorded on the accrual basis. Realized gains and losses from securities transactions and foreign currency transactions, if any, are recorded on the basis of identified cost and stated separately in the Statement of Operations.
5 Income tax information: The Fund is treated as a separate entity for U.S. federal income tax purposes. It is the policy of the Fund to continue to qualify for treatment as a regulated investment company ("RIC") by complying with the requirements of the U.S. Internal Revenue Code applicable to RICs and to distribute substantially all of its net investment income and net realized capital gains to its shareholders. To the extent the Fund distributes substantially all of its net investment income and net realized capital gains to shareholders, no federal income or excise tax provision is required.
The Fund has adopted the provisions of ASC 740 "Income Taxes" ("ASC 740"). ASC 740 sets forth a minimum threshold for financial statement recognition of a tax position taken, or expected to be taken, in a tax return. The Fund recognizes interest and penalties, if any, related to unrecognized tax positions as an income tax expense in the Statement of Operations. The Fund is subject to examination by U.S. federal and state tax authorities for returns filed for the tax years for which the applicable statutes of limitations have not yet expired. As of June 30, 2018, the Fund did not have any unrecognized tax positions.
At June 30, 2018, the cost of long security positions for U.S. federal income tax purposes was $10,998,058. Gross unrealized appreciation of long security positions and derivative instruments was $4,397 and gross unrealized depreciation of long security positions and derivative instruments (if any) was $258,868, resulting in net unrealized depreciation of $254,471 based on cost for U.S. federal income tax purposes.
Income distributions and capital gain distributions are determined in accordance with income tax regulations, which may differ from GAAP. These differences are primarily due to differing treatments of income and gains on various investment securities held by the Fund, timing differences and differing characterization of distributions made by the Fund. The Fund may also utilize earnings and profits distributed to shareholders on redemption of their shares as a part of the dividends-paid deduction for income tax purposes.
As determined on December 31, 2017, permanent differences resulting primarily from different book and tax accounting were reclassified at year end. Such differences are attributed to the tax treatment of paydown losses on mortgage-backed securities, income recognized on swap transactions, the tax treatment of foreign currency gains and losses, payments in lieu of dividends on short sales, non-deductible excise tax accrued, return of capital payments received from certain investments, gains and losses from passive foreign investment companies, income received from partnerships, non-taxable dividends, and net operating loss netted against short term capital gains. These reclassifications had no effect on net income, net asset value ("NAV") or NAV per share of the Fund. For the year ended December 31, 2017, the Fund recorded the following permanent reclassifications:
Paid-in Capital | | Undistributed Net Investment Income/(Loss) | | Accumulated Net Realized Gains/(Losses) on Investments | |
$ | (40,937 | ) | | $ | 73,211 | | | $ | (32,274 | ) | |
The tax character of distributions paid during the years ended December 31, 2017 and December 31, 2016 was as follows:
| | | | Distributions Paid From: | | | | | |
Ordinary Income | | Tax-Exempt Income | | Long-Term Capital Gain | | Return of Capital | | Total | |
2017 | | 2016 | | 2017 | | 2016 | | 2017 | | 2016 | | 2017 | | 2016 | | 2017 | | 2016 | |
$ | — | | | $ | 77,182 | | | $ | — | | | $ | — | | | $ | — | | | $ | — | | | $ | — | | | $ | — | | | $ | — | | | $ | 77,182 | | |
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As of December 31, 2017, the components of distributable earnings (accumulated losses) on a U.S. federal income tax basis were as follows:
Undistributed Ordinary Income/(Loss) | | Undistributed Long-Term Capital Gain | | Unrealized Appreciation/ (Depreciation) | | Loss Carryforwards and Deferrals | | Other Temporary Differences | | Total | |
$ | 33,833 | | | $ | 291,724 | | | $ | (147,011 | ) | | $ | — | | | $ | (5,396 | ) | | $ | 173,150 | | |
The temporary differences between book basis and tax basis distributable earnings are primarily due to: losses disallowed on wash sales, mark-to-market adjustments on swaps and options, unamortized organization expenses and tax adjustments related to swap contracts. To the extent the Fund's net realized capital gains, if any, can be offset by capital loss carryforwards, if any, it is the policy of the Fund not to distribute such gains.
To the extent the Fund's net realized capital gains, if any, can be offset by capital loss carryforwards, if any, it is the policy of the Fund not to distribute such gains. During the year ended December 31, 2017, the Fund utilized longterm and short-term capital loss carryforwards in the amount of:
Long-Term | | Short-Term | |
$ | 275,624 | | | $ | 251,598 | | |
6 Foreign taxes: Foreign taxes withheld, if any, represent amounts withheld by foreign tax authorities, net of refunds recoverable.
7 Distributions to shareholders: The Fund may earn income, net of expenses, daily on its investments. Distributions from net investment income and net realized capital gains, if any, are generally distributed once a year (usually in October). Income distributions and capital gain distributions to shareholders are recorded on the ex-date.
It is the policy of the Fund to pass through to its shareholders substantially all real estate investment trust ("REIT") distributions and other income it receives, less operating expenses. The distributions received from REITs are generally composed of income, capital gains, and/or return of REIT capital, but the REITs do not report this information to the Fund until the following calendar year. At June 30, 2018, the Fund estimated these amounts for the period January 1, 2018 to June 30, 2018 within the financial statements because the 2018 information is not available from the REITs until after the Fund's fiscal year-end. All estimates are based upon REIT information sources available to the Fund together with actual IRS Forms 1099-DIV received to date. For the year ended December 31, 2017, the character of distributions paid to shareholders of the Fund disclosed within the Statements of Changes in Net Assets is based on estimates made at that time. Based on past experience it is possible that a portion of the Fund's distributions during the current fiscal year, if any, will be considered tax return of capital, but the actual amount of the tax return of capital, if any, is not determinable until after the Fund's fiscal year-end. After calendar year-end, when the Fund learns the nature of the distributions paid by REITs during that year, distributions previously identified as income are often recharacterized as return of capital and/or capital gain. After all applicable REITs have informed the Fund of the actual breakdown of distributions paid to the Fund during its fiscal year, estimates previously recorded are adjusted on the books of the Fund to reflect actual results. As a result, the composition of the Fund's distributions as reported herein may differ from the final composition determined after calendar year-end and reported to the Fund shareholders on IRS Form 1099-DIV.
8 Expense allocation: Certain expenses are applicable to multiple funds within the complex of related investment companies. Expenses directly attributable to a fund are charged to that fund. Expenses of the Trust that are not directly attributable to a particular series of the Trust (e.g., the Fund) are allocated among the series of the Trust, on the basis of relative net assets, except where a more appropriate allocation of expenses to each of the series can otherwise be made fairly. Expenses borne by the complex of related investment companies, which includes open-end and closed-end investment companies for which Management serves as investment manager, that are not directly attributable to a particular investment company in the complex (e.g., the Trust) or series thereof are allocated among the investment companies in the complex or series thereof on the basis of relative net assets,
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except where a more appropriate allocation of expenses to each of the investment companies in the complex or series thereof can otherwise be made fairly.
9 Investments in foreign securities: Investing in foreign securities may involve sovereign and other risks, in addition to the credit and market risks normally associated with domestic securities. These additional risks include the possibility of adverse political and economic developments (including political instability, nationalization, expropriation, or confiscatory taxation) and the potentially adverse effects of unavailability of public information regarding issuers, less governmental supervision and regulation of financial markets, reduced liquidity of certain financial markets, and the lack of uniform accounting, auditing, and financial reporting standards or the application of standards that are different or less stringent than those applied in the United States. Foreign securities also may experience greater price volatility, higher rates of inflation, and delays in settlement.
10 Investment company securities, exchange traded funds and exchange traded notes: The Fund may invest in shares of other registered investment companies, including exchange traded funds ("ETFs"), within the limitations prescribed by the 1940 Act or pursuant to an exemptive order from the Securities and Exchange Commission that permits the Fund to invest in both affiliated and unaffiliated investment companies, including ETF, in excess of the limits in Section 12(d)(1)(A) of the 1940 Act, as amended, subject to the terms and conditions of such order. Some ETFs seek to track the performance of a particular market index. These indices include both broad-based market indices and more narrowly-based indices, including those relating to particular sectors, markets, regions or industries. However, some ETFs have actively-managed investment objectives. ETF shares are traded like traditional equity securities on a national securities exchange or NASDAQ. The Fund will indirectly bear its proportionate share of any management fees and other expenses paid by such other investment companies, which will increase expenses and decrease returns. The Fund may also invest in exchange traded notes ("ETNs"). ETNs are senior, unsecured, unsubordinated debt securities that are linked to the performance of a particular market index or strategy. The issuer of the ETN pays the Fund an amount based on the returns of the underlying index or strategy, plus principal at maturity. The Fund will bear any applicable fees to the issuer upon redemption or maturity, which will increase expenses and decrease returns.
11 Derivative instruments: The Fund's use of derivatives during the six months ended June 30, 2018, is described below. Please see the Schedule of Investments for the Fund's open positions in derivatives, if any, at June 30, 2018. The Fund has adopted the provisions of ASC 815 "Derivatives and Hedging" ("ASC 815"). The disclosure requirements of ASC 815 distinguish between derivatives that qualify for hedge accounting and those that do not. Because investment companies value their derivatives at fair value and recognize changes in fair value through the Statement of Operations, they do not qualify for hedge accounting. Accordingly, even though the Fund's investments in derivatives may represent economic hedges, they are considered non-hedge transactions for purposes of this disclosure.
Equity swap contracts: During the six months ended June 30, 2018, the Fund used equity swaps to provide investment exposure to certain investments, primarily foreign securities.
Equity swaps are two-party contracts in which counterparties exchange the return on a specified reference security, basket of securities, security index or index component for the return based on a fixed or floating interest rate during the period of the swap. Equity swaps are marked to market daily based on the value of the underlying reference entity and the change, if any, is recorded as an unrealized gain or loss. Equity swaps normally do not involve the delivery of securities or other underlying assets. Cash settlement in and out of the swap may occur at a reset date or any other date, at the discretion of the Fund and the counterparty, over the life of the agreement, and is generally determined based on limits and thresholds established as part of an International Swaps and Derivatives Association agreement between the Fund and the counterparty. If the other party to an equity swap defaults, the Fund's risk of loss consists of the net amount of payments that the Fund is contractually entitled to receive, if any. Equity swaps are derivatives and their value can be very volatile. To the extent that future market trends, the values of assets or economic factors are not accurately analyzed and predicted, the Fund may suffer a loss, which may exceed the related amounts shown in the Statement of Assets and Liabilities. Periodic payments received or paid by the Fund are recorded as realized gains or losses.
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Options: During the six months ended June 30, 2018, the Fund used options written to manage or adjust the risk profile of the Fund or the risk of individual index exposures and to gain exposure more efficiently than through a direct purchase of the underlying security or to gain exposure to securities, markets, sectors or geographical areas. Options written were also used to generate incremental returns. Purchased option contracts ("options purchased") were used to enhance returns and to manage or adjust the risk profile and to gain investment exposure more efficiently than through a direct purchase of the underlying security or to gain exposure to certain securities, markets, sectors or geographical areas.
Premiums paid by the Fund upon purchasing a call or put option are recorded in the asset section of the Fund's Statement of Assets and Liabilities and are subsequently adjusted to the current market value. When an option is exercised, closed, or expired, the Fund realizes a gain or loss and the asset is eliminated. For purchased call options, the Fund's loss is limited to the amount of the option premium paid.
Premiums received by the Fund upon writing a call option or a put option are recorded in the liability section of the Fund's Statement of Assets and Liabilities and are subsequently adjusted to the current market value. When an option is exercised, closed, or expired, the Fund realizes a gain or loss and the liability is eliminated.
When the Fund writes a call option on an underlying asset it does not own, its exposure on such an option is theoretically unlimited. When writing a covered call option, the Fund, in return for the premium, gives up the opportunity for profit from a price increase in the underlying security above the exercise price, but conversely retains the risk of loss should the price of the security decline. When writing a put option, the Fund, in return for the premium, takes the risk that it must purchase the underlying security at a price that may be higher than the current market price of the security. If a covered call or put option that the Fund has written expires unexercised, the Fund will realize a gain in the amount of the premium.
The Fund may write or purchase options on exchange traded futures contracts ("futures option") to hedge an existing position or future investment, for speculative purposes or to manage exposure to market movements. A futures option is an option contract in which the underlying instrument is a specific futures contract.
As a result of the Fund's new put writing investment strategy effective May 1, 2017, the Fund (as the seller of the option) receives premiums from the purchaser of the option in exchange for providing the purchaser with the right to sell the underlying instrument to the Fund at a specific price (i.e., the exercise price or strike price). If the market price of the instrument underlying the option exceeds the strike price, it is anticipated that the option would go unexercised and the Fund would earn the full premium upon the option's expiration or a portion of the premium upon the option's early termination. If the market price of the instrument underlying the option drops below the strike price, it is anticipated that the option would be exercised and the Fund would pay the option buyer the difference between the market value of the underlying instrument and the strike price. The proceeds received by the Fund for writing put options will generally be invested in fixed income instruments, money market mutual funds and ETFs in order to seek to offset any liabilities the Fund incurs from writing put options. Please see the Fund's prospectus for additional information on its principal investment strategies and risks.
At June 30, 2018, the Fund had the following derivatives (which did not qualify as hedging instruments under ASC 815), grouped by primary risk exposure:
Liability Derivatives
Derivative Type | | Statement of Assets and Liabilities Location | | Equity Risk | |
Options written | | Option contracts written, at value | | $ | (198,120 | ) | |
Total Value—Liabilities | | | | $ | (198,120 | ) | |
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The impact of the use of these derivative instruments on the Statement of Operations during the six month ended June 30, 2018, was as follows:
Realized Gain/(Loss)
Derivative Type | | Statement of Operations Location | | Equity Risk | |
Options purchased | | Net realized gain/(loss) on: Transactions in investment securities of unaffiliated issuers | | $ | (7 | ) | |
Options written | | Net realized gain/(loss) on: Expiration or closing of option contracts written | | | (49,814 | ) | |
Swaps | | Net realized gain/(loss) on: Expiration or closing of swap contracts | | | 2,817 | | |
Total Realized Gain/(Loss) | | | | $ | (47,004 | ) | |
Change in Appreciation/
(Depreciation)
Derivative Type | | Statement of Operations Location | | Equity Risk | |
Options written | | Change in net unrealized appreciation/(depreciation) in value of: Option contracts written | | $ | (95,468 | ) | |
Swaps | | Change in net unrealized appreciation/ (depreciation) in value of: Swap contracts | | | (1,609 | ) | |
Total Change in Appreciation/ (Depreciation) | | | | $ | (97,077 | ) | |
While the Fund may receive rights and warrants in connection with their investments in securities, these rights and warrants are not considered "derivative instruments" under ASC 815.
The Fund discloses both gross and net information for assets and liabilities related to derivatives, repurchase and reverse repurchase agreements, and securities lending and securities borrowing transactions that are eligible for offset or subject to an enforceable master netting or similar agreement. The Fund's derivative assets and liabilities at fair value by type are reported gross in the Statement of Assets and Liabilities.
12 Indemnifications: Like many other companies, the Trust's organizational documents provide that its officers ("Officers") and trustees ("Trustees") are indemnified against certain liabilities arising out of the performance of their duties to the Trust. In addition, both in some of its principal service contracts and in the normal course of its business, the Trust enters into contracts that provide indemnifications to other parties for certain types of losses or liabilities. The Trust's maximum exposure under these arrangements is unknown as this could involve future claims against the Trust.
Note B—Investment Management Fees, Administration Fees, Distribution Arrangements, and Other Transactions with Affiliates:
The Fund retains Management as its investment manager under a Management Agreement. For such investment management services, effective May 1, 2017, the Fund pays Management a fee at the annual rate of 0.450% of the Fund's average daily net assets. Prior to May 1, 2017, the Fund paid Management a fee at the annual rate of 1.700% of the first $250 million of the Fund's average daily net assets, 1.675% of the next $250 million, 1.650% of the next $250 million, 1.625% of the next $250 million, 1.600% of the next $500 million, 1.575% of the next $2.5 billion, and
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1.550% of average daily net assets in excess of $4 billion. Accordingly, for the six months ended June 30, 2018, the investment management fee pursuant to the Management Agreement was equivalent to an annual effective rate of 0.45% of the Fund's average daily net assets.
The Fund retains Management as its administrator under an Administration Agreement. The Fund pays Management an administration fee at the annual rate of 0.30% of its average daily net assets under this agreement. Additionally, Management retains JPMorgan Chase Bank, NA ("JPM") as its sub-administrator under a Sub-Administration Agreement. Management pays JPM a fee for all services received under the agreement.
Management has contractually agreed to waive fees and/or reimburse the Fund for its total annual operating expenses so that the total annual operating expenses do not exceed the expense limitations as detailed in the following table. These undertakings exclude interest, taxes, brokerage commissions, dividend and interest expenses relating to short sales, acquired fund fees and expenses, and extraordinary expenses, if any (commitment fees relating to borrowings are treated as interest for purposes of this exclusion) ("annual operating expenses"); consequently, net expenses may exceed the contractual expense limitation. The Fund has agreed that it will repay Management for fees and expenses waived or reimbursed provided that repayment does not cause the annual operating expenses to exceed its expense limitation in place at the time the fees and expenses were waived or reimbursed, and the repayment is made within three years after the year in which Management incurred the expense.
During the six months ended June 30, 2018, there was no repayment to Management under its contractual expense limitation.
At June 30, 2018, the Fund's contingent liabilities to Management under its contractual expense limitation were as follows:
| | | | | | Expenses Reimbursed in Year Ended December 31, | |
| | | | | | 2015 | | 2016 | | 2017 | | 2018 | |
| | | | | | Subject to Repayment until December 31, | |
| | Contractual Expense Limitation(1) | | Expiration | | 2018 | | 2019 | | 2020 | | 2021 | |
Class S | | | 1.05 | % | | 12/31/21 | | $ | 446,549 | | | $ | 508,177 | | | $ | 286,458 | | | $ | 92,776 | | |
(1) Expense limitation per annum of the Fund's average daily net assets.
Prior to May 1, 2017, Management engaged Blue Jay Capital Management, LLC, Cramer Rosenthal McGlynn, LLC, GAMCO Asset Management Inc., Good Hill Partners LP, Lazard Asset Management LLC, Levin Capital Strategies, LP, Portland Hill Asset Management Limited, Sound Point Capital Management, L.P., and TPH Asset Management, LP as subadvisers to provide investment management services. Management compensated the subadvisers out of the investment advisory fees it received from the Fund.
Neuberger Berman BD LLC (the "Distributor") is the Fund's "principal underwriter" within the meaning of the 1940 Act. It acts as agent in arranging for the sale of the Fund's Class S shares. The Board has adopted a distribution and shareholder services plan (the "Plan") for Class S shares pursuant to Rule 12b-1 under the 1940 Act. The Plan provides that, as compensation for administrative and other services related to the sale and distribution of Class S, and ongoing services provided to investors in the class, the Distributor receives from Class S a fee at the annual rate of 0.25% of Class S's average daily net assets. The Distributor may pay a portion of the proceeds from the 12b-1 fee to institutions that provide such services, including insurance companies or their affiliates and qualified plan administrators ("intermediaries") for services they provide respecting the Fund to current and prospective variable contract owners and qualified plan participants that invest in the Fund through the intermediaries. Those institutions may use the payments for, among other purposes, compensating employees engaged in sales and/or
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shareholder servicing. The amount of fees paid by the class during any year may be more or less than the cost of distribution and other services provided to the class. FINRA rules limit the amount of annual distribution fees that may be paid by a mutual fund and impose a ceiling on the cumulative distribution fees paid. The Plan complies with those rules.
Note C—Securities Transactions:
During the six months ended June 30, 2018, there were purchase and sale transactions of long-term securities (excluding equity swaps and option contracts) as follows:
Purchases of U.S. Government and Agency Obligations | | Purchases excluding U.S. Government and Agency Obligations | | Sales and Maturities of U.S. Government and Agency Obligations | | Sales and Maturities excluding U.S. Government and Agency Obligations | |
$ | 2,559,121 | | | $ | 5,293 | | | $ | 3,146,406 | | | $ | 7,396 | | |
During the six months ended June 30, 2018, no brokerage commissions on securities transactions were paid to affiliated brokers.
Note D—Fund Share Transactions:
Share activity for the six months ended June 30, 2018 and for the year ended December 31, 2017 was as follows:
| | For the Six Months Ended June 30, 2018 | | For the Year Ended December 31, 2017 | |
| | Shares Sold | | Shares Issued on Reinvestment of Dividends and Distributions | | Shares Redeemed | | Total | | Shares Sold | | Shares Issued on Reinvestment of Dividends and Distributions | | Shares Redeemed | | Total | |
Class S | | | 457,831 | | | | — | | | | (599,070 | ) | | | (141,239 | ) | | | 541,638 | | | | — | | | | (869,120 | ) | | | (327,482 | ) | |
Other: At June 30, 2018, there was an affiliated investor owning 3.9% of the Fund's outstanding shares.
Note E—Line of Credit:
At June 30, 2018, the Fund was a participant in a syndicated committed, unsecured $700,000,000 line of credit (the "Credit Facility"), to be used only for temporary or emergency purposes. Series of other investment companies managed by Management also participate in this line of credit on substantially the same terms. Interest is charged on borrowings under this Credit Facility at the highest of (a) a federal funds effective rate plus 1.00% per annum, (b) a Eurodollar rate for a one-month period plus 1.00% per annum, and (c) an overnight bank funding rate plus 1.00% per annum. The Credit Facility has an annual commitment fee of 0.15% per annum of the available line of credit, which is paid quarterly. The Fund has agreed to pay its pro rata share of the annual commitment fee, based on the ratio of its individual net assets to the net assets of all participants at the time the fee is due and payable, and interest charged on any borrowing made by the Fund and other costs incurred by the Fund. Because several mutual funds participate in the Credit Facility, there is no assurance that the Fund will have access to all or any part of the $700,000,000 at any particular time. There were no loans outstanding under the Credit Facility at June 30, 2018. During the period ended June 30, 2018, the Fund did not utilize the Credit Facility.
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Note F—Recent Accounting Pronouncement:
In March 2017, FASB issued Accounting Standards Update No. 2017-08, "Receivables—Nonrefundable Fees and Other Costs (Subtopic 310-20), Premium Amortization on Purchased Callable Debt Securities" ("ASU 2017-08"). ASU 2017-08 shortens the amortization period to the earliest call date for certain purchased callable debt securities held at a premium. The guidance is effective for fiscal years, and interim periods within those fiscal years, beginning after December 15, 2018. Management is currently evaluating the impact of applying this guidance.
Note G—Unaudited Financial Information:
The financial information included in this interim report is taken from the records of the Fund without audit by an independent registered public accounting firm. Annual reports contain audited financial statements.
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U.S. Equity Index PutWrite Strategy Portfolio
The following table includes selected data for a share outstanding throughout each period and other performance information derived from the Financial Statements. Amounts that do not round to $0.01 or ($0.01) per share are presented as $0.00 or ($0.00), respectively. Ratios that do not round to 0.01% or (0.01)% are presented as 0.00% or (0.00)%, respectively. A "—" indicates that the line item was not applicable in the corresponding period.
Class S | |
| | Six Months Ended June 30, | | Year Ended December 31, | | Period from May 1, 2014^ to December 31, | |
| | 2018 (Unaudited) | | 2017 | | 2016
| | 2015 | | 2014 | |
Net Asset Value, Beginning of Period | | $ | 9.90 | | | $ | 9.28 | | | $ | 9.39 | | | $ | 10.01 | | | $ | 10.00 | | |
Income From Investment Operations: | |
Net Investment Income/(Loss)‡ | | | 0.02 | | | | (0.02 | ) | | | (0.12 | ) | | | (0.13 | ) | | | (0.08 | ) | |
Net Gains or Losses on Securities (both realized and unrealized) | | | (0.15 | ) | | | 0.64 | | | | 0.06 | | | | (0.38 | ) | | | 0.09 | | |
Total From Investment Operations | | | (0.13 | ) | | | 0.62 | | | | (0.06 | ) | | | (0.51 | ) | | | 0.01 | | |
Less Distributions from: | |
Net Realized Capital Gains | | | — | | | | — | | | | (0.05 | ) | | | (0.11 | ) | | | — | | |
Total Distributions | | | — | | | | — | | | | (0.05 | ) | | | (0.11 | ) | | | — | | |
Net Asset Value, End of Period | | $ | 9.77 | | | $ | 9.90 | | | $ | 9.28 | | | $ | 9.39 | | | $ | 10.01 | | |
Total Return†† | | | (1.31 | )%** | | | 6.68 | % | | | (0.65 | )% | | | (5.15 | )% | | | 0.10 | %** | |
Ratios/Supplemental Data | |
Net Assets, End of Period (in millions) | | $ | 10.6 | | | $ | 12.2 | | | $ | 14.5 | | | $ | 13.2 | | | $ | 8.5 | | |
Ratio of Gross Expenses to Average Net Assets# | | | 2.60 | %* | | | 3.68 | % | | | 6.83 | % | | | 7.20 | % | | | 9.43 | %*@ | |
Ratio of Gross Expenses to Average Net Assets (excluding dividend and interest expenses relating to short sales)# | | | — | | | | 3.50 | % | | | 5.99 | % | | | 6.38 | % | | | 8.88 | %*@ | |
Ratio of Net Expenses to Average Net Assets | | | 1.05 | %* | | | 1.72 | % | | | 3.24 | % | | | 3.22 | % | | | 3.25 | %*@ | |
Ratio of Net Expenses to Average Net Assets (excluding dividend and interest expenses relating to short sales) | | | — | | | | 1.54 | % | | | 2.40 | % | | | 2.40 | % | | | 2.69 | %*@ | |
Ratio of Net Investment Income/(Loss) to Average Net Assets | | | 0.45 | %* | | | (0.24 | )% | | | (1.33 | )% | | | (1.30 | )% | | | (1.21 | )%*@ | |
Portfolio Turnover Rate (including securities sold short) | | | — | | | | 368 | % | | | 547 | % | | | 490 | % | | | 264 | %** | |
Portfolio Turnover Rate (excluding securities sold short) | | | 22 | %** | | | 342 | % | | | 546 | % | | | 517 | % | | | 213 | %** | |
See Notes to Financial Highlights
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Notes to Financial Highlights U.S. Equity Index PutWrite Strategy Portfolio (Unaudited)
†† Total return based on per share NAV reflects the effects of changes in NAV on the performance of the Fund during each fiscal period. Returns assume income dividends and other distributions, if any, were reinvested. Results represent past performance and do not indicate future results. Current returns may be lower or higher than the performance data quoted. Investment returns and principal may fluctuate and shares, when redeemed, may be worth more or less than original cost. Total return would have been lower if Management had not reimbursed and/or waived certain expenses. The total return information shown does not reflect charges and other expenses that apply to the separate accounts or the related insurance policies or other qualified pension or retirement plans, and the inclusion of these charges and other expenses would reduce the total return for all fiscal periods shown.
‡ Calculated based on the average number of shares outstanding during each fiscal period.
# Represents the annualized ratios of net expenses to average daily net assets if Management had not reimbursed Certain expenses and/or waived a portion of the investment management fee.
@ Organization expense, which is a non-recurring expense, is included in these ratios on a non-annualized basis.
* Annualized.
** Not annualized.
^ The date investment operations commenced.
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Proxy Voting Policies and Procedures
A description of the policies and procedures that the Trust uses to determine how to vote proxies relating to portfolio securities is available, without charge, by calling 800-877-9700 (toll-free) and on the Securities and Exchange Commission's website at www.sec.gov. Information regarding how the Trust voted proxies relating to portfolio securities during the most recent 12-month period ended June 30 is also available upon request, without charge, by calling 800-877-9700 (toll-free), on the Securities and Exchange Commission's website at www.sec.gov, and on Management's website at www.nb.com.
Quarterly Portfolio Schedule
The Trust files a complete schedule of portfolio holdings for the Fund with the Securities and Exchange Commission for the first and third quarters of each fiscal year on Form N-Q. The Trust's Forms N-Q are available on the Securities and Exchange Commission's website at www.sec.gov and may be reviewed and copied at the Securities and Exchange Commission's Public Reference Room in Washington, DC. Information on the operation of the Public Reference Room may be obtained by calling 800-SEC-0330. The information on Form N-Q is available upon request, without charge, by calling 800-877-9700 (toll free).
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Item 2. Code of Ethics.
The Board of Trustees (“Board”) of Neuberger Berman Advisers Management Trust (“Registrant”) has adopted a code of ethics that applies to the Registrant’s principal executive officer, principal financial officer, principal accounting officer or controller, or persons performing similar functions (“Code of Ethics”). During the period covered by this Form N-CSR, there were no substantive amendments to the Code of Ethics and there were no waivers from the Code of Ethics granted to the Registrant’s principal executive officer, principal financial officer, principal accounting officer or controller, or persons performing similar functions.
A copy of the Code of Ethics is incorporated by reference to Neuberger Berman Advisers Management Trust’s Form N-CSRS, Investment Company Act file number 811-04255 (filed August 25, 2016). The Code of Ethics is also available, without charge, by calling 1-800-877-9700 (toll-free).
Item 3. Audit Committee Financial Expert.
Not applicable to semi-annual reports on Form N-CSR.
Item 4. Principal Accountant Fees and Services.
Not applicable to semi-annual reports on Form N-CSR.
Item 5. Audit Committee of Listed Registrants.
Not applicable to the Registrant.
Item 6. Schedule of Investments.
The complete schedule of investments for each series is disclosed in the Registrant's applicable semi-annual reports, which are included as Item 1 of this Form N-CSR.
Item 7. Disclosure of Proxy Voting Policies and Procedures for Closed-End Management Investment Companies.
Not applicable to the Registrant.
Item 8. Portfolio Managers of Closed-End Management Investment Companies.
Not applicable to the Registrant.
Item 9. Purchases of Equity Securities by Closed-End Management Investment Company and Affiliated Purchasers.
Not applicable to the Registrant.
Item 10. Submission of Matters to a Vote of Security Holders.
There were no changes to the procedures by which shareholders may recommend nominees to the Board.
Item 11. Controls and Procedures.
Item 12. Disclosure of Securities Lending Activities for Closed-End Management Investment Companies.
Not applicable to the Registrant.
Item 13. Exhibits.
The certification furnished pursuant to Rule 30a-2(b) under the Act and Section 906 of the Sarbanes-Oxley Act will not be deemed “filed” for purposes of Section 18 of the Securities Exchange Act of 1934, as amended (“Exchange Act”), or otherwise subject to the liability of that section. Such certification will not be deemed to be incorporated by reference into any filing under the Securities Act of 1933, as amended, or the Exchange Act, except to the extent that the Registrant specifically incorporates it by reference.
Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, the Registrant has duly caused this report to be signed on its behalf by the undersigned, thereunto duly authorized.
Joseph V. Amato
Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, this report has been signed below by the following persons on behalf of the Registrant and in the capacities and on the dates indicated.